================================================================================
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
-----------------
FORM N-CSR
-----------------
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-6067
-----------------
DIMENSIONAL INVESTMENT GROUP INC.
(Exact name of registrant as specified in charter)
-----------------
6300 Bee Cave Road, Building One, Austin, TX 78746
(Address of principal executive offices) (Zip code)
-----------------
Catherine L. Newell, Esquire, Vice President and Secretary
Dimensional Investment Group Inc.,
6300 Bee Cave Road, Building One, Austin, TX 78746
(Name and address of agent for service)
-----------------
Registrant's telephone number, including area code: 512-306-7400
Date of fiscal year end: October 31
Date of reporting period: October 31, 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
Dimensional Investment Group Inc.
LWAS/DFA U.S. High Book to Market Portfolio
LWAS/DFA Two-Year Fixed Income Portfolio
LWAS/DFA Two-Year Government Portfolio
DFA Investment Dimensions Group Inc.
LWAS/DFA International High Book to Market Portfolio
[LOGO]
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
November 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
Dimensional Investment Group Inc.
Performance Charts....................................................................... 2
Management's Discussion and Analysis..................................................... 4
Disclosure of Fund Expenses.............................................................. 7
Disclosure of Portfolio Holdings......................................................... 9
Schedules of Investments
LWAS/DFA U.S. High Book to Market Portfolio.......................................... 10
LWAS/DFA Two-Year Fixed Income Portfolio............................................. 11
LWAS/DFA Two-Year Government Portfolio............................................... 13
Statements of Assets and Liabilities..................................................... 14
Statements of Operations................................................................. 16
Statements of Changes in Net Assets...................................................... 17
Financial Highlights..................................................................... 18
Notes to Financial Statements............................................................ 20
Report of Independent Registered Public Accounting Firm.................................. 27
Results of the Shareholder Meeting....................................................... 28
DFA Investment Dimensions Group Inc. - LWAS/DFA International High Book to Market Portfolio
Performance Charts....................................................................... 31
Management's Discussion and Analysis..................................................... 32
Disclosure of Fund Expenses.............................................................. 34
Disclosure of Portfolio Holdings......................................................... 35
Schedule of Investments.................................................................. 36
Statement of Assets and Liabilities...................................................... 37
Statement of Operations.................................................................. 38
Statements of Changes in Net Assets...................................................... 39
Financial Highlights..................................................................... 40
Notes to Financial Statements............................................................ 41
Report of Independent Registered Public Accounting Firm.................................. 46
Results of the Shareholder Meeting....................................................... 47
The DFA Investment Trust Company
Performance Charts....................................................................... 49
Management's Discussion and Analysis..................................................... 50
Disclosure of Fund Expenses.............................................................. 52
Disclosure of Portfolio Holdings......................................................... 53
Summary Schedules of Portfolio Holdings
The U.S. Large Cap Value Series...................................................... 54
The DFA International Value Series................................................... 57
Statements of Assets and Liabilities..................................................... 61
Statements of Operations................................................................. 62
Statements of Changes in Net Assets...................................................... 63
Financial Highlights..................................................................... 64
Notes to Financial Statements............................................................ 65
Report of Independent Registered Public Accounting Firm.................................. 73
Results of the Shareholder Meeting....................................................... 74
Fund Management............................................................................. 76
Voting Proxies on Fund Portfolio Securities................................................. 89
Notice to Shareholders...................................................................... 90
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
DIMENSIONAL INVESTMENT GROUP INC.
DFA INVESTMENT DIMENSIONS GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
Schedules of Investments/Summary Schedules of Portfolio Holdings
----------------------------------------------------------------
Investment Abbreviations
ADR American Depositary Receipt
P.L.C. Public Limited Company
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities 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 affiliated 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.
@ 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.
SEC Securities and Exchange Commission
1
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO VS.
RUSSELL 1000(R) VALUE INDEX
October 31, 2005-October 31, 2015
[CHART]
LWAS/DFA U.S. High Book to Russell 1000/R/
Market Portfolio Value Index
-------------------------- -----------------
10/31/2005 $10,000 $10,000
11/30/2005 10,404 10,327
12/31/2005 10,415 10,389
1/31/2006 10,906 10,792
2/28/2006 10,868 10,858
3/31/2006 11,059 11,005
4/30/2006 11,370 11,285
5/31/2006 11,158 11,000
6/30/2006 11,253 11,070
7/31/2006 11,094 11,339
8/31/2006 11,268 11,529
9/30/2006 11,580 11,759
10/31/2006 12,037 12,144
11/30/2006 12,266 12,421
12/31/2006 12,508 12,700
1/31/2007 12,871 12,862
2/28/2007 12,674 12,662
3/31/2007 12,759 12,857
4/30/2007 13,305 13,332
5/31/2007 13,850 13,813
6/30/2007 13,626 13,491
7/31/2007 12,777 12,867
8/31/2007 12,532 13,011
9/30/2007 12,855 13,458
10/31/2007 12,927 13,459
11/30/2007 12,203 12,801
12/31/2007 12,155 12,678
1/31/2008 11,690 12,170
2/29/2008 11,335 11,660
3/31/2008 11,220 11,573
4/30/2008 11,932 12,137
5/31/2008 12,211 12,117
6/30/2008 10,872 10,957
7/31/2008 10,753 10,918
8/31/2008 10,957 11,104
9/30/2008 9,974 10,288
10/31/2008 7,726 8,507
11/30/2008 6,965 7,897
12/31/2008 7,195 8,006
1/31/2009 6,339 7,086
2/28/2009 5,448 6,139
3/31/2009 5,983 6,664
4/30/2009 6,948 7,378
5/31/2009 7,483 7,834
6/30/2009 7,391 7,777
7/31/2009 8,094 8,413
8/31/2009 8,638 8,853
9/30/2009 9,010 9,195
10/31/2009 8,623 8,914
11/30/2009 9,107 9,416
12/31/2009 9,359 9,583
1/31/2010 9,137 9,313
2/28/2010 9,536 9,607
3/31/2010 0,276 10,233
4/30/2010 0,595 10,498
5/31/2010 9,691 9,635
6/30/2010 8,958 9,092
7/31/2010 9,652 9,708
8/31/2010 9,065 9,292
9/30/2010 9,954 10,013
10/31/2010 10,322 10,314
11/30/2010 10,241 10,259
12/31/2010 11,241 11,069
1/31/2011 11,592 11,319
2/28/2011 12,223 11,737
3/31/2011 12,283 11,783
4/30/2011 12,581 12,097
5/31/2011 12,409 11,969
6/30/2011 12,180 11,724
7/31/2011 11,627 11,335
8/31/2011 10,639 10,628
9/30/2011 $9,567 9,824
10/31/2011 10,887 10,949
11/30/2011 10,796 10,893
12/31/2011 10,875 11,112
1/31/2012 11,416 11,532
2/29/2012 12,077 11,992
3/31/2012 12,297 12,348
4/30/2012 12,040 12,222
5/31/2012 11,184 11,505
6/30/2012 11,784 12,076
7/31/2012 11,895 12,201
8/31/2012 12,367 12,466
9/30/2012 12,820 12,862
10/31/2012 12,848 12,799
11/30/2012 12,876 12,793
12/31/2012 13,261 13,058
1/31/2013 14,186 13,906
2/28/2013 14,364 14,106
3/31/2013 15,056 14,665
4/30/2013 15,206 14,886
5/31/2013 15,834 15,269
6/30/2013 15,652 15,134
7/31/2013 16,584 15,951
8/31/2013 16,085 15,346
9/30/2013 16,556 15,730
10/31/2013 17,398 16,419
11/30/2013 18,126 16,877
12/31/2013 18,600 17,305
1/31/2014 17,862 16,690
2/28/2014 18,463 17,412
3/31/2014 18,898 17,828
4/30/2014 19,016 17,997
5/31/2014 19,431 18,261
6/30/2014 19,955 18,738
7/31/2014 19,806 18,418
8/31/2014 20,431 19,095
9/30/2014 19,925 18,701
10/31/2014 20,074 19,122
11/30/2014 20,303 19,513
12/31/2014 20,462 19,633
1/31/2015 19,435 18,848
2/28/2015 20,816 19,760
3/31/2015 20,410 19,491
4/30/2015 20,829 19,673
5/31/2015 21,055 19,910
6/30/2015 20,705 19,512
7/31/2015 20,651 19,598 Past performance is not predictive of
8/31/2015 19,398 18,430 future performance.
9/30/2015 18,768 17,874 The returns shown do not reflect the
10/31/2015 20,298 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
1.12% 14.48% 7.34% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
LWAS/DFA TWO-YEAR FIXED INCOME PORTFOLIO VS.
THE BOFA MERRILL LYNCH 1-3 YEAR US CORPORATE & GOVERNMENT INDEX
October 31, 2005-October 31, 2015
[CHART]
LWAS/DFA Two-Year The BofA Merrill Lynch 1-3 Year
Fixed Income Portfolio US Corporate & Government Index
---------------------- ---------------------------------
10/31/2005 $10,000 $10,000
11/30/2005 10,031 10,031
12/31/2005 10,061 10,068
1/31/2006 10,092 10,090
2/28/2006 10,123 10,101
3/31/2006 10,153 10,117
4/30/2006 10,185 10,149
5/31/2006 10,226 10,164
6/30/2006 10,255 10,183
7/31/2006 10,308 10,261
8/31/2006 10,349 10,335
9/30/2006 10,395 10,391
10/31/2006 10,437 10,436
11/30/2006 10,479 10,492
12/31/2006 10,529 10,497
1/31/2007 10,572 10,522
2/28/2007 10,614 10,607
3/31/2007 10,660 10,648
4/30/2007 10,703 10,688
5/31/2007 10,746 10,681
6/30/2007 10,793 10,725
7/31/2007 10,837 10,812
8/31/2007 10,891 10,903
9/30/2007 10,929 10,982
10/31/2007 10,973 11,028
11/30/2007 11,006 11,188
12/31/2007 11,060 11,218
1/31/2008 11,093 11,412
2/29/2008 11,127 11,515
3/31/2008 11,141 11,516
4/30/2008 11,163 11,450
5/31/2008 11,186 11,425
6/30/2008 11,201 11,453
7/31/2008 11,235 11,486
8/31/2008 11,258 11,537
9/30/2008 11,208 11,474
10/31/2008 11,277 11,465
11/30/2008 11,391 11,610
12/31/2008 11,492 11,745
1/31/2009 11,504 11,756
2/28/2009 11,492 11,740
3/31/2009 11,542 11,791
4/30/2009 11,589 11,860
5/31/2009 11,635 11,954
6/30/2009 11,652 11,977
7/31/2009 11,675 12,030
8/31/2009 11,722 12,101
9/30/2009 11,740 12,150
10/31/2009 11,763 12,194
11/30/2009 11,810 12,271
12/31/2009 11,746 12,195
1/31/2010 11,805 12,294
2/28/2010 11,817 12,322
3/31/2010 11,806 12,308
4/30/2010 11,830 12,345
5/31/2010 11,842 12,375
6/30/2010 11,891 12,432
7/31/2010 11,927 12,482
8/31/2010 11,939 12,515
9/30/2010 11,961 12,546
10/31/2010 11,985 12,581
11/30/2010 11,961 12,557
12/31/2010 11,961 12,539
1/31/2011 11,973 12,565
2/28/2011 11,973 12,563
3/31/2011 11,972 12,563
4/30/2011 12,008 12,624
5/31/2011 12,043 12,671
6/30/2011 12,046 12,674
7/31/2011 12,058 12,711
8/31/2011 12,070 12,733
9/30/2011 12,060 12,704
10/31/2011 12,072 12,732
11/30/2011 12,060 12,722
12/31/2011 12,060 12,734
1/31/2012 12,096 12,778
2/29/2012 12,096 12,785
3/31/2012 12,103 12,792
4/30/2012 12,115 12,817
5/31/2012 12,115 12,815
6/30/2012 12,125 12,822
7/31/2012 12,149 12,868
8/31/2012 12,149 12,882
9/30/2012 12,163 12,897
10/31/2012 12,163 12,902
11/30/2012 12,163 12,913
12/31/2012 12,173 12,923
1/31/2013 12,173 12,930
2/28/2013 12,173 12,945
3/31/2013 12,178 12,952
4/30/2013 12,191 12,972
5/31/2013 12,178 12,953
6/30/2013 12,173 12,933
7/31/2013 12,186 12,962
8/31/2013 12,173 12,953
9/30/2013 12,194 12,988
10/31/2013 12,194 13,012
11/30/2013 12,194 13,029
12/31/2013 12,194 13,014
1/31/2014 12,206 13,039
2/28/2014 12,206 13,058
3/31/2014 12,209 13,046
4/30/2014 12,221 13,067
5/31/2014 12,221 13,097
6/30/2014 12,214 13,094
7/31/2014 12,214 13,083
8/31/2014 12,227 13,107
9/30/2014 12,220 13,098
10/31/2014 12,232 13,132
11/30/2014 12,244 13,152
12/31/2014 12,229 13,116
1/31/2015 12,266 13,182
2/28/2015 12,241 13,164
3/31/2015 12,272 13,193
4/30/2015 12,272 13,203
5/31/2015 12,272 13,214
6/30/2015 12,273 13,212 Past performance is not predictive of
7/31/2015 12,273 13,220 future performance.
8/31/2015 12,273 13,211 The returns shown do not reflect the
9/30/2015 12,302 13,250 deduction of taxes that a shareholder
10/31/2015 12,302 13,247 would pay on fund distributions or the
redemption of fund shares.
Average Annual One Five Ten The Merrill Lynch Indices are used with
Total Return Year Years Years permission; copyright 2015 Merrill
----------------------------------------------------------- Lynch, Pierce, Fenner & Smith
0.57% 0.52% 2.09% Incorporated; all rights reserved.
--------------------------------------------------------------------------------
2
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
LWAS/DFA TWO-YEAR GOVERNMENT PORTFOLIO VS.
THE BOFA MERRILL LYNCH 1-3 YEAR US TREASURY & AGENCY INDEX
October 31, 2005-October 31, 2015
[CHART]
LWAS/DFA Two-Year The BofA Merrill Lynch 1-3 Year
Government Portfolio US Treasury & Agency Index
-------------------- -------------------------------
10/31/2005 $10,000 $10,000
11/30/2005 10,031 10,031
12/31/2005 10,062 10,068
1/31/2006 10,093 10,090
2/28/2006 10,114 10,100
3/31/2006 10,141 10,116
4/30/2006 10,183 10,147
5/31/2006 10,214 10,162
6/30/2006 10,246 10,181
7/31/2006 10,298 10,257
8/31/2006 10,340 10,329
9/30/2006 10,389 10,384
10/31/2006 10,432 10,428
11/30/2006 10,474 10,482
12/31/2006 10,519 10,485
1/31/2007 10,562 10,510
2/28/2007 10,594 10,593
3/31/2007 10,644 10,633
4/30/2007 10,688 10,672
5/31/2007 10,731 10,666
6/30/2007 10,779 10,710
7/31/2007 10,823 10,803
8/31/2007 10,867 10,902
9/30/2007 10,904 10,983
10/31/2007 10,949 11,026
11/30/2007 10,982 11,198
12/31/2007 11,021 11,234
1/31/2008 11,055 11,426
2/29/2008 11,089 11,531
3/31/2008 11,099 11,561
4/30/2008 11,122 11,481
5/31/2008 11,099 11,443
6/30/2008 11,122 11,477
7/31/2008 11,156 11,520
8/31/2008 11,190 11,566
9/30/2008 11,182 11,635
10/31/2008 11,216 11,721
11/30/2008 11,422 11,873
12/31/2008 11,610 11,992
1/31/2009 11,564 11,949
2/28/2009 11,564 11,950
3/31/2009 11,625 12,012
4/30/2009 11,660 12,013
5/31/2009 11,707 12,044
6/30/2009 11,703 12,033
7/31/2009 11,715 12,053
8/31/2009 11,750 12,101
9/30/2009 11,777 12,132
10/31/2009 11,800 12,158
11/30/2009 11,847 12,228
12/31/2009 11,786 12,140
1/31/2010 11,834 12,227
2/28/2010 11,858 12,252
3/31/2010 11,847 12,225
4/30/2010 11,871 12,257
5/31/2010 11,895 12,308
6/30/2010 11,942 12,364
7/31/2010 11,966 12,396
8/31/2010 11,978 12,418
9/30/2010 11,997 12,440
10/31/2010 12,033 12,469
11/30/2010 11,997 12,445
12/31/2010 12,010 12,424
1/31/2011 12,022 12,445
2/28/2011 12,010 12,435
3/31/2011 12,004 12,431
4/30/2011 12,052 12,485
5/31/2011 12,088 12,529
6/30/2011 12,087 12,534
7/31/2011 12,099 12,566
8/31/2011 12,111 12,608
9/30/2011 12,113 12,592
10/31/2011 12,113 12,603
11/30/2011 12,125 12,610
12/31/2011 12,126 12,617
1/31/2012 12,150 12,633
2/29/2012 12,150 12,620
3/31/2012 12,152 12,615
4/30/2012 12,164 12,640
5/31/2012 12,164 12,645
6/30/2012 12,156 12,639
7/31/2012 12,169 12,668
8/31/2012 12,181 12,670
9/30/2012 12,174 12,671
10/31/2012 12,174 12,665
11/30/2012 12,174 12,676
12/31/2012 12,178 12,681
1/31/2013 12,178 12,682
2/28/2013 12,178 12,692
3/31/2013 12,180 12,695
4/30/2013 12,192 12,708
5/31/2013 12,180 12,690
6/30/2013 12,180 12,681
7/31/2013 12,192 12,701
8/31/2013 12,180 12,690
9/30/2013 12,193 12,718
10/31/2013 12,206 12,732
11/30/2013 12,206 12,744
12/31/2013 12,197 12,727
1/31/2014 12,209 12,747
2/28/2014 12,209 12,759
3/31/2014 12,209 12,745
4/30/2014 12,222 12,762
5/31/2014 12,234 12,785
6/30/2014 12,223 12,779
7/31/2014 12,223 12,769
8/31/2014 12,236 12,791
9/30/2014 12,229 12,784
10/31/2014 12,253 12,818
11/30/2014 12,266 12,837
12/31/2014 12,237 12,807
1/31/2015 12,286 12,871
2/28/2015 12,261 12,844
3/31/2015 12,279 12,874
4/30/2015 12,291 12,880
5/31/2015 12,291 12,889
6/30/2015 12,289 12,893 Past performance is not predictive of
7/31/2015 12,289 12,900 future performance.
8/31/2015 12,289 12,895 The returns shown do not reflect the
9/30/2015 12,313 12,934 deduction of taxes that a shareholder
10/31/2015 12,300 12,922 would pay on fund distributions or the
redemption of fund shares.
Average Annual One Five Ten The Merrill Lynch Indices are used with
Total Return Year Years Years permission; copyright 2015 Merrill
---------------------------------------------------------- Lynch, Pierce, Fenner & Smith
0.38% 0.44% 2.09% Incorporated; all rights reserved.
--------------------------------------------------------------------------------
3
DIMENSIONAL INVESTMENT 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 Portfolio Performance Overview
LWAS/DFA U.S. High Book to Market Portfolio
The LWAS/DFA U.S. High Book to Market Portfolio seeks to capture the returns
of U.S. large-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 1.12% 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
4
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.
Fixed Income Market Review 12 Months Ended October 31, 2015
U.S. and developed international fixed income markets generally experienced
flattening yield curves for the year ended October 31, 2015. In the case of the
U.S. and U.K., while longer-term bond yields declined, most shorter-term bond
yields increased slightly. The Eurozone saw a sharp decline in bond yields
across the curve with the largest declines taking place in longer-term bonds.
In general, in the U.S. and developed international fixed income markets
investment grade credit underperformed government bonds of similar duration.
The one-month U.S. Treasury bill yield remained at or near 0.00% during the
period, while the yield on ten-year U.S. Treasury notes decreased to 2.14%.
October 31, 2014 October 31, 2015 Change
---------------- ---------------- ------
One-Month Treasury Bill (yield)...... 0.00% 0.00% 0.00%
Ten-Year U.S. Treasury Notes (yield). 2.34% 2.14% -0.20%
----------
Source: Bloomberg.
There is generally an inverse relationship between interest rates and bond
prices, such that bond prices fall when interest rates rise. For the fiscal
year under review, changes in interest rates and bond prices were more
pronounced in some parts of the yield curve than in others. For the 12 months
ended October 31, 2015, the total return was 0.04% for three-month U.S.
Treasury bills, 2.34% for five-year U.S. Treasury notes, and 4.54% for 30-year
U.S. Treasury bonds.
----------
Source: Barclays US Treasury Bellwethers.
Some of Dimensional Fund Advisors LP's ("Dimensional" or the "Advisor")
fixed income strategies are based on a variable-maturity strategy that
identifies a maturity range with favorable risk-adjusted expected returns. When
the yield curve is flat or inverted, short-term securities are believed to
offer the most attractive opportunity on a risk-adjusted basis. When the yield
curve is upwardly sloped, maturities may be lengthened to position a portfolio
for higher expected returns associated with longer maturities. These higher
returns may be achieved by roll-down returns (in an upwardly sloped yield
curve, prices of longer-term bonds generally increase as they approach
maturity) as well as by earning higher current yields. During the period under
review, the portfolios employing a variable-maturity approach continued to take
term risk, reflecting upward-sloping eligible yield curves.
Some of Dimensional's fixed income strategies are based on a variable-credit
approach that varies exposure to credit risk. When credit spreads are narrow,
higher-quality securities are believed to offer the more attractive opportunity
on a risk-adjusted basis. When credit spreads are wide, additional credit risk
may be taken to position a portfolio for higher expected returns associated
with increased credit risk. The portfolios employing a variable-credit approach
continued to emphasize bonds in the single-A and BBB rating categories,
reflecting relatively wide credit spreads.
Fixed Income Portfolios' Performance Overview
LWAS/DFA Two-Year Fixed Income Portfolio
The LWAS/DFA Two-Year Fixed Income Portfolio is designed to maximize total
returns consistent with preservation of capital by investing in high-quality
fixed income securities maturing in two years or less. The investment strategy
uses a variable-maturity approach and shifts maturities based on changes in the
yield curve. The strategy uses current yields and identifies favorable maturity
ranges for risk-adjusted expected returns based on potential buy and sell
strategies. Maturity targets are shifted based on the Advisor's expectations
for term premia. The average maturity of the Portfolio remained stable at 1.60
years on October 31, 2015, from 1.61 years on October 31, 2014.
5
For the 12 months ended October 31, 2015, the total return was 0.57% for the
Portfolio versus 0.88% for The BofA Merrill Lynch 1-3 Year US Corporate &
Government Index. The Portfolio invests in securities rated AAA and AA while
the Index held an average weight of approximately 19% in single-A- and
BBB-rated securities. These lower rated securities exhibited larger credit
premia during the period and detracted from the Portfolio's relative
performance. Further contributing to relative underperformance was the
Portfolio's lack of exposure to maturities beyond two years. The Index had an
approximate average weight of 47% in securities with maturities between two and
three years, which generated larger term premia.
LWAS/DFA Two-Year Government Portfolio
The LWAS/DFA Two-Year Government Portfolio is designed to maximize total
returns consistent with preservation of capital by investing in U.S. government
securities maturing in two years or less. The investment strategy uses a
variable-maturity approach and shifts maturities based on changes in the yield
curve. The strategy uses current yields and identifies favorable maturity
ranges for risk-adjusted expected returns based on potential buy and sell
strategies for each eligible country. Maturity targets are shifted based on the
Advisor's expectations for term premia. The average maturity of the Portfolio
decreased to 1.80 years on October 31, 2015, from 1.84 years on October 31,
2014.
For the 12 months ended October 31, 2015, the total return was 0.38% for the
Portfolio versus 0.81% for The BofA Merrill Lynch 1-3 Year US Treasury & Agency
Index. The Portfolio's underperformance was primarily due to its focus on
securities with maturities of less than two years. The benchmark had an
approximate average weight of 44% in longer-term bonds maturing between two and
three years. The larger term premia generated in these longer-term securities
detracted from the Portfolio's relative performance.
6
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended October 31, 2015
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/15 10/31/15 Ratio* Period*
--------- --------- ---------- --------
LWAS/DFA U.S. High Book to Market Portfolio**
---------------------------------------------
Actual Fund Return............................ $1,000.00 $ 974.50 0.32% $1.59
Hypothetical 5% Annual Return................. $1,000.00 $1,023.59 0.32% $1.63
LWAS/DFA Two-Year Fixed Income Portfolio
----------------------------------------
Actual Fund Return............................ $1,000.00 $1,002.40 0.30% $1.51
Hypothetical 5% Annual Return................. $1,000.00 $1,023.69 0.30% $1.53
7
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/15 10/31/15 Ratio* Period*
--------- --------- ---------- --------
LWAS/DFA Two-Year Government Portfolio
--------------------------------------
Actual Fund Return..................... $1,000.00 $1,000.70 0.29% $1.46
Hypothetical 5% Annual Return.......... $1,000.00 $1,023.74 0.29% $1.48
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then divided
by the number of days in the year (365) to reflect the six-month period.
**The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the indirect payment of the Feeder Fund's
portion of the expenses of its Master Fund (Affiliated Investment Company).
8
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on September 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.
The categories of industry classification for the Affiliated Investment
Company are represented in its Disclosure of Portfolio Holdings, which is
included elsewhere within the report. Refer to the Summary Schedule of
Portfolio Holdings for the underlying Affiliated Investment Company's holdings
which reflect the investments by category.
FEEDER FUND
Affiliated Investment Company
-----------------------------
LWAS/DFA U.S. High Book to Market Portfolio. 100.0%
FIXED INCOME PORTFOLIOS
LWAS/DFA Two-Year Fixed Income Portfolio
Corporate.................................... 12.2%
Government................................... 30.1%
Foreign Corporate............................ 28.3%
Foreign Government........................... 26.1%
Supranational................................ 3.3%
-----
100.0%
LWAS/DFA Two-Year Government Portfolio
Government................................... 100.0%
-----
100.0%
9
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2015
Value+
-----------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The U.S. Large Cap Value Series of
The DFA Investment Trust Company..................... $59,541,104
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $28,208,492)................................ $59,541,104
===========
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.
10
LWAS/DFA TWO-YEAR FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2015
Face
Amount Value+
------ ------
(000)
AGENCY OBLIGATIONS -- (19.2%)
Federal Home Loan Bank
1.000%, 06/09/17............................. $6,200 $ 6,228,904
0.750%, 08/28/17............................. 1,000 999,921
0.625%, 10/26/17............................. 1,500 1,494,905
Federal Home Loan Mortgage Corporation
1.000%, 07/28/17............................. 4,100 4,112,739
1.000%, 09/29/17............................. 4,000 4,017,276
Federal National Mortgage Association
1.000%, 09/27/17............................. 1,500 1,506,168
-----------
TOTAL AGENCY OBLIGATIONS......................... 18,359,913
-----------
BONDS -- (65.3%)
3M Co.
1.000%, 06/26/17............................. 500 501,927
Alberta, Province of Canada
1.000%, 06/21/17............................. 832 833,473
ANZ New Zealand Int'l, Ltd.
1.400%, 04/27/17............................. 1,800 1,799,456
Apple, Inc.
# 1.050%, 05/05/17............................. 500 501,711
# 0.900%, 05/12/17............................. 1,500 1,503,612
Australia & New Zealand Banking Group, Ltd.
1.250%, 01/10/17............................. 1,000 1,003,269
Bank Nederlandse Gemeenten NV
1.375%, 09/27/17............................. 500 503,563
Bank of Montreal
# 1.400%, 09/11/17............................. 1,100 1,101,375
Bank of Nova Scotia (The)
1.100%, 12/13/16............................. 692 693,486
2.550%, 01/12/17............................. 200 203,540
1.250%, 04/11/17............................. 1,000 999,810
# 1.300%, 07/21/17............................. 800 799,430
Berkshire Hathaway Finance Corp.
# 1.600%, 05/15/17............................. 970 980,014
British Columbia, Province of Canada
1.200%, 04/25/17............................. 1,500 1,507,614
Caisse des Depots et Consignations
1.000%, 03/13/17............................. 2,400 2,405,966
Cisco Systems, Inc.
# 3.150%, 03/14/17............................. 500 515,941
Coca-Cola Co. (The)
0.875%, 10/27/17............................. 1,100 1,098,496
Commonwealth Bank of Australia
1.125%, 03/13/17............................. 1,400 1,401,574
1.900%, 09/18/17............................. 500 504,958
DBS Bank, Ltd.
2.350%, 02/28/17............................. 300 303,638
Development Bank of Japan, Inc.
5.125%, 02/01/17............................. 500 525,812
1.500%, 03/13/17............................. 500 503,285
Face
Amount Value+
------ ------
(000)
BONDS -- (Continued)
Erste Abwicklungsanstalt
1.000%, 02/27/17............................. $2,800 $2,806,199
European Investment Bank
1.625%, 06/15/17............................. 1,000 1,012,359
1.000%, 08/17/17............................. 400 400,755
1.125%, 09/15/17............................. 1,000 1,003,365
Export Development Canada
0.625%, 04/27/17............................. 1,500 1,496,997
0.625%, 04/27/17............................. 500 499,086
FMS Wertmanagement AoeR
1.125%, 09/05/17............................. 1,300 1,304,776
GE Capital International Funding Co.
0.964%, 04/15/16............................. 2,795 2,794,449
International Bank for Reconstruction &
Development
0.625%, 05/02/17............................. 500 497,469
International Business Machines Corp.
5.700%, 09/14/17............................. 833 903,289
Japan Finance Organization for Municipalities
1.500%, 09/12/17............................. 1,609 1,613,357
KFW
0.875%, 09/05/17............................. 1,000 999,508
Kommunalbanken A.S.
1.375%, 06/08/17............................. 1,000 1,007,702
Kommuninvest I Sverige AB
1.000%, 04/11/17............................. 1,000 1,002,420
1.000%, 10/24/17............................. 400 399,907
Landeskreditbank Baden- Wuerttemberg Foerderbank
0.875%, 04/10/17............................. 1,000 1,000,962
National Australia Bank, Ltd.
2.750%, 03/09/17............................. 2,350 2,401,559
# 1.300%, 06/30/17............................. 400 399,547
Nestle Holdings, Inc.
1.375%, 06/21/17............................. 672 674,415
Nordea Bank AB
# 3.125%, 03/20/17............................. 2,520 2,584,706
1.250%, 04/04/17............................. 200 200,051
Oesterreichische Kontrollbank AG
0.750%, 05/19/17............................. 2,600 2,596,688
Ontario, Province of Canada
1.100%, 10/25/17............................. 1,800 1,797,824
Pfizer, Inc.
# 1.100%, 05/15/17............................. 1,955 1,961,199
Royal Bank of Canada
# 1.200%, 01/23/17............................. 1,000 1,003,006
# 1.000%, 04/27/17............................. 600 598,696
# 1.250%, 06/16/17............................. 700 700,608
Statoil ASA
3.125%, 08/17/17............................. 500 517,566
Svenska Handelsbanken AB
2.875%, 04/04/17............................. 700 713,139
11
LWAS/DFA TWO-YEAR FIXED INCOME PORTFOLIO
CONTINUED
Face
Amount Value+
------ ------
(000)
BONDS -- (Continued)
Sweden Government International Bond
0.875%, 08/15/17............................. $ 500 $ 500,298
Toronto-Dominion Bank (The)
# 1.125%, 05/02/17............................. 2,700 2,699,905
Total Capital International SA
1.500%, 02/17/17............................. 1,000 1,005,812
# 1.550%, 06/28/17............................. 300 302,440
Toyota Motor Credit Corp.
# 1.750%, 05/22/17............................. 2,000 2,021,584
Westpac Banking Corp.
2.000%, 08/14/17............................. 673 680,071
-----------
TOTAL BONDS...................................... 62,293,664
-----------
U.S. TREASURY OBLIGATIONS -- (9.0%)
U.S. Treasury Notes
1.875%, 08/31/17............................. 4,000 4,084,324
0.875%, 10/15/17............................. 4,500 4,511,074
-----------
TOTAL U.S. TREASURY OBLIGATIONS.................. 8,595,398
-----------
TOTAL INVESTMENT SECURITIES...................... 89,248,975
-----------
Shares Value+
------ ------
TEMPORARY CASH INVESTMENTS -- (0.2%)
State Street Institutional Liquid Reserves, 0.140%. 179,100 $ 179,100
-----------
SECURITIES LENDING COLLATERAL -- (6.3%)
(S)@ DFA Short Term Investment Fund............... 521,621 6,035,153
-----------
TOTAL INVESTMENTS -- (100.0%)
(Cost $95,521,228)............................... $95,463,228
===========
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
-------- ----------- ------- -----------
Agency Obligations............ -- $18,359,913 -- $18,359,913
Bonds......................... -- 62,293,664 -- 62,293,664
U.S. Treasury Obligations..... -- 8,595,398 -- 8,595,398
Temporary Cash Investments.... $179,100 -- -- 179,100
Securities Lending Collateral. -- 6,035,153 -- 6,035,153
-------- ----------- -- -----------
TOTAL......................... $179,100 $95,284,128 -- $95,463,228
======== =========== == ===========
See accompanying Notes to Financial Statements.
12
LWAS/DFA TWO-YEAR GOVERNMENT PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2015
Face
Amount Value+
-------- ------------
(000)
U.S. TREASURY OBLIGATIONS -- (99.9%)
U.S. Treasury Notes
0.875%, 06/15/17........................................... $ 18,500 $ 18,569,856
0.750%, 06/30/17........................................... 14,700 14,722,388
0.875%, 07/15/17........................................... 3,800 3,812,814
0.500%, 07/31/17........................................... 14,800 14,756,828
0.875%, 08/15/17........................................... 14,100 14,143,146
1.875%, 08/31/17........................................... 10,000 10,210,810
1.000%, 09/15/17........................................... 23,300 23,418,620
0.625%, 09/30/17........................................... 11,100 11,077,667
0.875%, 10/15/17........................................... 22,900 22,956,357
------------
TOTAL U.S. TREASURY OBLIGATIONS.............................. 133,668,486
------------
TOTAL INVESTMENT SECURITIES.................................. 133,668,486
------------
Shares
--------
TEMPORARY CASH INVESTMENTS -- (0.1%)
State Street Institutional U.S. Government Money Market Fund. 110,532 110,532
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $133,849,050)......................................... $133,779,018
============
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
-------- ------------ ------- ------------
U.S. Treasury Obligations.. -- $133,668,486 -- $133,668,486
Temporary Cash Investments. $110,532 -- -- 110,532
-------- ------------ -- ------------
TOTAL...................... $110,532 $133,668,486 -- $133,779,018
======== ============ == ============
See accompanying Notes to Financial Statements.
13
DIMENSIONAL INVESTMENT GROUP INC.
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2015
(Amounts in thousands, except share and per share amounts)
ASSETS:
Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company (Affiliated Investment
Company) at Value....................................................................................... $ 59,541
Prepaid Expenses and Other Assets........................................................................ 4
------------
Total Assets........................................................................................ 59,545
------------
LIABILITIES:
Payables:
Fund Shares Redeemed................................................................................... 10
Accrued Expenses and Other Liabilities................................................................... 14
------------
Total Liabilities................................................................................... 24
------------
NET ASSETS............................................................................................... $ 59,521
============
SHARES OUTSTANDING, $0.01 PAR VALUE (1).................................................................. 3,182,817
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE................................................. $ 18.70
============
Investment in Affiliated Investment Company at Cost...................................................... $ 28,208
============
NET ASSETS CONSIST OF:
Paid-In Capital.......................................................................................... $ 23,373
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)................... 107
Accumulated Net Realized Gain (Loss)..................................................................... 4,708
Net Unrealized Appreciation (Depreciation)............................................................... 31,333
------------
NET ASSETS............................................................................................... $ 59,521
============
(1) NUMBER OF SHARES AUTHORIZED.......................................................................... 300,000,000
============
See accompanying Notes to Financial Statements.
14
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2015
(Amounts in thousands, except share and per share amounts)
LWAS/DFA LWAS/DFA
Two-Year Two-Year
Fixed Income Government
Portfolio Portfolio
------------ ------------
ASSETS:
Investments at Value (including $5,908 and $0 of securities on loan, respectively)..... $ 89,249 $ 133,668
Temporary Cash Investments at Value & Cost............................................. 179 111
Collateral from Securities on Loan Invested in Affiliate at Value & Cost............... 6,035 --
Cash................................................................................... 1 --
Receivables:
Investment Securities Sold........................................................... 2,446 --
Interest............................................................................. 253 231
Securities Lending Income............................................................ 1 --
Prepaid Expenses and Other Assets...................................................... 4 5
------------ ------------
Total Assets...................................................................... 98,168 134,015
------------ ------------
LIABILITIES:
Payables:..............................................................................
Upon Return of Securities Loaned..................................................... 6,035 --
Investment Securities Purchased...................................................... 302 --
Fund Shares Redeemed................................................................. 24 324
Due to Advisor....................................................................... 12 17
Accrued Expenses and Other Liabilities................................................. 16 26
------------ ------------
Total Liabilities................................................................. 6,389 367
------------ ------------
NET ASSETS............................................................................. $ 91,779 $ 133,648
============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)................................................ 9,160,308 13,499,330
============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............................... $ 10.02 $ 9.90
============ ============
Investments at Cost.................................................................... $ 89,307 $ 133,738
============ ============
NET ASSETS CONSIST OF:
Paid-In Capital........................................................................ $ 91,558 $ 133,312
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). 68 55
Accumulated Net Realized Gain (Loss)................................................... 211 352
Net Unrealized Appreciation (Depreciation)............................................. (58) (70)
------------ ------------
NET ASSETS............................................................................. $ 91,779 $ 133,649
============ ============
(1) NUMBER OF SHARES AUTHORIZED........................................................ 300,000,000 300,000,000
============ ============
See accompanying Notes to Financial Statements.
15
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2015
(Amounts in thousands)
LWAS/DFA
U.S. High LWAS/DFA LWAS/DFA
Book to Two-Year Two-Year
Market Fixed Income Government
Portfolio* Portfolio Portfolio
---------- ------------ ----------
Investment Income
Net Investment Income Allocated from Affiliated Investment Company:
Dividends.............................................................. $ 1,468 $ -- $ --
Income from Securities Lending......................................... 16 -- --
Expenses Allocated from Affiliated Investment Company.................. (71) -- --
------- ----- -----
Total Net Investment Income Received from Affiliated Investment
Company............................................................ 1,413 -- --
------- ----- -----
Fund Investment Income
Dividends.............................................................. $ -- $ 1 $ --
Interest............................................................... -- 697 844
Income from Securities Lending......................................... -- 6 --
------- ----- -----
Total Investment Income............................................. -- 704 844
------- ----- -----
Fund Expenses
Investment Advisory Services Fees...................................... 19 146 213
Administrative Services Fees........................................... 4 -- --
Accounting & Transfer Agent Fees....................................... 4 9 12
Shareholder Servicing Fees............................................. 96 78 114
Custodian Fees......................................................... -- 4 2
Filing Fees............................................................ 16 17 20
Shareholders' Reports.................................................. 9 12 17
Directors'/Trustees' Fees & Expenses................................... -- -- 1
Professional Fees...................................................... 1 8 12
Other.................................................................. 6 8 10
------- ----- -----
Total Expenses...................................................... 155 282 401
------- ----- -----
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor (Note C)......................................... (17) -- --
------- ----- -----
Net Expenses........................................................... 138 282 401
------- ----- -----
Net Investment Income (Loss)........................................... 1,275 422 443
------- ----- -----
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold........................................... 4,976 218 367
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities................................................ (5,532) (102) (250)
------- ----- -----
Net Realized and Unrealized Gain (Loss)................................ (556) 116 117
------- ----- -----
Net Increase (Decrease) in Net Assets Resulting from Operations.......... $ 719 $ 538 $ 560
======= ===== =====
----------
* Investment Income and Realized and Unrealized Gain (Loss) were allocated from
the Portfolio's Master Fund (Affiliated Investment Company).
See accompanying Notes to Financial Statements.
16
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
LWAS/DFA U.S. High Book LWAS/DFA Two-Year Fixed LWAS/DFA Two-Year
to Market Portfolio Income Portfolio Government Portfolio
---------------------- ---------------------- ------------------
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2015 2014 2015 2014
-------- -------- -------- -------- -------- --------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................. $ 1,275 $ 1,153 $ 422 $ 198 $ 443 $ 172
Net Realized Gain (Loss) on:
Investment Securities Sold................. 4,976 4,345 218 189 367 421
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities........................ (5,532) 4,401 (102) (79) (250) 16
Net Increase (Decrease) in Net Assets
Resulting from Operations................ 719 9,899 538 308 560 609
-------- -------- -------- -------- -------- --------
Distributions From:
Net Investment Income........................ (1,203) (1,033) (376) (185) (424) (114)
Net Short-Term Gains......................... (68) -- (108) (67) (411) (135)
Net Long-Term Gains.......................... (4,067) (2,398) (73) (48) -- (180)
-------- -------- -------- -------- -------- --------
Total Distributions....................... (5,338) (3,431) (557) (300) (835) (429)
-------- -------- -------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued................................ 1,865 2,290 6,920 14,953 9,826 19,318
Shares Issued in Lieu of Cash Distributions.. 5,338 3,431 557 300 836 428
Shares Redeemed.............................. (11,277) (11,241) (14,640) (11,026) (21,970) (19,900)
-------- -------- -------- -------- -------- --------
Net Increase (Decrease) from Capital
Share Transactions....................... (4,074) (5,520) (7,163) 4,227 (11,308) (154)
-------- -------- -------- -------- -------- --------
Total Increase (Decrease) in Net
Assets................................... (8,693) 948 (7,182) 4,235 (11,583) 26
Net Assets
Beginning of Year............................ 68,214 67,266 98,961 94,726 145,231 145,205
-------- -------- -------- -------- -------- --------
End of Year.................................. $ 59,521 $ 68,214 $ 91,779 $ 98,961 $133,648 $145,231
======== ======== ======== ======== ======== ========
(1) Shares Issued and Redeemed:
Shares Issued................................ 98 119 691 1,493 992 1,952
Shares Issued in Lieu of Cash Distributions.. 294 186 56 30 85 43
Shares Redeemed.............................. (592) (578) (1,462) (1,101) (2,219) (2,011)
-------- -------- -------- -------- -------- --------
Net Increase (Decrease) from Shares
Issued and Redeemed...................... (200) (273) (715) 422 (1,142) (16)
======== ======== ======== ======== ======== ========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income)....................................... $ 107 $ 103 $ 68 $ 37 $ 55 $ 53
See accompanying Notes to Financial Statements.
17
DIMENSIONAL INVESTMENT GROUP INC.
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
LWAS/DFA U.S. High Book to Market Portfolio
-------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year.............................................. $ 20.16 $ 18.40 $ 13.84 $ 11.96 $ 11.52
------- ------- ------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............................................... 0.38 0.32 0.28 0.25 0.20
Net Gains (Losses) on Securities (Realized and Unrealized)..................... (0.23) 2.41 4.57 1.87 0.44
------- ------- ------- ------- -------
Total from Investment Operations............................................. 0.15 2.73 4.85 2.12 0.64
-----------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.......................................................... (0.36) (0.29) (0.29) (0.24) (0.20)
Net Realized Gains............................................................. (1.25) (0.68) -- -- --
------- ------- ------- ------- -------
Total Distributions.......................................................... (1.61) (0.97) (0.29) (0.24) (0.20)
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year.................................................... $ 18.70 $ 20.16 $ 18.40 $ 13.84 $ 11.96
=============================================================================== ======== ======== ======== ======== ========
Total Return.................................................................... 1.12% 15.38% 35.41% 18.01% 5.48%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)............................................. $59,521 $68,214 $67,266 $60,916 $62,759
Ratio of Expenses to Average Net Assets (B)..................................... 0.32% 0.34% 0.34% 0.34% 0.34%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B)........... 0.35% 0.34% 0.34% 0.34% 0.34%
Ratio of Net Investment Income to Average Net Assets............................ 1.99% 1.67% 1.77% 1.93% 1.56%
-----------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
18
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
LWAS/DFA Two-Year Fixed Income Portfolio
-------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011
-----------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year........................... $ 10.02 $ 10.02 $ 10.07 $ 10.10 $ 10.13
------- ------- ------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.04 0.02 0.03 0.04 0.05
Net Gains (Losses) on Securities (Realized and Unrealized). 0.02 0.01 -- 0.03 0.03
------- ------- ------- ------- -------
Total from Investment Operations.......................... 0.06 0.03 0.03 0.07 0.08
-----------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.04) (0.02) (0.03) (0.04) (0.06)
Net Realized Gains......................................... (0.02) (0.01) (0.05) (0.06) (0.05)
------- ------- ------- ------- -------
Total Distributions....................................... (0.06) (0.03) (0.08) (0.10) (0.11)
-----------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................. $ 10.02 $ 10.02 $ 10.02 $ 10.07 $ 10.10
============================================================= ======== ======== ======== ======== ========
Total Return................................................. 0.57% 0.31% 0.26% 0.75% 0.73%
-----------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $91,779 $98,961 $94,726 $89,326 $92,897
Ratio of Expenses to Average Net Assets...................... 0.29% 0.28% 0.29% 0.30% 0.30%
Ratio of Net Investment Income to Average Net Assets......... 0.43% 0.20% 0.27% 0.40% 0.54%
Portfolio Turnover Rate...................................... 238% 122% 57% 102% 98%
-----------------------------------------------------------------------------------------------------------
LWAS/DFA Two-Year Government Portfolio
------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011
---------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year........................... $ 9.92 $ 9.91 $ 9.96 $ 9.98 $ 10.07
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.03 0.01 0.01 0.02 0.04
Net Gains (Losses) on Securities (Realized and Unrealized). 0.01 0.03 0.02 0.04 0.02
-------- -------- -------- -------- --------
Total from Investment Operations.......................... 0.04 0.04 0.03 0.06 0.06
---------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.03) (0.01) (0.01) (0.03) (0.04)
Net Realized Gains......................................... (0.03) (0.02) (0.07) (0.05) (0.11)
-------- -------- -------- -------- --------
Total Distributions....................................... (0.06) (0.03) (0.08) (0.08) (0.15)
---------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................. $ 9.90 $ 9.92 $ 9.91 $ 9.96 $ 9.98
============================================================= ======== ======== ======== ======== ========
Total Return................................................. 0.38% 0.39% 0.26% 0.50% 0.66%
---------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $133,648 $145,231 $145,205 $145,273 $178,442
Ratio of Expenses to Average Net Assets...................... 0.28% 0.27% 0.28% 0.28% 0.29%
Ratio of Net Investment Income to Average Net Assets......... 0.31% 0.12% 0.05% 0.19% 0.41%
Portfolio Turnover Rate...................................... 262% 225% 160% 111% 127%
---------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
19
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. Organization:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of fifteen
portfolios, three of which, LWAS/DFA U.S. High Book to Market Portfolio,
LWAS/DFA Two-Year Fixed Income Portfolio and LWAS/DFA Two-Year Government
Portfolio (the "Portfolios"), are presented in this report. The remaining
operational portfolios are presented in separate reports.
LWAS/DFA U.S. High Book to Market Portfolio ("Feeder Fund") primarily
invests its assets in The U.S. Large Cap Value Series (the "Series"), a
corresponding series of The DFA Investment Trust Company. At October 31, 2015,
the Feeder Fund owned less than 1% 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)
Debt securities held by LWAS/DFA Two-Year Fixed Income Portfolio and
LWAS/DFA Two-Year Government Portfolio are valued on the basis of evaluated
prices provided by one or more pricing services or other reasonably reliable
sources including broker/dealers that typically handle the purchase and sale of
such securities. Securities which are traded over-the-counter and on a stock
exchange generally will be valued according to the broadest and most
representative market, and it is expected that for bonds and other fixed income
securities, this ordinarily will be the over-the-counter market. Securities for
which quotations are not readily available (including restricted securities),
or for which market quotations have become unreliable, are valued in good faith
at fair value in accordance with procedures adopted by the Board of
Directors/Trustees. These valuations are generally categorized as Level 2 in
the hierarchy. Fair value pricing may also be used if events that have a
significant effect on the value of an investment (as determined in the
discretion of Dimensional Fund Advisors LP) occur before the net asset value is
calculated. When fair value pricing is used, the prices of securities used by
the Portfolios may differ from the quoted or published prices for the same
securities on their primary markets or exchanges. These securities are
generally categorized as Level 2 in the hierarchy.
The Feeder Fund's investment reflects its proportionate interest in the net
assets of the Series. These valuations are classified as Level 1 in the
hierarchy.
20
A summary of the inputs used to value the Portfolios' investments by each
major security type, industry and/or country is disclosed previously in this
note. Valuation hierarchy tables have been included at the end of the Schedules
of Investments. The inputs or methodology used for valuing securities are not
necessarily an indication of the risk associated with investing in those
securities.
For the year ended October 31, 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 of net investment
income and realized and unrealized gains/losses of investment securities, on a
daily basis, from its Series, which is treated as a partnership for federal
income tax purposes. Security transactions are accounted for as of the trade
date. Costs used in determining realized gains and losses on the sale of
investment securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on an accrual basis. Discount and premium on securities
purchased are amortized over the lives of the respective securities, utilizing
the effective interest method. Expenses directly attributable to a Portfolio
are directly charged. Common expenses of the Fund or Portfolios are allocated
using methods approved by the Board, generally based on average net assets.
C. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides 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 the Portfolio's previous
investment advisory 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
Series in which the Feeder Fund invests. In order to prevent the Feeder Fund
21
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 below. For the year ended October 31, 2015, the
non-Feeder 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
-------------
LWAS/DFA Two-Year Fixed Income Portfolio. 0.15%
LWAS/DFA Two-Year Government Portfolio... 0.15%
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 0.01% 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 0.11% of the Feeder Fund's average daily net assets.
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 0.11% of the average net assets of a class of the Feeder Fund on an
annualized basis. The Fee Waiver Agreement for the Feeder Fund will remain in
effect permanently, unless terminated by the Fund.
In addition, pursuant to a Client Service Agreement with LWI Financial Inc.
("LWIF"), the Portfolios pay monthly Shareholder Servicing Fees to LWIF at the
following effective annual rates of their average daily net assets:
Shareholder
Servicing Fees
--------------
LWAS/DFA U.S. High Book to Market Portfolio. 0.15%
LWAS/DFA Two-Year Fixed Income Portfolio.... 0.08%
LWAS/DFA Two-Year Government Portfolio...... 0.08%
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the year ended October 31, 2015, the total
related amounts paid by the Fund to the CCO were $30 (in thousands). The total
related amounts paid by each of the Portfolios are included in Other Expenses
on the Statement of Operations.
D. Deferred Compensation:
At October 31, 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):
LWAS/DFA U.S. High Book to Market Portfolio. $3
LWAS/DFA Two-Year Fixed Income Portfolio.... 4
LWAS/DFA Two-Year Government Portfolio...... 7
22
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 Securities Other Investment Securities
-------------------------- ---------------------------
Purchases Sales Purchases Sales
--------- -------- --------- -------
LWAS/DFA Two-Year Fixed Income Portfolio. $128,910 $140,070 $96,406 $91,588
LWAS/DFA Two-Year Government Portfolio... 370,728 381,479 -- --
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 tax equalization,
were reclassified to the following accounts. These reclassifications had no
effect on net assets or net asset value per share (amounts in thousands):
Increase Increase
(Decrease) (Decrease)
Increase Undistributed Accumulated
(Decrease) Net Investment Net Realized
Paid-In Capital Income Gains (Losses)
--------------- -------------- --------------
LWAS/DFA U.S. High Book to Market Portfolio. $334 $(68) $(266)
LWAS/DFA Two-Year Fixed Income Portfolio.... 22 (15) (7)
LWAS/DFA Two-Year Government Portfolio...... 32 (17) (15)
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
-------------- ------------- ---------- ------
LWAS/DFA U.S. High Book to Market Portfolio
2014........................................ $1,033 $2,398 -- $3,431
2015........................................ 1,271 4,067 -- 5,338
LWAS/DFA Two-Year Fixed Income Portfolio
2014........................................ 252 48 -- 300
2015........................................ 484 73 -- 557
LWAS/DFA Two-Year Government Portfolio
2014........................................ 249 180 -- 429
2015........................................ 836 -- -- 836
23
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
-------------- ------------- -----
LWAS/DFA U.S. High Book to Market Portfolio. $68 $266 $334
LWAS/DFA Two-Year Fixed Income Portfolio.... 22 -- 22
LWAS/DFA Two-Year Government Portfolio...... 32 -- 32
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)
-------------- ------------- ------------- -------------- -------------
LWAS/DFA U.S. High Book to Market
Portfolio....................... $111 $4,712 -- $31,330 $36,153
LWAS/DFA Two-Year Fixed Income
Portfolio....................... 277 5 -- (58) 224
LWAS/DFA Two-Year Government
Portfolio....................... 413 -- -- (70) 343
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 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 no capital loss carryforwards available to offset future
realized capital gains.
During the year ended October 31, 2015, the Portfolios did not use 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)
----------- ------------ ------------ --------------
LWAS/DFA U.S. High Book to Market Portfolio. $ 28,211 $31,330 -- $31,330
LWAS/DFA Two-Year Fixed Income Portfolio.... 95,521 29 $ (87) (58)
LWAS/DFA Two-Year Government Portfolio...... 133,849 30 (100) (70)
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.
24
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.
There were no borrowings by the Portfolios under the lines of credit during
the year ended 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.
H. Indemnitees; Contractual Obligations:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
I. Other:
At 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
- ------------ --------------
LWAS/DFA U.S. High Book to Market Portfolio. 2 93%
LWAS/DFA Two-Year Fixed Income Portfolio.... 3 97%
LWAS/DFA Two-Year Government Portfolio...... 2 97%
25
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 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.
J. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the
Portfolios and has determined that there are no subsequent events requiring
recognition or disclosure in the financial statements.
26
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 schedules of investments, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of LWAS/DFA U.S. High
Book to Market Portfolio, LWAS/DFA Two-Year Fixed Income Portfolio and LWAS/DFA
Two-Year Government Portfolio (constituting portfolios within Dimensional
Investment Group Inc., hereafter referred to as the "Portfolios") at
October 31, 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 transfer agents of the investee funds, provide a
reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 18, 2015
27
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
LWAS/DFA Two-Year Fixed Income 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........... 5,267,311 96.86% 53.77% 170,562 3.14% 1.74%
(b) George M. Constantinides. 5,267,311 96.86% 53.77% 170,562 3.14% 1.74%
(c) John P. Gould............ 5,267,311 96.86% 53.77% 170,562 3.14% 1.74%
(d) Roger G. Ibbotson........ 5,267,311 96.86% 53.77% 170,562 3.14% 1.74%
(e) Edward P. Lazear......... 5,267,311 96.86% 53.77% 170,562 3.14% 1.74%
(f) Eduardo A. Repetto....... 5,267,311 96.86% 53.77% 170,562 3.14% 1.74%
(g) Myron S. Scholes......... 5,267,311 96.86% 53.77% 170,562 3.14% 1.74%
(h) Abbie J. Smith........... 5,273,241 96.97% 53.83% 164,632 3.03% 1.68%
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
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
3,781,197 69.53% 38.60% 56,053 1.03% 0.57% 231,550 4.26% 2.36% 1,369,073 25.18%
Proposal 3a: Approval of New Sub-Advisory Agreement with DFA Australia Limited
% 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
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
3,851,867 70.83% 39.32% 34,370 0.63% 0.35% 182,564 3.36% 1.86% 1,369,073 25.18%
28
Proposal 3b: Approval of New Sub-Advisory Agreement with Dimensional Fund
Advisors Ltd.
% 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
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
3,851,867 70.83% 39.32% 34,370 0.63% 0.35% 182,564 3.36% 1.86% 1,369,073 25.18%
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
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
3,846,560 70.74% 39.27% 39,676 0.73% 0.41% 182,564 3.36% 1.86% 1,369,073 25.18%
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
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
3,835,211 70.53% 39.15% 35,517 0.65% 0.36% 198,072 3.64% 2.02% 1,369,073 25.18%
Proposal 6: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Industry Concentration
% 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
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
3,835,740 70.54% 39.16% 34,988 0.64% 0.36% 198,072 3.64% 2.02% 1,369,073 25.18%
LWAS/DFA Two-Year Government 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........... 7,624,881 97.69% 51.75% 180,685 2.31% 1.23%
(b) George M. Constantinides. 7,627,466 97.72% 51.77% 178,100 2.28% 1.21%
(c) John P. Gould............ 7,627,466 97.72% 51.77% 178,100 2.28% 1.21%
(d) Roger G. Ibbotson........ 7,627,466 97.72% 51.77% 178,100 2.28% 1.21%
(e) Edward P. Lazear......... 7,627,466 97.72% 51.77% 178,100 2.28% 1.21%
(f) Eduardo A. Repetto....... 7,627,466 97.72% 51.77% 178,100 2.28% 1.21%
(g) Myron S. Scholes......... 7,624,881 97.69% 51.75% 180,685 2.31% 1.23%
(h) Abbie J. Smith........... 7,630,049 97.75% 51.79% 175,517 2.25% 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
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
5,486,446 70.29% 37.24% 110,181 1.41% 0.75% 98,023 1.26% 0.67% 2,110,916 27.04%
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
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
5,479,200 70.20% 37.19% 114,928 1.47% 0.78% 100,522 1.29% 0.68% 2,110,916 27.04%
29
LWAS/DFA U.S. High Book to Market 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........... 1,785,126 96.24% 51.79% 69,665 3.76% 2.02%
(b) George M. Constantinides. 1,785,832 96.28% 51.81% 68,960 3.72% 2.00%
(c) John P. Gould............ 1,785,832 96.28% 51.81% 68,960 3.72% 2.00%
(d) Roger G. Ibbotson........ 1,785,832 96.28% 51.81% 68,960 3.72% 2.00%
(e) Edward P. Lazear......... 1,787,751 96.39% 51.87% 67,040 3.61% 1.95%
(f) Eduardo A. Repetto....... 1,787,751 96.39% 51.87% 67,040 3.61% 1.95%
(g) Myron S. Scholes......... 1,775,926 95.75% 51.52% 78,866 4.25% 2.29%
(h) Abbie J. Smith........... 1,786,756 96.33% 51.84% 68,035 3.67% 1.97%
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
--- ------- ------ ------- ------- --------- ------- ------- --------- -------- --------
1,506,915 81.24% 43.72% 42,104 2.27% 1.22% 52,927 2.85% 1.54% 252,845 13.63%
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
--- ------- ------ ------- ------- --------- ------- ------- --------- -------- --------
1,507,855 81.30% 43.75% 42,851 2.31% 1.24% 51,239 2.76% 1.49% 252,845 13.63%
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........... 1,771,691 95.52% 51.40% 83,101 4.48% 2.41%
(b) George M. Constantinides. 1,772,396 95.56% 51.42% 82,395 4.44% 2.39%
(c) John P. Gould............ 1,773,176 95.60% 51.44% 81,615 4.40% 2.37%
(d) Roger G. Ibbotson........ 1,772,470 95.56% 51.42% 82,321 4.44% 2.39%
(e) Edward P. Lazear......... 1,773,176 95.60% 51.44% 81,615 4.40% 2.37%
(f) Eduardo A. Repetto....... 1,773,176 95.60% 51.44% 81,615 4.40% 2.37%
(g) Myron S. Scholes......... 1,763,630 95.09% 51.17% 91,161 4.91% 2.64%
(h) Abbie J. Smith........... 1,773,681 95.63% 51.46% 81,110 4.37% 2.35%
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
--- ------- ------ ------- ------- --------- ------- ------- --------- -------- --------
1,508,354 81.32% 43.76% 53,144 2.87% 1.54% 40,449 2.18% 1.17% 252,845 13.63%
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
--- ------- ------ ------- ------- --------- ------- ------- --------- -------- --------
1,508,988 81.36% 43.78% 53,144 2.87% 1.54% 39,814 2.15% 1.16% 252,845 13.63%
30
DFA INVESTMENT DIMENSIONS GROUP
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO VS.
MSCI WORLD EX USA INDEX (NET DIV.)
October 31, 2005-October 31, 2015
[CHART]
LWAS/DFA International MSCI World
High Book to ex USA Index
Market Portfolio (net dividends)
------------------------- ---------------
10/31/2005 $10,000 $10,000
11/30/2005 10,180 10,265
12/31/2005 10,677 10,741
1/31/2006 11,401 11,420
2/28/2006 11,512 11,382
3/31/2006 11,997 11,743
4/30/2006 12,598 12,304
5/31/2006 12,089 11,837
6/30/2006 12,008 11,822
7/31/2006 12,189 11,932
8/31/2006 12,606 12,271
9/30/2006 12,777 12,262
10/31/2006 13,344 12,746
11/30/2006 13,785 13,126
12/31/2006 14,319 13,502
1/31/2007 14,585 13,584
2/28/2007 14,572 13,693
3/31/2007 15,042 14,044
4/30/2007 15,795 14,683
5/31/2007 16,335 15,009
6/30/2007 16,209 15,024
7/31/2007 15,753 14,816
8/31/2007 15,575 14,602
9/30/2007 16,386 15,432
10/31/2007 17,176 16,102
11/30/2007 16,134 15,473
12/31/2007 15,786 15,182
1/31/2008 14,502 13,813
2/29/2008 14,316 14,063
3/31/2008 14,482 13,863
4/30/2008 15,125 14,633
5/31/2008 15,132 14,855
6/30/2008 13,632 13,700
7/31/2008 13,244 13,212
8/31/2008 12,688 12,702
9/30/2008 11,205 10,868
10/31/2008 8,392 8,607
11/30/2008 7,877 8,140
12/31/2008 8,455 8,569
1/31/2009 7,285 7,770
2/28/2009 6,390 6,983
3/31/2009 7,086 7,443
4/30/2009 8,396 8,403
5/31/2009 9,636 9,466
6/30/2009 9,489 9,368
7/31/2009 10,610 10,248
8/31/2009 11,217 10,739
9/30/2009 11,792 11,182
10/31/2009 11,323 11,002
11/30/2009 11,652 11,275
12/31/2009 11,784 11,454
1/31/2010 11,108 10,917
2/28/2010 11,144 10,906
3/31/2010 12,018 11,608
4/30/2010 11,816 11,435
5/31/2010 10,428 10,173
6/30/2010 10,235 10,026
7/31/2010 11,524 10,953
8/31/2010 10,958 10,626
9/30/2010 12,129 11,645
10/31/2010 12,552 12,060
11/30/2010 11,911 11,549
12/31/2010 13,022 12,479
1/31/2011 13,578 12,748
2/28/2011 14,030 13,220
3/31/2011 13,642 12,956
4/30/2011 14,368 13,661
5/31/2011 13,836 13,256
6/30/2011 13,646 13,067
7/31/2011 13,211 12,852
8/31/2011 11,789 11,765
9/30/2011 10,502 10,584
10/31/2011 11,510 11,613
11/30/2011 11,125 11,076
12/31/2011 10,821 10,956
1/31/2012 11,551 11,547
2/29/2012 12,154 12,182
3/31/2012 12,049 12,092
4/30/2012 11,613 11,887
5/31/2012 10,179 10,531
6/30/2012 10,898 11,221
7/31/2012 10,855 11,361
8/31/2012 11,299 11,685
9/30/2012 11,698 12,040
10/31/2012 11,842 12,125
11/30/2012 12,030 12,380
12/31/2012 12,623 12,754
1/31/2013 13,215 13,381
2/28/2013 12,810 13,248
3/31/2013 12,845 13,353
4/30/2013 13,485 13,961
5/31/2013 13,313 13,648
6/30/2013 12,848 13,137
7/31/2013 13,722 13,836
8/31/2013 13,626 13,658
9/30/2013 14,637 14,623
10/31/2013 15,147 15,113
11/30/2013 15,195 15,206
12/31/2013 15,535 15,435
1/31/2014 14,964 14,812
2/28/2014 15,804 15,620
3/31/2014 15,698 15,550
4/30/2014 15,954 15,796
5/31/2014 16,124 16,040
6/30/2014 16,335 16,268
7/31/2014 15,953 15,978
8/31/2014 15,953 15,991
9/30/2014 15,259 15,334
10/31/2014 14,998 15,090
11/30/2014 14,998 15,276
12/31/2014 14,441 14,768
1/31/2015 14,333 14,715
2/28/2015 15,357 15,595
3/31/2015 15,043 15,334
4/30/2015 15,852 15,998
5/31/2015 15,852 15,859
6/30/2015 15,391 15,408
7/31/2015 15,245 15,652
8/31/2015 14,112 14,512 Past performance is not predictive of
9/30/2015 13,149 13,780 future performance.
10/31/2015 14,159 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
-5.59% 2.44% 3.54% rights reserved.
--------------------------------------------------------------------------------
31
DFA INVESTMENT DIMENSIONS 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.
Master-Feeder Structure
Certain portfolios described below, called "Feeder Funds," do not buy
individual securities directly; instead, these portfolios invest in
corresponding funds called "Master Funds." Master Funds, in turn, purchase
stocks and/or other securities.
International Equity Portfolio's Performance Overview
LWAS/DFA International High Book to Market Portfolio
The LWAS/DFA International High Book to Market Portfolio seeks to capture
the returns of international large-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 -5.59% for the
Portfolio and -1.81% for the MSCI World ex USA Index (net dividends). As a
result of the Master Fund's diversified investment approach,
32
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 performance relative to the Index. 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.
33
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Table below illustrates your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended October 31, 2015
EXPENSE TABLE
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/15 10/31/15 Ratio* Period*
--------- --------- ---------- --------
LWAS/DFA International High Book to Market Portfolio**
------------------------------------------------------
Actual Fund Return..................................... $1,000.00 $ 893.20 0.47% $2.24
Hypothetical 5% Annual Return.......................... $1,000.00 $1,022.84 0.47% $2.40
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (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).
34
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on September 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 of industry classification for the Affiliated Investment
Company are represented in the Disclosure of Portfolio Holdings, which are
included elsewhere within the report. Refer to the Summary Schedule of
Portfolio Holdings for the underlying Affiliated Investment Company's holdings
which reflect the investments by country.
FEEDER FUND
Affiliated Investment Company
-----------------------------
LWAS/DFA International High Book to Market Portfolio. 100.0%
35
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET 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.................................. $60,091,980
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$57,896,979)........................................... $60,091,980
===========
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.
36
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2015
(Amounts in thousands, except share and per share amounts)
ASSETS:
Investment in The DFA International Value Series of The DFA Investment Trust Company (Affiliated
Investment Company) at Value.................................................................... $ 60,092
Prepaid Expenses and Other Assets................................................................ 5
------------
Total Assets................................................................................ 60,097
------------
LIABILITIES:
Payables:
Fund Shares Redeemed........................................................................... 7
Due to Advisor................................................................................. 1
Accrued Expenses and Other Liabilities........................................................... 17
------------
Total Liabilities........................................................................... 25
------------
NET ASSETS....................................................................................... $ 60,072
============
SHARES OUTSTANDING, $0.01 PAR VALUE (1).......................................................... 7,795,273
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE......................................... $ 7.71
============
Investment in Affiliated Investment Company at Cost.............................................. $ 57,897
============
NET ASSETS CONSIST OF:
Paid-In Capital.................................................................................. $ 55,466
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........... 191
Accumulated Net Realized Gain (Loss)............................................................. 2,216
Net Unrealized Foreign Exchange Gain (Loss)...................................................... 4
Net Unrealized Appreciation (Depreciation)....................................................... 2,195
============
NET ASSETS....................................................................................... $ 60,072
============
(1) NUMBER OF SHARES AUTHORIZED.................................................................. 200,000,000
============
See accompanying Notes to Financial Statements.
37
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO*
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2015
(Amounts in thousands)
Investment Income
Dividends (Net of Foreign Taxes Withheld of $181)................................................. $ 2,252
Income from Securities Lending.................................................................... 64
Expenses Allocated from Affiliated Investment Company............................................. (144)
-------
Total Investment Income........................................................................ 2,172
-------
Expenses
Investment Advisory Services Fees................................................................. 36
Administrative Services Fees...................................................................... 6
Accounting & Transfer Agent Fees.................................................................. 3
Shareholder Servicing Fees........................................................................ 125
Filing Fees....................................................................................... 16
Shareholders' Reports............................................................................. 10
Professional Fees................................................................................. 1
Other............................................................................................. 5
-------
Total Expenses................................................................................. 202
-------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C). (35)
-------
Net Expenses...................................................................................... 167
-------
Net Investment Income (Loss)...................................................................... 2,005
-------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold...................................................................... 2,348
Foreign Currency Transactions................................................................... (42)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency...................................................... (7,888)
Translation of Foreign Currency Denominated Amounts............................................. 5
-------
Net Realized and Unrealized Gain (Loss)........................................................... (5,577)
-------
Net Increase (Decrease) in Net Assets Resulting from Operations..................................... $(3,572)
=======
----------
* 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.
38
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
LWAS/DFA International
High Book to Market
Portfolio
---------------------
Year Year
Ended Ended
Oct. 31, Oct. 31,
2015 2014
-------- --------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)......................................................... $ 2,005 $ 3,287
Net Realized Gain (Loss) on:
Investment Securities Sold......................................................... 2,348 1,618
Foreign Currency Transactions...................................................... (42) (12)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency......................................... (7,888) (5,439)
Translation of Foreign Currency Denominated Amounts................................ 5 (11)
------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations................... (3,572) (557)
------- --------
Distributions From:
Net Investment Income................................................................ (1,879) (3,174)
Net Short-Term Gains................................................................. (40) (145)
Net Long-Term Gains.................................................................. (1,481) (3,304)
------- --------
Total Distributions............................................................... (3,400) (6,623)
------- --------
Capital Share Transactions (1):
Shares Issued........................................................................ 3,105 3,618
Shares Issued in Lieu of Cash Distributions.......................................... 3,399 6,622
Shares Redeemed...................................................................... (8,126) (12,295)
------- --------
Net Increase (Decrease) from Capital Share Transactions........................... (1,622) (2,055)
------- --------
Total Increase (Decrease) in Net Assets........................................... (8,594) (9,235)
Net Assets
Beginning of Year.................................................................... 68,666 77,901
------- --------
End of Year.......................................................................... $60,072 $ 68,666
======= ========
(1) Shares Issued and Redeemed:
Shares Issued........................................................................ 377 396
Shares Issued in Lieu of Cash Distributions.......................................... 421 736
Shares Redeemed...................................................................... (980) (1,356)
------- --------
Net Increase (Decrease) from Shares Issued and Redeemed........................... (182) (224)
======= ========
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). $ 191 $ 132
See accompanying Notes to Financial Statements.
39
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
LWAS/DFA International High Book to Market Portfolio
--------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year.......................................... $ 8.61 $ 9.50 $ 8.22 $ 8.68 $ 10.38
------- ------- ------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).......................................... 0.25 0.39 0.25 0.28 0.32
Net Gains (Losses) on Securities (Realized and Unrealized)................ (0.72) (0.47) 1.87 (0.10) (1.09)
------- ------- ------- ------- -------
Total from Investment Operations......................................... (0.47) (0.08) 2.12 0.18 (0.77)
---------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income..................................................... (0.24) (0.38) (0.27) (0.28) (0.31)
Net Realized Gains........................................................ (0.19) (0.43) (0.57) (0.36) (0.62)
------- ------- ------- ------- -------
Total Distributions...................................................... (0.43) (0.81) (0.84) (0.64) (0.93)
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................................ $ 7.71 $ 8.61 $ 9.50 $ 8.22 $ 8.68
============================================================================ ========= ========= ========= ========= =========
Total Return................................................................ (5.59)% (0.99)% 27.91% 2.89% (8.30)%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)......................................... $60,072 $68,666 $77,901 $66,900 $72,856
Ratio of Expenses to Average Net Assets (B)................................. 0.47% 0.50% 0.49% 0.50% 0.49%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B)....... 0.53% 0.50% 0.49% 0.50% 0.49%
Ratio of Net Investment Income to Average Net Assets........................ 3.05% 4.28% 2.91% 3.49% 3.24%
---------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
40
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
A. Organization:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of eighty-one operational
portfolios, one of which, LWAS/DFA International High Book to Market Portfolio
(the "Portfolio"), is presented in this report. The remaining operational
portfolios are presented in separate reports.
The Portfolio primarily invests its assets in The DFA International Value
Series (the "Series"), a corresponding series of The DFA Investment Trust
Company. At October 31, 2015, the Portfolio owned less than 1% of the Series.
The financial statements of the Series are included elsewhere in this report
and should be read in conjunction with the financial statements of the
Portfolio.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. Security Valuation: The Portfolio utilizes a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolio's own
assumptions in determining the fair value of investments)
The Portfolio's investments reflect its proportionate interest in the net
assets of the Series. These valuations are classified as Level 1 in the
hierarchy.
A summary of the inputs used to value the Portfolio's investments is
disclosed previously in this note. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the 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.
41
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 $4 (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: The Portfolio recognizes its pro-rata share, on a daily basis,
of net investment income and realized and unrealized gains and losses of
investment securities and foreign currency from the Series, which is treated as
a partnership for federal income tax purposes. Distributions received on
securities that represent a return of capital or capital gains are recorded as
a reduction of cost of investments or as a realized gain, respectively.
Expenses directly attributable to the Portfolio are directly charged. Common
expenses of the Fund or its Portfolios are allocated using methods approved by
the Board, generally based on average net assets.
C. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides 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 new
investment management agreement replaced the Portfolio'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 Portfolio's previous administration agreement
with the Advisor and the rate of the advisory fee charged by the Advisor to the
Series in which the Portfolio invests. In order to prevent the Portfolio from
being subject to a higher level of investment management fees, the Advisor will
permanently waive the Portfolio's investment management fee in the
circumstances described below.
Prior to July 21, 2015, the 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 an effective annual rate of 0.01% of the Portfolio's average
daily net assets. Effective July 21, 2015, the Portfolio'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 0.21% of the Portfolio's average daily net assets.
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 0.21% of the average net assets of a class of the Portfolio on an
annualized basis. The Fee Waiver Agreement for the Portfolio will remain in
effect permanently, unless terminated by the Portfolio.
In addition, pursuant to a Client Service Agreement with LWI Financial Inc.
("LWIF"), the Portfolio pays a monthly Shareholder Servicing Fee to LWIF at an
effective annual rate of 0.19% of its average daily net assets.
42
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.
D. Federal Income Taxes:
The Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to its shareholders. Accordingly, no
provision has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gains or losses, as appropriate,
in the period that the differences arise. Accordingly, the following permanent
differences as of October 31, 2015, primarily attributable to net foreign
currency gains (losses) and gains on securities considered to be "passive
foreign investment companies", tax equalization and foreign capital gains tax
were reclassified to the following accounts. These reclassifications had no
effect on net assets or net asset value per share (amounts in thousands):
Increase Increase
(Decrease) (Decrease)
Increase Undistributed Accumulated
(Decrease) Net Investment Net Realized
Paid-In Capital Income Gains (Losses)
- --------------- -------------- --------------
LWAS/DFA International High Book to Market Portfolio. $135 $(67) $(68)
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
-------------- ------------- ---------- ------
LWAS/DFA International High Book to Market Portfolio
2014................................................. $3,319 $3,304 -- $6,623
2015................................................. 1,918 1,481 -- 3,399
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
- -------------- ------------- -----
LWAS/DFA International High Book to Market Portfolio. $61 $72 $133
43
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)
- -------------- ------------- ------------- -------------- -------------
LWAS/DFA International High Book to
Market Portfolio.................. $270 $2,241 -- $2,100 $4,611
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 had no capital loss carryforwards available to offset future realized
capital gains.
During the year ended October 31, 2015, the Portfolio did not utilize
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)
- ----------- ------------ ------------ --------------
LWAS/DFA International High Book to Market Portfolio. $57,995 $2,097 -- $2,097
The difference between book basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales and investments in passive foreign investment companies.
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed the Portfolio's
tax positions and has concluded that no additional provision for income tax is
required in the Portfolio's financial statements. The Portfolio is not aware of
any tax positions for which it is more likely than not that the total amounts
of unrecognized tax benefits will significantly change in the next twelve
months. The Portfolio's federal tax returns for the prior three fiscal years
remain subject to examination by the Internal Revenue Service.
E. Line of Credit 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
44
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 Funds
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.
lnterfund 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.
F. Indemnitees; Contractual Obligations:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
G. Other:
At October 31, 2015, two shareholders held approximately 95% of the
outstanding shares of the Portfolio. One or more of the shareholders may be
omnibus accounts, which typically hold shares for the benefit of several other
underlying investors.
H. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the
Portfolio and has determined that there are no subsequent events requiring
recognition or disclosure in the financial statements.
45
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of DFA Investment Dimensions Group Inc. and
Shareholders of LWAS/DFA International High Book to Market Portfolio:
In our opinion, the accompanying statement of assets and liabilities, including
the schedule of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of LWAS/DFA International High Book
to Market Portfolio (one of the portfolios constituting DFA Investment
Dimensions Group Inc., hereafter referred to as the "Portfolio") at October 31,
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 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 transfer agent of the investee fund, provide a
reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 18, 2015
46
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
LWAS/DFA International High Book to Market 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........... 4,381,945 97.08% 54.38% 131,570 2.92% 1.63%
(b) George M. Constantinides. 4,383,936 97.13% 54.40% 129,579 2.87% 1.61%
(c) John P. Gould............ 4,383,936 97.13% 54.40% 129,579 2.87% 1.61%
(d) Roger G. Ibbotson........ 4,383,936 97.13% 54.40% 129,579 2.87% 1.61%
(e) Edward P. Lazear......... 4,383,936 97.13% 54.40% 129,579 2.87% 1.61%
(f) Eduardo A. Repetto....... 4,383,936 97.13% 54.40% 129,579 2.87% 1.61%
(g) Myron S. Scholes......... 4,366,296 96.74% 54.19% 147,218 3.26% 1.83%
(h) Abbie J. Smith........... 4,385,960 97.17% 54.43% 127,555 2.83% 1.58%
Proposal 2: Approval of a "Manager of Managers" Structure
% Voted % FOR of % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- -------- ------- ------- --------- ------- ------- --------- -------- --------
3,729,210 82.62% 46.28% 70,248 1.56% 0.87% 154,445 3.42% 1.92% 559,612 12.40%
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR of % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- -------- ------- ------- --------- ------- ------- --------- -------- --------
3,756,449 83.23% 46.62% 47,954 1.06% 0.60% 149,498 3.31% 1.86% 559,612 12.40%
47
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR of % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- -------- ------- ------- --------- ------- ------- --------- -------- --------
3,739,154 82.84% 46.40% 63,533 1.41% 0.79% 151,213 3.35% 1.88% 559,612 12.40%
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........... 4,367,395 96.76% 54.20% 146,121 3.24% 1.81%
(b) George M. Constantinides. 4,365,816 96.73% 54.18% 147,700 3.27% 1.83%
(c) John P. Gould............ 4,369,386 96.81% 54.22% 144,130 3.19% 1.79%
(d) Roger G. Ibbotson........ 4,363,825 96.68% 54.15% 149,691 3.32% 1.86%
(e) Edward P. Lazear......... 4,365,816 96.73% 54.18% 147,700 3.27% 1.83%
(f) Eduardo A. Repetto....... 4,369,386 96.81% 54.22% 144,130 3.19% 1.79%
(g) Myron S. Scholes......... 4,358,118 96.56% 54.08% 155,398 3.44% 1.93%
(h) Abbie J. Smith........... 4,371,410 96.85% 54.25% 142,106 3.15% 1.76%
Proposal 8: Approval of a "Manager of Managers" Structure for Master Fund
% Voted % FOR of % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- -------- ------- ------- --------- ------- ------- --------- -------- --------
3,769,848. 83.52% 46.78% 72,892 1.61% 0.90% 111,162 2.46% 1.38% 559,612 12.40%
Proposal 9: Approval of an Updated Investment Management Agreement Between
Dimensional Fund Advisors LP and Master Fund
Broker
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Non- % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- ------- --------
3,815,883. 84.54% 47.36% 54,151 1.20% 0.67% 83,868 1.86% 1.04% 559,612 12.40%
Proposal 10: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities of Master Fund
% Voted % FOR of % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- -------- ------- ------- --------- ------- ------- --------- -------- --------
3,788,682. 83.94% 47.02% 63,478 1.41% 0.79% 101,741 2.25% 1.26% 559,612 12.40%
48
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 Series Value Index
---------------------- ---------------
10/31/2005 $10,000 $10,000
11/30/2005 10,399 10,327
12/31/2005 10,413 10,389
1/31/2006 10,910 10,792
2/28/2006 10,873 10,858
3/31/2006 11,067 11,005
4/30/2006 11,377 11,285
5/31/2006 11,170 11,000
6/30/2006 11,266 11,070
7/31/2006 11,104 11,339
8/31/2006 11,286 11,529
9/30/2006 11,599 11,759
10/31/2006 12,059 12,144
11/30/2006 12,288 12,421
12/31/2006 12,534 12,700
1/31/2007 12,900 12,862
2/28/2007 12,706 12,662
3/31/2007 12,795 12,857
4/30/2007 13,339 13,332
5/31/2007 13,889 13,813
6/30/2007 13,665 13,491
7/31/2007 12,819 12,867
8/31/2007 12,573 13,011
9/30/2007 12,901 13,458
10/31/2007 12,974 13,459
11/30/2007 12,249 12,801
12/31/2007 12,208 12,678
1/31/2008 11,742 12,170
2/29/2008 11,382 11,660
3/31/2008 11,276 11,573
4/30/2008 11,986 12,137
5/31/2008 12,274 12,117
6/30/2008 10,929 10,957
7/31/2008 10,810 10,918
8/31/2008 11,019 11,104
9/30/2008 10,029 10,288
10/31/2008 7,775 8,507
11/30/2008 7,012 7,897
12/31/2008 7,240 8,006
1/31/2009 6,381 7,086
2/28/2009 5,486 6,139
3/31/2009 6,029 6,664
4/30/2009 7,004 7,378
5/31/2009 7,540 7,834
6/30/2009 7,448 7,777
7/31/2009 8,157 8,413
8/31/2009 8,711 8,853
9/30/2009 9,092 9,195
10/31/2009 8,700 8,914
11/30/2009 9,190 9,416
12/31/2009 9,444 9,583
1/31/2010 9,225 9,313
2/28/2010 9,623 9,607
3/31/2010 0,373 10,233
4/30/2010 0,702 10,498
5/31/2010 9,784 9,635
6/30/2010 9,046 9,092
7/31/2010 9,755 9,708
8/31/2010 9,167 9,292
9/30/2010 10,061 10,013
10/31/2010 10,436 10,314
11/30/2010 10,355 10,259
12/31/2010 11,365 11,069
1/31/2011 11,728 11,319
2/28/2011 12,363 11,737
3/31/2011 12,421 11,783
4/30/2011 12,738 12,097
5/31/2011 12,553 11,969
6/30/2011 12,334 11,724
7/31/2011 11,769 11,335
8/31/2011 10,777 10,628
9/30/2011 $9,686 9,824
10/31/2011 11,030 10,949
11/30/2011 10,938 10,893
12/31/2011 11,025 11,112
1/31/2012 11,573 11,532
2/29/2012 12,242 11,992
3/31/2012 12,467 12,348
4/30/2012 12,213 12,222
5/31/2012 11,348 11,505
6/30/2012 11,959 12,076
7/31/2012 12,075 12,201
8/31/2012 12,553 12,466
9/30/2012 13,015 12,862
10/31/2012 13,050 12,799
11/30/2012 13,078 12,793
12/31/2012 13,476 13,058
1/31/2013 14,417 13,906
2/28/2013 14,601 14,106
3/31/2013 15,299 14,665
4/30/2013 15,461 14,886
5/31/2013 16,096 15,269
6/30/2013 15,917 15,134
7/31/2013 16,869 15,951
8/31/2013 16,372 15,346
9/30/2013 16,851 15,730
10/31/2013 17,705 16,419
11/30/2013 18,449 16,877
12/31/2013 18,940 17,305
1/31/2014 18,190 16,690
2/28/2014 18,807 17,412
3/31/2014 19,251 17,828
4/30/2014 19,378 17,997
5/31/2014 19,805 18,261
6/30/2014 20,342 18,738
7/31/2014 20,197 18,418
8/31/2014 20,838 19,095
9/30/2014 20,324 18,701
10/31/2014 20,480 19,122
11/30/2014 20,722 19,513
12/31/2014 20,878 19,633
1/31/2015 19,845 18,848
2/28/2015 21,247 19,760
3/31/2015 20,843 19,491
4/30/2015 21,265 19,673
5/31/2015 21,501 19,910
6/30/2015 21,155 19,512
7/31/2015 21,103 19,598
8/31/2015 19,822 18,430
9/30/2015 19,188 17,874 Past performance is not predictive of
10/31/2015 20,751 19,223 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
1.32% 14.74% 7.57% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THE DFA INTERNATIONAL VALUE SERIES VS.
MSCI WORLD EX USA INDEX (NET DIV.)
October 31, 2005-October 31, 2015
[CHART]
The DFA International MSCI World ex
Value Series USA Index (net dividends)
----------------- ------------------------
10/31/2005 $10,000 $10,000
11/30/2005 10,178 10,265
12/31/2005 10,677 10,741
1/31/2006 11,406 11,420
2/28/2006 11,515 11,382
3/31/2006 12,001 11,743
4/30/2006 12,609 12,304
5/31/2006 12,098 11,837
6/30/2006 12,022 11,822
7/31/2006 12,207 11,932
8/31/2006 12,627 12,271
9/30/2006 12,802 12,262
10/31/2006 13,370 12,746
11/30/2006 13,815 13,126
12/31/2006 14,354 13,502
1/31/2007 14,624 13,584
2/28/2007 14,611 13,693
3/31/2007 15,084 14,044
4/30/2007 15,845 14,683
5/31/2007 16,387 15,009
6/30/2007 16,267 15,024
7/31/2007 15,815 14,816
8/31/2007 15,638 14,602
9/30/2007 16,454 15,432
10/31/2007 17,252 16,102
11/30/2007 16,207 15,473
12/31/2007 15,858 15,182
1/31/2008 14,573 13,813
2/29/2008 14,388 14,063
3/31/2008 14,560 13,863
4/30/2008 15,211 14,633
5/31/2008 15,218 14,855
6/30/2008 13,713 13,700
7/31/2008 13,325 13,212
8/31/2008 12,768 12,702
9/30/2008 11,277 10,868
10/31/2008 8,449 8,607
11/30/2008 7,931 8,140
12/31/2008 8,530 8,569
1/31/2009 7,353 7,770
2/28/2009 6,450 6,983
3/31/2009 7,153 7,443
4/30/2009 8,471 8,403
5/31/2009 9,730 9,466
6/30/2009 9,582 9,368
7/31/2009 10,722 10,248
8/31/2009 11,337 10,739
9/30/2009 11,914 11,182
10/31/2009 11,440 11,002
11/30/2009 11,781 11,275
12/31/2009 11,914 11,454
1/31/2010 11,226 10,917
2/28/2010 11,270 10,906
3/31/2010 12,159 11,608
4/30/2010 11,951 11,435
5/31/2010 10,552 10,173
6/30/2010 10,367 10,026
7/31/2010 11,663 10,953
8/31/2010 11,092 10,626
9/30/2010 12,285 11,645
10/31/2010 12,714 12,060
11/30/2010 12,077 11,549
12/31/2010 13,203 12,479
1/31/2011 13,765 12,748
2/28/2011 14,225 13,220
3/31/2011 13,832 12,956
4/30/2011 14,573 13,661
5/31/2011 14,047 13,256
6/30/2011 13,854 13,067
7/31/2011 13,410 12,852
8/31/2011 11,974 11,765
9/30/2011 10,663 10,584
10/31/2011 11,692 11,613
11/30/2011 11,307 11,076
12/31/2011 11,004 10,956
1/31/2012 11,744 11,547
2/29/2012 12,359 12,182
3/31/2012 12,255 12,092
4/30/2012 11,818 11,887
5/31/2012 10,359 10,531
6/30/2012 11,092 11,221
7/31/2012 11,048 11,361
8/31/2012 11,507 11,685
9/30/2012 11,914 12,040
10/31/2012 12,062 12,125
11/30/2012 12,255 12,380
12/31/2012 12,855 12,754
1/31/2013 13,462 13,381
2/28/2013 13,055 13,248
3/31/2013 13,099 13,353
4/30/2013 13,743 13,961
5/31/2013 13,580 13,648
6/30/2013 13,099 13,137
7/31/2013 13,995 13,836
8/31/2013 13,899 13,658
9/30/2013 14,943 14,623
10/31/2013 15,461 15,113
11/30/2013 15,520 15,206
12/31/2013 15,861 15,435
1/31/2014 15,283 14,812
2/28/2014 16,157 15,620
3/31/2014 16,039 15,550
4/30/2014 16,313 15,796
5/31/2014 16,498 16,040
6/30/2014 16,698 16,268
7/31/2014 16,328 15,978
8/31/2014 16,335 15,991
9/30/2014 15,617 15,334
10/31/2014 15,350 15,090
11/30/2014 15,358 15,276
12/31/2014 14,787 14,768
1/31/2015 14,691 14,715
2/28/2015 15,743 15,595
3/31/2015 15,409 15,334
4/30/2015 16,253 15,998
5/31/2015 16,261 15,859
6/30/2015 15,794 15,408
7/31/2015 15,639 15,652
8/31/2015 14,476 14,512
9/30/2015 13,492 13,780 Past performance is not predictive of
10/31/2015 14,528 14,816 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
-5.35% 2.70% 3.81% rights reserved.
--------------------------------------------------------------------------------
49
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 performance
relative to the Index as the largest-market-cap value stocks underperformed.
50
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.
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 ending 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' performance relative to the
Index. 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.
51
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
----------
* 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.
52
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%
53
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%
54
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%
=============== ======
55
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.
56
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%
------------ ----
57
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
ISRAEL -- (0.4%)
Other Securities........................ $ 35,459,088 0.4%
-------------- -----
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%
58
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
SWITZERLAND -- (Continued)
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%
-------------- ------
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%
============== ======
59
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.
60
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2015
(Amounts in thousands)
The U.S. Large The DFA
Cap Value International
Series* Value Series*
-------------- -------------
ASSETS:
Investments at Value (including $1,499,202 and $418,689 of securities on loan,
respectively)................................................................. $19,083,301 $9,188,447
Temporary Cash Investments at Value & Cost..................................... 9,755 --
Collateral from Securities on Loan Invested in Affiliate at Value & Cost....... 916,343 434,245
Foreign Currencies at Value.................................................... -- 12,800
Cash........................................................................... 157 2,677
Receivables:
Investment Securities Sold................................................... -- 10,770
Dividends, Interest and Tax Reclaims......................................... 27,939 27,006
Securities Lending Income.................................................... 539 392
Unrealized Gain on Foreign Currency Contracts.................................. -- 7
----------- ----------
Total Assets.............................................................. 20,038,034 9,676,344
----------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............................................. 916,343 434,245
Investment Securities Purchased.............................................. 25,249 12,024
Due to Advisor............................................................... 1,585 1,559
Unrealized Loss on Foreign Currency Contracts.................................. -- 1
Accrued Expenses and Other Liabilities......................................... 800 610
----------- ----------
Total Liabilities......................................................... 943,977 448,439
----------- ----------
NET ASSETS..................................................................... $19,094,057 $9,227,905
=========== ==========
Investments at Cost............................................................ $13,435,978 $9,165,820
=========== ==========
Foreign Currencies at Cost..................................................... $ -- $ 12,765
=========== ==========
----------
* See Note I in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
61
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2015
(Amounts in thousands)
The U.S. The DFA
Large Cap International
Value Series Value Series
------------ -------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $23 and $26,207, respectively). $ 429,780 $ 325,317
Income from Securities Lending............................................. 4,643 9,274
----------- -----------
Total Investment Income................................................. 434,423 334,591
----------- -----------
Expenses
Investment Advisory Services Fees.......................................... 18,802 18,962
Accounting & Transfer Agent Fees........................................... 947 488
Custodian Fees............................................................. 199 857
Shareholders' Reports...................................................... 47 24
Directors'/Trustees' Fees & Expenses....................................... 92 46
Professional Fees.......................................................... 350 252
Other...................................................................... 262 155
----------- -----------
Total Expenses.......................................................... 20,699 20,784
----------- -----------
Fees Paid Indirectly (Note C).............................................. -- (19)
----------- -----------
Net Expenses............................................................... 20,699 20,765
----------- -----------
Net Investment Income (Loss)............................................... 413,724 313,826
----------- -----------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold............................................... 858,150 244,684
Futures.................................................................. (43) --
Foreign Currency Transactions............................................ -- (5,879)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.............................. (1,018,426) (1,034,230)
Translation of Foreign Currency Denominated Amounts..................... -- 654
----------- -----------
Net Realized and Unrealized Gain (Loss).................................... (160,319) (794,771)
----------- -----------
Net Increase (Decrease) in Net Assets Resulting from Operations.............. $ 253,405 $ (480,945)
=========== ===========
See accompanying Notes to Financial Statements.
62
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The U.S. Large Cap Value The DFA International
Series Value Series
------------------------ -----------------------
Year Year Year Year
Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2015 2014
----------- ----------- ----------- ----------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................................ $ 413,724 $ 318,905 $ 313,826 $ 419,781
Net Realized Gain (Loss) on:
Investment Securities Sold*............................... 858,150 755,725 244,684 173,096
Futures................................................... (43) -- -- --
Foreign Currency Transactions............................. -- -- (5,879) (1,763)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................ (1,018,426) 1,319,300 (1,034,230) (672,491)
Translation of Foreign Currency Denominated Amounts....... -- -- 654 (1,379)
----------- ----------- ----------- ----------
Net Increase (Decrease) in Net Assets Resulting from
Operations.............................................. 253,405 2,393,930 (480,945) (82,756)
----------- ----------- ----------- ----------
Transactions in Interest:
Contributions............................................... 1,769,181 1,721,914 1,070,207 1,022,273
Withdrawals................................................. (1,305,211) (578,150) (705,023) (387,981)
----------- ----------- ----------- ----------
Net Increase (Decrease) from Transactions in Interest.... 463,970 1,143,764 365,184 634,292
----------- ----------- ----------- ----------
Total Increase (Decrease) in Net Assets.................. 717,375 3,537,694 (115,761) 551,536
Net Assets
Beginning of Year........................................... 18,376,682 14,838,988 9,343,666 8,792,130
----------- ----------- ----------- ----------
End of Year................................................. $19,094,057 $18,376,682 $ 9,227,905 $9,343,666
=========== =========== =========== ==========
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
63
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 Expenses to Average Net Assets (Excluding Fees
Paid Indirectly)....................................... 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.
64
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
A. Organization:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven portfolios, two of which, The U.S. Large Cap Value
Series and The DFA International Value Series (the "Series"), are presented in
this section of the report. The remaining operational portfolios are presented
in separate reports.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. Security Valuation: The Series utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series, including over-the-counter securities, are
valued at the last quoted sale price at the close of the exchanges on which
they are principally traded (official closing price). International equity
securities are subject to a fair value factor, as described later in this note.
Securities held by the Series that are listed on Nasdaq are valued at the
Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price
or NOCP for the day, the Series value the securities at the mean of the most
recent quoted bid and asked prices. 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 Series may differ from the quoted or published prices for the same
securities on their primary markets or exchanges. These securities are
generally categorized as Level 2 in the hierarchy.
The DFA International Value Series (the "International Series") will also
apply a fair value price in the circumstances described below. Generally,
trading in foreign securities markets is completed each day at various times
prior to the close of the NYSE. For example, trading in the Japanese securities
markets is completed each day at the close of the Tokyo Stock Exchange
(normally, 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
International Series is computed.
65
Due to the time differences between the closings of the relevant foreign
securities exchanges and the time the International Series prices its shares at
the close of the NYSE, the International Series will fair value its foreign
investments when it is determined that the market quotations for the foreign
investments are either unreliable or not readily available. The fair value
prices will attempt to reflect the impact of the U.S. financial markets'
perceptions and trading activities on the International Series foreign
investments since the last closing prices of the foreign investments were
calculated on their primary foreign securities markets or exchanges. For these
purposes, the Board of Directors/Trustees of the International Series has
determined that movements in relevant indices or other appropriate market
indicators, after the close of the Tokyo Stock Exchange or the London Stock
Exchange, demonstrate that market quotations may be unreliable. Fair valuation
of portfolio securities may occur on a daily basis. The fair value pricing by
the International Series utilizes data furnished by an independent pricing
service (and that data draws upon, among other information, the market values
of foreign investments). The fair value prices of portfolio securities
generally will be used when it is determined that the use of such prices will
have a material impact on the net asset value of the International Series. When
the International Series uses fair value pricing, the values assigned to the
International Series foreign investments may not be the quoted or published
prices of the investments on their primary markets or exchanges. These
securities are generally categorized as Level 2 in the hierarchy.
Listed derivatives, such as futures, that are actively traded are valued
based on quoted prices from the exchange and are categorized as Level 1 in the
hierarchy.
A summary of the inputs used to value the Series' investments by each major
security type, industry and/or country is disclosed previously in this note.
Valuation hierarchy tables have been included at the end of the Summary
Schedules of Portfolio Holdings. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the year ended October 31, 2015, there were no significant transfers
between Level 1 and Level 2 and no significant Level 3 investments held by the
Series.
2. Foreign Currency Translation: Securities and other assets and
liabilities of the International Series whose values are initially expressed in
foreign currencies are translated to U.S. dollars using the mean between the
most recent bid and asked prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and interest income and certain expenses
are translated to U.S. dollars at the rate of exchange on their respective
accrual dates. Receivables and payables denominated in foreign currencies are
marked-to-market daily based on daily exchange rates and exchange gains or
losses are realized upon ultimate receipt or disbursement.
The International Series does not isolate the effect of fluctuations in
foreign exchange rates from the effect of fluctuations in the market prices of
securities whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and any foreign withholding taxes recorded on the books of the
International Series and the U.S. dollar equivalent amounts actually received
or paid.
3. Deferred Compensation Plan: Each eligible Director/Trustee of the Trust
may elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such
Directors/Trustees may defer payment of all or a portion of their total fees
earned as a Director/Trustee. These deferred amounts may be treated as though
such amounts had been invested in shares of the following funds: U.S. Large Cap
Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio;
U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value
Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio;
Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income are included in Directors'/Trustees'
Fees & Expenses.
Each Director/Trustee has the option to receive their distribution of
proceeds in one of the following methods: lump sum; annual installments over a
period of agreed upon years; or quarterly installments over a period of agreed
upon years. Each Director/Trustee shall have the right in a notice of election
(the "Notice") to defer the
66
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 Series may be subject to taxes imposed by countries in
which it invests, with respect to its investments in issuers existing or
operating in such countries. Such taxes are generally based on income earned or
repatriated and capital gains realized on the sale of such investments. The
International Series accrues such taxes when the related income or capital
gains are earned or throughout the holding period. Some countries require
governmental approval for the repatriation of investment income, capital or the
proceeds of sales earned by foreign investors. In addition, if there is a
deterioration in a country's balance of payments or for other reasons, a
country may impose temporary restrictions on foreign capital remittances abroad.
C. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides investment advisory
services to each Series. 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 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
investment advisory services/management fees were accrued daily and paid
monthly to the Advisor based on an effective annual rate of 0.10% and 0.20% of
average daily net assets for The U.S. Large Cap Value Series and The DFA
International Value Series, respectively.
Earned Income Credit:
In addition, the Series entered into arrangements with their custodian
whereby net interest earned on uninvested cash balances was used to reduce a
portion of the Series' custody expenses. Custody expense in the accompanying
financial statements is presented before reduction for credits. 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
----------
The DFA International Value Series. $19
67
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
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
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 Tax Unrealized Unrealized Appreciation
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 difference between book basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales.
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed each Series' tax
positions and has concluded that no additional provision for income tax is
required in any Series' financial statements. No Series is aware of any tax
positions for which it is more likely than not that the total amounts of
unrecognized tax benefits will significantly change in the next twelve months.
Each Series' federal tax returns for the prior three fiscal years remain
subject to examination by the Internal Revenue Service.
68
G. Financial Instruments:
In accordance with the Series' investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. Foreign Market Risks: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States of America, including the possibility of future political and
economic developments and the level of foreign government supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of international
securities held by the Series may be inhibited.
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 deposits cash or pledges U.S. Government
securities to a broker, equal to the minimum "initial margin" requirements of
the exchange on which the contract is traded. Subsequent payments are received
from or paid to the broker each day, based on the daily fluctuation in the
market value of the contract. These receipts or payments are known as
"variation margin" and are recorded daily by the Series as unrealized gains or
losses until the contracts are closed. When the contracts are closed, the
Series record a realized gain or loss, which is presented in the Statements of
Operations as a net realized gain or loss on futures, equal to the difference
between the value of the contract at the time it was opened and the value at
the time it was closed.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities or indices, from the possibility of an illiquid secondary market for
these instruments and from the possibility that the Series could lose more than
the initial margin requirements. The Series entering into stock index futures
are subject to equity price risk from those futures contracts. Counterparty
credit risk related to exchange-traded futures is minimal because the
exchange's clearinghouse, as counterparty to all exchange-traded futures,
guarantees the futures against default.
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
--------------- -----------------------------------------------------------
Equity contracts Net Realized Gain (Loss) on: Futures
Foreign exchange contracts Net Realized Gain (Loss) on: Foreign Currency Transactions
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 --
* 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).
69
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 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 Loan Days Expense Borrowed During
Interest Rate 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
* 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.
At October 31, 2015, The U.S. Large Cap Value Series and The Emerging
Markets Series had loans outstanding in the amount of $1,884 and $26,898 (in
thousands), respectively.
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. Securities Lending:
As of October 31, 2015, each Series had securities on loan to
brokers/dealers, for which each Series received cash collateral. Each Series
invests the cash collateral, as described below, and records a liability for
the return of the collateral, during the period the securities are on loan. In
addition, The U.S. Large Cap Value Series and The DFA International Value
Series received non-cash collateral consisting of short and/or long term U.S.
government securities with a market value of $614,033 and $3,425 (amounts in
thousands), respectively. Loans of securities are expected at all times to be
secured by collateral equal to at least (i) 100% of the current market value of
the loaned securities with respect to securities of the U.S. government or its
agencies, (ii) 102% of the current market value of the loaned securities with
respect to U.S. securities, and (iii) 105% of the current market value of the
70
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.
J. Indemnitees; Contractual Obligations:
Under the Trust's organizational documents, its officers and trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust.
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
K. Other:
The Series are subject to claims and suits that arise from time to time in
the ordinary course of business (for example, in The Tribune Company
Bankruptcy, 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
71
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 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.
L. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the Series
and has determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
72
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 and The DFA International Value 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
73
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 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%
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%
74
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%
75
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.
76
Name, Position Portfolios within the
with the Fund, Address Term of Office/1/ and DFA Fund Complex/2/ Principal Occupation(s) During Past 5 Years and
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 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 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) (1990-2010).
------------------------------------------------------------------------------------------------------------------------------
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 Parker
Trustee of DFAITC and DEM. DFAITC-Since 2010 Professor of Human Resources Management and
Stanford University Graduate DEM-Since 2010 Economics, Graduate School of Business, Stanford
School of Business University (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 Platinum Grove Asset Management, L.P. (hedge
Building 1 fund) (formerly, Oak Hill Platinum Partners)
Austin, TX 78746 (1999-2009). Formerly, Director, American Century
1941 Fund Complex (registered investment companies)
(43 Portfolios) (1980-2014).
------------------------------------------------------------------------------------------------------------------------------
Abbie J. Smith DFAIDG-Since 2000 122 portfolios in 4 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. DFAITC-Since 2000 Booth School of Business (since 1980). Director,
The 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 Ryder System Inc. (transportation, logistics and
Avenue 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).
------------------------------------------------------------------------------------------------------------------------------
77
Name, Position Portfolios within the
with the Fund, Address Term of Office/1/ and DFA Fund Complex/2/ Principal Occupation(s) During Past 5 Years and
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/Trustee, DIG-Since 1992 investment companies Executive Officer and formerly, Chief Executive
President and Co-Chief DFAITC-Since 1992 Officer (until 1/1/2010) of the following
Executive Officer DEM-Since 1993 companies: Dimensional Holdings Inc., Dimensional
6300 Bee Cave Road, Fund Advisors LP, DFA Securities LLC, DEM,
Building One DFAIDG, DIG and DFAITC (collectively, the "DFA
Austin, TX 78746 Entities"). Director of Dimensional Fund Advisors
1946 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 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
Building One Officer and Chief Investment Officer (since 2010)
Austin, TX 78746 of 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.
78
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, Vice
1974 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 and
1955 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).
79
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 Australia
1972 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 Officer
1965 Global Chief of all the DFA Entities, DFA Australia Limited and
Compliance Officer 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).
80
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 Australia
1957 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, Senior
1971 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.
---------------------------------------------------------------------------------------------------------------------
Jeremy P. Freeman Vice President Since 2009 Vice President of all the DFA Entities.
1970
---------------------------------------------------------------------------------------------------------------------
81
Term of Office/1/
Name and Year of and Length of
Birth Position Service Principal Occupation During Past 5 Years
--------------------------------------------------------------------------------------------------------------------
Kimberly A. Ginsburg Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Vice
1970 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 Trader
1975 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 Entities.
1958 Controller 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.
--------------------------------------------------------------------------------------------------------------------
82
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).
--------------------------------------------------------------------------------------------------------------
83
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, Vice
1969 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 Treasurer
1956 Financial Officer and of all the DFA Entities and Dimensional Cayman
Treasurer 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).
--------------------------------------------------------------------------------------------------------------------
84
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 1997 Vice President and Secretary of all the DFA Entities.
1964 Secretary and Secretary since 2000 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 Chief
1961 Deputy Chief Compliance Officer of Dimensional Fund Advisors
Compliance Officer 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).
--------------------------------------------------------------------------------------------------------------------------
85
Term of Office/1/
Name and Year of and Length of
Birth Position Service Principal Occupation During Past 5 Years
----------------------------------------------------------------------------------------------------------------------------
Gerard K. O'Reilly Vice President and Co- Vice President since 2007 Vice President and Co-Chief Investment Officer of all
1976 Chief Investment and Co-Chief Investment the DFA Entities and Dimensional Fund Advisors
Officer Officer since 2014 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.
----------------------------------------------------------------------------------------------------------------------------
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 Australia
1961 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.
----------------------------------------------------------------------------------------------------------------------------
86
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, Vice
1978 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.
---------------------------------------------------------------------------------------------------------------
87
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 Australia
1966 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.
88
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.
89
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 U.S.
Income Capital Gain Capital Gain Total Received Dividend Government
Dimensional Investment Group Inc. Distributions Distributions Distributions Distributions Deduction(1) Income(2) Interest(3)
--------------------------------- ------------- ------------- ------------- ------------- ------------ ---------- -----------
LWAS/DFA U.S. High Book to Market
Portfolio......................... 22% 1% 76% 100% 100% 100% --
LWAS/DFA Two-Year Fixed Income
Portfolio......................... 67% 20% 13% 100% -- -- 36%
LWAS/DFA Two-Year Government
Portfolio......................... 51% 49% -- 100% -- -- 97%
LWAS/DFA International High Book to
Market Portfolio.................. 55% 1% 44% 100% 100% 100% --
Qualifying
Short-
Foreign Foreign Qualifying Term
Tax Source Interest Capital
Dimensional Investment Group Inc. Credit(4) Income(5) Income(6) Gain(7)
--------------------------------- --------- --------- ---------- ----------
LWAS/DFA U.S. High Book to Market
Portfolio......................... -- -- 100% 100%
LWAS/DFA Two-Year Fixed Income
Portfolio......................... -- -- 100% 100%
LWAS/DFA Two-Year Government
Portfolio......................... -- -- 100% 100%
LWAS/DFA International High Book to
Market Portfolio.................. 4% 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).
90
DFA103115-003A
[LOGO] 00157601
[LOGO]
ANNUAL REPORT
year ended: October 31, 2015
Dimensional Investment Group Inc.
Global Equity Portfolio
Global Allocation 60/40 Portfolio
Global Allocation 25/75 Portfolio
[LOGO]
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
November 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
DIMENSIONAL INVESTMENT GROUP INC.
ANNUAL REPORT
Table of Contents
Page
----
Letter to Shareholders
Definitions of Abbreviations and Footnotes............................ 1
Performance Charts................................................. 2
Management's Discussion and Analysis............................... 5
Disclosure of Fund Expenses........................................ 10
Disclosure of Portfolio Holdings................................... 12
Schedules of Investments
Global Equity Portfolio........................................ 13
Global Allocation 60/40 Portfolio.............................. 14
Global Allocation 25/75 Portfolio.............................. 15
Statements of Assets and Liabilities............................... 16
Statements of Operations........................................... 17
Statements of Changes in Net Assets................................ 18
Financial Highlights............................................... 19
Notes to Financial Statements...................................... 23
Report of Independent Registered Public Accounting Firm............ 33
Results of the Shareholder Meeting.................................... 34
Fund Management....................................................... 37
Voting Proxies on Fund Portfolio Securities........................... 50
Notice to Shareholders................................................ 51
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
DIMENSIONAL INVESTMENT GROUP INC.
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
Schedules of Investments
------------------------
Investment Footnotes
+ See Note B to Financial Statements.
Financial Highlights
--------------------
(A) Computed using average shares outstanding.
(B) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its
Master Funds.
All Statements, Schedules and Notes to Financial Statements
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
SEC Securities and Exchange Commission
N/A Does not apply to this fund.
1
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
GLOBAL EQUITY PORTFOLIO -- INSTITUTIONAL CLASS VS.
MSCI WORLD INDEX (NET DIVIDENDS)
October 31, 2005-October 31, 2015
[CHART]
Global Equity Portfolio MSCI World Index
- Institutional Class (net dividends)
---------------------------- ----------------------
10/31/2005 $10,000 $10,000
11/30/2005 10,369 10,333
12/31/2005 10,547 10,562
1/31/2006 11,133 11,034
2/28/2006 11,149 11,017
3/31/2006 11,467 11,260
4/30/2006 11,743 11,601
5/31/2006 11,266 11,205
6/30/2006 11,242 11,202
7/31/2006 11,175 11,272
8/31/2006 11,453 11,564
9/30/2006 11,642 11,702
10/31/2006 12,123 12,132
11/30/2006 12,478 12,429
12/31/2006 12,707 12,682
1/31/2007 12,964 12,831
2/28/2007 12,878 12,764
3/31/2007 13,084 12,998
4/30/2007 13,574 13,571
5/31/2007 14,081 13,952
6/30/2007 13,903 13,844
7/31/2007 13,419 13,537
8/31/2007 13,402 13,527
9/30/2007 13,869 14,170
10/31/2007 14,260 14,605
11/30/2007 13,435 14,008
12/31/2007 13,267 13,827
1/31/2008 12,439 12,771
2/29/2008 12,225 12,697
3/31/2008 12,159 12,575
4/30/2008 12,757 13,236
5/31/2008 13,043 13,438
6/30/2008 11,846 12,366
7/31/2008 11,702 12,064
8/31/2008 11,666 11,894
9/30/2008 10,432 10,480
10/31/2008 8,262 8,493
11/30/2008 7,593 7,943
12/31/2008 7,962 8,198
1/31/2009 7,132 7,480
2/28/2009 6,348 6,714
3/31/2009 6,952 7,220
4/30/2009 7,950 8,030
5/31/2009 8,628 8,758
6/30/2009 8,605 8,718
7/31/2009 9,407 9,457
8/31/2009 9,822 9,847
9/30/2009 10,319 10,240
10/31/2009 9,940 10,057
11/30/2009 10,347 10,468
12/31/2009 10,709 10,656
1/31/2010 10,319 10,216
2/28/2010 10,598 10,360
3/31/2010 11,369 11,001
4/30/2010 11,612 11,003
5/31/2010 10,540 9,949
6/30/2010 10,046 9,608
7/31/2010 10,900 10,387
8/31/2010 10,365 9,999
9/30/2010 11,461 10,931
10/31/2010 11,885 11,339
11/30/2010 11,810 11,094
12/31/2010 12,782 11,910
1/31/2011 13,000 12,179
2/28/2011 13,455 12,605
3/31/2011 13,536 12,481
4/30/2011 14,011 13,011
5/31/2011 13,726 12,741
6/30/2011 13,473 12,540
7/31/2011 13,120 12,312
8/31/2011 12,069 11,445
9/30/2011 10,782 10,456
10/31/2011 12,078 11,538
11/30/2011 11,895 11,256
12/31/2011 11,835 11,250
1/31/2012 12,609 11,815
2/29/2012 13,189 12,392
3/31/2012 13,364 12,551
4/30/2012 13,180 12,408
5/31/2012 12,057 11,337
6/30/2012 12,605 11,915
7/31/2012 12,654 12,068
8/31/2012 13,025 12,374
9/30/2012 13,455 12,714
10/31/2012 13,406 12,628
11/30/2012 13,563 12,790
12/31/2012 13,994 13,030
1/31/2013 14,725 13,694
2/28/2013 14,794 13,717
3/31/2013 15,216 14,038
4/30/2013 15,483 14,480
5/31/2013 15,691 14,486
6/30/2013 15,366 14,129
7/31/2013 16,224 14,872
8/31/2013 15,815 14,556
9/30/2013 16,669 15,284
10/31/2013 17,320 15,882
11/30/2013 17,670 16,164
12/31/2013 18,073 16,506
1/31/2014 17,408 15,895
2/28/2014 18,274 16,691
3/31/2014 18,446 16,715
4/30/2014 18,476 16,886
5/31/2014 18,799 17,218
6/30/2014 19,285 17,526
7/31/2014 18,827 17,247
8/31/2014 19,396 17,627
9/30/2014 18,628 17,148
10/31/2014 18,883 17,259
11/30/2014 19,077 17,605
12/31/2014 18,908 17,321
1/31/2015 18,508 17,007
2/28/2015 19,606 18,004
3/31/2015 19,423 17,722
4/30/2015 19,763 18,138
5/31/2015 19,886 18,200
6/30/2015 19,535 17,777
7/31/2015 19,473 18,096
8/31/2015 18,313 16,899 Past performance is not predictive of
9/30/2015 17,680 16,275 future performance.
10/31/2015 18,897 17,565 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
0.07% 9.72% 6.57% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
GLOBAL EQUITY PORTFOLIO -- CLASS R2 VS.
MSCI WORLD INDEX (NET DIVIDENDS)
October 31, 2005-October 31, 2015
[CHART]
Global Equity Portfolio MSCI World Index
- Class R2 (net dividends)
---------------------------- -----------------------
10/31/2005 $10,000 $10,000
11/30/2005 10,370 10,333
12/31/2005 10,539 10,562
1/31/2006 11,126 11,034
2/28/2006 11,134 11,017
3/31/2006 11,454 11,260
4/30/2006 11,722 11,601
5/31/2006 11,253 11,205
6/30/2006 11,217 11,202
7/31/2006 11,150 11,272
8/31/2006 11,428 11,564
9/30/2006 11,614 11,702
10/31/2006 12,094 12,132
11/30/2006 12,448 12,429
12/31/2006 12,673 12,682
1/31/2007 12,930 12,831
2/28/2007 12,836 12,764
3/31/2007 13,042 12,998
4/30/2007 13,522 13,571
5/31/2007 14,019 13,952
6/30/2007 13,844 13,844
7/31/2007 13,353 13,537
8/31/2007 13,345 13,527
9/30/2007 13,804 14,170
10/31/2007 14,183 14,605
11/30/2007 13,372 14,008
12/31/2007 13,191 13,827
1/31/2008 12,369 12,771
2/29/2008 12,148 12,697
3/31/2008 12,084 12,575
4/30/2008 12,668 13,236
5/31/2008 12,952 13,438
6/30/2008 11,769 12,366
7/31/2008 11,617 12,064
8/31/2008 11,582 11,894
9/30/2008 10,357 10,480
10/31/2008 8,195 8,493
11/30/2008 7,533 7,943
12/31/2008 7,899 8,198
1/31/2009 7,072 7,480
2/28/2009 6,290 6,714
3/31/2009 6,896 7,220
4/30/2009 7,879 8,030
5/31/2009 8,555 8,758
6/30/2009 8,522 8,718
7/31/2009 9,320 9,457
8/31/2009 9,719 9,847
9/30/2009 10,220 10,240
10/31/2009 9,839 10,057
11/30/2009 10,239 10,468
12/31/2009 10,596 10,656
1/31/2010 10,204 10,216
2/28/2010 10,478 10,360
3/31/2010 11,238 11,001
4/30/2010 11,476 11,003
5/31/2010 10,415 9,949
6/30/2010 9,923 9,608
7/31/2010 10,760 10,387
8/31/2010 10,236 9,999
9/30/2010 11,322 10,931
10/31/2010 11,728 11,339
11/30/2010 11,654 11,094
12/31/2010 12,612 11,910
1/31/2011 12,826 12,179
2/28/2011 13,271 12,605
3/31/2011 13,348 12,481
4/30/2011 13,813 13,011
5/31/2011 13,525 12,741
6/30/2011 13,269 12,540
7/31/2011 12,923 12,312
8/31/2011 11,886 11,445
9/30/2011 10,619 10,456
10/31/2011 11,886 11,538
11/30/2011 11,707 11,256
12/31/2011 11,641 11,250
1/31/2012 12,406 11,815
2/29/2012 12,981 12,392
3/31/2012 13,144 12,551
4/30/2012 12,964 12,408
5/31/2012 11,849 11,337
6/30/2012 12,395 11,915
7/31/2012 12,433 12,068
8/31/2012 12,795 12,374
9/30/2012 13,225 12,714
10/31/2012 13,167 12,628
11/30/2012 13,320 12,790
12/31/2012 13,738 13,030
1/31/2013 14,450 13,694
2/28/2013 14,507 13,717
3/31/2013 14,931 14,038
4/30/2013 15,191 14,480
5/31/2013 15,383 14,486
6/30/2013 15,069 14,129
7/31/2013 15,903 14,872
8/31/2013 15,495 14,556
9/30/2013 16,326 15,284
10/31/2013 16,968 15,882
11/30/2013 17,309 16,164
12/31/2013 17,696 16,506
1/31/2014 17,041 15,895
2/28/2014 17,881 16,691
3/31/2014 18,051 16,715
4/30/2014 18,071 16,886
5/31/2014 18,384 17,218
6/30/2014 18,854 17,526
7/31/2014 18,411 17,247
8/31/2014 18,963 17,627
9/30/2014 18,203 17,148
10/31/2014 18,450 17,259
11/30/2014 18,638 17,605
12/31/2014 18,471 17,321
1/31/2015 18,074 17,007
2/28/2015 19,147 18,004
3/31/2015 18,960 17,722
4/30/2015 19,289 18,138
5/31/2015 19,398 18,200
6/30/2015 19,060 17,777
7/31/2015 18,990 18,096
8/31/2015 17,858 16,899
9/30/2015 17,234 16,275 Past performance is not predictive of
10/31/2015 18,420 17,565 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
-0.16% 9.45% 6.30% rights reserved.
--------------------------------------------------------------------------------
2
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
GLOBAL ALLOCATION 60/40 PORTFOLIO -- INSTITUTIONAL CLASS VS.
MSCI WORLD INDEX (NET DIVIDENDS),
CITIGROUP WORLD GOVERNMENT BOND INDEX, 1-3 YEARS, CURRENCY-HEDGED IN USD TERMS,
GLOBAL 60/40 COMPOSITE INDEX (MSCI/CITIGROUP)
October 31, 2005-October 31, 2015
[CHART]
Global Allocation Citigroup World
60/40 Government Bond Global 60/40
Portfolio Index,1-3 Years, Composite
- Institutional MSCI World Index Currency-Hedged Index
Class (net dividends) in USD Terms (MSCI/Citigroup)
-------------- ----------------- --------------- ----------------
10/31/2005 $10,000 $10,000 $10,000 $10,000
11/30/2005 10,229 10,333 10,028 10,211
12/31/2005 10,343 10,562 10,063 10,361
1/31/2006 10,691 11,034 10,091 10,650
2/28/2006 10,709 11,017 10,109 10,648
3/31/2006 10,887 11,260 10,119 10,793
4/30/2006 11,060 11,601 10,155 11,005
5/31/2006 10,823 11,205 10,188 10,794
6/30/2006 10,818 11,202 10,216 10,804
7/31/2006 10,808 11,272 10,281 10,872
8/31/2006 11,001 11,564 10,350 11,070
9/30/2006 11,124 11,702 10,394 11,168
10/31/2006 11,418 12,132 10,432 11,431
11/30/2006 11,639 12,429 10,480 11,619
12/31/2006 11,779 12,682 10,501 11,770
1/31/2007 11,937 12,831 10,540 11,871
2/28/2007 11,919 12,764 10,598 11,861
3/31/2007 12,051 12,998 10,636 12,008
4/30/2007 12,339 13,571 10,671 12,341
5/31/2007 12,628 13,952 10,679 12,553
6/30/2007 12,550 13,844 10,719 12,513
7/31/2007 12,316 13,537 10,794 12,382
8/31/2007 12,344 13,527 10,890 12,420
9/30/2007 12,618 14,170 10,952 12,803
10/31/2007 12,863 14,605 10,999 13,060
11/30/2007 12,429 14,008 11,102 12,789
12/31/2007 12,358 13,827 11,135 12,705
1/31/2008 11,925 12,771 11,269 12,184
2/29/2008 11,810 12,697 11,330 12,168
3/31/2008 11,779 12,575 11,330 12,098
4/30/2008 12,116 13,236 11,288 12,462
5/31/2008 12,280 13,438 11,252 12,560
6/30/2008 11,625 12,366 11,257 11,961
7/31/2008 11,548 12,064 11,318 11,812
8/31/2008 11,470 11,894 11,370 11,734
9/30/2008 10,672 10,480 11,445 10,927
10/31/2008 9,263 8,493 11,588 9,739
11/30/2008 8,845 7,943 11,667 9,387
12/31/2008 9,177 8,198 11,753 9,595
1/31/2009 8,558 7,480 11,777 9,099
2/28/2009 7,988 6,714 11,796 8,546
3/31/2009 8,547 7,220 11,844 8,947
4/30/2009 9,325 8,030 11,853 9,551
5/31/2009 9,906 8,758 11,876 10,078
6/30/2009 9,909 8,718 11,887 10,054
7/31/2009 10,523 9,457 11,915 10,575
8/31/2009 10,840 9,847 11,945 10,847
9/30/2009 11,227 10,240 11,973 11,117
10/31/2009 11,018 10,057 11,984 11,003
11/30/2009 11,336 10,468 12,022 11,286
12/31/2009 11,520 10,656 11,995 11,398
1/31/2010 11,300 10,216 12,026 11,127
2/28/2010 11,490 10,360 12,063 11,235
3/31/2010 11,992 11,001 12,063 11,652
4/30/2010 12,182 11,003 12,060 11,652
5/31/2010 11,481 9,949 12,109 11,001
6/30/2010 11,204 9,608 12,121 10,779
7/31/2010 11,819 10,387 12,148 11,313
8/31/2010 11,507 9,999 12,175 11,070
9/30/2010 12,276 10,931 12,168 11,687
10/31/2010 12,590 11,339 12,181 11,953
11/30/2010 12,478 11,094 12,151 11,786
12/31/2010 13,102 11,910 12,156 12,308
1/31/2011 13,245 12,179 12,157 12,475
2/28/2011 13,541 12,605 12,153 12,736
3/31/2011 13,617 12,481 12,147 12,658
4/30/2011 14,006 13,011 12,167 12,989
5/31/2011 13,852 12,741 12,201 12,842
6/30/2011 13,707 12,540 12,206 12,722
7/31/2011 13,594 12,312 12,219 12,589
8/31/2011 12,998 11,445 12,290 12,086
9/30/2011 12,069 10,456 12,288 11,459
10/31/2011 13,009 11,538 12,278 12,166
11/30/2011 12,844 11,256 12,261 11,981
12/31/2011 12,820 11,250 12,330 12,005
1/31/2012 13,405 11,815 12,365 12,379
2/29/2012 13,803 12,392 12,381 12,749
3/31/2012 13,895 12,551 12,377 12,846
4/30/2012 13,811 12,408 12,388 12,763
5/31/2012 13,068 11,337 12,383 12,100
6/30/2012 13,466 11,915 12,398 12,475
7/31/2012 13,551 12,068 12,420 12,580
8/31/2012 13,825 12,374 12,450 12,784
9/30/2012 14,130 12,714 12,464 13,000
10/31/2012 14,098 12,628 12,471 12,950
11/30/2012 14,214 12,790 12,488 13,057
12/31/2012 14,493 13,030 12,498 13,209
1/31/2013 14,921 13,694 12,501 13,614
2/28/2013 14,974 13,717 12,517 13,634
3/31/2013 15,250 14,038 12,525 13,829
4/30/2013 15,464 14,480 12,551 14,102
5/31/2013 15,485 14,486 12,536 14,099
6/30/2013 15,168 14,129 12,522 13,884
7/31/2013 15,727 14,872 12,546 14,333
8/31/2013 15,437 14,556 12,541 14,147
9/30/2013 16,024 15,284 12,565 14,583
10/31/2013 16,445 15,882 12,588 14,936
11/30/2013 16,617 16,164 12,603 15,102
12/31/2013 16,807 16,506 12,593 15,289
1/31/2014 16,492 15,895 12,619 14,962
2/28/2014 17,025 16,691 12,629 15,416
3/31/2014 17,127 16,715 12,628 15,429
4/30/2014 17,182 16,886 12,639 15,530
5/31/2014 17,421 17,218 12,658 15,722
6/30/2014 17,695 17,526 12,666 15,895
7/31/2014 17,422 17,247 12,668 15,744
8/31/2014 17,783 17,627 12,686 15,961
9/30/2014 17,279 17,148 12,686 15,701
10/31/2014 17,444 17,259 12,704 15,771
11/30/2014 17,576 17,605 12,721 15,969
12/31/2014 17,431 17,321 12,714 15,811 Past performance is not predictive of
1/31/2015 17,276 17,007 12,756 15,660 future performance.
2/28/2015 17,864 18,004 12,748 16,206 The returns shown do not reflect the
3/31/2015 17,769 17,722 12,766 16,063 deduction of taxes that a shareholder
4/30/2015 18,002 18,138 12,769 16,291 would pay on fund distributions or the
5/31/2015 18,013 18,200 12,778 16,329 redemption of fund shares.
6/30/2015 17,773 17,777 12,776 16,100 MSCI data copyright MSCI 2015, all
7/31/2015 17,728 18,096 12,789 16,280 rights reserved.
8/31/2015 17,047 16,899 12,787 15,633 Citigroup bond indices copyright 2015
9/30/2015 16,737 16,275 12,811 15,298 by Citigroup.
10/31/2015 17,443 17,565 12,813 16,027 Data includes composite data from
multiple sources; see data descriptions
Average Annual One Five Ten for additional details. MSCI data
Total Return Year Years Years copyright MSCI 2015, all rights reserved.
--------------------------------------------------------------- Citigroup bond indices copyright 2015
0.00% 6.74% 5.72% by Citigroup.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
GLOBAL ALLOCATION 60/40 PORTFOLIO -- CLASS R2 VS.
MSCI WORLD INDEX (NET DIVIDENDS),
CITIGROUP WORLD GOVERNMENT BOND INDEX, 1-3 YEARS, CURRENCY-HEDGED IN USD TERMS,
GLOBAL 60/40 COMPOSITE INDEX (MSCI/CITIGROUP)
October 31, 2005-October 31, 2015
[CHART]
Citigroup World
Global Allocation Government Bond Global 60/40
60/40 MSCI World Index,1-3 Years, Composite
Portfolio - Index Currency-Hedged Index
Class R2 (net dividends) in USD Terms (MSCI/Citigroup)
----------------- --------------- --------------- ----------------
10/31/2005 $10,000 $10,000 $10,000 $10,000
11/30/2005 10,230 10,333 10,028 10,211
12/31/2005 10,342 10,562 10,063 10,361
1/31/2006 10,690 11,034 10,091 10,650
2/28/2006 10,709 11,017 10,109 10,648
3/31/2006 10,883 11,260 10,119 10,793
4/30/2006 11,048 11,601 10,155 11,005
5/31/2006 10,809 11,205 10,188 10,794
6/30/2006 10,802 11,202 10,216 10,804
7/31/2006 10,793 11,272 10,281 10,872
8/31/2006 10,977 11,564 10,350 11,070
9/30/2006 11,105 11,702 10,394 11,168
10/31/2006 11,390 12,132 10,432 11,431
11/30/2006 11,610 12,429 10,480 11,619
12/31/2006 11,745 12,682 10,501 11,770
1/31/2007 11,904 12,831 10,540 11,871
2/28/2007 11,876 12,764 10,598 11,861
3/31/2007 12,006 12,998 10,636 12,008
4/30/2007 12,285 13,571 10,671 12,341
5/31/2007 12,573 13,952 10,679 12,553
6/30/2007 12,499 13,844 10,719 12,513
7/31/2007 12,256 13,537 10,794 12,382
8/31/2007 12,284 13,527 10,890 12,420
9/30/2007 12,553 14,170 10,952 12,803
10/31/2007 12,797 14,605 10,999 13,060
11/30/2007 12,365 14,008 11,102 12,789
12/31/2007 12,286 13,827 11,135 12,705
1/31/2008 11,856 12,771 11,269 12,184
2/29/2008 11,741 12,697 11,330 12,168
3/31/2008 11,713 12,575 11,330 12,098
4/30/2008 12,038 13,236 11,288 12,462
5/31/2008 12,201 13,438 11,252 12,560
6/30/2008 11,552 12,366 11,257 11,961
7/31/2008 11,466 12,064 11,318 11,812
8/31/2008 11,389 11,894 11,370 11,734
9/30/2008 10,592 10,480 11,445 10,927
10/31/2008 9,196 8,493 11,588 9,739
11/30/2008 8,772 7,943 11,667 9,387
12/31/2008 9,101 8,198 11,753 9,595
1/31/2009 8,490 7,480 11,777 9,099
2/28/2009 7,927 6,714 11,796 8,546
3/31/2009 8,479 7,220 11,844 8,947
4/30/2009 9,246 8,030 11,853 9,551
5/31/2009 9,819 8,758 11,876 10,078
6/30/2009 9,818 8,718 11,887 10,054
7/31/2009 10,413 9,457 11,915 10,575
8/31/2009 10,725 9,847 11,945 10,847
9/30/2009 11,109 10,240 11,973 11,117
10/31/2009 10,894 10,057 11,984 11,003
11/30/2009 11,217 10,468 12,022 11,286
12/31/2009 11,391 10,656 11,995 11,398
1/31/2010 11,174 10,216 12,026 11,127
2/28/2010 11,361 10,360 12,063 11,235
3/31/2010 11,858 11,001 12,063 11,652
4/30/2010 12,045 11,003 12,060 11,652
5/31/2010 11,346 9,949 12,109 11,001
6/30/2010 11,067 9,608 12,121 10,779
7/31/2010 11,681 10,387 12,148 11,313
8/31/2010 11,354 9,999 12,175 11,070
9/30/2010 12,112 10,931 12,168 11,687
10/31/2010 12,419 11,339 12,181 11,953
11/30/2010 12,320 11,094 12,151 11,786
12/31/2010 12,922 11,910 12,156 12,308
1/31/2011 13,062 12,179 12,157 12,475
2/28/2011 13,352 12,605 12,153 12,736
3/31/2011 13,421 12,481 12,147 12,658
4/30/2011 13,803 13,011 12,167 12,989
5/31/2011 13,652 12,741 12,201 12,842
6/30/2011 13,501 12,540 12,206 12,722
7/31/2011 13,380 12,312 12,219 12,589
8/31/2011 12,795 11,445 12,290 12,086
9/30/2011 11,877 10,456 12,288 11,459
10/31/2011 12,808 11,538 12,278 12,166
11/30/2011 12,636 11,256 12,261 11,981
12/31/2011 12,614 11,250 12,330 12,005
1/31/2012 13,176 11,815 12,365 12,379
2/29/2012 13,575 12,392 12,381 12,749
3/31/2012 13,657 12,551 12,377 12,846
4/30/2012 13,575 12,408 12,388 12,763
5/31/2012 12,838 11,337 12,383 12,100
6/30/2012 13,221 11,915 12,398 12,475
7/31/2012 13,314 12,068 12,420 12,580
8/31/2012 13,571 12,374 12,450 12,784
9/30/2012 13,860 12,714 12,464 13,000
10/31/2012 13,839 12,628 12,471 12,950
11/30/2012 13,953 12,790 12,488 13,057
12/31/2012 14,213 13,030 12,498 13,209
1/31/2013 14,630 13,694 12,501 13,614
2/28/2013 14,683 13,717 12,517 13,634
3/31/2013 14,956 14,038 12,525 13,829
4/30/2013 15,154 14,480 12,551 14,102
5/31/2013 15,175 14,486 12,536 14,099
6/30/2013 14,856 14,129 12,522 13,884
7/31/2013 15,401 14,872 12,546 14,333
8/31/2013 15,108 14,556 12,541 14,147
9/30/2013 15,691 15,284 12,565 14,583
10/31/2013 16,101 15,882 12,588 14,936
11/30/2013 16,269 16,164 12,603 15,102
12/31/2013 16,452 16,506 12,593 15,289
1/31/2014 16,134 15,895 12,619 14,962
2/28/2014 16,653 16,691 12,629 15,416
3/31/2014 16,746 16,715 12,628 15,429
4/30/2014 16,799 16,886 12,639 15,530
5/31/2014 17,022 17,218 12,658 15,722
6/30/2014 17,299 17,526 12,666 15,895
7/31/2014 17,012 17,247 12,668 15,744
8/31/2014 17,374 17,627 12,686 15,961
9/30/2014 16,884 17,148 12,686 15,701
10/31/2014 17,044 17,259 12,704 15,771
11/30/2014 17,172 17,605 12,721 15,969
12/31/2014 17,026 17,321 12,714 15,811
1/31/2015 16,876 17,007 12,756 15,660
2/28/2015 17,444 18,004 12,748 16,206
3/31/2015 17,344 17,722 12,766 16,063
4/30/2015 17,559 18,138 12,769 16,291 Past performance is not predictive of
5/31/2015 17,581 18,200 12,778 16,329 future performance.
6/30/2015 17,328 17,777 12,776 16,100 The returns shown do not reflect the
7/31/2015 17,285 18,096 12,789 16,280 deduction of taxes that a shareholder
8/31/2015 16,616 16,899 12,787 15,633 would pay on fund distributions or the
9/30/2015 16,316 16,275 12,811 15,298 redemption of fund shares.
10/31/2015 16,998 17,565 12,813 16,027 MSCI data copyright MSCI 2015, all
rights reserved.
Citigroup bond indices copyright 2015
by Citigroup.
Data includes composite data from
multiple sources; see data descriptions
Average Annual One Five Ten for additional details. MSCI data
Total Return Year Years Years copyright MSCI 2015, all rights reserved.
--------------------------------------------------------------- Citigroup bond indices copyright 2015
-0.27% 6.48% 5.45% by Citigroup.
--------------------------------------------------------------------------------
3
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
GLOBAL ALLOCATION 25/75 PORTFOLIO -- INSTITUTIONAL CLASS VS.
MSCI WORLD INDEX (NET DIVIDENDS),
CITIGROUP WORLD GOVERNMENT BOND INDEX, 1-3 YEARS, CURRENCY-HEDGED IN USD TERMS,
GLOBAL 25/75 COMPOSITE INDEX (MSCI/CITIGROUP)
October 31, 2005-October 31, 2015
[CHART]
Global Citigroup World
Allocation Government Bond Global 25/75
25/75 Portfolio Index,1-3 Years, Composite
- Institutional MSCI World Index Currency-Hedged Index
Class (net dividends) in USD Terms (MSCI/Citigroup)
-------------- ---------------- --------------- --------------
10/31/2005 $10,000 $10,000 $10,000 $10,000
11/30/2005 10,114 10,333 10,028 10,104
12/31/2005 10,171 10,562 10,063 10,187
1/31/2006 10,328 11,034 10,091 10,321
2/28/2006 10,347 11,017 10,109 10,332
3/31/2006 10,420 11,260 10,119 10,396
4/30/2006 10,498 11,601 10,155 10,503
5/31/2006 10,429 11,205 10,188 10,439
6/30/2006 10,450 11,202 10,216 10,459
7/31/2006 10,479 11,272 10,281 10,526
8/31/2006 10,597 11,564 10,350 10,647
9/30/2006 10,665 11,702 10,394 10,713
10/31/2006 10,803 12,132 10,432 10,840
11/30/2006 10,920 12,429 10,480 10,944
12/31/2006 10,987 12,682 10,501 11,016
1/31/2007 11,076 12,831 10,540 11,079
2/28/2007 11,106 12,764 10,598 11,111
3/31/2007 11,186 12,998 10,636 11,191
4/30/2007 11,315 13,571 10,671 11,343
5/31/2007 11,444 13,952 10,679 11,429
6/30/2007 11,442 13,844 10,719 11,438
7/31/2007 11,382 13,537 10,794 11,435
8/31/2007 11,442 13,527 10,890 11,509
9/30/2007 11,568 14,170 10,952 11,695
10/31/2007 11,700 14,605 10,999 11,822
11/30/2007 11,558 14,008 11,102 11,785
12/31/2007 11,559 13,827 11,135 11,773
1/31/2008 11,425 12,771 11,269 11,654
2/29/2008 11,404 12,697 11,330 11,684
3/31/2008 11,393 12,575 11,330 11,657
4/30/2008 11,517 13,236 11,288 11,778
5/31/2008 11,579 13,438 11,252 11,794
6/30/2008 11,334 12,366 11,257 11,563
7/31/2008 11,334 12,064 11,318 11,539
8/31/2008 11,355 11,894 11,370 11,538
9/30/2008 10,998 10,480 11,445 11,253
10/31/2008 10,455 8,493 11,588 10,824
11/30/2008 10,340 7,943 11,667 10,705
12/31/2008 10,554 8,198 11,753 10,850
1/31/2009 10,288 7,480 11,777 10,629
2/28/2009 9,979 6,714 11,796 10,370
3/31/2009 10,343 7,220 11,844 10,597
4/30/2009 10,747 8,030 11,853 10,900
5/31/2009 11,067 8,758 11,876 11,163
6/30/2009 11,104 8,718 11,887 11,158
7/31/2009 11,425 9,457 11,915 11,414
8/31/2009 11,618 9,847 11,945 11,553
9/30/2009 11,833 10,240 11,973 11,688
10/31/2009 11,779 10,057 11,984 11,645
11/30/2009 11,995 10,468 12,022 11,791
12/31/2009 12,018 10,656 11,995 11,824
1/31/2010 11,996 10,216 12,026 11,725
2/28/2010 12,084 10,360 12,063 11,794
3/31/2010 12,293 11,001 12,063 11,976
4/30/2010 12,447 11,003 12,060 11,974
5/31/2010 12,151 9,949 12,109 11,724
6/30/2010 12,079 9,608 12,121 11,633
7/31/2010 12,388 10,387 12,148 11,887
8/31/2010 12,300 9,999 12,175 11,796
9/30/2010 12,670 10,931 12,168 12,066
10/31/2010 12,859 11,339 12,181 12,188
11/30/2010 12,781 11,094 12,151 12,100
12/31/2010 12,994 11,910 12,156 12,327
1/31/2011 13,083 12,179 12,157 12,397
2/28/2011 13,217 12,605 12,153 12,502
3/31/2011 13,259 12,481 12,147 12,467
4/30/2011 13,472 13,011 12,167 12,615
5/31/2011 13,449 12,741 12,201 12,576
6/30/2011 13,407 12,540 12,206 12,530
7/31/2011 13,441 12,312 12,219 12,483
8/31/2011 13,227 11,445 12,290 12,317
9/30/2011 12,844 10,456 12,288 12,050
10/31/2011 13,274 11,538 12,278 12,354
11/30/2011 13,206 11,256 12,261 12,266
12/31/2011 13,206 11,250 12,330 12,316
1/31/2012 13,514 11,815 12,365 12,496
2/29/2012 13,674 12,392 12,381 12,661
3/31/2012 13,714 12,551 12,377 12,699
4/30/2012 13,725 12,408 12,388 12,671
5/31/2012 13,474 11,337 12,383 12,394
6/30/2012 13,620 11,915 12,398 12,563
7/31/2012 13,712 12,068 12,420 12,620
8/31/2012 13,827 12,374 12,450 12,723
9/30/2012 13,967 12,714 12,464 12,821
10/31/2012 13,967 12,628 12,471 12,805
11/30/2012 14,036 12,790 12,488 12,859
12/31/2012 14,130 13,030 12,498 12,927
1/31/2013 14,293 13,694 12,501 13,094
2/28/2013 14,340 13,717 12,517 13,112
3/31/2013 14,467 14,038 12,525 13,195
4/30/2013 14,571 14,480 12,551 13,319
5/31/2013 14,513 14,486 12,536 13,309
6/30/2013 14,311 14,129 12,522 13,216
7/31/2013 14,556 14,872 12,546 13,409
8/31/2013 14,416 14,556 12,541 13,333
9/30/2013 14,671 15,284 12,565 13,519
10/31/2013 14,859 15,882 12,588 13,670
11/30/2013 14,929 16,164 12,603 13,743
12/31/2013 14,957 16,506 12,593 13,808
1/31/2014 14,898 15,895 12,619 13,701
2/28/2014 15,099 16,691 12,629 13,880
3/31/2014 15,117 16,715 12,628 13,885
4/30/2014 15,165 16,886 12,639 13,930
5/31/2014 15,307 17,218 12,658 14,014
6/30/2014 15,408 17,526 12,666 14,083
7/31/2014 15,301 17,247 12,668 14,029
8/31/2014 15,467 17,627 12,686 14,121
9/30/2014 15,253 17,148 12,686 14,025
10/31/2014 15,348 17,259 12,704 14,063
11/30/2014 15,432 17,605 12,721 14,147
12/31/2014 15,345 17,321 12,714 14,084 Past performance is not predictive of
1/31/2015 15,405 17,007 12,756 14,055 future performance.
2/28/2015 15,586 18,004 12,748 14,255 The returns shown do not reflect the
3/31/2015 15,567 17,722 12,766 14,214 deduction of taxes that a shareholder
4/30/2015 15,640 18,138 12,769 14,300 would pay on fund distributions or the
5/31/2015 15,652 18,200 12,778 14,320 redemption of fund shares.
6/30/2015 15,543 17,777 12,776 14,235 MSCI data copyright MSCI 2015, all
7/31/2015 15,555 18,096 12,789 14,310 rights reserved.
8/31/2015 15,299 16,899 12,787 14,071 Citigroup bond indices copyright 2015
9/30/2015 15,214 16,275 12,811 13,961 by Citigroup.
10/31/2015 15,470 17,565 12,813 14,240 Data includes composite data from
multiple sources; see data descriptions
Average Annual One Five Ten for additional details. MSCI data
Total Return Year Years Years copyright MSCI 2015, all rights reserved.
-------------------------------------------------------------- Citigroup bond indices copyright 2015
0.79% 3.77% 4.46% by Citigroup.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
GLOBAL ALLOCATION 25/75 PORTFOLIO -- CLASS R2 VS.
MSCI WORLD INDEX (NET DIVIDENDS),
CITIGROUP WORLD GOVERNMENT BOND INDEX, 1-3 YEARS, CURRENCY-HEDGED IN USD TERMS,
GLOBAL 25/75 COMPOSITE INDEX (MSCI/CITIGROUP)
October 31, 2005-October 31, 2015
[CHART]
Citigroup World
Global Government Bond Global 25/75
Allocation 25/75 MSCI World Index,1-3 Years, Composite
Portfolio - Index Currency-Hedged Index
Class R2 (net dividends) in USD Terms (MSCI/Citigroup)
-------------- --------------- --------------- ---------------
10/31/2005 $10,000 $10,000 $10,000 $10,000
11/30/2005 10,105 10,333 10,028 10,104
12/31/2005 10,160 10,562 10,063 10,187
1/31/2006 10,317 11,034 10,091 10,321
2/28/2006 10,336 11,017 10,109 10,332
3/31/2006 10,408 11,260 10,119 10,396
4/30/2006 10,486 11,601 10,155 10,503
5/31/2006 10,418 11,205 10,188 10,439
6/30/2006 10,427 11,202 10,216 10,459
7/31/2006 10,457 11,272 10,281 10,526
8/31/2006 10,574 11,564 10,350 10,647
9/30/2006 10,643 11,702 10,394 10,713
10/31/2006 10,780 12,132 10,432 10,840
11/30/2006 10,888 12,429 10,480 10,944
12/31/2006 10,956 12,682 10,501 11,016
1/31/2007 11,045 12,831 10,540 11,079
2/28/2007 11,065 12,764 10,598 11,111
3/31/2007 11,145 12,998 10,636 11,191
4/30/2007 11,264 13,571 10,671 11,343
5/31/2007 11,393 13,952 10,679 11,429
6/30/2007 11,393 13,844 10,719 11,438
7/31/2007 11,333 13,537 10,794 11,435
8/31/2007 11,383 13,527 10,890 11,509
9/30/2007 11,513 14,170 10,952 11,695
10/31/2007 11,634 14,605 10,999 11,822
11/30/2007 11,493 14,008 11,102 11,785
12/31/2007 11,490 13,827 11,135 11,773
1/31/2008 11,357 12,771 11,269 11,654
2/29/2008 11,327 12,697 11,330 11,684
3/31/2008 11,318 12,575 11,330 11,657
4/30/2008 11,430 13,236 11,288 11,778
5/31/2008 11,491 13,438 11,252 11,794
6/30/2008 11,244 12,366 11,257 11,563
7/31/2008 11,233 12,064 11,318 11,539
8/31/2008 11,264 11,894 11,370 11,538
9/30/2008 10,893 10,480 11,445 11,253
10/31/2008 10,367 8,493 11,588 10,824
11/30/2008 10,243 7,943 11,667 10,705
12/31/2008 10,455 8,198 11,753 10,850
1/31/2009 10,182 7,480 11,777 10,629
2/28/2009 9,889 6,714 11,796 10,370
3/31/2009 10,235 7,220 11,844 10,597
4/30/2009 10,644 8,030 11,853 10,900
5/31/2009 10,948 8,758 11,876 11,163
6/30/2009 10,985 8,718 11,887 11,158
7/31/2009 11,301 9,457 11,915 11,414
8/31/2009 11,481 9,847 11,945 11,553
9/30/2009 11,694 10,240 11,973 11,688
10/31/2009 11,631 10,057 11,984 11,645
11/30/2009 11,854 10,468 12,022 11,791
12/31/2009 11,869 10,656 11,995 11,824
1/31/2010 11,847 10,216 12,026 11,725
2/28/2010 11,922 10,360 12,063 11,794
3/31/2010 12,141 11,001 12,063 11,976
4/30/2010 12,281 11,003 12,060 11,974
5/31/2010 11,990 9,949 12,109 11,724
6/30/2010 11,921 9,608 12,121 11,633
7/31/2010 12,192 10,387 12,148 11,887
8/31/2010 12,105 9,999 12,175 11,796
9/30/2010 12,458 10,931 12,168 12,066
10/31/2010 12,643 11,339 12,181 12,188
11/30/2010 12,567 11,094 12,151 12,100
12/31/2010 12,765 11,910 12,156 12,327
1/31/2011 12,852 12,179 12,157 12,397
2/28/2011 12,972 12,605 12,153 12,502
3/31/2011 13,003 12,481 12,147 12,467
4/30/2011 13,211 13,011 12,167 12,615
5/31/2011 13,189 12,741 12,201 12,576
6/30/2011 13,133 12,540 12,206 12,530
7/31/2011 13,166 12,312 12,219 12,483
8/31/2011 12,957 11,445 12,290 12,317
9/30/2011 12,567 10,456 12,288 12,050
10/31/2011 12,986 11,538 12,278 12,354
11/30/2011 12,909 11,256 12,261 12,266
12/31/2011 12,914 11,250 12,330 12,316
1/31/2012 13,203 11,815 12,365 12,496
2/29/2012 13,369 12,392 12,381 12,661
3/31/2012 13,400 12,551 12,377 12,699
4/30/2012 13,412 12,408 12,388 12,671
5/31/2012 13,156 11,337 12,383 12,394
6/30/2012 13,290 11,915 12,398 12,563
7/31/2012 13,379 12,068 12,420 12,620
8/31/2012 13,491 12,374 12,450 12,723
9/30/2012 13,629 12,714 12,464 12,821
10/31/2012 13,617 12,628 12,471 12,805
11/30/2012 13,685 12,790 12,488 12,859
12/31/2012 13,773 13,030 12,498 12,927
1/31/2013 13,931 13,694 12,501 13,094
2/28/2013 13,977 13,717 12,517 13,112
3/31/2013 14,083 14,038 12,525 13,195
4/30/2013 14,184 14,480 12,551 13,319
5/31/2013 14,128 14,486 12,536 13,309
6/30/2013 13,934 14,129 12,522 13,216
7/31/2013 14,161 14,872 12,546 13,409
8/31/2013 14,013 14,556 12,541 13,333
9/30/2013 14,273 15,284 12,565 13,519
10/31/2013 14,454 15,882 12,588 13,670
11/30/2013 14,522 16,164 12,603 13,743
12/31/2013 14,537 16,506 12,593 13,808
1/31/2014 14,480 15,895 12,619 13,701
2/28/2014 14,674 16,691 12,629 13,880
3/31/2014 14,686 16,715 12,628 13,885
4/30/2014 14,732 16,886 12,639 13,930
5/31/2014 14,869 17,218 12,658 14,014
6/30/2014 14,958 17,526 12,666 14,083
7/31/2014 14,855 17,247 12,668 14,029
8/31/2014 15,004 17,627 12,686 14,121
9/30/2014 14,740 17,148 12,686 14,025
10/31/2014 14,843 17,259 12,704 14,063
11/30/2014 14,912 17,605 12,721 14,147
12/31/2014 14,828 17,321 12,714 14,084 Past performance is not predictive of
1/31/2015 14,886 17,007 12,756 14,055 future performance.
2/28/2015 15,048 18,004 12,748 14,255 The returns shown do not reflect the
3/31/2015 15,035 17,722 12,766 14,214 deduction of taxes that a shareholder
4/30/2015 15,105 18,138 12,769 14,300 would pay on fund distributions or the
5/31/2015 15,117 18,200 12,778 14,320 redemption of fund shares.
6/30/2015 15,000 17,777 12,776 14,235 MSCI data copyright MSCI 2015, all
7/31/2015 15,011 18,096 12,789 14,310 rights reserved.
8/31/2015 14,765 16,899 12,787 14,071 Citigroup bond indices copyright 2015
9/30/2015 14,672 16,275 12,811 13,961 by Citigroup.
10/31/2015 14,918 17,565 12,813 14,240 Data includes composite data from
multiple sources; see data descriptions
Average Annual One Five Ten for additional details. MSCI data
Total Return Year Years Years copyright MSCI 2015, all rights reserved.
-------------------------------------------------------------- Citigroup bond indices copyright 2015
0.50% 3.36% 4.08% by Citigroup.
--------------------------------------------------------------------------------
4
DIMENSIONAL INVESTMENT 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.
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%
5
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.
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.
6
Fixed Income Market Review 12 Months Ended October 31, 2015
U.S. and developed international fixed income markets generally experienced
flattening yield curves for the year ended October 31, 2015. In the case of the
U.S. and U.K., while longer-term bond yields declined, most shorter-term bond
yields increased slightly. The Eurozone saw a sharp decline in bond yields
across the curve with the largest declines in longer-term bonds. In general,
U.S. and developed international fixed income market investment grade credit
underperformed government bonds of similar duration. The one-month U.S.
Treasury bill yield remained at or near 0.00% during the period, while the
yield on ten-year U.S. Treasury notes decreased to 2.14%.
October 31, 2014 October 31, 2015 Change
---------------- ---------------- ------
One-Month Treasury Bill (yield)...... 0.00% 0.00% 0.00%
Ten-Year U.S. Treasury Notes (yield). 2.34% 2.14% -0.20%
----------
Source: Bloomberg.
There is generally an inverse relationship between interest rates and bond
prices, such that bond prices fall when interest rates rise. For the fiscal
year under review, changes in interest rates and bond prices were more
pronounced in some parts of the yield curve than in others. For the 12 months
ended October 31, 2015, the total return was 0.04% for three-month U.S.
Treasury bills, 2.34% for five-year U.S. Treasury notes, and 4.54% for 30-year
U.S. Treasury bonds.
----------
(Source: Barclays US Treasury Bellwethers).
Some of Dimensional Fund Advisors LP's ("Dimensional" or the "Advisor")
fixed income strategies are based on a variable-maturity strategy that
identifies a maturity range with favorable risk-adjusted expected returns. When
the yield curve is flat or inverted, short-term securities are believed to
offer the most attractive opportunity on a risk-adjusted basis. When the yield
curve is upwardly sloped, maturities may be lengthened to position a portfolio
for higher expected returns associated with longer maturities. These higher
returns may be achieved by roll-down returns (in an upwardly sloped yield
curve, prices of longer-term bonds generally increase as they approach
maturity) as well as by earning higher current yields. During the period under
review, the portfolios employing a variable maturity approach continued to take
term risk, reflecting upward-sloping eligible yield curves.
Some of Dimensional's fixed income strategies are based on a variable-credit
approach that varies exposure to credit risk. When credit spreads are narrow,
higher-quality securities are believed to offer the more attractive opportunity
on a risk-adjusted basis. When credit spreads are wide, additional credit risk
may be taken to position a portfolio for higher expected returns associated
with increased credit risk. The portfolios employing a variable credit approach
continued to emphasize bonds in the single-A and BBB rating categories,
reflecting relatively wide credit spreads.
Global Equity Portfolio
The Global Equity Portfolio seeks long-term capital appreciation by
investing in a combination of mutual funds managed by the Advisor that invest
in domestic and international equity securities. As of the date of this report,
the Portfolio's investments in the domestic funds include the U.S. Core Equity
1 Portfolio, the U.S. Core Equity 2 Portfolio, and the DFA Real Estate
Securities Portfolio; and the Portfolio's investments in the international
funds include the International Core Equity Portfolio, and the Emerging Markets
Core Equity Portfolio (collectively, the "Equity Underlying Funds"). The
investment strategy is process driven, emphasizing broad diversification. As of
October 31, 2015, the Equity Underlying Funds collectively held approximately
12,000 equity securities in 44 countries.
For the 12 months ended October 31, 2015, total returns were 0.07% for the
Portfolio's Institutional Class shares, -0.16% for the Portfolio's Class R2
shares, and 1.77% for the MSCI World Index (net dividends). As a result of the
Equity Underlying Funds' diversified investment approach, performance was
determined principally by broad trends in global equity markets rather than the
behavior of a limited group of stocks. The Equity Underlying Funds' allocation
to emerging markets, which generally underperformed and are not included in the
Index, detracted from the Portfolio's relative performance. The Equity
Underlying Funds' greater allocation than the Index
7
to value stocks detracted from relative performance as value stocks generally
underperformed during the period. The Equity Underlying Funds had greater
exposure to U.S. stocks than the Index. While U.S. stocks generally
outperformed other countries, U.S. small-caps underperformed U.S. large-caps,
and the Equity Underlying Funds' greater allocation to U.S. small-caps
detracted from the Portfolio's relative performance.
Global Allocation 60/40 Portfolio
The Global Allocation 60/40 Portfolio seeks capital appreciation and current
income by investing in a combination of mutual funds managed by Dimensional
that invest in equity and fixed income securities. As of the date of this
report, the Portfolio's investments in domestic equity funds include the U.S.
Core Equity 1 Portfolio, the U.S. Core Equity 2 Portfolio, and the DFA Real
Estate Securities Portfolio; the Portfolio's investments in international
equity funds include the International Core Equity Portfolio and the Emerging
Markets Core Equity Portfolio (collectively, the "Equity Underlying Funds");
and the Portfolio's investments in fixed income funds include the DFA
Short-Term Extended Quality Portfolio, the DFA Five-Year Global Fixed Income
Portfolio, the DFA Inflation Protected Securities Portfolio, the DFA
Selectively Hedged Global Fixed Income Portfolio, the DFA Intermediate-Term
Extended Quality Portfolio, and the DFA World ex U.S. Government Fixed Income
Portfolio (collectively with the Equity Underlying Funds, the "Equity and Fixed
Income Underlying Funds"). The investment strategy is process driven,
emphasizing broad diversification. As of October 31, 2015, the Equity and Fixed
Income Underlying Funds collectively held more than 12,000 equity securities in
44 countries and approximately 1,100 fixed income securities in 20 countries,
excluding supranationals.
For the 12 months ended October 31, 2015, total returns were 0.00% for the
Portfolio's Institutional Class shares, -0.27% for the Portfolio's Class R2
shares, and 1.62% for a hypothetical composite index composed of 60% MSCI World
Index (net dividends) and 40% Citigroup World Government Bond Index, 1-3 Years,
Currency-Hedged in USD Terms. As a result of the Equity and Fixed Income
Underlying Funds' diversified investment approach, performance was determined
principally by broad trends in global equity and fixed income markets rather
than the behavior of a limited group of securities. The Portfolio's
underperformance relative to the hypothetical composite index was primarily
driven by the Portfolio's equity component.
The Equity Underlying Funds' allocation to emerging markets, which generally
underperformed and are not included in the Index, detracted from the
Portfolio's relative performance. The Equity Underlying Funds' greater
allocation than the Index to value stocks detracted from the Portfolio's
relative performance as value stocks generally underperformed during the
period. The Equity Underlying Funds had greater exposure to U.S. stocks than
the Index. While U.S. stocks generally outperformed other countries, U.S.
small-caps underperformed U.S. large-caps, and the Portfolio's greater
allocation to U.S. small-caps detracted from the Portfolio's relative
performance.
The Portfolio's fixed income component also underperformed the fixed income
component of the Index. Currency exposure within the Selectively Hedged Global
Fixed Income Portfolio detracted from the Portfolio's relative performance as
this Portfolio did not hedge certain currencies that later depreciated against
the U.S. dollar over the period. The underperformance from currency exposure
was partially offset by holding a higher weight in longer-term bonds during a
period when interest rates fell.
Global Allocation 25/75 Portfolio
The Global Allocation 25/75 Portfolio seeks total return consistent with
current income and preservation of capital with some capital appreciation by
investing in a combination of mutual funds managed by Dimensional. The
Portfolio allocates the majority of its assets to fixed income funds, but also
invests a portion of its assets in domestic and international equity funds. As
of the date of this report, the Portfolio's investments in domestic equity
funds include the U.S. Core Equity 1 Portfolio, the U.S. Core Equity 2
Portfolio, and the DFA Real Estate Securities Portfolio; the Portfolio's
investments in international equity funds include the International Core Equity
Portfolio and the Emerging Markets Core Equity Portfolio (collectively, the
"Equity Underlying Funds"); and the Portfolio's investments in fixed income
funds include the DFA Two-Year Global Fixed Income Portfolio, the DFA
Inflation- Protected Securities Portfolio, the DFA Short-Term Extended Quality
Portfolio, and the DFA World ex U.S. Government Fixed Income Portfolio
(collectively with the Equity Underlying Funds, the "Equity and Fixed Income
Underlying Funds"). The investment strategy is process driven, emphasizing
broad diversification. As of
8
October 31, 2015, the Equity and Fixed Income Underlying Funds collectively
held approximately 12,000 equity securities in 44 countries and approximately
700 fixed income securities in 20 countries, excluding supranationals.
For the 12 months ended October 31, 2015, total returns were 0.79% for the
Portfolio's Institutional Class shares, 0.50% for the Portfolio's Class R2
shares, and 1.26% for a hypothetical composite index composed of 25% MSCI World
Index (net dividends) and 75% Citigroup World Government Bond Index, 1-3 Years,
Currency-Hedged in USD Terms. As a result of the Equity and Fixed Income
Underlying Funds' diversified investment approach, performance was determined
principally by broad trends in global equity and fixed income markets rather
than the behavior of a limited group of securities. The Portfolio's
underperformance relative to the hypothetical composite index was primarily
driven by the Portfolio's equity component.
The Equity Underlying Funds' allocation to emerging markets, which generally
underperformed and are not included in the Index, detracted from the
Portfolio's relative performance. The Equity Underlying Funds' greater
allocation than the Index to value stocks detracted from the Portfolio's
relative performance as value stocks generally underperformed during the
period. The Equity Underlying Funds had greater exposure to U.S. stocks than
the Index. While U.S. stocks generally outperformed other countries, U.S.
small-caps underperformed U.S. large-caps, and the Portfolio's greater
allocation to U.S. small-caps detracted from the Portfolio's relative
performance.
The Portfolio's fixed income component slightly outperformed the fixed
income component of the Index. The fixed income component's higher allocation
to U.S. dollar-denominated securities in the 3- to 5-years maturity range,
during a period when rates decreased in that part of the Treasury curve,
contributed to the Portfolio's relative performance. In addition, the fixed
income component benefited from a significant underweight in Japanese
yen-denominated securities as these securities underperformed during this
period.
9
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended October 31, 2015
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/15 10/31/15 Ratio* Period*
--------- --------- ---------- --------
Global Equity Portfolio**
-------------------------
Actual Fund Return
Class R2 Shares.............. $1,000.00 $ 955.00 0.57% $2.81
Institutional Class Shares... $1,000.00 $ 956.20 0.33% $1.63
Hypothetical 5% Annual Return
Class R2 Shares.............. $1,000.00 $1,022.33 0.57% $2.91
Institutional Class Shares... $1,000.00 $1,023.54 0.33% $1.68
10
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/15 10/31/15 Ratio* Period*
--------- --------- ---------- --------
Global Allocation 60/40 Portfolio**
-----------------------------------
Actual Fund Return
Class R2 Shares.................... $1,000.00 $ 968.00 0.55% $2.73
Institutional Class Shares......... $1,000.00 $ 968.90 0.30% $1.49
Hypothetical 5% Annual Return
Class R2 Shares.................... $1,000.00 $1,022.43 0.55% $2.80
Institutional Class Shares......... $1,000.00 $1,023.69 0.30% $1.53
Global Allocation 25/75 Portfolio**
-----------------------------------
Actual Fund Return
Class R2 Shares.................... $1,000.00 $ 987.60 0.52% $2.61
Institutional Class Shares......... $1,000.00 $ 989.10 0.27% $1.35
Hypothetical 5% Annual Return
Class R2 Shares.................... $1,000.00 $1,022.58 0.52% $2.65
Institutional Class Shares......... $1,000.00 $1,023.84 0.27% $1.38
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then divided
by the number of days in the year (365) to reflect the six-month period.
**The Portfolio is a Fund of Funds. The expenses shown reflect the direct
expenses of the Fund of Funds and the indirect payment of the Fund of Funds'
portion of the expenses of its Master Funds (Affiliated Investment Companies).
11
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on September 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.
Affiliated Investment Companies
-------------------------------
Global Equity Portfolio........... 100.0%
Global Allocation 60/40 Portfolio. 100.0%
Global Allocation 25/75 Portfolio. 100.0%
12
GLOBAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2015
Shares Value+
----------- --------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in U.S. Core Equity 2 Portfolio of
DFA Investment Dimensions Group Inc.............................. 127,434,997 $2,199,528,051
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc.............................. 91,159,707 1,065,656,979
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc.............................. 41,104,595 735,772,242
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc.............................. 16,744,361 281,472,707
Investment in DFA Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc.............................. 2,956,690 97,689,041
Investment in The Canadian Small Company Series of
The DFA Investment Trust Company................................. 747
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $3,306,870,556)......................................... 4,380,119,767
--------------
TEMPORARY CASH INVESTMENTS -- (0.0%)
State Street Institutional Liquid Reserves, 0.140%
(Cost $259,790).................................................. 259,790 259,790
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,307,130,346)......................................... $4,380,379,557
==============
Summary of the Global 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.. $4,380,119,767 -- -- $4,380,119,767
Temporary Cash Investments....... 259,790 -- -- 259,790
-------------- -- -- --------------
TOTAL............................ $4,380,379,557 -- -- $4,380,379,557
============== == == ==============
See accompanying Notes to Financial Statements.
13
GLOBAL ALLOCATION 60/40 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................................. 51,910,127 $ 895,968,791
Investment in DFA Selectively Hedged Global Fixed Income Portfolio of
DFA Investment Dimensions Group Inc................................. 46,890,100 441,235,836
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................. 36,706,370 429,097,463
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc................................. 17,093,708 305,977,381
Investment in DFA Short-Term Extended Quality Portfolio of
DFA Investment Dimensions Group Inc................................. 27,221,196 294,533,342
Investment in DFA Intermediate-Term Extended Quality Portfolio of
DFA Investment Dimensions Group Inc................................. 13,813,286 147,387,760
Investment in DFA Five-Year Global Fixed Income Portfolio of
DFA Investment Dimensions Group Inc................................. 13,261,183 146,933,907
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................. 6,701,066 112,644,915
Investment in DFA World ex U.S. Government Fixed Income Portfolio of
DFA Investment Dimensions Group Inc................................. 7,140,305 74,830,391
Investment in DFA Inflation-Protected Securities Portfolio of
DFA Investment Dimensions Group Inc................................. 6,404,163 73,904,038
Investment in DFA Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc................................. 1,120,133 37,009,210
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $2,590,460,934)............................................ 2,959,523,034
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,590,460,934)............................................ $2,959,523,034
==============
Summary of the Global 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... $2,959,523,034 -- -- $2,959,523,034
-------------- -- -- --------------
TOTAL............................. $2,959,523,034 -- -- $2,959,523,034
============== == == ==============
See accompanying Notes to Financial Statements.
14
GLOBAL ALLOCATION 25/75 PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2015
Shares Value+
---------- ------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in DFA Two-Year Global Fixed Income Portfolio of
DFA Investment Dimensions Group Inc................................ 21,629,957 $215,434,376
Investment in DFA Short-Term Extended Quality Portfolio of
DFA Investment Dimensions Group Inc................................ 19,874,122 215,037,996
Investment in U.S. Core Equity 2 Portfolio of
DFA Investment Dimensions Group Inc................................ 5,317,973 91,788,218
Investment in DFA Inflation-Protected Securities Portfolio of
DFA Investment Dimensions Group Inc................................ 6,806,107 78,542,480
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................ 3,742,617 43,751,194
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc................................ 1,702,583 30,476,239
Investment in DFA World ex U.S. Government Fixed Income Portfolio of
DFA Investment Dimensions Group Inc................................ 2,714,407 28,446,987
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................ 648,034 10,893,457
Investment in DFA Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc................................ 119,118 3,935,666
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $661,458,369)............................................. 718,306,613
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $661,458,369)............................................. $718,306,613
============
Summary of the Global 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. $718,306,613 -- -- $718,306,613
------------ -- -- ------------
TOTAL........................... $718,306,613 -- -- $718,306,613
============ == == ============
See accompanying Notes to Financial Statements.
15
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2015
(Amounts in thousands, except share and per share amounts)
Global Global
Global Equity Allocation Allocation
Portfolio 60/40 Portfolio 25/75 Portfolio
-------------- --------------- ---------------
ASSETS:
Investments in Affiliated Investment Companies at Value................ $ 4,380,120 $ 2,959,523 $ 718,307
Temporary Cash Investments at Value & Cost............................. 260 -- --
Receivables:
Affiliated Investment Companies Sold................................. -- 4,017 --
Dividends............................................................ 1 -- --
Fund Shares Sold..................................................... 3,636 1,527 664
Prepaid Expenses and Other Assets...................................... 116 71 26
-------------- ------------ ------------
Total Assets...................................................... 4,384,133 2,965,138 718,997
-------------- ------------ ------------
LIABILITIES:
Payables:
Fund Shares Redeemed................................................. 1,779 1,728 6,349
Due to Advisor....................................................... 59 67 21
Line of Credit....................................................... -- 3,531 99
Accrued Expenses and Other Liabilities................................. 217 127 28
-------------- ------------ ------------
Total Liabilities................................................. 2,055 5,453 6,497
-------------- ------------ ------------
NET ASSETS............................................................. $ 4,382,078 $ 2,959,685 $ 712,500
============== ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE:
Class R2 Shares -- based on net assets of $50,269; $5,455 and $428 and
shares outstanding of 2,744,280; 347,473 and 33,612, respectively..... $ 18.32 $ 15.70 $ 12.74
============== ============ ============
NUMBER OF SHARES AUTHORIZED............................................ 500,000,000 300,000,000 300,000,000
============== ============ ============
Institutional Class Shares -- based on net assets of $4,331,809;
$2,954,230 and $712,072 and shares outstanding of 238,367,367;
189,775,730 and 55,999,591, respectively.............................. $ 18.17 $ 15.57 $ 12.72
============== ============ ============
NUMBER OF SHARES AUTHORIZED............................................ 1,200,000,000 800,000,000 600,000,000
============== ============ ============
Investments in Affiliated Investment Companies at Cost................. $ 3,306,871 $ 2,590,461 $ 661,458
============== ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital........................................................ $ 3,493,290 $ 2,614,617 $ 662,100
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income).................................................... 1,358 2,217 (11)
Accumulated Net Realized Gain (Loss)................................... (185,819) (26,211) (6,438)
Net Unrealized Appreciation (Depreciation)............................. 1,073,249 369,062 56,849
-------------- ------------ ------------
NET ASSETS............................................................. $ 4,382,078 $ 2,959,685 $ 712,500
============== ============ ============
See accompanying Notes to Financial Statements.
16
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2015
(Amounts in thousands)
Global Global
Global Equity Allocation Allocation
Portfolio* 60/40 Portfolio 25/75 Portfolio
------------- --------------- ---------------
Investment Income
Net Investment Income Received from Affiliated Investment Companies
Income Distributions............................................... $ 80,999 $ 56,235 $11,523
-------- -------- -------
Total Investment Income Received from Affiliated Investment
Companies........................................................ 80,999 56,235 11,523
-------- -------- -------
Fund Investment Income
Dividends............................................................ 3 2 1
Fund Expenses
Investment Advisory Services Fees.................................... 3,614 2,056 399
Administrative Services Fees......................................... 8,975 5,078 1,013
Accounting & Transfer Agent Fees..................................... 26 19 8
Custodian Fees....................................................... 1 1 1
Shareholder Servicing Fees -- Class R2 Shares........................ 83 12 1
Filing Fees.......................................................... 209 134 41
Shareholders' Reports................................................ 204 120 29
Directors'/Trustees' Fees & Expenses................................. 19 13 3
Professional Fees.................................................... 13 9 4
Other................................................................ 239 164 46
-------- -------- -------
Total Expenses.................................................... 13,383 7,606 1,545
-------- -------- -------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor (Note C)....................................... (12,093) (6,461) (1,181)
-------- -------- -------
Net Expenses......................................................... 1,290 1,145 364
-------- -------- -------
Net Investment Income (Loss)......................................... 79,712 55,092 11,160
-------- -------- -------
Realized and Unrealized Gain (Loss)
Capital Gain Distributions Received from Affiliated Investment
Companies........................................................... 15,304 7,822 1,385
Net Realized Gain (Loss) on:
Affiliated Investment Companies Shares Sold........................ (3,795) (7,296) (1,571)
Change in Unrealized Appreciation (Depreciation) of:
Affiliated Investment Companies Shares............................. (94,974) (60,385) (5,723)
-------- -------- -------
Net Realized and Unrealized Gain (Loss).............................. (83,465) (59,859) (5,909)
-------- -------- -------
Net Increase (Decrease) in Net Assets Resulting from Operations........ $ (3,753) $ (4,767) $ 5,251
======== ======== =======
----------
* Investment Income and a portion of Realized and Unrealized Gain (Loss) were
allocated from the Portfolio's Master Fund (Affiliated Investment Company).
See accompanying Notes to Financial Statements.
17
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Global Allocation Global Allocation
Global Equity Portfolio 60/40 Portfolio 25/75 Portfolio
---------------------- ---------------------- -------------------
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2015 2014 2015 2014
---------- ---------- ---------- ---------- --------- --------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................ $ 79,712 $ 65,170 $ 55,092 $ 36,785 $ 11,160 $ 8,374
Capital Gain Distributions Received from
Affiliated Investment Companies............ 15,304 16,780 7,822 8,355 1,385 1,259
Net Realized Gain (Loss) on:
Investment Securities Sold/Affiliated
Investment Companies Shares
Sold..................................... (3,795) 163 (7,296) (664) (1,571) 223
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities/Affiliated
Investment Companies Shares.............. (94,974) 205,232 (60,385) 73,888 (5,723) 9,670
---------- ---------- ---------- ---------- --------- --------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.............................. (3,753) 287,345 (4,767) 118,364 5,251 19,526
---------- ---------- ---------- ---------- --------- --------
Distributions From:
Net Investment Income:
Class R2 Shares........................... (514) (134) (73) (199) (7) (22)
Institutional Class Shares................ (78,276) (65,182) (54,118) (37,372) (13,381) (8,678)
Net Short-Term Gains:
Institutional Class Shares................ -- -- -- -- (306) --
Net Long-Term Gains:
Class R2 Shares........................... -- -- -- -- (1) (5)
Institutional Class Shares................ -- -- -- -- (1,076) (1,337)
---------- ---------- ---------- ---------- --------- --------
Total Distributions...................... (78,790) (65,316) (54,191) (37,571) (14,771) (10,042)
---------- ---------- ---------- ---------- --------- --------
Capital Share Transactions:
Shares Issued............................... 1,327,991 1,098,107 984,888 1,108,243 247,016 193,473
Shares Issued in Lieu of Cash
Distributions.............................. 77,839 64,467 52,988 36,470 14,742 10,025
Shares Redeemed............................. (773,605) (576,635) (639,007) (467,643) (213,296) (98,751)
---------- ---------- ---------- ---------- --------- --------
Net Increase (Decrease) from Capital
Share Transactions...................... 632,225 585,939 398,869 677,070 48,462 104,747
---------- ---------- ---------- ---------- --------- --------
Total Increase (Decrease) in Net
Assets.................................. 549,682 807,968 339,911 757,863 38,942 114,231
Net Assets
Beginning of Year........................... 3,832,396 3,024,428 2,619,774 1,861,911 673,558 559,327
---------- ---------- ---------- ---------- --------- --------
End of Year................................. $4,382,078 $3,832,396 $2,959,685 $2,619,774 $ 712,500 $673,558
========== ========== ========== ========== ========= ========
Undistributed Net Investment Income
(Distributions in Excess of Net
Investment Income)........................... $ 1,358 $ 436 $ 2,144 $ 1,262 $ (11) $ 297
See accompanying Notes to Financial Statements.
18
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Class R2 Shares
Global Equity Portfolio-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.................................... $ 18.66 $ 17.44 $13.78 $12.67 $12.71
------- ------- ------ ------ ------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)..................................... 0.31 0.28 0.27 0.24 0.22
Net Gains (Losses) on Securities (Realized and Unrealized)........... (0.34) 1.24 3.67 1.10 (0.04)
------- ------- ------ ------ ------
Total from Investment Operations................................... (0.03) 1.52 3.94 1.34 0.18
---------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................................................ (0.31) (0.30) (0.28) (0.23) (0.22)
Net Realized Gains................................................... -- -- -- -- --
------- ------- ------ ------ ------
Total Distributions................................................ (0.31) (0.30) (0.28) (0.23) (0.22)
---------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year.......................................... $ 18.32 $ 18.66 $17.44 $13.78 $12.67
===================================================================== ======== ======== ======== ======== ========
Total Return.......................................................... (0.16)% 8.73% 28.87% 10.78% 1.34%
---------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)................................... $50,269 $10,109 $5,517 $4,055 $4,294
Ratio of Expenses to Average Net Assets (B)........................... 0.57% 0.56% 0.57% 0.60% 0.60%
Ratio of Expenses to Average Net Assets (Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B). 0.86% 0.85% 0.87% 0.90% 0.90%
Ratio of Net Investment Income to Average Net Assets.................. 1.67% 1.54% 1.76% 1.85% 1.61%
---------------------------------------------------------------------------------------------------------------------
Global Allocation 60/40 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.................................... $16.01 $15.32 $ 13.40 $ 12.66 $12.51
------ ------ ------- ------- ------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)..................................... 0.26 0.22 0.24 0.21 0.23
Net Gains (Losses) on Securities (Realized and Unrealized)........... (0.31) 0.67 1.93 0.78 0.16
------ ------ ------- ------- ------
Total from Investment Operations................................... (0.05) 0.89 2.17 0.99 0.39
------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................................................ (0.26) (0.20) (0.25) (0.25) (0.23)
Net Realized Gains................................................... -- -- -- -- (0.01)
------ ------ ------- ------- ------
Total Distributions................................................ (0.26) (0.20) (0.25) (0.25) (0.24)
------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year.......................................... $15.70 $16.01 $ 15.32 $ 13.40 $12.66
===================================================================== ======== ======== ======== ======== ========
Total Return.......................................................... (0.27)% 5.85% 16.35% 8.05% 3.13%
------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)................................... $5,455 $3,259 $14,140 $11,403 $3,353
Ratio of Expenses to Average Net Assets (B)........................... 0.54% 0.54% 0.54% 0.56% 0.58%
Ratio of Expenses to Average Net Assets (Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B). 0.77% 0.77% 0.77% 0.79% 0.81%
Ratio of Net Investment Income to Average Net Assets.................. 1.61% 1.42% 1.71% 1.60% 1.76%
------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
19
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Class R2 Shares
Global Allocation 25/75 Portfolio-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..................................... $12.93 $12.75 $12.16 $11.78 $11.65
------ ------ ------ ------ ------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)...................................... 0.14 0.14 0.16 0.14 0.16
Net Gains (Losses) on Securities (Realized and Unrealized)............ (0.08) 0.20 0.58 0.43 0.15
------ ------ ------ ------ ------
Total from Investment Operations.................................... 0.06 0.34 0.74 0.57 0.31
-------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................................................. (0.23) (0.13) (0.15) (0.18) (0.16)
Net Realized Gains.................................................... (0.02) (0.03) -- (0.01) (0.02)
------ ------ ------ ------ ------
Total Distributions................................................. (0.25) (0.16) (0.15) (0.19) (0.18)
-------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year........................................... $12.74 $12.93 $12.75 $12.16 $11.78
====================================================================== ========= ========= ========= ========= =========
Total Return........................................................... 0.50% 2.69% 6.15% 4.86% 2.71%
-------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).................................... $ 428 $ 183 $2,215 $2,449 $ 408
Ratio of Expenses to Average Net Assets (B)............................ 0.51% 0.52% 0.53% 0.59% 0.77%
Ratio of Expenses to Average Net Assets (Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B).. 0.68% 0.69% 0.70% 0.76% 0.94%
Ratio of Net Investment Income to Average Net Assets................... 1.12% 1.09% 1.28% 1.14% 1.35%
-------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
20
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Institutional Class Shares
Global Equity Portfolio-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.................................. $ 18.51 $ 17.30 $ 13.67 $ 12.58 $ 12.62
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................... 0.35 0.34 0.31 0.27 0.25
Net Gains (Losses) on Securities (Realized and Unrealized)......... (0.34) 1.21 3.63 1.09 (0.04)
---------- ---------- ---------- ---------- ----------
Total from Investment Operations................................. 0.01 1.55 3.94 1.36 0.21
---------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.............................................. (0.35) (0.34) (0.31) (0.27) (0.25)
Net Realized Gains................................................. -- -- -- -- --
---------- ---------- ---------- ---------- ----------
Total Distributions.............................................. (0.35) (0.34) (0.31) (0.27) (0.25)
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year........................................ $ 18.17 $ 18.51 $ 17.30 $ 13.67 $ 12.58
=================================================================== ========== ========== ========== ========== ==========
Total Return........................................................ 0.07% 9.03% 29.19% 11.00% 1.62%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)................................. $4,331,809 $3,822,287 $3,018,911 $2,143,950 $1,813,296
Ratio of Expenses to Average Net Assets (B)......................... 0.31% 0.31% 0.31% 0.33% 0.33%
Ratio of Expenses to Average Net Assets (Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees Recovered by
Advisor) (B)....................................................... 0.60% 0.60% 0.61% 0.63% 0.63%
Ratio of Net Investment Income to Average Net Assets................ 1.90% 1.87% 2.02% 2.05% 1.90%
---------------------------------------------------------------------------------------------------------------------------------
Global Allocation 60/40 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.................................. $ 15.88 $ 15.24 $ 13.33 $ 12.59 $ 12.45
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................... 0.31 0.27 0.27 0.28 0.26
Net Gains (Losses) on Securities (Realized and Unrealized)......... (0.31) 0.65 1.92 0.75 0.16
---------- ---------- ---------- ---------- ----------
Total from Investment Operations................................. -- 0.92 2.19 1.03 0.42
---------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.............................................. (0.31) (0.28) (0.28) (0.29) (0.27)
Net Realized Gains................................................. -- -- -- -- (0.01)
---------- ---------- ---------- ---------- ----------
Total Distributions.............................................. (0.31) (0.28) (0.28) (0.29) (0.28)
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year........................................ $ 15.57 $ 15.88 $ 15.24 $ 13.33 $ 12.59
=================================================================== ========== ========== ========== ========== ==========
Total Return........................................................ --% 6.08% 16.65% 8.37% 3.34%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)................................. $2,954,230 $2,616,515 $1,847,771 $1,363,322 $1,129,945
Ratio of Expenses to Average Net Assets (B)......................... 0.29% 0.29% 0.29% 0.30% 0.31%
Ratio of Expenses to Average Net Assets (Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees Recovered by
Advisor) (B)....................................................... 0.52% 0.52% 0.52% 0.53% 0.54%
Ratio of Net Investment Income to Average Net Assets................ 1.93% 1.70% 1.93% 2.18% 2.03%
---------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
21
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Institutional Class Shares
Global Allocation 25/75 Portfolio-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.................................. $ 12.89 $ 12.69 $ 12.11 $ 11.73 $ 11.60
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................... 0.20 0.17 0.18 0.20 0.21
Net Gains (Losses) on Securities (Realized and Unrealized)......... (0.10) 0.24 0.59 0.41 0.16
-------- -------- -------- -------- --------
Total from Investment Operations................................. 0.10 0.41 0.77 0.61 0.37
---------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.............................................. (0.25) (0.18) (0.19) (0.22) (0.22)
Net Realized Gains................................................. (0.02) (0.03) -- (0.01) (0.02)
-------- -------- -------- -------- --------
Total Distributions.............................................. (0.27) (0.21) (0.19) (0.23) (0.24)
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year........................................ $ 12.72 $ 12.89 $ 12.69 $ 12.11 $ 11.73
=================================================================== =========== ========== ========== ========== ==========
Total Return........................................................ 0.79% 3.30% 6.38% 5.22% 3.23%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)................................. $712,072 $673,375 $557,112 $417,679 $300,213
Ratio of Expenses to Average Net Assets (B)......................... 0.26% 0.27% 0.27% 0.28% 0.28%
Ratio of Expenses to Average Net Assets (Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees Recovered by
Advisor) (B)....................................................... 0.43% 0.44% 0.44% 0.45% 0.45%
Ratio of Net Investment Income to Average Net Assets................ 1.58% 1.36% 1.47% 1.71% 1.83%
---------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
22
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. Organization:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund currently offers fifteen portfolios,
three of which, Global Equity Portfolio, Global Allocation 60/40 Portfolio and
Global Allocation 25/75 Portfolio (each a "Global Fund" and collectively, the
"Global Funds"), are presented in this report. The remaining operational
portfolios are presented in separate reports.
The Global Funds achieve their investment objectives by primarily investing
in other portfolios within DFA Investment Dimensions Group Inc. ("IDG") and The
DFA Investment Trust Company ("ITC") (collectively, the "Master Funds").
Global Funds (Percentage of Ownership at October 31, 2015)
------------------------------------------------------------
Global Equity Global Allocation 60/40 Global Allocation 25/75
Master Funds Portfolio Portfolio Portfolio
------------ ------------- ----------------------- -----------------------
U.S. Core Equity 1 Portfolio (IDG)........... 6% 2% --*
U.S. Core Equity 2 Portfolio (IDG)........... 14% 6% 1%
DFA Real Estate Securities Portfolio (IDG)... 1% 1% --*
International Core Equity Portfolio (IDG).... 7% 3% --*
Emerging Markets Core Equity Portfolio
(IDG)...................................... 2% 1% --*
DFA Two-Year Global Fixed Income Portfolio
(IDG)...................................... N/A N/A 4%
DFA Selectively Hedged Global Fixed Income
Portfolio (IDG)............................ N/A 45% N/A
DFA Five-Year Global Fixed Income Portfolio
(IDG)...................................... N/A 1% N/A
DFA Inflation-Protected Securities Portfolio
(IDG)...................................... N/A 2% 3%
DFA Short-Term Extended Quality Portfolio
(IDG)...................................... N/A 8% 6%
DFA Intermediate-Term Extended Quality
Portfolio (IDG)............................ N/A 14% N/A
The Canadian Small Company Series (ITC)...... --* N/A N/A
DFA World ex U.S. Government Fixed Income
Portfolio (IDG)............................ N/A 14% 5%
N/A -- Global Fund does not have any ownership in Master Fund.
*Amounts designated as -- are less than 1%.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
23
1. Security Valuation: The Global Funds utilize a fair value hierarchy
which prioritizes the inputs to valuation techniques used to measure fair value
into three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Global Funds'
own assumptions in determining the fair value of investments)
Master Fund shares held by the Global Funds (except the Global Equity
Portfolio's investment in The Canadian Small Company Series) are valued at
their respective daily net asset values as reported by their administrator, as
these Master Funds are treated as regulated investment companies. The Global
Equity Portfolio's investment in The Canadian Small Company Series, which is
taxed as a partnership, reflects its proportionate interest in the net assets
of the Series. These securities are generally categorized as Level 1 in the
hierarchy.
A summary of the inputs used to value the Global Funds net assets by each
major security type is disclosed previously in this note. Valuation hierarchy
tables have been included at the end of the Schedule of Investments. The inputs
or methodology used for valuing securities are not necessarily an indication of
the risk associated with investing in those securities.
For the 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
Global Funds.
2. Deferred Compensation Plan: Each eligible Director/Trustee of the Fund
may elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such
Directors/Trustees may defer payment of all or a portion of their total fees
earned as a Director/Trustee. These deferred amounts may be treated as though
such amounts had been invested in shares of the following funds: U.S. Large Cap
Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio;
U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value
Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio;
Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income are included in Directors'/Trustees'
Fees & Expenses.
Each Director/Trustee has the option to receive their distribution of
proceeds in one of the following methods: lump sum; annual installments over a
period of agreed upon years; or quarterly installments over a period of agreed
upon years. Each Director/Trustee shall have the right in a notice of election
(the "Notice") to defer the receipt of the Director's/Trustee's deferred
compensation until a date specified by such Director/Trustee in the Notice,
which date may not be sooner than the earlier of: (i) the first business day of
January following the year in which such Director/Trustee ceases to be a member
of the Board; and (ii) five years following the effective date of the
Director's/Trustee's first deferral election. If a Director/Trustee who elects
to defer fees fails to designate in the Notice a time or date as of which
payment of the Director's/Trustee's deferred fee account shall commence,
payment of such amount shall commence as of the first business day of January
following the year in which the Director/Trustee ceases to be a member of the
Board (unless the Director/Trustee files an amended Notice selecting a
different distribution date). As of October 31, 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 affiliated
investment company shares are on the basis of identified cost. Dividend income
and distributions to shareholders are recorded on the ex-dividend date.
Distributions received from the investment in affiliated investment companies
that represent a return of capital or capital gains are recorded as a reduction
of cost of investments or as a realized gain, respectively. The Global Funds
estimate the character of distributions received that may be considered return
of capital distributions. Interest income is recorded on an accrual basis.
Expenses directly attributable to a Global Fund are directly charged. Common
expenses of the Fund or Global Funds are allocated using methods approved by
the Board, generally based on average net assets.
24
Class R2 Shares and Institutional Class Shares have equal rights to assets
and earnings of its Global Fund. Income, gains and losses, and common expenses
of each Global Fund are allocated to each class of shares based on its relative
net assets. Each class will bear its own class-specific expenses, if any.
C. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides investment advisory
services to the Global Funds and Master Funds. Prior to July 21, 2015, the
Advisor received no compensation for the investment advisory services it
provided to the Global Funds. On May 8, 2015 and June 10, 2015 at a Special
Joint Meeting of Shareholders, shareholders of the Global Funds 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 Global Fund. The rate
charged under the new investment management agreement for investment management
services is equal to the rate charged under each Global Fund's previous
investment advisory and administration agreements with the Advisor. Prior to
July 21, 2015, the Global Equity Portfolio, Global Allocation 60/40 Portfolio
and Global Allocation 25/75 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 an effective annual rate of 0.30%, 0.25%, and 0.20%,
respectively, of average daily net assets. Effective July 21, 2015, the Global
Equity Portfolio's, Global Allocation 60/40 Portfolio's and Global Allocation
25/75 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 an effective annual rate of 0.30%, 0.25%, and 0.20%,
respectively, of average daily net assets.
Pursuant to an Amended and Restated Fee Waiver Agreement (the "Fee Waiver
Agreement"), the Advisor has agreed to waive certain fees of the Global Funds,
as described below. The Fee Waiver Agreement for the Global Funds 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.
Effective July 21, 2015, pursuant to the Fee Waiver Agreement, in order to
limit the total management fees received by the Advisor, the Advisor has agreed
to waive the management fee each Global Fund pays to the Advisor to the extent
necessary to limit the proportionate share of the total combined management fee
paid by a class of each Global Fund and management fees paid by each Global
Fund's Master Funds to the Advisor, on an annualized basis (the "Annualized
Expense Ratio"), to the expense limitations listed below based on a percentage
of average net assets on an annualized basis. The maximum amount waived under
this waiver is the full amount of a Global Fund's management fee to the Advisor.
At any time that the Annualized Expense Ratio of a class of a Global Fund is
less than the expense limitations listed below for such class of the Global
Fund, the Advisor retains the right to recover any fees previously waived to
the extent that such recovery will not cause the Annualized Expense Ratio of
such class of shares of the Global Fund to exceed the expense limitation listed
below. The Global Funds are not obligated to reimburse the Advisor for fees
waived by the Advisor more than 36 months before the date of such reimbursement.
Previously
Recovery Waived Fees/
of Previously Expenses
Waived Fees/ Assumed
Expense Expenses Subject to Future
Institutional Class Shares Limitation Amount Assumed Recovery
-------------------------- ----------------- ------------- -----------------
Global Equity Portfolio............ 0.27% -- $29,731
Global Allocation 60/40 Portfolio.. 0.25% -- 15,106
Global Allocation 25/75 Portfolio.. 0.22% -- 3,032
Class R2 Shares
Global Equity Portfolio............ 0.27% -- 134
Global Allocation 60/40 Portfolio.. 0.25% -- 73
Global Allocation 25/75 Portfolio.. 0.22% -- 8
25
Prior to July 21, 2015, in order to limit the total administration and
management fees received by the Advisor, the Advisor had agreed to waive the
administration fee each Global Fund paid to the Advisor to the extent necessary
to limit the proportionate share of the total combined administration fee paid
by a class of each Global Fund and management fees paid by each Global Fund's
Master Funds to the Advisor to the expense limitations listed above. The
maximum amount waived under this waiver was the full amount of a Global Fund's
administration fee to the Advisor.
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 of the Global Funds 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):
Global Equity Portfolio............ $76
Global Allocation 60/40 Portfolio.. 46
Global Allocation 25/75 Portfolio.. 12
E. Purchases and Sales of Securities:
For the year ended October 31, 2015, the Global Funds made the following
purchases and sales of Affiliated Investment Companies (amounts in thousands):
Global Equity Portfolio
-------------------------------------------------------------------------
Balance at Balance at Distributions of
Affiliated Investment Companies 10/31/2014 10/31/2015 Purchases Sales Dividend Income Realized Gains
------------------------------- ---------- ---------- --------- -------- --------------- ----------------
U.S. Core Equity 2 Portfolio... $1,818,265 $2,199,529 $433,011 $ 35,822 $32,680 $12,582
International Core Equity
Portfolio.................... 1,026,352 1,065,657 194,524 119,703 28,569 --
U.S. Core Equity 1 Portfolio... 606,197 735,772 139,299 15,086 11,404 2,722
Emerging Markets Core Equity
Portfolio.................... 321,057 281,473 72,906 57,965 6,128 --
DFA Real Estate Securities
Portfolio.................... 61,618 97,689 40,039 5,803 2,219 --
---------- ---------- -------- -------- ------- -------
Total.......................... $3,833,489 $4,380,120 $879,779 $234,379 $81,000 $15,304
========== ========== ======== ======== ======= =======
26
Global Allocation 60/40 Portfolio
-------------------------------------------------------------------------
Balance at Balance at Distributions of
Affiliated Investment Companies 10/31/2014 10/31/2015 Purchases Sales Dividend Income Realized Gains
------------------------------- ---------- ---------- --------- -------- --------------- ----------------
U.S. Core Equity 2 Portfolio....... $ 735,736 $ 895,969 $167,721 $ 1,997 $13,347 $5,256
DFA Selectively Hedged Global
Fixed Income Portfolio........... 380,848 441,236 99,628 14,032 6,250 --
International Core Equity
Portfolio........................ 409,850 429,098 106,676 73,675 11,453 --
U.S. Core Equity 1 Portfolio....... 249,695 305,977 63,697 10,695 4,647 1,140
DFA Short-Term Extended Quality
Portfolio........................ 254,589 294,533 55,961 14,974 5,058 158
DFA Intermediate-Term Extended
Quality Portfolio................ 127,076 147,388 31,386 9,361 4,880 562
DFA Five-Year Global Fixed
Income Portfolio................. 127,078 146,934 25,470 5,976 2,541 234
Emerging Markets Core Equity
Portfolio........................ 129,105 112,645 29,545 24,507 2,452 --
DFA World ex U.S. Government
Fixed Income Portfolio........... 63,590 74,830 16,160 3,035 4,244 317
DFA Inflation-Protected Securities
Portfolio........................ 63,548 73,904 12,916 1,301 438 155
DFA Real Estate Securities
Portfolio........................ 24,992 37,009 11,491 -- 925 --
---------- ---------- -------- -------- ------- ------
Total.............................. $2,566,107 $2,959,523 $620,651 $159,553 $56,235 $7,822
========== ========== ======== ======== ======= ======
Global Allocation 25/75 Portfolio
-------------------------------------------------------------------------
Balance at Balance at Distributions of
Affiliated Investment Companies 10/31/2014 10/31/2015 Purchases Sales Dividend Income Realized Gains
------------------------------- ---------- ---------- --------- -------- --------------- ----------------
DFA Two-Year Global Fixed
Income Portfolio................. $ 200,814 $ 215,434 $ 37,507 $ 21,653 $ 2,151 $ 267
DFA Short-Term Extended Quality
Portfolio........................ 200,324 215,038 37,017 21,570 3,749 123
U.S. Core Equity 2 Portfolio....... 80,373 91,788 18,908 7,321 1,389 563
DFA Inflation-Protected Securities
Portfolio........................ 73,719 78,543 15,305 9,163 459 177
International Core Equity
Portfolio........................ 45,359 43,751 12,152 12,300 1,169 --
U.S. Core Equity 1 Portfolio....... 27,893 30,476 9,339 7,212 485 123
DFA World ex U.S. Government
Fixed Income Portfolio........... 27,004 28,447 5,463 3,231 1,776 132
Emerging Markets Core Equity
Portfolio........................ 13,773 10,894 4,368 5,112 246 --
DFA Real Estate Securities
Portfolio........................ 2,848 3,936 1,329 332 99 --
---------- ---------- -------- -------- ------- ------
Total.............................. $ 672,107 $ 718,307 $141,388 $ 87,894 $11,523 $1,385
========== ========== ======== ======== ======= ======
F. Federal Income Taxes:
Each Global Fund has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to its shareholders. Accordingly, no
provision has been made for federal income taxes.
27
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 passive foreign
investment companies, short term distributions received from underlying RICs,
return of capital, the utilization of accumulated earnings and profits
distributed to shareholders on redemptions of shares as part of the dividends
paid deduction for income tax purposes, were reclassified to the following
accounts. These reclassifications had no effect on net assets or net asset
value per share (amounts in thousands):
Increase Increase
(Decrease) (Decrease)
Increase Undistributed Accumulated
(Decrease) Net Investment Net Realized
Paid-In Capital Income Gains (Losses)
--------------- -------------- --------------
Global Equity Portfolio............ -- -- --
Global Allocation 60/40 Portfolio.. $100 $ 53 $ (153)
Global Allocation 25/75 Portfolio.. 17 1,920 (1,937)
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
-------------- ------------- -------
Global Equity Portfolio
2014.............................. $65,316 -- $65,316
2015.............................. 78,790 -- 78,790
Global Allocation 60/40 Portfolio
2014.............................. 37,571 -- 37,571
2015.............................. 54,191 -- 54,191
Global Allocation 25/75 Portfolio
2014.............................. 8,701 $1,342 10,043
2015.............................. 12,062 2,710 14,772
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
-------------- ------------- -----
Global Allocation 60/40 Portfolio.. $100 -- $100
Global Allocation 25/75 Portfolio.. -- $17 17
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)
-------------- ------------- ------------- -------------- -------------
Global Equity Portfolio............ $1,435 -- $(59,727) $947,157 $888,865
Global Allocation 60/40 Portfolio.. 2,267 -- (9,873) 352,723 345,117
Global Allocation 25/75 Portfolio.. -- $ 7 -- 50,405 50,412
28
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 Global Funds after October 31, 2011 will not be subject
to expiration and will retain their character as either short-term or long-term
capital losses. In addition, such losses must be utilized prior to the losses
incurred in the years preceding enactment. As of October 31, 2015, the Global
Funds had the following capital loss carryforwards available to offset future
realized capital gains through the indicated expiration dates (amounts in
thousands):
Expires on October 31,
--------------------
2017 2018 2019 Total
------- ------- ---- -------
Global Equity Portfolio............ $48,164 $10,998 $565 $59,727
Global Allocation 60/40 Portfolio.. 8,890 983 -- 9,873
Global Allocation 25/75 Portfolio.. -- -- -- --
During the year ended October 31, 2015, the Global Funds utilized the
following capital loss carryforwards to offset realized capital gains for
federal income tax purposes (amounts in thousands):
Global Equity Portfolio............ $15,715
Global Allocation 60/40 Portfolio.. 3,251
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)
----------- ------------ ------------ --------------
Global Equity Portfolio............ $3,433,223 $947,370 $ (214) $947,156
Global Allocation 60/40 Portfolio.. 2,606,800 384,571 (31,848) 352,723
Global Allocation 25/75 Portfolio.. 667,901 53,175 (2,770) 50,405
The difference between book basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales.
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed each Global
Fund's tax positions and has concluded that no additional provision for income
tax is required in any Global Fund's financial statements. No Global Fund is
aware of any tax positions for which it is more likely than not that the total
amounts of unrecognized tax benefits will significantly change in the next
twelve months. Each Global Fund's federal tax returns for the prior three
fiscal years remain subject to examination by the Internal Revenue Service.
29
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
---------- ------- ---------- -------
Global Equity Portfolio
Class R2 Shares
Shares Issued...................... $ 47,806 2,494 $ 7,745 428
Shares Issued in Lieu of Cash
Distributions..................... 514 28 134 7
Shares Redeemed.................... (5,932) (320) (3,974) (209)
---------- ------- ---------- -------
Net Increase (Decrease) -- Class R2
Shares............................. $ 42,388 2,202 $ 3,905 226
========== ======= ========== =======
Institutional Class Shares
Shares Issued...................... $1,280,185 69,123 $1,090,362 59,996
Shares Issued in Lieu of Cash
Distributions..................... 77,325 4,252 64,333 3,519
Shares Redeemed.................... (767,673) (41,550) (572,661) (31,443)
---------- ------- ---------- -------
Net Increase (Decrease) --
Institutional Class Shares......... $ 589,837 31,825 $ 582,034 32,072
========== ======= ========== =======
Global Allocation 60/40 Portfolio
Class R2 Shares
Shares Issued...................... $ 3,036 189 $ 2,681 172
Shares Issued in Lieu of Cash
Distributions..................... 73 5 199 13
Shares Redeemed.................... (804) (51) (14,709) (904)
---------- ------- ---------- -------
Net Increase (Decrease) -- Class R2
Shares............................. $ 2,305 143 $ (11,829) (719)
========== ======= ========== =======
Institutional Class Shares
Shares Issued...................... $ 981,852 62,082 $1,105,562 70,150
Shares Issued in Lieu of Cash
Distributions..................... 52,915 3,412 36,271 2,321
Shares Redeemed.................... (638,203) (40,468) (452,934) (28,951)
---------- ------- ---------- -------
Net Increase (Decrease) --
Institutional Class Shares......... $ 396,564 25,026 $ 688,899 43,520
========== ======= ========== =======
Global Allocation 25/75 Portfolio
Class R2 Shares
Shares Issued...................... $ 418 33 $ 106 8
Shares Issued in Lieu of Cash
Distributions..................... 8 1 27 2
Shares Redeemed.................... (176) (14) (2,220) (170)
---------- ------- ---------- -------
Net Increase (Decrease) -- Class R2
Shares............................. $ 250 20 $ (2,087) (160)
========== ======= ========== =======
Institutional Class Shares
Shares Issued...................... $ 246,598 19,284 $ 193,367 15,099
Shares Issued in Lieu of Cash
Distributions..................... 14,734 1,162 9,998 786
Shares Redeemed.................... (213,120) (16,688) (96,531) (7,544)
---------- ------- ---------- -------
Net Increase (Decrease) --
Institutional Class Shares......... $ 48,212 3,758 $ 106,834 8,341
========== ======= ========== =======
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
30
$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 Global Funds under
the lines of credit were as follows (amounts in thousands, except percentages
and days):
Weighted Weighted Number of Interest Maximum Amount
Average Average Loan Days Expense Borrowed During
Interest Rate Balance Outstanding* Incurred the Period
------------- ------------ ------------ -------- ---------------
Global Equity Portfolio............ 0.88% $3,888 26 $2 $26,533
Global Allocation 60/40 Portfolio.. 0.87% 1,999 53 3 15,780
Global Allocation 25/75 Portfolio.. 0.88% 1,306 90 3 13,775
* Number of Days Outstanding represents the total of single or consecutive days
during the year ended October 31, 2015, that each Global Fund's available
line of credit was utilized.
At October 31, 2015, Global Allocation 60/40 Portfolio and Global Allocation
25/75 Portfolio had loans outstanding in the amount of $3,531 and $99 (in
thousands), respectively.
Pursuant to an exemptive order issued by the SEC (the "Order"), the Global
Funds 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 Global Funds did not utilize the interfund lending
program during the year ended October 31, 2015.
I. 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 Global Funds' Class R2 Shares.
J. Indemnitees; Contractual Obligations:
Under the Fund's organizational documents, its officers and
directors/trustees are indemnified against certain liabilities arising out of
the performance of their duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
31
K. Other:
At October 31, 2015, the following number of shareholders held the following
approximate percentages of the Global Funds' 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
------------ -------------
Global Equity Portfolio-Class R2 Shares.................. 3 96%
Global Equity Portfolio-Institutional Class Shares....... 3 77%
Global Allocation 60/40 Portfolio-Class R2 Shares........ 3 97%
Global Allocation 60/40 Portfolio-Institutional Class
Shares................................................. 4 81%
Global Allocation 25/75 Portfolio-Class R2 Shares........ 3 100%
Global Allocation 25/75 Portfolio-Institutional Class
Shares................................................. 4 90%
L. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the Global
Funds and has determined that there are no subsequent events requiring
recognition or disclosure in the financial statements.
32
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 schedules of investments, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of Global Equity
Portfolio, Global Allocation 60/40 Portfolio and Global Allocation 25/75
Portfolio (constituting portfolios within Dimensional Investment Group Inc.,
hereafter referred to as the "Portfolios") at October 31, 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 transfer agent of the investee funds, provide a
reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 18, 2015
33
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
Global Allocation 25/75 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........... 40,670,562 99.01% 73.61% 404,930 0.99% 0.73%
(b) George M. Constantinides. 40,669,057 99.01% 73.61% 406,435 0.99% 0.74%
(c) John P. Gould............ 40,657,527 98.98% 73.59% 417,965 1.02% 0.76%
(d) Roger G. Ibbotson........ 40,663,408 99.00% 73.60% 412,084 1.00% 0.75%
(e) Edward P. Lazear......... 40,671,423 99.02% 73.61% 404,069 0.98% 0.73%
(f) Eduardo A. Repetto....... 40,669,057 99.01% 73.61% 406,435 0.99% 0.74%
(g) Myron S. Scholes......... 40,663,408 99.00% 73.60% 412,084 1.00% 0.75%
(h) Abbie J. Smith........... 40,660,075 98.99% 73.59% 415,417 1.01% 0.75%
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
--- ------- ------ ------- ------- --------- ------- ------- --------- ---------- --------
29,085,771 70.81% 52.64% 288,546 0.70% 0.52% 481,773 1.17% 0.87% 11,219,402 27.31%
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
--- ------- ------ ------- ------- --------- ------- ------- --------- ---------- --------
29,114,617 70.88% 52.69% 233,511 0.57% 0.42% 507,961 1.24% 0.92% 11,219,402 27.31%
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
--- ------- ------ ------- ------- --------- ------- ------- --------- ---------- --------
29,084,076 70.81% 52.64% 247,142 0.60% 0.45% 524,873 1.28% 0.95% 11,219,402 27.31%
Global Allocation 60/40 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........... 114,719,677 99.08% 64.90% 1,063,193 0.92% 0.60%
(b) George M. Constantinides. 114,740,206 99.10% 64.91% 1,042,664 0.90% 0.59%
(c) John P. Gould............ 114,699,334 99.06% 64.89% 1,083,536 0.94% 0.61%
(d) Roger G. Ibbotson........ 114,722,433 99.08% 64.90% 1,060,437 0.92% 0.60%
(e) Edward P. Lazear......... 114,740,032 99.10% 64.91% 1,042,838 0.90% 0.59%
(f) Eduardo A. Repetto....... 114,763,606 99.12% 64.92% 1,019,264 0.88% 0.58%
(g) Myron S. Scholes......... 114,729,967 99.09% 64.91% 1,052,903 0.91% 0.60%
(h) Abbie J. Smith........... 114,762,730 99.12% 64.92% 1,020,140 0.88% 0.58%
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
--- ------- ------ ------- ------- --------- --------- ------- --------- ---------- --------
83,634,765 72.23% 47.31% 815,904 0.70% 0.46% 1,216,784 1.05% 0.69% 30,115,417 26.01%
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
--- ------- ------ ------- ------- --------- --------- ------- --------- ---------- --------
83,902,609 72.47% 47.47% 453,759 0.39% 0.26% 1,311,084 1.13% 0.74% 30,115,417 26.01%
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
--- ------- ------ ------- ------- --------- --------- ------- --------- ---------- --------
83,315,834 71.96% 47.13% 642,237 0.55% 0.36% 1,709,382 1.48% 0.97% 30,115,417 26.01%
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........... 110,976,945 98.30% 50.55% 1,915,737 1.70% 0.87%
(b) George M. Constantinides. 110,998,310 98.32% 50.56% 1,894,372 1.68% 0.86%
(c) John P. Gould............ 110,715,781 98.07% 50.43% 2,176,901 1.93% 0.99%
(d) Roger G. Ibbotson........ 111,027,358 98.35% 50.57% 1,865,324 1.65% 0.85%
(e) Edward P. Lazear......... 111,039,025 98.36% 50.58% 1,853,657 1.64% 0.84%
(f) Eduardo A. Repetto....... 111,000,183 98.32% 50.56% 1,892,499 1.68% 0.86%
(g) Myron S. Scholes......... 110,980,135 98.31% 50.55% 1,912,547 1.69% 0.87%
(h) Abbie J. Smith........... 110,932,021 98.26% 50.53% 1,960,661 1.74% 0.89%
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
--- ------- ------ ------- ------- --------- --------- ------- --------- ---------- --------
81,759,467 72.42% 37.24% 835,444 0.74% 0.38% 1,737,575 1.54% 0.79% 28,560,196 25.30%
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
--- ------- ------ ------- ------- --------- --------- ------- --------- ---------- --------
82,160,978 72.78% 37.42% 500,161 0.44% 0.23% 1,671,348 1.48% 0.76% 28,560,196 25.30%
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
--- ------- ------ ------- ------- --------- --------- ------- --------- ---------- --------
81,708,011 72.38% 37.22% 775,865 0.69% 0.35% 1,848,611 1.64% 0.84% 28,560,196 25.30%
36
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.
37
Principal
Occupation(s)
During Past 5 Years
and Other
Name, Position Portfolios within the DFA Directorships of
with the Fund, Address and Term of Office/1/ and Fund Complex/2/ Public Companies
Year of Birth Length of Service Overseen Held
----------------------------------------------------------------------------------------------------
Disinterested Trustees/Directors
----------------------------------------------------------------------------------------------------
George M. Constantinides DFAIDG-Since 1983 122 portfolios in 4 Leo Melamed
Director of DFAIDG and DIG. DIG-Since 1993 investment companies Professor of
Trustee of DFAITC and DEM. DFAITC-Since 1992 Finance, University
The University of Chicago DEM-Since 1993 of Chicago Booth
Booth School of Business School of Business.
5807 S. Woodlawn Avenue
Chicago, IL 60637
1947
----------------------------------------------------------------------------------------------------
John P. Gould DFAIDG-Since 1986 122 portfolios in 4 Steven G. Rothmeier
Director of DFAIDG and DIG. DIG-Since 1993 investment companies Professor and
Trustee of DFAITC and DEM DFAITC-Since 1992 Distinguished
The University of Chicago DEM-Since 1993 Service Professor
Booth School of Business of Economics,
5807 S. Woodlawn Avenue University of
Chicago, IL 60637 Chicago Booth
1939 School of Business
(since 1965).
Member and Chair,
Competitive Markets
Advisory Council,
Chicago Mercantile
Exchange (futures
trading exchange)
(since 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
Director of DFAIDG and DIG. DIG-Since 1993 investment companies Practice of
Trustee of DFAITC and DEM. DFAITC-Since 1992 Finance, Yale
Yale School of Management DEM-Since 1993 School of
P.O. Box 208200 Management (since
New Haven, CT 06520-8200 1984). Chairman,
1943 CIO and Partner,
Zebra Capital
Management, LLC
(hedge fund and
asset manager)
(since 2001).
Consultant to
Morningstar Inc.
(since 2006).
Formerly, Director,
BIRR Portfolio
Analysis, Inc.
(software products)
(1990-2010).
----------------------------------------------------------------------------------------------------
Edward P. Lazear DFAIDG-Since 2010 122 portfolios in 4 Morris Arnold Cox
Director of DFAIDG and DIG. DIG-Since 2010 investment companies Senior Fellow,
Trustee of DFAITC and DEM. DFAITC-Since 2010 Hoover Institution
Stanford University Graduate DEM-Since 2010 (since 2002). Jack
School of Business Steele Parker
518 Memorial Way Professor of Human
Stanford, CA 94305-5015 Resources
1948 Management and
Economics, Graduate
School of Business,
Stanford University
(since 1995).
Cornerstone
Research (expert
testimony and
economic and
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
Director of DFAIDG and DIG. DIG-Since 1993 investment companies Strategist, Janus
Trustee of DFAITC and DEM. DFAITC-Since 1992 Capital Group Inc.
c/o Dimensional Fund DEM-Since 1993 (since 2014). Frank
Advisors, LP E. Buck Professor
6300 Bee Cave Road of Finance
Building 1 Emeritus, Graduate
Austin, TX 78746 School of Business,
1941 Stanford University
(since 1981).
Chairman, Ruapay
Inc. (since 2013).
Formerly, Chairman,
Platinum Grove
Asset Management,
L.P. (hedge fund)
(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
Director of DFAIDG and DIG. DIG-Since 2000 investment companies Stern Distinguished
Trustee of DFAITC and DEM. DFAITC-Since 2000 Service Professor
The University of Chicago DEM-Since 2000 of Accounting,
Booth School of Business University of
5807 S. Woodlawn Chicago Booth
Avenue Chicago, IL 60637 School of Business
1953 (since 1980).
Director, HNI
Corporation
(formerly known as
HON Industries
Inc.) (office
furniture) (since
2000). Director,
Ryder System 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).
38
Principal
Occupation(s)
During Past 5 Years
and Other
Name, Position Portfolios within the Directorships of
with the Fund, Address Term of Office/1/ and DFA Fund Complex/2/ Public Companies
and Year of Birth Length of Service Overseen Held
---------------------------------------------------------------------------------------------------
Interested Trustees/Directors*
---------------------------------------------------------------------------------------------------
David G. Booth DFAIDG-Since 1981 122 portfolios in 4 Chairman,
Chairman, Director/Trustee, DIG-Since 1992 investment companies Director/Trustee,
President and Co-Chief DFAITC-Since 1992 President, Co-Chief
Executive Officer DEM-Since 1993 Executive Officer
6300 Bee Cave Road, and formerly, Chief
Building One Executive Officer
Austin, TX 78746 (until 1/1/2010) of
1946 the following
companies:
Dimensional
Holdings Inc.,
Dimensional Fund
Advisors LP, DFA
Securities LLC,
DEM, DFAIDG, DIG
and 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
Director/Trustee, Co-Chief DIG-Since 2009 investment companies Officer (beginning
Executive Officer and Co- DFAITC-Since 2009 January 2010),
Chief Investment Officer DEM-Since 2009 Co-Chief Investment
6300 Bee Cave Road, Officer (since June
Building One 2014),
Austin, TX 78746 Director/Trustee,
1967 and formerly, Chief
Investment Officer
(March 2007-June
2014) of the DFA
Entities. Director,
Co-Chief Executive
Officer and Chief
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.
39
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
Name and Year of 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, Vice
1974 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 and
1955 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).
40
Term of
Office/1/
and
Name and Year of 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 Australia
1972 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 Officer
1965 Global Chief of all the DFA Entities, DFA Australia Limited and
Compliance Officer 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).
41
Term of
Office/1/
and
Name and Year of 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 Australia
1957 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, Senior
1971 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.
42
Term of
Office/1/
and
Name and Year of 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, Vice
1970 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 Trader
1975 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 Entities.
1958 Controller 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.
43
Term of
Office/1/
and
Name and Year of 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).
44
Term of
Office/1/
and
Name and Year of 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, Vice
1969 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 Treasurer
1956 Financial Officer and of all the DFA Entities, and Dimensional Cayman
Treasurer 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).
45
Term of
Office/1/
and
Name and Year of 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 1997 Vice President and Secretary of all the DFA Entities.
1964 Secretary and Secretary since 2000 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 Chief
1961 Deputy Chief Compliance Officer of Dimensional Fund Advisors
Compliance Officer 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).
46
Term of
Office/1/
and
Name and Year of Length of
Birth Position Service Principal Occupation During Past 5 Years
-------------------------------------------------------------------------------------------------------------------------
Gerard K. O'Reilly Vice President and Vice President since 2007 Vice President and Co-Chief Investment Officer of all
1976 Co-Chief and Co-Chief Investment the DFA Entities and Dimensional Fund Advisors
Investment Officer Officer since 2014 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.
-------------------------------------------------------------------------------------------------------------------------
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 Australia
1961 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.
47
Term of
Office/1/
and
Name and Year of Length of
Birth Position Service Principal Occupation During Past 5 Years
--------------------------------------------------------------------------------------------------------
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, Vice
1978 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).
48
Term of
Office/1/
and
Name and Year of Length of
Birth Position Service Principal Occupation During Past 5 Years
--------------------------------------------------------------------------------------------------------
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 Australia
1966 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.
49
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.
50
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 Foreign
Income Capital Gain Capital Gain Total Received Dividend Tax
Dimensional Investment Group Inc. Distributions Distributions Distributions Distributions Deduction(1) Income(2) Credit(3)
--------------------------------- ------------- ------------- ------------- ------------- ------------ ---------- ---------
Global Equity Portfolio............ 100% -- -- 100% 100% 100% 2%
Global Allocation 60/40 Portfolio.. 100% -- -- 100% 100% 100% 1%
Global Allocation 25/75 Portfolio.. 91% 2% 7% 100% 100% 100% 1%
Qualifying
Short-
Foreign Qualifying Term
Source Interest Capital
Dimensional Investment Group Inc. Income(4) Income(5) Gain(6)
--------------------------------- --------- ---------- ----------
Global Equity Portfolio............ 44% 100% 100%
Global Allocation 60/40 Portfolio.. 25% 100% 100%
Global Allocation 25/75 Portfolio.. 12% 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).
51
DFA103115-025A
[LOGO] 00157609
[LOGO]
ANNUAL REPORT
year ended: October 31, 2015
Dimensional Investment Group Inc.
U.S. Large Cap Value Portfolio II
DFA International Value Portfolio II
[LOGO]
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
November 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
DIMENSIONAL INVESTMENT GROUP INC.
ANNUAL REPORT
Table of Contents
Page
----
Letter to Shareholders
Definitions of Abbreviations and Footnotes................. 1
Dimensional Investment Group Inc.
Performance Charts...................................... 2
Management's Discussion and Analysis.................... 3
Disclosure of Fund Expenses............................. 6
Disclosure of Portfolio Holdings........................ 8
Schedules of Investments
U.S. Large Cap Value Portfolio II................... 9
DFA International Value Portfolio II................ 9
Statements of Assets and Liabilities.................... 10
Statements of Operations................................ 11
Statements of Changes in Net Assets..................... 12
Financial Highlights.................................... 13
Notes to Financial Statements........................... 14
Report of Independent Registered Public Accounting Firm. 20
Results of the Shareholder Meeting...................... 21
The DFA Investment Trust Company
Performance Charts...................................... 24
Management's Discussion and Analysis.................... 25
Disclosure of Fund Expenses............................. 27
Disclosure of Portfolio Holdings........................ 28
Summary Schedules of Portfolio Holdings
The U.S. Large Cap Value Series..................... 29
The DFA International Value Series.................. 32
Statements of Assets and Liabilities.................... 36
Statements of Operations................................ 37
Statements of Changes in Net Assets..................... 38
Financial Highlights.................................... 39
Notes to Financial Statements........................... 40
Report of Independent Registered Public Accounting Firm. 47
Results of the Shareholder Meeting...................... 48
Fund Management............................................ 50
Voting Proxies on Fund Portfolio Securities................ 63
Notice to Shareholders..................................... 64
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
Schedules of Investments/Summary Schedules of Portfolio Holdings
----------------------------------------------------------------
Investment Abbreviations
ADR American Depositary Receipt
P.L.C. Public Limited Company
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities 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 issuers 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.
SEC Securities and Exchange Commission
1
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
U.S. LARGE CAP VALUE PORTFOLIO II VS.
RUSSELL 1000(R) VALUE INDEX
October 31, 2005-October 31, 2015
[CHART]
U.S. Large Cap Value Portfolio II Russell 1000/R/ Value Index
--------------------------------- ----------------------------
10/31/2005 $10,000 $10,000
11/30/2005 10,395 10,327
12/31/2005 10,409 10,389
1/31/2006 10,905 10,792
2/28/2006 10,869 10,858
3/31/2006 11,063 11,005
4/30/2006 11,376 11,285
5/31/2006 11,166 11,000
6/30/2006 11,260 11,070
7/31/2006 11,100 11,339
8/31/2006 11,281 11,529
9/30/2006 11,596 11,759
10/31/2006 12,051 12,144
11/30/2006 12,283 12,421
12/31/2006 12,529 12,700
1/31/2007 12,895 12,862
2/28/2007 12,699 12,662
3/31/2007 12,789 12,857
4/30/2007 13,331 13,332
5/31/2007 13,879 13,813
6/30/2007 13,655 13,491
7/31/2007 12,807 12,867
8/31/2007 12,562 13,011
9/30/2007 12,889 13,458
10/31/2007 12,964 13,459
11/30/2007 12,241 12,801
12/31/2007 12,196 12,678
1/31/2008 11,730 12,170
2/29/2008 11,372 11,660
3/31/2008 11,262 11,573
4/30/2008 11,975 12,137
5/31/2008 12,260 12,117
6/30/2008 10,914 10,957
7/31/2008 10,794 10,918
8/31/2008 11,006 11,104
9/30/2008 10,019 10,288
10/31/2008 7,761 8,507
11/30/2008 7,001 7,897
12/31/2008 7,226 8,006
1/31/2009 6,365 7,086
2/28/2009 5,471 6,139
3/31/2009 6,012 6,664
4/30/2009 6,990 7,378
5/31/2009 7,530 7,834
6/30/2009 7,434 7,777
7/31/2009 8,136 8,413
8/31/2009 8,689 8,853
9/30/2009 9,069 9,195
10/31/2009 8,677 8,914
11/30/2009 9,161 9,416
12/31/2009 9,421 9,583
1/31/2010 9,200 9,313
2/28/2010 9,595 9,607
3/31/2010 10,341 10,233
4/30/2010 10,666 10,498
5/31/2010 9,759 9,635
6/30/2010 9,014 9,092
7/31/2010 9,727 9,708
8/31/2010 9,131 9,292
9/30/2010 10,036 10,013
10/31/2010 10,400 10,314
11/30/2010 10,318 10,259
12/31/2010 11,325 11,069
1/31/2011 11,692 11,319
2/28/2011 12,319 11,737
3/31/2011 12,378 11,783
4/30/2011 12,687 12,097
5/31/2011 12,509 11,969
6/30/2011 12,295 11,724
7/31/2011 11,723 11,335
8/31/2011 10,734 10,628
9/30/2011 9,651 9,824
10/31/2011 10,992 10,949
11/30/2011 10,896 10,893
12/31/2011 10,980 11,112
1/31/2012 11,523 11,532
2/29/2012 12,187 11,992
3/31/2012 12,421 12,348
4/30/2012 12,167 12,222
5/31/2012 11,295 11,505
6/30/2012 11,904 12,076
7/31/2012 12,025 12,201
8/31/2012 12,500 12,466
9/30/2012 12,962 12,862
10/31/2012 12,987 12,799
11/30/2012 13,023 12,793
12/31/2012 13,420 13,058
1/31/2013 14,344 13,906
2/28/2013 14,529 14,106
3/31/2013 15,232 14,665
4/30/2013 15,393 14,886
5/31/2013 16,023 15,269
6/30/2013 15,844 15,134
7/31/2013 16,787 15,951
8/31/2013 16,291 15,346
9/30/2013 16,774 15,730
10/31/2013 17,622 16,419
11/30/2013 18,358 16,877
12/31/2013 18,845 17,305
1/31/2014 18,105 16,690
2/28/2014 18,720 17,412
3/31/2014 19,151 17,828
4/30/2014 19,277 17,997
5/31/2014 19,705 18,261
6/30/2014 20,234 18,738
7/31/2014 20,095 18,418
8/31/2014 20,727 19,095
9/30/2014 20,218 18,701
10/31/2014 20,371 19,122
11/30/2014 20,612 19,513
12/31/2014 20,773 19,633
1/31/2015 19,738 18,848
2/28/2015 21,131 19,760
3/31/2015 20,732 19,491
4/30/2015 21,156 19,673
5/31/2015 21,387 19,910
6/30/2015 21,046 19,512
7/31/2015 20,981 19,598
8/31/2015 19,717 18,430 Past performance is not predictive of
9/30/2015 19,083 17,874 future performance.
10/31/2015 20,641 19,223 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
1.33% 14.69% 7.52% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA INTERNATIONAL VALUE PORTFOLIO II VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
October 31, 2005-October 31, 2015
[CHART]
DFA International MSCI World ex USA Index
Value Portfolio II (net dividends)
-------------------- -------------------------
10/31/2005 $10,000 $10,000
11/30/2005 10,173 10,265
12/31/2005 10,671 10,741
1/31/2006 11,402 11,420
2/28/2006 11,511 11,382
3/31/2006 11,994 11,743
4/30/2006 12,605 12,304
5/31/2006 12,096 11,837
6/30/2006 12,016 11,822
7/31/2006 12,204 11,932
8/31/2006 12,624 12,271
9/30/2006 12,796 12,262
10/31/2006 13,364 12,746
11/30/2006 13,809 13,126
12/31/2006 14,343 13,502
1/31/2007 14,617 13,584
2/28/2007 14,603 13,693
3/31/2007 15,071 14,044
4/30/2007 15,832 14,683
5/31/2007 16,373 15,009
6/30/2007 16,258 15,024
7/31/2007 15,804 14,816
8/31/2007 15,627 14,602
9/30/2007 16,441 15,432
10/31/2007 17,240 16,102
11/30/2007 16,196 15,473
12/31/2007 15,846 15,182
1/31/2008 14,559 13,813
2/29/2008 14,377 14,063
3/31/2008 14,544 13,863
4/30/2008 15,192 14,633
5/31/2008 15,199 14,855
6/30/2008 13,699 13,700
7/31/2008 13,309 13,212
8/31/2008 12,754 12,702
9/30/2008 11,259 10,868
10/31/2008 8,433 8,607
11/30/2008 7,916 8,140
12/31/2008 8,524 8,569
1/31/2009 7,332 7,770
2/28/2009 6,429 6,983
3/31/2009 7,132 7,443
4/30/2009 8,453 8,403
5/31/2009 9,702 9,466
6/30/2009 9,561 9,368
7/31/2009 10,701 10,248
8/31/2009 11,308 10,739
9/30/2009 11,894 11,182
10/31/2009 11,414 11,002
11/30/2009 11,746 11,275
12/31/2009 11,893 11,454
1/31/2010 11,200 10,917
2/28/2010 11,238 10,906
3/31/2010 12,131 11,608
4/30/2010 11,925 11,435
5/31/2010 10,519 10,173
6/30/2010 10,328 10,026
7/31/2010 11,624 10,953
8/31/2010 11,052 10,626
9/30/2010 12,252 11,645
10/31/2010 12,673 12,060
11/30/2010 12,041 11,549
12/31/2010 13,157 12,479
1/31/2011 13,729 12,748
2/28/2011 14,177 13,220
3/31/2011 13,791 12,956
4/30/2011 14,528 13,661
5/31/2011 13,996 13,256
6/30/2011 13,805 13,067
7/31/2011 13,368 12,852
8/31/2011 11,931 11,765
9/30/2011 10,636 10,584
10/31/2011 11,643 11,613
11/30/2011 11,265 11,076
12/31/2011 10,951 10,956
1/31/2012 11,691 11,547
2/29/2012 12,297 12,182
3/31/2012 12,210 12,092
4/30/2012 11,783 11,887
5/31/2012 10,321 10,531
6/30/2012 11,040 11,221
7/31/2012 10,994 11,361
8/31/2012 11,453 11,685
9/30/2012 11,862 12,040
10/31/2012 12,023 12,125
11/30/2012 12,208 12,380
12/31/2012 12,790 12,754
1/31/2013 13,392 13,381
2/28/2013 12,990 13,248
3/31/2013 13,038 13,353
4/30/2013 13,691 13,961
5/31/2013 13,515 13,648
6/30/2013 13,043 13,137
7/31/2013 13,938 13,836
8/31/2013 13,836 13,658
9/30/2013 14,877 14,623
10/31/2013 15,391 15,113
11/30/2013 15,442 15,206
12/31/2013 15,776 15,435
1/31/2014 15,207 14,812
2/28/2014 16,074 15,620
3/31/2014 15,952 15,550
4/30/2014 16,227 15,796
5/31/2014 16,420 16,040
6/30/2014 16,610 16,268
7/31/2014 16,246 15,978
8/31/2014 16,246 15,991
9/30/2014 15,539 15,334
10/31/2014 15,257 15,090
11/30/2014 15,285 15,276
12/31/2014 14,709 14,768
1/31/2015 14,622 14,715
2/28/2015 15,666 15,595
3/31/2015 15,318 15,334
4/30/2015 16,160 15,998
5/31/2015 16,160 15,859
6/30/2015 15,708 15,408
7/31/2015 15,560 15,652
8/31/2015 14,409 14,512
9/30/2015 13,416 13,780 Past performance is not predictive of
10/31/2015 14,455 14,816 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
-5.26% 2.67% 3.75% rights reserved.
--------------------------------------------------------------------------------
2
DIMENSIONAL INVESTMENT 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.
U.S. Large Cap Value Portfolio II
The U.S. Large Cap Value Portfolio II 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 1.33% 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
3
allocation to the remainder of the eligible large-cap universe, which benefited
the Portfolio's performance relative to the Index as the largest-market-cap
value stocks underperformed.
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.
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 II
The DFA International Value Portfolio II 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 -5.26% for the
Portfolio 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.
4
Value stocks generally underperformed during the period, which detracted from
the Portfolio's performance relative to the Index. Differences in the valuation
timing and methodology between the Master Fund and the Index generally
detracted from relative performance. The Master Fund prices foreign exchange
rates at the closing of the U.S. markets while the Index uses rates at 4 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.
5
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended October 31, 2015
EXPENSE TABLES
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 II**
-----------------------------------
Actual Fund Return.................. $1,000.00 $ 975.70 0.15% $0.75
Hypothetical 5% Annual Return....... $1,000.00 $1,024.45 0.15% $0.77
6
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/15 10/31/15 Ratio* Period*
--------- --------- ---------- --------
DFA International Value Portfolio II**
--------------------------------------
Actual Fund Return..................... $1,000.00 $ 894.50 0.27% $1.29
Hypothetical 5% Annual Return.......... $1,000.00 $1,023.84 0.27% $1.38
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then divided
by the number of days in the year (365) to reflect the six-month period.
**The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the indirect payment of the Feeder Fund's
portion of the expenses of its Master Fund (Affiliated Investment Company).
7
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on September 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 of industry classification for this Affiliated Investment
Companies are represented in the Disclosure of Portfolio Holdings, which are
included elsewhere within the report. Refer to the Summary Schedules of
Portfolio Holdings for the underlying Affiliated Investment Company's holdings
which reflect the investments by category.
Affiliated Investment Company
-----------------------------
U.S. Large Cap Value Portfolio II.... 100.0%
DFA International Value Portfolio II. 100.0%
8
SCHEDULE OF INVESTMENTS
October 31, 2015
U.S. LARGE CAP VALUE PORTFOLIO II
Value+
------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The U.S. Large Cap Value Series of
The DFA Investment Trust Company..................... $157,742,889
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $95,831,569)................................ $157,742,889
============
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).
DFA INTERNATIONAL VALUE PORTFOLIO II
Value+
------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The DFA International Value Series of
The DFA Investment Trust Company..................... $110,428,150
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $110,320,657)............................... $110,428,150
============
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.
9
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
Cap Value Value
Portfolio II Portfolio II
------------ -------------
ASSETS:
Investments in Affiliated Investment Company at Value.................................. $ 157,743 $ 110,428
Receivables:
Prepaid Expenses and Other Assets...................................................... 7 7
------------ ------------
Total Assets...................................................................... 157,750 110,435
------------ ------------
LIABILITIES:
Payables:
Fund Shares Redeemed................................................................. 5 58
Due to Advisor....................................................................... 1 1
Accrued Expenses and Other Liabilities................................................. 7 8
------------ ------------
Total Liabilities................................................................. 13 67
------------ ------------
NET ASSETS............................................................................. $ 157,737 $ 110,368
============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)................................................ 9,923,527 22,682,538
============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............................... $ 15.90 $ 4.87
============ ============
Investments in Affiliated Investment Company at Cost................................... $ 95,832 $ 110,321
============ ============
NET ASSETS CONSIST OF:
Paid-In Capital........................................................................ $ 97,192 $ 106,683
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). 503 484
Accumulated Net Realized Gain (Loss)................................................... (1,869) 3,094
Net Unrealized Appreciation (Depreciation)............................................. 61,911 107
------------ ------------
NET ASSETS............................................................................. $ 157,737 $ 110,368
============ ============
(1) NUMBER OF SHARES AUTHORIZED........................................................ 300,000,000 300,000,000
============ ============
See accompanying Notes to Financial Statements.
10
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2015
(Amounts in thousands)
DFA
U.S. Large International
Cap Value Value
Portfolio II* Portfolio II*
------------- -------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $0 and $308, respectively).................... $ 3,846 $ 3,832
Income from Securities Lending............................................................ 41 110
Expenses Allocated from Affiliated Investment Company..................................... (185) (245)
-------- --------
Total Investment Income................................................................ 3,702 3,697
-------- --------
Expenses
Investment Advisory Services Fees......................................................... 49 66
Administrative Services Fees.............................................................. 12 8
Accounting & Transfer Agent Fees.......................................................... 2 2
Filing Fees............................................................................... 20 19
Shareholders' Reports..................................................................... 17 13
Directors'/Trustees' Fees & Expenses...................................................... 1 1
Other..................................................................................... 8 8
-------- --------
Total Expenses......................................................................... 109 117
-------- --------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor
(Note C)................................................................................. (44) (63)
-------- --------
Net Investment Income (Loss).............................................................. 3,637 3,643
-------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold.............................................................. 9,678 3,180
Futures................................................................................. (1) --
Foreign Currency Transactions........................................................... -- (68)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.............................................. (11,117) (13,834)
Translation of Foreign Currency Denominated Amounts..................................... -- 8
-------- --------
Net Realized and Unrealized Gain (Loss)................................................... (1,440) (10,714)
-------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations............................. $ 2,197 $ (7,071)
======== ========
----------
* Investment Income and Realized and Unrealized Gain (Loss) were allocated from
the Portfolio's Master Fund (Affiliated Investment Company).
See accompanying Notes to Financial Statements.
11
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
U.S. Large Cap Value DFA International Value
Portfolio II Portfolio II
------------------ ----------------------
Year Year Year Year
Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2015 2014
-------- -------- -------- --------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).......................................... $ 3,637 $ 3,137 $ 3,643 $ 5,219
Net Realized Gain (Loss) on:
Investment Securities Sold.......................................... 9,678 8,415 3,180 2,258
Futures............................................................. (1) -- -- --
Foreign Currency Transactions....................................... -- -- (68) (21)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.......................... (11,117) 12,436 (13,834) (8,265)
Futures............................................................. -- -- -- 1
Translation of Foreign Currency Denominated Amounts................. -- -- 8 (17)
-------- -------- -------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations.... 2,197 23,988 (7,071) (825)
-------- -------- -------- --------
Distributions From:
Net Investment Income................................................. (3,593) (3,073) (3,526) (5,165)
Net Short-Term Gains.................................................. -- -- (46) (229)
Net Long-Term Gains................................................... -- -- (2,119) (4,912)
-------- -------- -------- --------
Total Distributions................................................ (3,593) (3,073) (5,691) (10,306)
-------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued......................................................... 11,987 17,261 23,230 11,873
Shares Issued in Lieu of Cash Distributions........................... 3,593 3,073 5,691 10,306
Shares Redeemed....................................................... (30,550) (22,855) (15,850) (14,220)
-------- -------- -------- --------
Net Increase (Decrease) from Capital Share Transactions............ (14,970) (2,521) 13,071 7,959
-------- -------- -------- --------
Total Increase (Decrease) in Net Assets............................ (16,366) 18,394 309 (3,172)
Net Assets
Beginning of Year..................................................... 174,103 155,709 110,059 113,231
-------- -------- -------- --------
End of Year........................................................... $157,737 $174,103 $110,368 $110,059
======== ======== ======== ========
(1) Shares Issued and Redeemed:
Shares Issued......................................................... 747 1,126 4,348 2,056
Shares Issued in Lieu of Cash Distributions........................... 229 200 1,117 1,819
Shares Redeemed....................................................... (1,906) (1,493) (3,071) (2,490)
-------- -------- -------- --------
Net Increase (Decrease) from Shares Issued and Redeemed............ (930) (167) 2,394 1,385
======== ======== ======== ========
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income)..................................................... $ 503 $ 459 $ 484 $ 387
See accompanying Notes to Financial Statements.
12
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Large Cap Value Portfolio II
------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year.......................................... $ 16.04 $ 14.13 $ 10.62 $ 9.18 $ 8.84
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).......................................... 0.35 0.28 0.24 0.21 0.17
Net Gains (Losses) on Securities (Realized and Unrealized)................ (0.15) 1.91 3.51 1.43 0.34
-------- -------- -------- -------- --------
Total from Investment Operations......................................... 0.20 2.19 3.75 1.64 0.51
-------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income..................................................... (0.34) (0.28) (0.24) (0.20) (0.17)
Net Realized Gains........................................................ -- -- -- -- --
-------- -------- -------- -------- --------
Total Distributions...................................................... (0.34) (0.28) (0.24) (0.20) (0.17)
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................................ $ 15.90 $ 16.04 $ 14.13 $ 10.62 $ 9.18
============================================================================ ======== ======== ======== ======== ========
Total Return................................................................ 1.33% 15.59% 35.70% 18.14% 5.69%
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)......................................... $157,737 $174,103 $155,709 $115,791 $107,533
Ratio of Expenses to Average Net Assets (B)................................. 0.15% 0.16% 0.17% 0.17% 0.18%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B)....... 0.18% 0.16% 0.17% 0.17% 0.18%
Ratio of Net Investment Income to Average Net Assets (B).................... 2.16% 1.86% 1.93% 2.10% 1.72%
-------------------------------------------------------------------------------------------------------------------------------
DFA International Value Portfolio II
-------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year.......................................... $ 5.42 $ 5.99 $ 5.21 $ 5.55 $ 6.62
-------- -------- -------- ------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).......................................... 0.17 0.26 0.17 0.19 0.22
Net Gains (Losses) on Securities (Realized and Unrealized)................ (0.45) (0.30) 1.17 (0.06) (0.70)
-------- -------- -------- ------- --------
Total from Investment Operations......................................... (0.28) (0.04) 1.34 0.13 (0.48)
--------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income..................................................... (0.16) (0.26) (0.18) (0.19) (0.22)
Net Realized Gains........................................................ (0.11) (0.27) (0.38) (0.28) (0.37)
-------- -------- -------- ------- --------
Total Distributions...................................................... (0.27) (0.53) (0.56) (0.47) (0.59)
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................................ $ 4.87 $ 5.42 $ 5.99 $ 5.21 $ 5.55
============================================================================ ======== ======== ======== ======== ========
Total Return................................................................ (5.26)% (0.87)% 28.01% 3.27% (8.13)%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)......................................... $110,368 $110,059 $113,231 $94,269 $108,262
Ratio of Expenses to Average Net Assets (B)................................. 0.27% 0.28% 0.29% 0.30% 0.29%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B)....... 0.32% 0.28% 0.29% 0.30% 0.29%
Ratio of Net Investment Income to Average Net Assets (B).................... 3.26% 4.47% 3.08% 3.69% 3.42%
--------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
13
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. Organization:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of fifteen portfolios, two of
which, U.S. Large Cap Value Portfolio II and DFA International Value Portfolio
II (the "Portfolios"), are presented in this report. The remaining portfolios
are presented in separate reports.
U.S. Large Cap Value Portfolio II and DFA International Value Portfolio II
primarily invest their assets in The U.S. Large Cap Value Series and The DFA
International Value Series (the "Series"), respectively, each a corresponding
series of The DFA Investment Trust Company. At October 31, 2015, U.S. Large Cap
Value Portfolio II and DFA International Value Portfolio II owned 1% and 1% of
their respective Series. The financial statements of the Series are included
elsewhere in this report and should be read in conjunction with the financial
statements of the Portfolios.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. Security Valuation: The Portfolios utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
The Portfolios' investments reflect their proportionate interests in the net
assets of their respective Series. These valuations are classified as Level 1
in the hierarchy.
A summary of the inputs used to value the Portfolios' investments is
disclosed previously in this note. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the year ended October 31, 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
14
Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income are included in
Directors'/Trustees' Fees & Expenses.
Each Director/Trustee has the option to receive their distribution of
proceeds in one of the following methods: lump sum; annual installments over a
period of agreed upon years; or quarterly installments over a period of agreed
upon years. Each Director/Trustee shall have the right in a notice of election
(the "Notice") to defer the receipt of the Director's/Trustee's deferred
compensation until a date specified by such Director/Trustee in the Notice,
which date may not be sooner than the earlier of: (i) the first business day of
January following the year in which such Director/Trustee ceases to be a member
of the Board; and (ii) five years following the effective date of the
Director's/Trustee's first deferral election. If a Director/Trustee who elects
to defer fees fails to designate in the Notice a time or date as of which
payment of the Director's/Trustee's deferred fee account shall commence,
payment of such amount shall commence as of the first business day of January
following the year in which the Director/Trustee ceases to be a member of the
Board (unless the Director/Trustee files an amended Notice selecting a
different distribution date). As of October 31, 2015, none of the
Directors/Trustees have requested or received a distribution of proceeds of a
deferred fee account.
3. Other: The Portfolios recognize their pro-rata share, on a daily basis,
of net investment income and realized and unrealized gains and losses of
investment securities and foreign currency from their respective Series, which
is treated as a partnership for federal income tax purposes. Dividend income
and distributions to shareholders are recorded on the ex-dividend date.
Distributions received on securities that represent a return of capital or
capital gains are recorded as a reduction of cost of investments or as a
realized gain, respectively. Expenses directly attributable to a Portfolio are
directly charged. Common expenses of the Fund or Portfolios are allocated using
methods approved by the Board, generally based on average net assets.
C. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides investment advisory
services to the Portfolios. 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 Portfolio, the
new investment management agreement replaced the Portfolio'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 Portfolio's previous administration
agreement with the Advisor and the rate of the advisory fee charged by the
Advisor to the Series in which the Portfolio invests. In order to prevent each
Portfolio from being subject to a higher level of investment management fees,
the Advisor will permanently waive each Portfolio's investment management fee
in the circumstances described below.
Prior to July 21, 2015, each 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 an effective annual rate of 0.01% of each Portfolio's average
daily net assets. Effective July 21, 2015, the U.S. Large Cap Value Portfolio
II's and DFA International Value Portfolio II's investment advisory
services/management fees pursuant to the new investment management agreements
were accrued daily and paid monthly to the Advisor based on effective annual
rates of 0.11% and 0.21%, respectively, of each Portfolio's average daily net
assets.
Effective July 21, 2015, pursuant to a Fee Waiver Agreement for the
Portfolios, 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
15
rates listed below as a percentage of the average net assets of a class of a
Portfolio on an annualized basis. The Fee Waiver Agreement will remain in
effect permanently, unless terminated by the Portfolio.
Previously
Recovery Waived Fees/
of Previously Expenses
Waived Fees/ Assumed
Expense Expenses Subject to Future
Limitation Amount Assumed Recovery
- ----------------- ------------- -----------------
U.S. Large Cap Value Portfolio II.... 0.11% -- --
DFA International Value Portfolio II. 0.21% -- --
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 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):
U.S. Large Cap Value Portfolio II.... $5
DFA International Value Portfolio II. 6
E. Federal Income Taxes:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to shareholders. Accordingly, no provision
has been made for federal income taxes.
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, foreign capital gains tax and realized gains on
securities considered to be "passive foreign investment companies", were
reclassified to the following accounts. These reclassifications had no effect
on net assets or net asset value per share (amounts in thousands):
Increase Increase
(Decrease) (Decrease)
Increase Undistributed Accumulated
(Decrease) Net Investment Net Realized
Paid-In Capital Income Gains (Losses)
--------------- -------------- --------------
U.S. Large Cap Value Portfolio II.... -- -- --
DFA International Value Portfolio II. $ 1 $(20) $19
16
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
-------------- ------------- ---------- -------
U.S. Large Cap Value Portfolio II
2014................................. $3,073 -- -- $ 3,073
2015................................. 3,593 -- -- 3,593
DFA International Value Portfolio II
2014................................. 5,394 $4,912 -- 10,306
2015................................. 3,572 2,119 -- 5,691
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)
-------------- ------------- ------------- -------------- -------------
U.S. Large Cap Value Portfolio II.... $511 -- $(1,864) $61,907 $60,554
DFA International Value Portfolio II. 592 $3,127 -- (28) 3,691
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 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,
----------------------
2017 Total
---------------------- ------
U.S. Large Cap Value Portfolio II.... $1,864 $1,864
DFA International Value Portfolio II. -- --
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):
U.S. Large Cap Value Portfolio II. $9,679
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)
----------- ------------ ------------ --------------
U.S. Large Cap Value Portfolio II.... $ 95,836 $61,907 -- $61,907
DFA International Value Portfolio II. 110,457 (29) -- (29)
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.
17
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed each Portfolio's
tax position and has concluded that no additional provision for income tax is
required in any Portfolio's financial statements. The Portfolios are not aware
of any tax positions for which it is more likely than not that the total
amounts of unrecognized tax benefits will significantly change in the next
twelve months. Each Portfolio's federal tax returns for the prior three fiscal
years remain subject to examination by the Internal Revenue Service.
F. Line of Credit 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 Portfolios under the lines of credit during
the year ended 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.
G. Indemnitees; Contractual Obligations:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
H. Other:
At October 31, 2015, both Portfolios each had two shareholders that held
100% of their outstanding shares. One or more of the shareholders may be
omnibus accounts, which typically hold shares for the benefit of several other
underlying investors.
18
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 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.
I. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the
Portfolios and has determined that there are no subsequent events requiring
recognition or disclosure in the financial statements.
19
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 schedules of investments, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of U.S. Large Cap
Value Portfolio II and DFA International Value Portfolio II (constituting
portfolios within Dimensional Investment Group Inc., hereafter referred to as
the "Portfolios") at October 31, 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 transfer agent of the investee funds, provide a
reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 18, 2015
20
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 II
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
---------- ------- ------ -------- -------- ----------
(a) David G. Booth........... 19,799,855 98.33% 97.67% 335,647 1.67% 1.66%
(b) George M. Constantinides. 19,679,536 97.74% 97.08% 455,966 2.26% 2.25%
(c) John P. Gould............ 19,680,357 97.74% 97.08% 455,145 2.26% 2.25%
(d) Roger G. Ibbotson........ 19,787,917 98.27% 97.61% 347,585 1.73% 1.71%
(e) Edward P. Lazear......... 19,624,401 97.46% 96.81% 511,101 2.54% 2.52%
(f) Eduardo A. Repetto....... 19,746,629 98.07% 97.41% 388,873 1.93% 1.92%
(g) Myron S. Scholes......... 19,799,855 98.33% 97.67% 335,647 1.67% 1.66%
(h) Abbie J. Smith........... 19,887,495 98.77% 98.10% 248,007 1.23% 1.22%
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
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
17,861,192 88.70% 88.11% 78,650 0.39% 0.39% 83,384 0.41% 0.41% 2,112,276 10.49%
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
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
17,904,446 88.92% 88.32% 37,591 0.19% 0.19% 81,189 0.40% 0.40% 2,112,276 10.49%
21
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
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
17,863,387 88.72% 88.12% 78,650 0.39% 0.39% 81,189 0.40% 0.40% 2,112,276 10.49%
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........... 19,769,762 98.18% 97.52% 365,740 1.82% 1.80%
(b) George M. Constantinides. 19,650,264 97.59% 96.93% 485,238 2.41% 2.39%
(c) John P. Gould............ 19,650,264 97.59% 96.93% 485,238 2.41% 2.39%
(d) Roger G. Ibbotson........ 19,758,645 98.13% 97.47% 376,857 1.87% 1.86%
(e) Edward P. Lazear......... 19,595,128 97.32% 96.66% 540,374 2.68% 2.67%
(f) Eduardo A. Repetto....... 19,716,535 97.92% 97.26% 418,967 2.08% 2.07%
(g) Myron S. Scholes......... 19,769,762 98.18% 97.52% 365,740 1.82% 1.80%
(h) Abbie J. Smith........... 19,857,402 98.62% 97.95% 278,100 1.38% 1.37%
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
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
17,863,127 88.71% 88.12% 78,871 0.39% 0.39% 81,228 0.40% 0.40% 2,112,276 10.49%
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
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
17,896,305 88.88% 88.28% 45,693 0.23% 0.23% 81,228 0.40% 0.40% 2,112,276 10.49%
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
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
17,863,127 88.71% 88.12% 78,871 0.39% 0.39% 81,228 0.40% 0.40% 2,112,276 10.49%
U.S. Large Cap Value Portfolio II
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
---------- ------- ------ -------- -------- ----------
(a) David G. Booth........... 10,551,147 99.36% 98.93% 67,903 0.64% 0.64%
(b) George M. Constantinides. 10,541,181 99.27% 98.84% 77,869 0.73% 0.73%
(c) John P. Gould............ 10,544,113 99.29% 98.86% 74,937 0.71% 0.70%
(d) Roger G. Ibbotson........ 10,544,113 99.29% 98.86% 74,937 0.71% 0.70%
(e) Edward P. Lazear......... 10,544,113 99.29% 98.86% 74,937 0.71% 0.70%
(f) Eduardo A. Repetto....... 10,544,113 99.29% 98.86% 74,937 0.71% 0.70%
(g) Myron S. Scholes......... 10,548,215 99.33% 98.90% 70,835 0.67% 0.66%
(h) Abbie J. Smith........... 10,616,118 99.97% 99.54% 2,932 0.03% 0.03%
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
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
9,512,219 89.58% 89.19% 0 0.00% 0.00% 58,010 0.55% 0.54% 1,048,821 9.88%
22
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
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
9,501,525 89.48% 89.09% 10,694 0.10% 0.10% 58,010 0.55% 0.54% 1,048,821 9.88%
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........... 10,533,111 99.19% 98.76% 85,939 0.81% 0.81%
(b) George M. Constantinides. 10,526,077 99.12% 98.70% 92,973 0.88% 0.87%
(c) John P. Gould............ 10,526,077 99.12% 98.70% 92,973 0.88% 0.87%
(d) Roger G. Ibbotson........ 10,526,077 99.12% 98.70% 92,973 0.88% 0.87%
(e) Edward P. Lazear......... 10,526,077 99.12% 98.70% 92,973 0.88% 0.87%
(f) Eduardo A. Repetto....... 10,526,077 99.12% 98.70% 92,973 0.88% 0.87%
(g) Myron S. Scholes......... 10,533,111 99.19% 98.76% 85,939 0.81% 0.81%
(h) Abbie J. Smith........... 10,601,014 99.83% 99.40% 18,036 0.17% 0.17%
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
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
9,521,623 89.67% 89.28% 569 0.01% 0.01% 48,037 0.45% 0.45% 1,048,821 9.88%
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
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
9,511,498 89.57% 89.18% 10,694 0.10% 0.10% 48,037 0.45% 0.45% 1,048,821 9.88%
23
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
THE U.S. LARGE CAP VALUE SERIES VS.
RUSSELL 1000(R) VALUE INDEX
October 31, 2005-October 31, 2015
[CHART]
The U.S. Large Cap Value Series Russell 1000/R/ Value Index
------------------------------- ---------------------------
10/31/2005 $10,000 $10,000
11/30/2005 10,399 10,327
12/31/2005 10,413 10,389
1/31/2006 10,910 10,792
2/28/2006 10,873 10,858
3/31/2006 11,067 11,005
4/30/2006 11,377 11,285
5/31/2006 11,170 11,000
6/30/2006 11,266 11,070
7/31/2006 11,104 11,339
8/31/2006 11,286 11,529
9/30/2006 11,599 11,759
10/31/2006 12,059 12,144
11/30/2006 12,288 12,421
12/31/2006 12,534 12,700
1/31/2007 12,900 12,862
2/28/2007 12,706 12,662
3/31/2007 12,795 12,857
4/30/2007 13,339 13,332
5/31/2007 13,889 13,813
6/30/2007 13,665 13,491
7/31/2007 12,819 12,867
8/31/2007 12,573 13,011
9/30/2007 12,901 13,458
10/31/2007 12,974 13,459
11/30/2007 12,249 12,801
12/31/2007 12,208 12,678
1/31/2008 11,742 12,170
2/29/2008 11,382 11,660
3/31/2008 11,276 11,573
4/30/2008 11,986 12,137
5/31/2008 12,274 12,117
6/30/2008 10,929 10,957
7/31/2008 10,810 10,918
8/31/2008 11,019 11,104
9/30/2008 10,029 10,288
10/31/2008 7,775 8,507
11/30/2008 7,012 7,897
12/31/2008 7,240 8,006
1/31/2009 6,381 7,086
2/28/2009 5,486 6,139
3/31/2009 6,029 6,664
4/30/2009 7,004 7,378
5/31/2009 7,540 7,834
6/30/2009 7,448 7,777
7/31/2009 8,157 8,413
8/31/2009 8,711 8,853
9/30/2009 9,092 9,195
10/31/2009 8,700 8,914
11/30/2009 9,190 9,416
12/31/2009 9,444 9,583
1/31/2010 9,225 9,313
2/28/2010 9,623 9,607
3/31/2010 10,373 10,233
4/30/2010 10,702 10,498
5/31/2010 9,784 9,635
6/30/2010 9,046 9,092
7/31/2010 9,755 9,708
8/31/2010 9,167 9,292
9/30/2010 10,061 10,013
10/31/2010 10,436 10,314
11/30/2010 10,355 10,259
12/31/2010 11,365 11,069
1/31/2011 11,728 11,319
2/28/2011 12,363 11,737
3/31/2011 12,421 11,783
4/30/2011 12,738 12,097
5/31/2011 12,553 11,969
6/30/2011 12,334 11,724
7/31/2011 11,769 11,335
8/31/2011 10,777 10,628
9/30/2011 9,686 9,824
10/31/2011 11,030 10,949
11/30/2011 10,938 10,893
12/31/2011 11,025 11,112
1/31/2012 11,573 11,532
2/29/2012 12,242 11,992
3/31/2012 12,467 12,348
4/30/2012 12,213 12,222
5/31/2012 11,348 11,505
6/30/2012 11,959 12,076
7/31/2012 12,075 12,201
8/31/2012 12,553 12,466
9/30/2012 13,015 12,862
10/31/2012 13,050 12,799
11/30/2012 13,078 12,793
12/31/2012 13,476 13,058
1/31/2013 14,417 13,906
2/28/2013 14,601 14,106
3/31/2013 15,299 14,665
4/30/2013 15,461 14,886
5/31/2013 16,096 15,269
6/30/2013 15,917 15,134
7/31/2013 16,869 15,951
8/31/2013 16,372 15,346
9/30/2013 16,851 15,730
10/31/2013 17,705 16,419
11/30/2013 18,449 16,877
12/31/2013 18,940 17,305
1/31/2014 18,190 16,690
2/28/2014 18,807 17,412
3/31/2014 19,251 17,828
4/30/2014 19,378 17,997
5/31/2014 19,805 18,261
6/30/2014 20,342 18,738
7/31/2014 20,197 18,418
8/31/2014 20,838 19,095
9/30/2014 20,324 18,701
10/31/2014 20,480 19,122
11/30/2014 20,722 19,513
12/31/2014 20,878 19,633
1/31/2015 19,845 18,848
2/28/2015 21,247 19,760
3/31/2015 20,843 19,491
4/30/2015 21,265 19,673
5/31/2015 21,501 19,910
6/30/2015 21,155 19,512
7/31/2015 21,103 19,598
8/31/2015 19,822 18,430
9/30/2015 19,188 17,874
10/31/2015 20,751 19,223
Past performance is not predictive of
future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
Average Annual One Five Ten redemption of fund shares.
Total Return Year Years Years 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)
--------------------- --------------------------
10/31/2005 $10,000 $10,000
11/30/2005 10,178 10,265
12/31/2005 10,677 10,741
1/31/2006 11,406 11,420
2/28/2006 11,515 11,382
3/31/2006 12,001 11,743
4/30/2006 12,609 12,304
5/31/2006 12,098 11,837
6/30/2006 12,022 11,822
7/31/2006 12,207 11,932
8/31/2006 12,627 12,271
9/30/2006 12,802 12,262
10/31/2006 13,370 12,746
11/30/2006 13,815 13,126
12/31/2006 14,354 13,502
1/31/2007 14,624 13,584
2/28/2007 14,611 13,693
3/31/2007 15,084 14,044
4/30/2007 15,845 14,683
5/31/2007 16,387 15,009
6/30/2007 16,267 15,024
7/31/2007 15,815 14,816
8/31/2007 15,638 14,602
9/30/2007 16,454 15,432
10/31/2007 17,252 16,102
11/30/2007 16,207 15,473
12/31/2007 15,858 15,182
1/31/2008 14,573 13,813
2/29/2008 14,388 14,063
3/31/2008 14,560 13,863
4/30/2008 15,211 14,633
5/31/2008 15,218 14,855
6/30/2008 13,713 13,700
7/31/2008 13,325 13,212
8/31/2008 12,768 12,702
9/30/2008 11,277 10,868
10/31/2008 8,449 8,607
11/30/2008 7,931 8,140
12/31/2008 8,530 8,569
1/31/2009 7,353 7,770
2/28/2009 6,450 6,983
3/31/2009 7,153 7,443
4/30/2009 8,471 8,403
5/31/2009 9,730 9,466
6/30/2009 9,582 9,368
7/31/2009 10,722 10,248
8/31/2009 11,337 10,739
9/30/2009 11,914 11,182
10/31/2009 11,440 11,002
11/30/2009 11,781 11,275
12/31/2009 11,914 11,454
1/31/2010 11,226 10,917
2/28/2010 11,270 10,906
3/31/2010 12,159 11,608
4/30/2010 11,951 11,435
5/31/2010 10,552 10,173
6/30/2010 10,367 10,026
7/31/2010 11,663 10,953
8/31/2010 11,092 10,626
9/30/2010 12,285 11,645
10/31/2010 12,714 12,060
11/30/2010 12,077 11,549
12/31/2010 13,203 12,479
1/31/2011 13,765 12,748
2/28/2011 14,225 13,220
3/31/2011 13,832 12,956
4/30/2011 14,573 13,661
5/31/2011 14,047 13,256
6/30/2011 13,854 13,067
7/31/2011 13,410 12,852
8/31/2011 11,974 11,765
9/30/2011 10,663 10,584
10/31/2011 11,692 11,613
11/30/2011 11,307 11,076
12/31/2011 11,004 10,956
1/31/2012 11,744 11,547
2/29/2012 12,359 12,182
3/31/2012 12,255 12,092
4/30/2012 11,818 11,887
5/31/2012 10,359 10,531
6/30/2012 11,092 11,221
7/31/2012 11,048 11,361
8/31/2012 11,507 11,685
9/30/2012 11,914 12,040
10/31/2012 12,062 12,125
11/30/2012 12,255 12,380
12/31/2012 12,855 12,754
1/31/2013 13,462 13,381
2/28/2013 13,055 13,248
3/31/2013 13,099 13,353
4/30/2013 13,743 13,961
5/31/2013 13,580 13,648
6/30/2013 13,099 13,137
7/31/2013 13,995 13,836
8/31/2013 13,899 13,658
9/30/2013 14,943 14,623
10/31/2013 15,461 15,113
11/30/2013 15,520 15,206
12/31/2013 15,861 15,435
1/31/2014 15,283 14,812
2/28/2014 16,157 15,620
3/31/2014 16,039 15,550
4/30/2014 16,313 15,796
5/31/2014 16,498 16,040
6/30/2014 16,698 16,268
7/31/2014 16,328 15,978
8/31/2014 16,335 15,991
9/30/2014 15,617 15,334
10/31/2014 15,350 15,090
11/30/2014 15,358 15,276
12/31/2014 14,787 14,768
1/31/2015 14,691 14,715
2/28/2015 15,743 15,595
3/31/2015 15,409 15,334
4/30/2015 16,253 15,998
5/31/2015 16,261 15,859
6/30/2015 15,794 15,408
7/31/2015 15,639 15,652
8/31/2015 14,476 14,512
9/30/2015 13,492 13,780 Past performance is not predictive of
10/31/2015 14,528 14,816 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
-5.35% 2.70% 3.81% rights reserved.
--------------------------------------------------------------------------------
24
THE DFA INVESTMENT TRUST COMPANY
MANAGEMENT'S DISCUSSION AND ANALYSIS
(Unaudited)
U.S. Equity Market 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 relative performance as the
largest market cap value stocks underperformed.
25
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.
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 ending 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.
26
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
----------
* 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.
27
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%
28
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%
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%
-------------- -----
29
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
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%
=============== ======
30
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.
31
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%
------------ ----
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%
------------ ----
32
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
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%
-------------- -----
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%
33
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
UNITED KINGDOM -- (Continued)
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%
============== ======
34
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.
35
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2015
(Amounts in thousands)
The U.S. The DFA
Large Cap International
Value Series* Value Series*
------------- -------------
ASSETS:
Investments at Value (including $1,499,202 and $418,689 of securities on loan, respectively). $19,083,301 $9,188,447
Temporary Cash Investments at Value & Cost................................................... 9,755 --
Collateral from Securities on Loan Invested in Affiliate at Value & Cost..................... 916,343 434,245
Foreign Currencies at Value.................................................................. -- 12,800
Cash......................................................................................... 157 2,677
Receivables:
Investment Securities Sold................................................................. -- 10,770
Dividends, Interest and Tax Reclaims....................................................... 27,939 27,006
Securities Lending Income.................................................................. 539 392
Unrealized Gain on Foreign Currency Contracts................................................ -- 7
----------- ----------
Total Assets............................................................................ 20,038,034 9,676,344
----------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned........................................................... 916,343 434,245
Investment Securities Purchased............................................................ 25,249 12,024
Due to Advisor............................................................................. 1,585 1,559
Unrealized Loss on Foreign Currency Contracts................................................ -- 1
Accrued Expenses and Other Liabilities....................................................... 800 610
----------- ----------
Total Liabilities....................................................................... 943,977 448,439
----------- ----------
NET ASSETS................................................................................... $19,094,057 $9,227,905
=========== ==========
Investments at Cost.......................................................................... $13,435,978 $9,165,820
=========== ==========
Foreign Currencies at Cost................................................................... $ -- $ 12,765
=========== ==========
----------
* See Note I in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
36
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2015
(Amounts in thousands)
The U.S. The DFA
Large Cap International
Value Series Value Series
------------ -------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $23 and $26,207, respectively). $ 429,780 $ 325,317
Income from Securities Lending............................................. 4,643 9,274
----------- -----------
Total Investment Income................................................. 434,423 334,591
----------- -----------
Expenses
Investment Advisory Services Fees.......................................... 18,802 18,962
Accounting & Transfer Agent Fees........................................... 947 488
Custodian Fees............................................................. 199 857
Shareholders' Reports...................................................... 47 24
Directors'/Trustees' Fees & Expenses....................................... 92 46
Professional Fees.......................................................... 350 252
Other...................................................................... 262 155
----------- -----------
Total Expenses.......................................................... 20,699 20,784
----------- -----------
Fees Paid Indirectly (Note C).............................................. -- (19)
----------- -----------
Net Expenses............................................................... 20,699 20,765
----------- -----------
Net Investment Income (Loss)............................................... 413,724 313,826
----------- -----------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold............................................... 858,150 244,684
Futures.................................................................. (43) --
Foreign Currency Transactions............................................ -- (5,879)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............................... (1,018,426) (1,034,230)
Translation of Foreign Currency Denominated Amounts...................... -- 654
----------- -----------
Net Realized and Unrealized Gain (Loss).................................... (160,319) (794,771)
----------- -----------
Net Increase (Decrease) in Net Assets Resulting from Operations.............. $ 253,405 $ (480,945)
=========== ===========
See accompanying Notes to Financial Statements.
37
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The U.S. Large Cap Value The DFA International
Series Value Series
------------------------ -----------------------
Year Year Year Year
Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2015 2014
----------- ----------- ----------- ----------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................................ $ 413,724 $ 318,905 $ 313,826 $ 419,781
Net Realized Gain (Loss) on:
Investment Securities Sold*............................... 858,150 755,725 244,684 173,096
Futures................................................... (43) -- -- --
Foreign Currency Transactions............................. -- -- (5,879) (1,763)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................ (1,018,426) 1,319,300 (1,034,230) (672,491)
Translation of Foreign Currency Denominated Amounts....... -- -- 654 (1,379)
----------- ----------- ----------- ----------
Net Increase (Decrease) in Net Assets Resulting from
Operations.............................................. 253,405 2,393,930 (480,945) (82,756)
----------- ----------- ----------- ----------
Transactions in Interest:
Contributions............................................... 1,769,181 1,721,914 1,070,207 1,022,273
Withdrawals................................................. (1,305,211) (578,150) (705,023) (387,981)
----------- ----------- ----------- ----------
Net Increase (Decrease) from Transactions in Interest.... 463,970 1,143,764 365,184 634,292
----------- ----------- ----------- ----------
Total Increase (Decrease) in Net Assets.................. 717,375 3,537,694 (115,761) 551,536
Net Assets
Beginning of Year........................................... 18,376,682 14,838,988 9,343,666 8,792,130
----------- ----------- ----------- ----------
End of Year................................................. $19,094,057 $18,376,682 $ 9,227,905 $9,343,666
=========== =========== =========== ==========
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
38
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.
39
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
A. Organization:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven operational portfolios, two of which, The U.S. Large
Cap Value Series and The DFA International Value Series (the "Series"), are
presented in this report. The remaining portfolios are presented in separate
reports.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. Security Valuation: The Series utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series, including over-the-counter securities, are
valued at the last quoted sale price at the close of the exchanges on which
they are principally traded (official closing price). International equity
securities are subject to a fair value factor, as described later in this note.
Securities held by the Series that are listed on Nasdaq are valued at the
Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price
or NOCP for the day, the Series value the securities at the mean of the most
recent quoted bid and asked prices. 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 Series may differ from the quoted or published prices for the same
securities on their primary markets or exchanges. These securities are
generally categorized as Level 2 in the hierarchy.
The DFA International Value Series (the "International Series") will also
apply a fair value price in the circumstances described below. Generally,
trading in foreign securities markets is completed each day at various times
prior to the close of the NYSE. For example, trading in the Japanese securities
markets is completed each day at the close of the Tokyo Stock Exchange
(normally, 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
International Series is computed.
40
Due to the time differences between the closings of the relevant foreign
securities exchanges and the time the International Series prices its shares at
the close of the NYSE, the International Series will fair value its foreign
investments when it is determined that the market quotations for the foreign
investments are either unreliable or not readily available. The fair value
prices will attempt to reflect the impact of the U.S. financial markets'
perceptions and trading activities on the International Series' foreign
investments since the last closing prices of the foreign investments were
calculated on their primary foreign securities markets or exchanges. For these
purposes, the Board of Directors/Trustees of the International Series has
determined that movements in relevant indices or other appropriate market
indicators, after the close of the Tokyo Stock Exchange or the London Stock
Exchange, demonstrate that market quotations may be unreliable. Fair valuation
of portfolio securities may occur on a daily basis. The fair value pricing by
the International Series utilizes data furnished by an independent pricing
service (and that data draws upon, among other information, the market values
of foreign investments). The fair value prices of portfolio securities
generally will be used when it is determined that the use of such prices will
have a material impact on the net asset value of the International Series. When
the International Series uses fair value pricing, the values assigned to
International Series' foreign investments may not be the quoted or published
prices of the investments on their primary markets or exchanges. These
securities are generally categorized as Level 2 in the hierarchy.
Listed derivatives, such as futures, that are actively traded are valued
based on quoted prices from the exchange and are categorized as Level 1 in the
hierarchy.
A summary of the inputs used to value the Series' investments by each major
security type, industry and/or country is disclosed previously in this note.
Valuation hierarchy tables have been included at the end of the Summary
Schedules of Portfolio Holdings. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the year ended October 31, 2015, there were no significant transfers
between Level 1 and Level 2 and no significant Level 3 investments held by the
Series.
2. Foreign Currency Translation: Securities and other assets and
liabilities of the International Series whose values are initially expressed in
foreign currencies are translated to U.S. dollars using the mean between the
most recent bid and asked prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and interest income and certain expenses
are translated to U.S. dollars at the rate of exchange on their respective
accrual dates. Receivables and payables denominated in foreign currencies are
marked-to-market daily based on daily exchange rates and exchange gains or
losses are realized upon ultimate receipt or disbursement.
The International Series does not isolate the effect of fluctuations in
foreign exchange rates from the effect of fluctuations in the market prices of
securities whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and any foreign withholding taxes recorded on the books of the
International Series and the U.S. dollar equivalent amounts actually received
or paid.
3. Deferred Compensation Plan: Each eligible Director/Trustee of the Trust
may elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such
Directors/Trustees may defer payment of all or a portion of their total fees
earned as a Director/Trustee. These deferred amounts may be treated as though
such amounts had been invested in shares of the following funds: U.S. Large Cap
Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio;
U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value
Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio;
Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income are included in Directors'/Trustees'
Fees & Expenses.
Each Director/Trustee has the option to receive their distribution of
proceeds in one of the following methods: lump sum; annual installments over a
period of agreed upon years; or quarterly installments over a period of agreed
upon years. Each Director/Trustee shall have the right in a notice of election
(the "Notice") to defer the
41
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, generally based on average net assets.
The International Series may be subject to taxes imposed by countries in
which it invests, with respect to its investments in issuers existing or
operating in such countries. Such taxes are generally based on income earned or
repatriated and capital gains realized on the sale of such investments. The
International Series accrues such taxes when the related income or capital
gains are earned or throughout the holding period. Some countries require
governmental approval for the repatriation of investment income, capital or the
proceeds of sales earned by foreign investors. In addition, if there is a
deterioration in a country's balance of payments or for other reasons, a
country may impose temporary restrictions on foreign capital remittances abroad.
C. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides investment advisory
services to each Series. 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 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
investment advisory services/management fees were accrued daily and paid
monthly to the Advisor based on an effective annual rate of 0.10% and 0.20% of
average daily net assets for The U.S. Large Cap Value Series and The DFA
International Value Series, respectively.
Earned Income Credit:
In addition, the Series have entered into arrangements with their custodian
whereby net interest earned on uninvested cash balances was used to reduce a
portion of each Series' custody expenses. Custody expense in the accompanying
financial statements is presented before reduction for credits. 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
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"))
42
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
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
There were no purchases or sales of long-term U.S. government securities.
F. Federal Income Taxes:
The Series are treated as partnerships for federal income tax purposes and
therefore, no provision for federal income taxes is required. Any net
investment income and realized and unrealized gains and losses have been deemed
to have been "passed down" to their respective partners.
At October 31, 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)
----------- ------------ ------------ --------------
The U.S. Large Cap Value Series.... $4,362,076 $6,266,725 $ (619,402) $5,647,323
The DFA International Value Series. 9,600,065 1,304,194 (1,281,566) 22,628
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.
G. Financial Instruments:
In accordance with the Series' investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. Foreign Market Risks: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States of America, including the possibility of future political and
economic developments and the level of foreign government supervision and
regulation of foreign securities markets.
43
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 deposits cash or pledges U.S. Government
securities to a broker, equal to the minimum "initial margin" requirements of
the exchange on which the contract is traded. Subsequent payments are received
from or paid to the broker each day, based on the daily fluctuation in the
market value of the contract. These receipts or payments are known as
"variation margin" and are recorded daily by the Series as unrealized gains or
losses until the contracts are closed. When the contracts are closed, the
Series record a realized gain or loss, which is presented in the Statements of
Operations as a net realized gain or loss on futures, equal to the difference
between the value of the contract at the time it was opened and the value at
the time it was closed.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities or indices, from the possibility of an illiquid secondary market for
these instruments and from the possibility that the Series could lose more than
the initial margin requirements. The Series entering into stock index futures
are subject to equity price risk from those futures contracts. Counterparty
credit risk related to exchange-traded futures is minimal because the
exchange's clearinghouse, as counterparty to all exchange-traded futures,
guarantees the futures against default.
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
--------------- -----------------------------------------------------------
Equity Contracts Net Realized Gain (Loss) on: Futures
Foreign Exchange Contracts Net Realized Gain (Loss) on: Foreign Currency Transactions
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 --
* 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).
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 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
44
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 Loan Days Expense Borrowed During
Interest Rate 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
* 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.
There were no outstanding borrowings by the Series under the lines of credit
as of October 31, 2015.
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. 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 U.S. Large Cap Value Series and The DFA International Value
Series received non-cash collateral consisting of short and/or long term U.S.
government securities with a market value of $614,033 and $3,425 (in
thousands). Each Series invests the cash collateral, as described below, and
records a liability for the return of the collateral, during the period the
securities are on loan. Loans of securities are expected at all times to be
secured by collateral equal to at least (i) 100% of the current market value of
the loaned securities with respect to securities of the U.S. government or its
agencies, (ii) 102% of the current market value of the loaned securities with
respect to U.S. securities, and (iii) 105% of the current market value of the
loaned securities with respect to foreign securities. However, daily market
fluctuations could cause the Series' collateral to be lower or higher than the
expected thresholds. If this were to occur, the collateral would be adjusted
the next business day to ensure adequate collateralization. In the event of
default or bankruptcy by the other party to the agreement, realization and/or
retention of the collateral may be subject to legal proceedings. If the
borrower fails to return loaned securities, and cash collateral being
maintained by the borrower is insufficient to cover the value of loaned
securities and provided such collateral insufficiency is not the result of
investment losses, the lending agent has agreed to pay the amount of the
shortfall to the Series or, at the option of the lending agent, to replace the
securities. 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.
45
J. Indemnitees; Contractual Obligations:
Under the Trust's organizational documents, its officers and trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust.
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
K. Other:
The Series are subject to claims and suits that arise from time to time in
the ordinary course of business (for example, in The Tribune Company
Bankruptcy, 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 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.
L. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the Series
and has determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
46
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 and The DFA International Value 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
47
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 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%
48
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%
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%
49
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.
50
Name, Position Portfolios within the
with the Fund, Address Term of Office/1/ and DFA Fund Complex/2/ Principal Occupation(s) During Past 5 Years and
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 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 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) (1990-2010).
------------------------------------------------------------------------------------------------------------------------------
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 Parker
Trustee of DFAITC and DEM. DFAITC-Since 2010 Professor of Human Resources Management and
Stanford University Graduate DEM-Since 2010 Economics, Graduate School of Business, Stanford
School of Business University (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 Platinum Grove Asset Management, L.P. (hedge
Building 1 fund) (formerly, Oak Hill Platinum Partners)
Austin, TX 78746 (1999-2009). Formerly, Director, American Century
1941 Fund Complex (registered investment companies)
(43 Portfolios) (1980-2014).
------------------------------------------------------------------------------------------------------------------------------
Abbie J. Smith DFAIDG-Since 2000 122 portfolios in 4 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. DFAITC-Since 2000 Booth School of Business (since 1980). Director,
The 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 Ryder System Inc. (transportation, logistics and
Avenue 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).
------------------------------------------------------------------------------------------------------------------------------
51
Name, Position Portfolios within the
with the Fund, Address Term of Office/1/ and DFA Fund Complex/2/ Principal Occupation(s) During Past 5 Years and
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/Trustee, DIG-Since 1992 investment companies Executive Officer and formerly, Chief Executive
President and Co-Chief DFAITC-Since 1992 Officer (until 1/1/2010) of the following
Executive Officer DEM-Since 1993 companies: Dimensional Holdings Inc., Dimensional
6300 Bee Cave Road, Fund Advisors LP, DFA Securities LLC, DEM,
Building One DFAIDG, DIG and DFAITC (collectively, the "DFA
Austin, TX 78746 Entities"). Director of Dimensional Fund Advisors
1946 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 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
Building One Officer and Chief Investment Officer (since 2010)
Austin, TX 78746 of 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.
52
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, Vice
1974 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 and
1955 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).
----------------------------------------------------------------------------------------------------------------------
53
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 Australia
1972 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 Officer
1965 Global Chief of all the DFA Entities, DFA Australia Limited and
Compliance Officer 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
---------------------------------------------------------------------------------------------------------------------
54
Term of Office/1/
Name and Year of and Length of
Birth Position Service Principal Occupation During Past 5 Years
---------------------------------------------------------------------------------------------------------------------
Robert T. Deere Vice President Since 1994 Vice President of all the DFA Entities, DFA Australia
1957 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, Senior
1971 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.
---------------------------------------------------------------------------------------------------------------------
Jeremy P. Freeman Vice President Since 2009 Vice President of all the DFA Entities.
1970
---------------------------------------------------------------------------------------------------------------------
55
Term of Office/1/
Name and Year of and Length of
Birth Position Service Principal Occupation During Past 5 Years
--------------------------------------------------------------------------------------------------------------------
Kimberly A. Ginsburg Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Vice
1970 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 Trader
1975 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 Entities.
1958 Controller 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).
--------------------------------------------------------------------------------------------------------------------
56
Term of Office/1/
Name and Year of and Length of
Birth Position 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 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).
---------------------------------------------------------------------------------------------------------------
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, Vice
1969 President-Global Operations at Janus Capital Group
(2005-2011).
---------------------------------------------------------------------------------------------------------------
57
Term of Office/1/
Name and Year of and Length of
Birth Position Service Principal Occupation During Past 5 Years
-------------------------------------------------------------------------------------------------------------------
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 Treasurer
1956 Financial Officer and of all the DFA Entities and Dimensional Cayman
Treasurer 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).
-------------------------------------------------------------------------------------------------------------------
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.
-------------------------------------------------------------------------------------------------------------------
58
Term of Office/1/
Name and Year of and Length of
Birth Position Service Principal Occupation During Past 5 Years
-----------------------------------------------------------------------------------------------------------------------------
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 1997 Vice President and Secretary of all the DFA Entities.
1964 Secretary and Secretary since 2000 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 Chief
1961 Deputy Chief Compliance Officer of Dimensional Fund Advisors
Compliance Officer 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 2007 Vice President and Co-Chief Investment Officer of all
1976 Chief Investment and Co-Chief Investment the DFA Entities and Dimensional Fund Advisors
Officer Officer since 2014 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).
-----------------------------------------------------------------------------------------------------------------------------
59
Term of Office/1/
Name and Year of and Length of
Birth Position Service Principal Occupation During Past 5 Years
-------------------------------------------------------------------------------------------------------------
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 Australia
1961 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.
-------------------------------------------------------------------------------------------------------------
60
Term of Office/1/
Name and Year of and Length of
Birth Position Service Principal Occupation During Past 5 Years
---------------------------------------------------------------------------------------------------------------
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, Vice
1978 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.
---------------------------------------------------------------------------------------------------------------
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).
---------------------------------------------------------------------------------------------------------------
61
Term of Office/1/
Name and Year of and Length of
Birth Position Service Principal Occupation During Past 5 Years
---------------------------------------------------------------------------------------------------------------
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 Australia
1966 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.
62
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.
63
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 Foreign
Income Capital Gain Capital Gain Total Received Dividend Tax
Dimensional Investment Group Inc. Distributions Distributions Distributions Distributions Deduction(1) Income(2) Credit(3)
--------------------------------- ------------- ------------- ------------- ------------- ------------ ---------- ---------
U.S. Large Cap Value Portfolio II.... 100% -- -- 100% 100% 100% --
DFA International Value Portfolio II. 62% 1% 37% 100% 100% 100% 4%
Qualifying
Foreign Qualifying Short-Term
Source Interest Capital
Dimensional Investment Group Inc. Income(4) Income(5) Gain(6)
--------------------------------- --------- ---------- ----------
U.S. Large Cap Value Portfolio II.... -- 100% 100%
DFA International Value Portfolio II. 100% 100% 100%
----------
(1)Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
income distributions (the total of short-term capital gain and net
investment income distributions).
(2)The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
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).
64
DFA103115-009A
[LOGO] 00157604
[LOGO]
ANNUAL REPORT
year ended: October 31, 2015
Dimensional Investment Group Inc.
DFA International Value Portfolio III
U.S. Large Cap Value Portfolio III
Tax-Managed U.S. Marketwide Value Portfolio II
[LOGO]
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
November 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
DIMENSIONAL INVESTMENT GROUP INC.
ANNUAL REPORT
Table of Contents
Page
----
Letter to Shareholders
Definitions of Abbreviations and Footnotes................. 1
Dimensional Investment Group Inc.
Performance Charts...................................... 2
Management's Discussion and Analysis.................... 4
Disclosure of Fund Expenses............................. 7
Disclosure of Portfolio Holdings........................ 9
Schedules of Investments
DFA International Value Portfolio III............... 10
U.S. Large Cap Value Portfolio III.................. 10
Tax-Managed U.S. Marketwide Value Portfolio II...... 10
Statements of Assets and Liabilities.................... 11
Statements of Operations................................ 12
Statements of Changes in Net Assets..................... 13
Financial Highlights.................................... 14
Notes to Financial Statements........................... 16
Report of Independent Registered Public Accounting Firm. 22
Results of the Shareholder Meeting...................... 23
The DFA Investment Trust Company
Performance Charts...................................... 27
Management's Discussion and Analysis.................... 29
Disclosure of Fund Expenses............................. 32
Disclosure of Portfolio Holdings........................ 34
Summary Schedules of Portfolio Holdings
The DFA International Value Series.................. 35
The U.S. Large Cap Value Series..................... 39
The Tax-Managed U.S. Marketwide Value Series........ 42
Statements of Assets and Liabilities.................... 45
Statements of Operations................................ 46
Statements of Changes in Net Assets..................... 47
Financial Highlights.................................... 48
Notes to Financial Statements........................... 49
Report of Independent Registered Public Accounting Firm. 57
Results of the Shareholder Meeting...................... 58
Fund Management............................................ 60
Voting Proxies on Fund Portfolio Securities................ 73
Notice to Shareholders..................................... 74
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
Schedules of Investments/Summary Schedule of Portfolio Holdings
---------------------------------------------------------------
Investment Abbreviations
ADR American Depositary Receipt
P.L.C. Public Limited Company
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities 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 affiliated 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.
@ 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
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
DFA INTERNATIONAL VALUE PORTFOLIO III VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
October 31, 2005-October 31, 2015
[CHART]
DFA International MSCI World ex USA
Value Portfolio III Index (net dividends)
--------------------- ---------------------
10/31/2005 $10,000 $10,000
11/30/2005 10,181 10,265
12/31/2005 10,677 10,741
1/31/2006 11,410 11,420
2/28/2006 11,516 11,382
3/31/2006 12,005 11,743
4/30/2006 12,613 12,304
5/31/2006 12,099 11,837
6/30/2006 12,023 11,822
7/31/2006 12,208 11,932
8/31/2006 12,627 12,271
9/30/2006 12,802 12,262
10/31/2006 13,374 12,746
11/30/2006 13,812 13,126
12/31/2006 14,357 13,502
1/31/2007 14,627 13,584
2/28/2007 14,614 13,693
3/31/2007 15,081 14,044
4/30/2007 15,847 14,683
5/31/2007 16,388 15,009
6/30/2007 16,265 15,024
7/31/2007 15,816 14,816
8/31/2007 15,635 14,602
9/30/2007 16,454 15,432
10/31/2007 17,250 16,102
11/30/2007 16,205 15,473
12/31/2007 15,851 15,182
1/31/2008 14,569 13,813
2/29/2008 14,381 14,063
3/31/2008 14,556 13,863
4/30/2008 15,204 14,633
5/31/2008 15,211 14,855
6/30/2008 13,708 13,700
7/31/2008 13,322 13,212
8/31/2008 12,764 12,702
9/30/2008 11,268 10,868
10/31/2008 8,447 8,607
11/30/2008 7,922 8,140
12/31/2008 8,526 8,569
1/31/2009 7,351 7,770
2/28/2009 6,445 6,983
3/31/2009 7,147 7,443
4/30/2009 8,463 8,403
5/31/2009 9,721 9,466
6/30/2009 9,579 9,368
7/31/2009 10,710 10,248
8/31/2009 11,323 10,739
9/30/2009 11,910 11,182
10/31/2009 11,435 11,002
11/30/2009 11,769 11,275
12/31/2009 11,905 11,454
1/31/2010 11,218 10,917
2/28/2010 11,255 10,906
3/31/2010 12,150 11,608
4/30/2010 11,941 11,435
5/31/2010 10,543 10,173
6/30/2010 10,357 10,026
7/31/2010 11,654 10,953
8/31/2010 11,085 10,626
9/30/2010 12,272 11,645
10/31/2010 12,698 12,060
11/30/2010 12,058 11,549
12/31/2010 13,186 12,479
1/31/2011 13,753 12,748
2/28/2011 14,206 13,220
3/31/2011 13,820 12,956
4/30/2011 14,551 13,661
5/31/2011 14,027 13,256
6/30/2011 13,832 13,067
7/31/2011 13,393 12,852
8/31/2011 11,953 11,765
9/30/2011 10,650 10,584
10/31/2011 11,675 11,613
11/30/2011 11,289 11,076
12/31/2011 10,986 10,956
1/31/2012 11,728 11,547
2/29/2012 12,334 12,182
3/31/2012 12,241 12,092
4/30/2012 11,801 11,887
5/31/2012 10,338 10,531
6/30/2012 11,075 11,221
7/31/2012 11,026 11,361
8/31/2012 11,483 11,685
9/30/2012 11,894 12,040
10/31/2012 12,042 12,125
11/30/2012 12,230 12,380
12/31/2012 12,832 12,754
1/31/2013 13,440 13,381
2/28/2013 13,035 13,248
3/31/2013 13,078 13,353
4/30/2013 13,721 13,961
5/31/2013 13,552 13,648
6/30/2013 13,081 13,137
7/31/2013 13,968 13,836
8/31/2013 13,873 13,658
9/30/2013 14,921 14,623
10/31/2013 15,432 15,113
11/30/2013 15,492 15,206
12/31/2013 15,832 15,435
1/31/2014 15,251 14,812
2/28/2014 16,122 15,620
3/31/2014 16,007 15,550
4/30/2014 16,284 15,796
5/31/2014 16,459 16,040
6/30/2014 16,667 16,268
7/31/2014 16,292 15,978
8/31/2014 16,302 15,991
9/30/2014 15,592 15,334
10/31/2014 15,319 15,090
11/30/2014 15,328 15,276
12/31/2014 14,751 14,768
1/31/2015 14,655 14,715
2/28/2015 15,708 15,595
3/31/2015 15,379 15,334
4/30/2015 16,220 15,998
5/31/2015 16,230 15,859
6/30/2015 15,757 15,408
7/31/2015 15,609 15,652
8/31/2015 14,448 14,512 Past performance is not predictive of
9/30/2015 13,462 13,780 future performance.
10/31/2015 14,490 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
-5.41% 2.68% 3.78% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
U.S. LARGE CAP VALUE PORTFOLIO III VS.
RUSSELL 1000(R) VALUE INDEX
October 31, 2005-October 31, 2015
[CHART]
U.S. Large Cap
Value Portfolio III Russell 1000/R/ Value Index
--------------------- ---------------------------
10/31/2005 $10,000 $10,000
11/30/2005 10,400 10,327
12/31/2005 10,412 10,389
1/31/2006 10,910 10,792
2/28/2006 10,872 10,858
3/31/2006 11,067 11,005
4/30/2006 11,373 11,285
5/31/2006 11,167 11,000
6/30/2006 11,264 11,070
7/31/2006 11,102 11,339
8/31/2006 11,283 11,529
9/30/2006 11,598 11,759
10/31/2006 12,057 12,144
11/30/2006 12,283 12,421
12/31/2006 12,529 12,700
1/31/2007 12,898 12,862
2/28/2007 12,704 12,662
3/31/2007 12,788 12,857
4/30/2007 13,333 13,332
5/31/2007 13,884 13,813
6/30/2007 13,661 13,491
7/31/2007 12,815 12,867
8/31/2007 12,568 13,011
9/30/2007 12,893 13,458
10/31/2007 12,965 13,459
11/30/2007 12,240 12,801
12/31/2007 12,203 12,678
1/31/2008 11,735 12,170
2/29/2008 11,377 11,660
3/31/2008 11,266 11,573
4/30/2008 11,976 12,137
5/31/2008 12,266 12,117
6/30/2008 10,920 10,957
7/31/2008 10,803 10,918
8/31/2008 11,010 11,104
9/30/2008 10,023 10,288
10/31/2008 7,766 8,507
11/30/2008 7,007 7,897
12/31/2008 7,231 8,006
1/31/2009 6,371 7,086
2/28/2009 5,483 6,139
3/31/2009 6,021 6,664
4/30/2009 6,993 7,378
5/31/2009 7,537 7,834
6/30/2009 7,439 7,777
7/31/2009 8,148 8,413
8/31/2009 8,699 8,853
9/30/2009 9,076 9,195
10/31/2009 8,688 8,914
11/30/2009 9,176 9,416
12/31/2009 9,431 9,583
1/31/2010 9,207 9,313
2/28/2010 9,612 9,607
3/31/2010 10,361 10,233
4/30/2010 10,687 10,498
5/31/2010 9,774 9,635
6/30/2010 9,035 9,092
7/31/2010 9,740 9,708
8/31/2010 9,151 9,292
9/30/2010 10,048 10,013
10/31/2010 10,422 10,314
11/30/2010 10,341 10,259
12/31/2010 11,353 11,069
1/31/2011 11,714 11,319
2/28/2011 12,347 11,737
3/31/2011 12,406 11,783
4/30/2011 12,716 12,097
5/31/2011 12,539 11,969
6/30/2011 12,313 11,724
7/31/2011 11,750 11,335
8/31/2011 10,756 10,628
9/30/2011 9,668 9,824
10/31/2011 11,010 10,949
11/30/2011 10,921 10,893
12/31/2011 11,005 11,112
1/31/2012 11,554 11,532
2/29/2012 12,222 11,992
3/31/2012 12,445 12,348
4/30/2012 12,189 12,222
5/31/2012 11,322 11,505
6/30/2012 11,935 12,076
7/31/2012 12,049 12,201
8/31/2012 12,526 12,466
9/30/2012 12,989 12,862
10/31/2012 13,027 12,799
11/30/2012 13,050 12,793
12/31/2012 13,445 13,058
1/31/2013 14,389 13,906
2/28/2013 14,573 14,106
3/31/2013 15,269 14,665
4/30/2013 15,431 14,886
5/31/2013 16,062 15,269
6/30/2013 15,885 15,134
7/31/2013 16,836 15,951
8/31/2013 16,341 15,346
9/30/2013 16,817 15,730
10/31/2013 17,672 16,419
11/30/2013 18,410 16,877
12/31/2013 18,904 17,305
1/31/2014 18,154 16,690
2/28/2014 18,768 17,412
3/31/2014 19,210 17,828
4/30/2014 19,338 17,997
5/31/2014 19,763 18,261
6/30/2014 20,301 18,738
7/31/2014 20,148 18,418
8/31/2014 20,791 19,095
9/30/2014 20,279 18,701
10/31/2014 20,433 19,122
11/30/2014 20,675 19,513
12/31/2014 20,829 19,633
1/31/2015 19,797 18,848
2/28/2015 21,196 19,760
3/31/2015 20,797 19,491
4/30/2015 21,217 19,673
5/31/2015 21,457 19,910
6/30/2015 21,111 19,512
7/31/2015 21,051 19,598 Past performance is not predictive of
8/31/2015 19,777 18,430 future performance.
9/30/2015 19,139 17,874 The returns shown do not reflect the
10/31/2015 20,706 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
1.34% 14.72% 7.55% reserved.
--------------------------------------------------------------------------------
2
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II VS.
RUSSELL 3000(R) VALUE INDEX
October 31, 2005-October 31, 2015
[CHART]
Tax-Managed U.S. Marketwide
Value Portfolio II Russell 3000/R/ Value Index
--------------------------- ---------------------------
10/31/2005 $10,000 $10,000
11/30/2005 10,398 10,334
12/31/2005 10,446 10,383
1/31/2006 11,032 10,826
2/28/2006 10,998 10,886
3/31/2006 11,259 11,068
4/30/2006 11,543 11,326
5/31/2006 11,218 11,023
6/30/2006 11,293 11,099
7/31/2006 11,217 11,330
8/31/2006 11,279 11,533
9/30/2006 11,496 11,752
10/31/2006 11,942 12,156
11/30/2006 12,234 12,440
12/31/2006 12,470 12,703
1/31/2007 12,799 12,868
2/28/2007 12,631 12,672
3/31/2007 12,775 12,864
4/30/2007 13,232 13,308
5/31/2007 13,856 13,789
6/30/2007 13,555 13,467
7/31/2007 12,815 12,799
8/31/2007 12,752 12,952
9/30/2007 13,073 13,365
10/31/2007 13,088 13,378
11/30/2007 12,316 12,697
12/31/2007 12,262 12,575
1/31/2008 11,778 12,070
2/29/2008 11,353 11,567
3/31/2008 11,144 11,500
4/30/2008 11,779 12,045
5/31/2008 12,033 12,059
6/30/2008 10,708 10,905
7/31/2008 10,625 10,912
8/31/2008 10,843 11,124
9/30/2008 9,923 10,332
10/31/2008 7,703 8,519
11/30/2008 6,940 7,878
12/31/2008 7,178 8,016
1/31/2009 6,244 7,076
2/28/2009 5,401 6,128
3/31/2009 5,973 6,654
4/30/2009 7,005 7,394
5/31/2009 7,528 7,827
6/30/2009 7,423 7,772
7/31/2009 8,181 8,428
8/31/2009 8,723 8,866
9/30/2009 9,112 9,216
10/31/2009 8,677 8,908
11/30/2009 9,080 9,393
12/31/2009 9,417 9,601
1/31/2010 9,152 9,330
2/28/2010 9,574 9,635
3/31/2010 10,328 10,277
4/30/2010 10,727 10,581
5/31/2010 9,811 9,709
6/30/2010 9,057 9,137
7/31/2010 9,787 9,758
8/31/2010 9,143 9,316
9/30/2010 10,058 10,060
10/31/2010 10,452 10,369
11/30/2010 10,476 10,339
12/31/2010 11,461 11,158
1/31/2011 11,747 11,391
2/28/2011 12,412 11,824
3/31/2011 12,494 11,880
4/30/2011 12,787 12,186
5/31/2011 12,581 12,050
6/30/2011 12,364 11,799
7/31/2011 11,838 11,408
8/31/2011 10,858 10,671
9/30/2011 9,754 9,836
10/31/2011 11,106 10,985
11/30/2011 11,018 10,931
12/31/2011 11,130 11,147
1/31/2012 11,711 11,594
2/29/2012 12,331 12,033
3/31/2012 12,594 12,391
4/30/2012 12,360 12,260
5/31/2012 11,495 11,539
6/30/2012 12,099 12,110
7/31/2012 12,205 12,217
8/31/2012 12,660 12,490
9/30/2012 13,120 12,891
10/31/2012 13,161 12,820
11/30/2012 13,243 12,818
12/31/2012 13,625 13,103
1/31/2013 14,521 13,949
2/28/2013 14,751 14,147
3/31/2013 15,480 14,709
4/30/2013 15,596 14,913
5/31/2013 16,107 15,301
6/30/2013 16,008 15,171
7/31/2013 16,976 16,003
8/31/2013 16,479 15,388
9/30/2013 17,080 15,813
10/31/2013 17,886 16,491
11/30/2013 18,625 16,966
12/31/2013 19,144 17,386
1/31/2014 18,385 16,764
2/28/2014 19,061 17,493
3/31/2014 19,347 17,894
4/30/2014 19,389 18,014
5/31/2014 19,850 18,266
6/30/2014 20,360 18,769
7/31/2014 20,041 18,383
8/31/2014 20,781 19,068
9/30/2014 20,247 18,605
10/31/2014 20,602 19,090
11/30/2014 20,863 19,443
12/31/2014 21,076 19,594
1/31/2015 20,021 18,808
2/28/2015 21,467 19,715
3/31/2015 21,261 19,493
4/30/2015 21,483 19,628
5/31/2015 21,808 19,858
6/30/2015 21,581 19,494
7/31/2015 21,641 19,528 Past performance is not predictive of
8/31/2015 20,278 18,381 future performance.
9/30/2015 19,644 17,820 The returns shown do not reflect the
10/31/2015 21,194 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
2.88% 15.19% 7.80% reserved.
--------------------------------------------------------------------------------
3
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.
Master-Feeder Structure
Certain portfolios described below, called "Feeder Funds," do not buy
individual securities directly; instead, these portfolios invest in
corresponding funds called "Master Funds." Master Funds, in turn, purchase
stocks and/or other securities.
International Equity Portfolio Performance Overview
DFA International Value Portfolio III
The DFA International Value Portfolio III is designed to capture the returns
of international large company value stocks by purchasing shares of The DFA
International Value Series, a Master Fund that invests in such stocks. Value is
measured primarily by book-to-market ratio. The investment strategy is process
driven, emphasizing broad diversification. As of October 31, 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 -5.41% for the
Portfolio and -1.81% for the MSCI World ex USA Index (net dividends). As a
result of the Master Fund's diversified investment approach,
4
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
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%
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.
U.S. Large Cap Value Portfolio III
The U.S. Large Cap Value Portfolio III 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 1.34% 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
5
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.
Tax-Managed U.S. Marketwide Value Portfolio II
The Tax-Managed U.S. Marketwide Value Portfolio II 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.
For the 12 months ended October 31, 2015, total returns were 2.88% 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 performance
relative to the Index as the largest market cap value stocks underperformed.
6
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended October 31, 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 III**
---------------------------------------
Actual Fund Return...................... $1,000.00 $ 893.40 0.25% $1.19
Hypothetical 5% Annual Return........... $1,000.00 $1,023.95 0.25% $1.28
U.S. Large Cap Value Portfolio III**
------------------------------------
Actual Fund Return...................... $1,000.00 $ 975.90 0.14% $0.70
Hypothetical 5% Annual Return........... $1,000.00 $1,024.50 0.14% $0.71
7
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. Marketwide Value Portfolio II**
------------------------------------------------
Actual Fund Return............................... $1,000.00 $ 986.50 0.23% $1.15
Hypothetical 5% Annual Return.................... $1,000.00 $1,024.05 0.23% $1.17
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then divided
by the number of days in the year (365) to reflect the six-month period.
**The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the indirect payment of the Feeder Fund's
portion of the expenses of its Master Fund (Affiliated Investment Company).
8
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on September 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 of industry classification for this Affiliated Investment
Companies are represented in the Disclosure of Portfolio Holdings, which are
included elsewhere within the report. Refer to the Summary Schedules of
Portfolio Holdings for the underlying Affiliated Investment Company's holdings
which reflect the investments by category.
Affiliated Investment Company
-----------------------------
DFA International Value Portfolio III.......... 100.0%
U.S. Large Cap Value Portfolio III............. 100.0%
Tax-Managed U.S. Marketwide Value Portfolio II. 100.0%
9
SCHEDULE OF INVESTMENTS
October 31, 2015
DFA INTERNATIONAL VALUE PORTFOLIO III
Value+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The DFA International Value Series of The DFA
Investment Trust Company.................................. $1,926,864,755
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$1,934,485,817)........................................ $1,926,864,755
==============
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).
U.S. LARGE CAP VALUE PORTFOLIO III
Value+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The U.S. Large Cap Value Series of The DFA
Investment Trust Company.................................. $3,003,427,192
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$1,950,801,337)........................................ $3,003,427,192
==============
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).
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II
Value+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Tax-Managed U.S. Marketwide Value Series
of The DFA Investment Trust Company....................... $1,487,259,411
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$814,778,645).......................................... $1,487,259,411
==============
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.
10
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2015
(Amounts in thousands, except share and per share amounts)
Tax-Managed
DFA U.S.
International U.S. Large Marketwide
Value Cap Value Value
Portfolio III Portfolio III Portfolio II
------------- ------------- ------------
ASSETS:
Investments in Affiliated Investment Company at Value............... $ 1,926,865 $ 3,003,427 $ 1,487,259
Receivables:
Fund Shares Sold.................................................. 548 981 206
Prepaid Expenses and Other Assets................................... 40 28 23
------------ ------------ ------------
Total Assets................................................... 1,927,453 3,004,436 1,487,488
------------ ------------ ------------
LIABILITIES:
Payables:
Fund Shares Redeemed.............................................. 754 1,125 264
Due to Advisor.................................................... 16 25 --
Accrued Expenses and Other Liabilities.............................. 106 131 55
------------ ------------ ------------
Total Liabilities.............................................. 876 1,281 319
------------ ------------ ------------
NET ASSETS.......................................................... $ 1,926,577 $ 3,003,155 $ 1,487,169
============ ============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)............................. 131,483,505 125,622,700 60,422,482
============ ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE.............................................................. $ 14.65 $ 23.91 $ 24.61
============ ============ ============
Investments in Affiliated Investment Company at Cost................ $ 1,934,486 $ 1,950,801 $ 814,779
============ ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital..................................................... $ 1,887,553 $ 1,788,790 $ 786,710
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income)................................................. 5,785 6,815 3,113
Accumulated Net Realized Gain (Loss)................................ 40,879 154,924 24,866
Net Unrealized Foreign Exchange Gain (Loss)......................... (19) -- --
Net Unrealized Appreciation (Depreciation).......................... (7,621) 1,052,626 672,480
------------ ------------ ------------
NET ASSETS.......................................................... $ 1,926,577 $ 3,003,155 $ 1,487,169
============ ============ ============
(1) NUMBER OF SHARES AUTHORIZED..................................... 500,000,000 700,000,000 500,000,000
============ ============ ============
See accompanying Notes to Financial Statements.
11
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2015
(Amounts in thousands)
Tax-Managed
DFA U.S.
International U.S. Large Marketwide
Value Cap Value Value
Portfolio III* Portfolio III* Portfolio II*
-------------- -------------- -------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $5,331, $4 and $0, respectively). $ 66,095 $ 68,276 $ 30,134
Income from Securities Lending............................................... 1,887 737 382
Expenses Allocated from Affiliated Investment Company........................ (4,203) (3,287) (3,166)
--------- --------- --------
Total Investment Income................................................... 63,779 65,726 27,350
--------- --------- --------
Expenses
Investment Advisory Services Fees............................................ 1,126 903 828
Administrative Services Fees................................................. 138 217 --
Accounting & Transfer Agent Fees............................................. 14 21 12
Filing Fees.................................................................. 104 79 55
Shareholders' Reports........................................................ 75 85 41
Directors'/Trustees' Fees & Expenses......................................... 9 15 7
Professional Fees............................................................ 7 9 3
Other........................................................................ 107 162 81
--------- --------- --------
Total Expenses............................................................ 1,580 1,491 1,027
--------- --------- --------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor (Note C)............................................... (1,072) (821) (828)
--------- --------- --------
Net Investment Income (Loss)................................................. 63,271 65,056 27,151
--------- --------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold................................................. 43,871 162,096 25,728
Futures.................................................................... -- (6) --
Foreign Currency Transactions.............................................. (1,166) -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................................. (204,788) (186,345) (13,038)
Futures.................................................................... -- (4) --
Translation of Foreign Currency Denominated Amounts........................ 126 -- --
--------- --------- --------
Net Realized and Unrealized Gain (Loss)...................................... (161,957) (24,259) 12,690
--------- --------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations................ $ (98,686) $ 40,797 $ 39,841
========= ========= ========
----------
* 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.
12
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
DFA International Value U.S. Large Cap Value Tax-Managed U.S.
Portfolio III Portfolio III Marketwide Value Portfolio II
---------------------- ---------------------- ----------------------------
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2015 2014 2015 2014
---------- ---------- ---------- ---------- ---------- ----------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)............ $ 63,271 $ 81,160 $ 65,056 $ 53,866 $ 27,151 $ 22,410
Net Realized Gain (Loss) on:
Investment Securities Sold............ 43,871 31,471 162,096 142,469 25,728 5,427
Futures............................... -- -- (6) -- -- --
Foreign Currency Transactions......... (1,166) (361) -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................. (204,788) (127,231) (186,345) 213,753 (13,038) 166,346
Futures............................... -- 21 (4) -- -- --
Translation of Foreign Currency
Denominated Amounts.................. 126 (270) -- -- -- --
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.......................... (98,686) (15,210) 40,797 410,088 39,841 194,183
---------- ---------- ---------- ---------- ---------- ----------
Distributions From:
Net Investment Income................... (59,557) (78,498) (60,952) (51,559) (26,163) (21,654)
Net Short-Term Gains.................... (883) (2,906) (2,186) -- -- --
Net Long-Term Gains..................... (28,949) (66,638) (133,797) (55,581) (3,972) --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.................. (89,389) (148,042) (196,935) (107,140) (30,135) (21,654)
---------- ---------- ---------- ---------- ---------- ----------
Capital Share Transactions (1):
Shares Issued........................... 555,931 388,316 492,980 426,736 143,356 135,977
Shares Issued in Lieu of Cash
Distributions.......................... 68,883 117,516 157,247 87,873 29,959 21,540
Shares Redeemed......................... (346,817) (231,775) (483,553) (473,049) (176,409) (129,153)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Capital Share Transactions.......... 277,997 274,057 166,674 41,560 (3,094) 28,364
---------- ---------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in Net
Assets.............................. 89,922 110,805 10,536 344,508 6,612 200,893
Net Assets
Beginning of Year....................... 1,836,655 1,725,850 2,992,619 2,648,111 1,480,557 1,279,664
---------- ---------- ---------- ---------- ---------- ----------
End of Year............................. $1,926,577 $1,836,655 $3,003,155 $2,992,619 $1,487,169 $1,480,557
========== ========== ========== ========== ========== ==========
(1) Shares Issued and Redeemed:
Shares Issued........................... 36,752 22,761 20,592 17,676 5,870 5,875
Shares Issued in Lieu of Cash
Distributions.......................... 4,473 6,911 6,767 3,750 1,248 921
Shares Redeemed......................... (22,682) (13,446) (20,004) (19,567) (7,334) (5,589)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Shares Issued and
Redeemed............................ 18,543 16,226 7,355 1,859 (216) 1,207
========== ========== ========== ========== ========== ==========
Undistributed Net Investment Income
(Distributions in Excess of Net
Investment Income)....................... $ 5,785 $ 5,167 $ 6,815 $ 5,572 $ 3,113 $ 2,961
See accompanying Notes to Financial Statements.
13
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
DFA International Value Portfolio III
------------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011
------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year...................... $ 16.26 $ 17.84 $ 14.69 $ 14.81 $ 16.66
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)...................... 0.52 0.78 0.50 0.53 0.58
Net Gains (Losses) on Securities (Realized and
Unrealized).......................................... (1.38) (0.88) 3.48 (0.12) (1.87)
---------- ---------- ---------- ---------- ----------
Total from Investment Operations..................... (0.86) (0.10) 3.98 0.41 (1.29)
------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................................. (0.49) (0.76) (0.51) (0.48) (0.56)
Net Realized Gains.................................... (0.26) (0.72) (0.32) (0.05) --
---------- ---------- ---------- ---------- ----------
Total Distributions.................................. (0.75) (1.48) (0.83) (0.53) (0.56)
------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year............................ $ 14.65 $ 16.26 $ 17.84 $ 14.69 $ 14.81
======================================================== ========== ========== ========== ========== ==========
Total Return............................................ (5.41)% (0.73)% 28.15% 3.14% (8.06)%
------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)..................... $1,926,577 $1,836,655 $1,725,850 $1,296,862 $1,138,810
Ratio of Expenses to Average Net Assets (B)............. 0.25% 0.24% 0.25% 0.26% 0.26%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor) (B).................. 0.30% 0.24% 0.25% 0.26% 0.26%
Ratio of Net Investment Income to Average Net Assets.... 3.29% 4.48% 3.15% 3.71% 3.45%
------------------------------------------------------------------------------------------------------------------------
U.S. Large Cap Value Portfolio III
----------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011
--------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year...................... $ 25.30 $ 22.75 $ 17.11 $ 14.77 $ 14.23
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)...................... 0.53 0.46 0.39 0.34 0.27
Net Gains (Losses) on Securities (Realized and
Unrealized).......................................... (0.26) 3.01 5.64 2.33 0.54
---------- ---------- ---------- ---------- ----------
Total from Investment Operations..................... 0.27 3.47 6.03 2.67 0.81
--------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................................. (0.50) (0.44) (0.39) (0.33) (0.27)
Net Realized Gains.................................... (1.16) (0.48) -- -- --
---------- ---------- ---------- ---------- ----------
Total Distributions.................................. (1.66) (0.92) (0.39) (0.33) (0.27)
--------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year............................ $ 23.91 $ 25.30 $ 22.75 $ 17.11 $ 14.77
======================================================== ========== ========== ========== ========== ==========
Total Return............................................ 1.34% 15.62% 35.65% 18.32% 5.64%
--------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)..................... $3,003,155 $2,992,619 $2,648,111 $2,076,447 $1,823,228
Ratio of Expenses to Average Net Assets (B)............. 0.13% 0.13% 0.13% 0.14% 0.14%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor) (B).................. 0.16% 0.13% 0.13% 0.14% 0.14%
Ratio of Net Investment Income to Average Net Assets.... 2.18% 1.89% 1.97% 2.13% 1.77%
--------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
14
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Tax-Managed U.S. Marketwide Value Portfolio II
------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011
---------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year... $ 24.42 $ 21.53 $ 16.13 $ 13.88 $ 13.27
---------- ---------- ---------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).... 0.45 0.37 0.34 0.29 0.23
Net Gains (Losses) on Securities
(Realized and Unrealized)......... 0.24 2.88 5.39 2.24 0.60
---------- ---------- ---------- -------- --------
Total from Investment Operations.. 0.69 3.25 5.73 2.53 0.83
---------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............... (0.43) (0.36) (0.33) (0.28) (0.22)
Net Realized Gains.................. (0.07) -- -- -- --
---------- ---------- ---------- -------- --------
Total Distributions............... (0.50) (0.36) (0.33) (0.28) (0.22)
---------------------------------------------------------------------------------------------
Net Asset Value, End of Year......... $ 24.61 $ 24.42 $ 21.53 $ 16.13 $ 13.88
=================================== ========== ========== ========== ======== ========
Total Return......................... 2.88% 15.18% 35.90% 18.50% 6.26%
---------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).. $1,487,169 $1,480,557 $1,279,664 $960,801 $837,887
Ratio of Expenses to Average Net
Assets (B).......................... 0.22% 0.22% 0.23% 0.23% 0.23%
Ratio of Expenses to Average Net
Assets (Excluding Fees (Waived),
(Expenses Reimbursed), and/or
Previously Waived Fees Recovered
by Advisor) (B)..................... 0.28% 0.22% 0.23% 0.23% 0.23%
Ratio of Net Investment Income to
Average Net Assets.................. 1.80% 1.60% 1.80% 1.97% 1.60%
---------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
15
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. Organization:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of fifteen portfolios, three
of which, DFA International Value Portfolio III, U.S. Large Cap Value Portfolio
III and Tax-Managed U.S. Marketwide Value Portfolio II (the "Portfolios"), are
presented in this report. The remaining operational portfolios are presented in
separate reports.
DFA International Value Portfolio III, U.S. Large Cap Value Portfolio III
and Tax-Managed U.S. Marketwide Value Portfolio II primarily invest their
assets in The DFA International Value Series, The U.S. Large Cap Value Series
and The Tax-Managed U.S. Marketwide Value Series (the "Series"), respectively,
each a corresponding series of The DFA Investment Trust Company. At October 31,
2015, DFA International Value Portfolio III, U.S. Large Cap Value Portfolio III
and Tax-Managed U.S. Marketwide Value Portfolio II owned 21%, 16% and 28% of
their respective Series. The financial statements of the Series are included
elsewhere in this report and should be read in conjunction with the financial
statements of the Portfolios.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. Security Valuation: The Portfolios utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
The Portfolios' investments reflect their proportionate interests in the net
assets of their respective Series. These valuations are classified as Level 1
in the hierarchy.
A summary of the inputs used to value the Portfolios' investments is
disclosed previously in this note. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the year ended October 31, 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
16
funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core
Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA
International Value Portfolio; International Core Equity Portfolio; Emerging
Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income are included in
Directors'/Trustees' Fees & Expenses.
Each Director/Trustee has the option to receive their distribution of
proceeds in one of the following methods: lump sum; annual installments over a
period of agreed upon years; or quarterly installments over a period of agreed
upon years. Each Director/Trustee shall have the right in a notice of election
(the "Notice") to defer the receipt of the Director's/Trustee's deferred
compensation until a date specified by such Director/Trustee in the Notice,
which date may not be sooner than the earlier of: (i) the first business day of
January following the year in which such Director/Trustee ceases to be a member
of the Board; and (ii) five years following the effective date of the
Director's/Trustee's first deferral election. If a Director/Trustee who elects
to defer fees fails to designate in the Notice a time or date as of which
payment of the Director's/Trustee's deferred fee account shall commence,
payment of such amount shall commence as of the first business day of January
following the year in which the Director/Trustee ceases to be a member of the
Board (unless the Director/Trustee files an amended Notice selecting a
different distribution date). As of October 31, 2015, none of the
Directors/Trustees have requested or received a distribution of proceeds of a
deferred fee account.
3. Other: The Portfolios recognize their pro-rata share, on a daily basis,
of net investment income and realized and unrealized gains and losses of
investment securities and foreign currency from their respective Series, which
are each treated as a partnership for federal income tax purposes. Dividend
income and distributions to shareholders are recorded on the ex-dividend date.
Distributions received on securities that represent a return of capital or
capital gains are recorded as a reduction of cost of investments or as a
realized gain, respectively. Expenses directly attributable to a Portfolio are
directly charged. Common expenses of the Fund or Portfolios are allocated using
methods approved by the Board, generally based on average net assets.
C. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides investment advisory
services to the Portfolios. 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 Portfolio, the
new investment management agreement replaced the Portfolio'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 Portfolio's previous administration
agreement with the Advisor (the Tax-Managed U.S. Marketwide Value Portfolio
II's administration agreement with the Advisor did not charge a fee) and the
rate of the advisory fee charged by the Advisor to the Series in which the
Portfolio invests. In order to prevent each Portfolio from being subject to a
higher level of investment management fees, the Advisor will permanently waive
each Portfolio's investment management fee in the circumstances described below.
Prior to July 21, 2015, the DFA International Value Portfolio III and U.S.
Large Cap Value Portfolio III 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 0.01% of each Portfolio's average
daily net assets. The Tax-Managed U.S. Marketwide Value Portfolio II paid no
fee for these services. Effective July 21, 2015, the DFA International Value
Portfolio III's, U.S. Large Cap Value Portfolio III's and Tax-Managed U.S.
Marketwide Value Portfolio II's investment advisory services/management fees
pursuant to the new investment management agreement were accrued daily and paid
monthly to the Advisor based on effective annual rates of 0.21%, 0.11% and
0.20%, respectively, of each Portfolio's average daily net assets.
Effective July 21, 2015, pursuant to a Fee Waiver Agreement for the
Portfolios, 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
17
management fees a Portfolio pays indirectly through its investment in other
funds managed by the Advisor, to the rates listed below as a percentage of the
average net assets of a class of a Portfolio on an annualized basis. The Fee
Waiver Agreement will remain in effect permanently, unless terminated by the
Portfolio.
Previously
Recovery Waived Fees/
of Previously Expenses
Waived Fees/ Assumed
Expense Expenses Subject to Future
Limitation Amount Assumed Recovery
----------------- ------------- -----------------
DFA International Value Portfolio III.......... 0.21% -- --
U.S. Large Cap Value Portfolio III............. 0.11% -- --
Tax-Managed U.S. Marketwide Value Portfolio II. 0.20% -- --
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 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):
DFA International Value Portfolio III.......... $51
U.S. Large Cap Value Portfolio III............. 78
Tax-Managed U.S. Marketwide Value Portfolio II. 36
E. Federal Income Taxes:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to shareholders. Accordingly, no provision
has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gains or losses, as appropriate,
in the period that the differences arise. Accordingly, the following permanent
differences as of October 31, 2015, primarily attributable to net foreign
currency gains/losses, gains on securities considered to be "passive foreign
investment companies", tax equalization, and realized foreign capital gains
tax, were reclassified to the following accounts. These reclassifications had
no effect on net assets or net asset value per share (amounts in thousands):
Increase Increase
(Decrease) (Decrease)
Increase Undistributed Accumulated
(Decrease) Net Investment Net Realized
Paid-In Capital Income Gains (Losses)
--------------- -------------- --------------
DFA International Value Portfolio III.......... $4,307 $(3,096) $(1,211)
U.S. Large Cap Value Portfolio III............. 9,987 (2,861) (7,126)
Tax-Managed U.S. Marketwide Value Portfolio II. 1,629 (836) (793)
18
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 Tax
Short-Term Long-Term Exempt
Capital Gains Capital Gains Income Total
-------------- ------------- ------ --------
DFA International Value Portfolio III
2014........................................... $81,404 $ 66,638 -- $148,042
2015........................................... 60,439 28,949 -- 89,388
U.S. Large Cap Value Portfolio III
2014........................................... 51,559 55,581 -- 107,140
2015........................................... 63,138 133,797 -- 196,935
Tax-Managed U.S. Marketwide Value Portfolio II
2014........................................... 21,654 -- -- 21,654
2015........................................... 26,163 3,972 -- 30,135
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 International Value Portfolio III.......... $2,546 $1,769 $4,315
U.S. Large Cap Value Portfolio III............. 2,860 7,127 9,987
Tax-Managed U.S. Marketwide Value Portfolio II. 836 793 1,629
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 III. $7,341 $ 41,316 -- $ (9,546) $ 39,111
U.S. Large Cap Value Portfolio III.... 6,945 154,994 -- 1,052,556 1,214,495
Tax-Managed U.S. Marketwide Value
Portfolio II........................ 3,172 24,936 -- 672,410 700,518
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 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 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 International Value Portfolio III.......... $1,936,392 $ 1 $(9,528) $ (9,527)
U.S. Large Cap Value Portfolio III............. 1,950,871 1,052,556 -- 1,052,556
Tax-Managed U.S. Marketwide Value Portfolio II. 814,850 672,409 -- 672,409
19
The difference between book basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales and investments in passive foreign investment companies.
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed the Portfolios'
tax positions and has concluded that no additional provision for income tax is
required in any Portfolio's financial statements. The Portfolios are not aware
of any tax positions for which it is more likely than not that the total
amounts of unrecognized tax benefits will significantly change in the next
twelve months. The Portfolios' federal tax returns for the prior three fiscal
years remain subject to examination by the Internal Revenue Service.
F. Line of Credit 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 Portfolios under the lines of credit during
the year ended 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.
G. Indemnitees; Contractual Obligations:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
H. Other:
At 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.
20
Approximate
Percentage of
Number of Outstanding
Shareholders Shares
------------ -------------
DFA International Value Portfolio III.......... 5 98%
U.S. Large Cap Value Portfolio III............. 5 97%
Tax-Managed U.S. Marketwide Value Portfolio II. 3 99%
The Portfolios are subject to claims and suits that arise from time to time
in the ordinary course of business (for example, in The Tribune Company
Bankruptcy, 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 and The Tax-Managed U.S. Marketwide Value
Series have been named as defendants in a multi-district litigation pending in
the United States District Court for the Southern District of New York (the
"Court"), captioned In re Tribune Company Fraudulent Conveyance Litigation,
No. 11-MD-2296-RJS (the "Tribune MDL"). The Tribune MDL arises from the 2007
leveraged buyout of The Tribune Company ("Tribune") (the "LBO") and Tribune's
subsequent bankruptcy and reorganization. In connection with the LBO, thousands
of Tribune shareholders, including The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series, sold Tribune shares back to Tribune
for $34 per share. The Tribune MDL includes a series of lawsuits brought by
individual creditors of Tribune (the "Individual Creditor Actions") and a
lawsuit brought by a court-appointed trustee on behalf of the committee of
unsecured creditors of Tribune (the "Committee Action," and with the Individual
Creditor Actions, collectively referred to as the "Lawsuits"). The Lawsuits
seek to unwind the LBO stock repurchases as fraudulent transfers and recover
the stock repurchase proceeds paid to the Tribune shareholders who participated
in the LBO. On September 23, 2013, the Court entered an order dismissing the
Individual Creditor Actions in their entirety on the grounds that the
individual creditor plaintiffs lack standing to pursue their claims. The
Court's dismissal order is on appeal to the Second Circuit. 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 and 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 U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series arising from the Lawsuits. Until The
U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value Series
can do so, no reduction of the net asset values of the U.S. Large Cap Value
Series and The Tax-Managed U.S. Marketwide Value Series will be made relating
to the Lawsuits. However, even if the plaintiffs in the Lawsuits were to obtain
the full recovery the plaintiffs seek, the amount would be less than 1% of The
U.S. Large Cap Value Series' and The Tax-Managed U.S. Marketwide Value Series'
net asset values, respectively, at this time.
The U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value
Series also cannot quantify the cost of the Lawsuits that could potentially be
deducted from their net asset values. Therefore, at this time, those investors
buying or redeeming shares of The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series will pay or receive, as the case may
be, a price based on the net asset values of The U.S. Large Cap Value Series
and The Tax-Managed U.S. Marketwide Value Series, with no adjustment relating
to the Lawsuits. The attorneys' fees and costs relating to the Lawsuits will be
taken as expenses by The U.S. Large Cap Value Series and The Tax-Managed U.S.
Marketwide Value Series as incurred and in a manner similar to any other
expense incurred by The U.S. Large Cap Value Series and The Tax-Managed U.S.
Marketwide Value Series.
I. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the
Portfolios and has determined that there are no subsequent events requiring
recognition or disclosure in the financial statements.
21
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 schedules of investments, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of DFA International
Value Portfolio III, U.S. Large Cap Value Portfolio III and Tax-Managed U.S.
Marketwide Value Portfolio II (constituting portfolios within Dimensional
Investment Group Inc., hereafter referred to as the "Portfolios") at October
31, 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
transfer agent of the investee funds, provide a reasonable basis for our
opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 18, 2015
22
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 III
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
---------- ------- ------ --------- -------- ----------
(a) David G. Booth........... 75,348,296 98.08% 62.34% 1,477,535 1.92% 1.22%
(b) George M. Constantinides. 75,303,887 98.02% 62.31% 1,521,943 1.98% 1.26%
(c) John P. Gould............ 75,305,857 98.02% 62.31% 1,519,974 1.98% 1.26%
(d) Roger G. Ibbotson........ 75,311,416 98.03% 62.31% 1,514,414 1.97% 1.25%
(e) Edward P. Lazear......... 75,335,761 98.06% 62.33% 1,490,069 1.94% 1.23%
(f) Eduardo A. Repetto....... 75,322,829 98.04% 62.32% 1,503,002 1.96% 1.24%
(g) Myron S. Scholes......... 75,319,452 98.04% 62.32% 1,506,378 1.96% 1.25%
(h) Abbie J. Smith........... 75,314,870 98.03% 62.32% 1,510,961 1.97% 1.25%
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
--- ------- ------ ------- ------- --------- ------- ------- --------- ---------- --------
56,417,980 73.44% 46.68% 539,977 0.70% 0.45% 991,190 1.29% 0.82% 18,876,684 24.57%
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
--- ------- ------ ------- ------- --------- --------- ------- --------- ---------- --------
56,561,844 73.62% 46.80% 367,133 0.48% 0.30% 1,020,168 1.33% 0.84% 18,876,684 24.57%
23
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
--- ------- ------ ------- ------- --------- --------- ------- --------- ---------- --------
56,472,060 73.51% 46.73% 406,359 0.53% 0.34% 1,070,726 1.39% 0.89% 18,876,684 24.57%
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........... 75,187,013 97.87% 62.21% 1,638,818 2.13% 1.36%
(b) George M. Constantinides. 75,149,520 97.82% 62.18% 1,676,311 2.18% 1.39%
(c) John P. Gould............ 75,166,285 97.84% 62.19% 1,659,546 2.16% 1.37%
(d) Roger G. Ibbotson........ 75,188,836 97.87% 62.21% 1,636,995 2.13% 1.35%
(e) Edward P. Lazear......... 75,185,795 97.87% 62.21% 1,640,036 2.13% 1.36%
(f) Eduardo A. Repetto....... 75,161,954 97.83% 62.19% 1,663,877 2.17% 1.38%
(g) Myron S. Scholes......... 75,179,699 97.86% 62.20% 1,646,132 2.14% 1.36%
(h) Abbie J. Smith........... 75,181,032 97.86% 62.20% 1,644,799 2.14% 1.36%
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
--- ------- ------ ------- ------- --------- --------- ------- --------- ---------- --------
56,318,371 73.31% 46.60% 581,819 0.76% 0.48% 1,048,957 1.37% 0.87% 18,876,684 24.57%
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
--- ------- ------ ------- ------- --------- --------- ------- --------- ---------- --------
56,477,277 73.51% 46.73% 418,672 0.54% 0.35% 1,053,196 1.37% 0.87% 18,876,684 24.57%
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
--- ------- ------ ------- ------- --------- --------- ------- --------- ---------- --------
56,345,010 73.34% 46.62% 474,867 0.62% 0.39% 1,129,268 1.47% 0.93% 18,876,684 24.57%
U.S. Large Cap Value Portfolio III
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
---------- ------- ------ --------- -------- ----------
(a) David G. Booth........... 80,071,316 98.37% 65.36% 1,324,852 1.63% 1.08%
(b) George M. Constantinides. 80,067,980 98.37% 65.36% 1,328,189 1.63% 1.08%
(c) John P. Gould............ 80,055,533 98.35% 65.35% 1,340,637 1.65% 1.09%
(d) Roger G. Ibbotson........ 80,046,823 98.34% 65.34% 1,349,344 1.66% 1.10%
(e) Edward P. Lazear......... 80,052,831 98.35% 65.34% 1,343,337 1.65% 1.10%
(f) Eduardo A. Repetto....... 80,072,219 98.37% 65.36% 1,323,948 1.63% 1.08%
(g) Myron S. Scholes......... 80,092,819 98.40% 65.38% 1,303,349 1.60% 1.06%
(h) Abbie J. Smith........... 80,125,292 98.44% 65.40% 1,270,877 1.56% 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
--- ------- ------ ------- ------- --------- --------- ------- --------- ---------- --------
60,871,710 74.78% 49.69% 451,582 0.55% 0.37% 1,078,143 1.32% 0.88% 18,994,733 23.34%
24
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
--- ------- ------ ------- ------- --------- --------- ------- --------- ---------- --------
60,769,719 74.66% 49.60% 512,216 0.63% 0.42% 1,119,498 1.38% 0.91% 18,994,733 23.34%
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........... 79,847,373 98.10% 65.18% 1,548,796 1.90% 1.26%
(b) George M. Constantinides. 79,837,220 98.08% 65.17% 1,558,950 1.92% 1.27%
(c) John P. Gould............ 79,854,919 98.11% 65.18% 1,541,248 1.89% 1.26%
(d) Roger G. Ibbotson........ 79,844,167 98.09% 65.17% 1,551,999 1.91% 1.27%
(e) Edward P. Lazear......... 79,888,035 98.15% 65.21% 1,508,134 1.85% 1.23%
(f) Eduardo A. Repetto....... 79,851,486 98.10% 65.18% 1,544,682 1.90% 1.26%
(g) Myron S. Scholes......... 79,867,704 98.12% 65.19% 1,528,465 1.88% 1.25%
(h) Abbie J. Smith........... 79,840,180 98.09% 65.17% 1,555,987 1.91% 1.27%
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
--- ------- ------ ------- ------- --------- --------- ------- --------- ---------- --------
60,869,367 74.78% 49.69% 417,762 0.51% 0.34% 1,114,303 1.37% 0.91% 18,994,733 23.34%
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
--- ------- ------ ------- ------- --------- --------- ------- --------- ---------- --------
60,759,994 74.65% 49.60% 478,813 0.59% 0.39% 1,162,625 1.43% 0.95% 18,994,733 23.34%
Tax-Managed U.S. Marketwide Value Portfolio II
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
---------- ------- ------ -------- -------- ----------
(a) David G. Booth........... 32,723,159 98.14% 53.75% 619,112 1.86% 1.02%
(b) George M. Constantinides. 32,738,523 98.19% 53.77% 603,749 1.81% 0.99%
(c) John P. Gould............ 32,750,900 98.23% 53.79% 591,371 1.77% 0.97%
(d) Roger G. Ibbotson........ 32,741,559 98.20% 53.78% 600,713 1.80% 0.99%
(e) Edward P. Lazear......... 32,705,686 98.09% 53.72% 636,585 1.91% 1.05%
(f) Eduardo A. Repetto....... 32,700,764 98.08% 53.71% 641,507 1.92% 1.05%
(g) Myron S. Scholes......... 32,753,227 98.23% 53.80% 589,044 1.77% 0.97%
(h) Abbie J. Smith........... 32,744,442 98.21% 53.78% 597,830 1.79% 0.98%
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
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
26,405,654 79.20% 43.37% 273,211 0.82% 0.45% 668,958 2.01% 1.10% 5,994,448 17.98%
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
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
26,290,462 78.85% 43.18% 345,668 1.04% 0.57% 711,693 2.13% 1.17% 5,994,448 17.98%
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........... 32,523,099 97.54% 53.42% 819,172 2.46% 1.35%
(b) George M. Constantinides. 32,570,847 97.69% 53.50% 771,425 2.31% 1.27%
(c) John P. Gould............ 32,580,423 97.72% 53.51% 761,848 2.28% 1.25%
(d) Roger G. Ibbotson........ 32,503,237 97.48% 53.39% 839,035 2.52% 1.38%
(e) Edward P. Lazear......... 32,441,148 97.30% 53.28% 901,123 2.70% 1.48%
(f) Eduardo A. Repetto....... 32,475,835 97.40% 53.34% 866,436 2.60% 1.42%
(g) Myron S. Scholes......... 32,519,463 97.53% 53.41% 822,808 2.47% 1.35%
(h) Abbie J. Smith........... 32,565,188 97.67% 53.49% 777,084 2.33% 1.28%
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
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
26,355,303 79.04% 43.29% 286,781 0.86% 0.47% 705,737 2.12% 1.16% 5,994,448 17.98%
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
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
26,299,778 78.88% 43.20% 308,259 0.92% 0.51% 739,785 2.22% 1.22% 5,994,448 17.98%
26
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
THE DFA INTERNATIONAL VALUE SERIES VS.
MSCI WORLD EX USA INDEX (NET DIVIDEND)
October 31, 2005-October 31, 2015
[CHART]
The DFA International MSCI World ex USA Index
Value Series (net dividends)
--------------------- -------------------------
10/31/2005 $10,000 $10,000
11/30/2005 10,178 10,265
12/31/2005 10,677 10,741
1/31/2006 11,406 11,420
2/28/2006 11,515 11,382
3/31/2006 12,001 11,743
4/30/2006 12,609 12,304
5/31/2006 12,098 11,837
6/30/2006 12,022 11,822
7/31/2006 12,207 11,932
8/31/2006 12,627 12,271
9/30/2006 12,802 12,262
10/31/2006 13,370 12,746
11/30/2006 13,815 13,126
12/31/2006 14,354 13,502
1/31/2007 14,624 13,584
2/28/2007 14,611 13,693
3/31/2007 15,084 14,044
4/30/2007 15,845 14,683
5/31/2007 16,387 15,009
6/30/2007 16,267 15,024
7/31/2007 15,815 14,816
8/31/2007 15,638 14,602
9/30/2007 16,454 15,432
10/31/2007 17,252 16,102
11/30/2007 16,207 15,473
12/31/2007 15,858 15,182
1/31/2008 14,573 13,813
2/29/2008 14,388 14,063
3/31/2008 14,560 13,863
4/30/2008 15,211 14,633
5/31/2008 15,218 14,855
6/30/2008 13,713 13,700
7/31/2008 13,325 13,212
8/31/2008 12,768 12,702
9/30/2008 11,277 10,868
10/31/2008 8,449 8,607
11/30/2008 7,931 8,140
12/31/2008 8,530 8,569
1/31/2009 7,353 7,770
2/28/2009 6,450 6,983
3/31/2009 7,153 7,443
4/30/2009 8,471 8,403
5/31/2009 9,730 9,466
6/30/2009 9,582 9,368
7/31/2009 10,722 10,248
8/31/2009 11,337 10,739
9/30/2009 11,914 11,182
10/31/2009 11,440 11,002
11/30/2009 11,781 11,275
12/31/2009 11,914 11,454
1/31/2010 11,226 10,917
2/28/2010 11,270 10,906
3/31/2010 12,159 11,608
4/30/2010 11,951 11,435
5/31/2010 10,552 10,173
6/30/2010 10,367 10,026
7/31/2010 11,663 10,953
8/31/2010 11,092 10,626
9/30/2010 12,285 11,645
10/31/2010 12,714 12,060
11/30/2010 12,077 11,549
12/31/2010 13,203 12,479
1/31/2011 13,765 12,748
2/28/2011 14,225 13,220
3/31/2011 13,832 12,956
4/30/2011 14,573 13,661
5/31/2011 14,047 13,256
6/30/2011 13,854 13,067
7/31/2011 13,410 12,852
8/31/2011 11,974 11,765
9/30/2011 10,663 10,584
10/31/2011 11,692 11,613
11/30/2011 11,307 11,076
12/31/2011 11,004 10,956
1/31/2012 11,744 11,547
2/29/2012 12,359 12,182
3/31/2012 12,255 12,092
4/30/2012 11,818 11,887
5/31/2012 10,359 10,531
6/30/2012 11,092 11,221
7/31/2012 11,048 11,361
8/31/2012 11,507 11,685
9/30/2012 11,914 12,040
10/31/2012 12,062 12,125
11/30/2012 12,255 12,380
12/31/2012 12,855 12,754
1/31/2013 13,462 13,381
2/28/2013 13,055 13,248
3/31/2013 13,099 13,353
4/30/2013 13,743 13,961
5/31/2013 13,580 13,648
6/30/2013 13,099 13,137
7/31/2013 13,995 13,836
8/31/2013 13,899 13,658
9/30/2013 14,943 14,623
10/31/2013 15,461 15,113
11/30/2013 15,520 15,206
12/31/2013 15,861 15,435
1/31/2014 15,283 14,812
2/28/2014 16,157 15,620
3/31/2014 16,039 15,550
4/30/2014 16,313 15,796
5/31/2014 16,498 16,040
6/30/2014 16,698 16,268
7/31/2014 16,328 15,978
8/31/2014 16,335 15,991
9/30/2014 15,617 15,334
10/31/2014 15,350 15,090
11/30/2014 15,358 15,276
12/31/2014 14,787 14,768
1/31/2015 14,691 14,715
2/28/2015 15,743 15,595
3/31/2015 15,409 15,334
4/30/2015 16,253 15,998
5/31/2015 16,261 15,859
6/30/2015 15,794 15,408
7/31/2015 15,639 15,652
8/31/2015 14,476 14,512 Past performance is not predictive of
9/30/2015 13,492 13,780 future performance.
10/31/2015 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.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THE U.S. LARGE CAP VALUE SERIES VS.
RUSSELL 1000(R) VALUE INDEX
October 31, 2005-October 31, 2015
[CHART]
The U.S. Large Cap Value Series Russell 1000/R/ Value Index
------------------------------- ---------------------------
10/31/2005 $10,000 $10,000
11/30/2005 10,399 10,327
12/31/2005 10,413 10,389
1/31/2006 10,910 10,792
2/28/2006 10,873 10,858
3/31/2006 11,067 11,005
4/30/2006 11,377 11,285
5/31/2006 11,170 11,000
6/30/2006 11,266 11,070
7/31/2006 11,104 11,339
8/31/2006 11,286 11,529
9/30/2006 11,599 11,759
10/31/2006 12,059 12,144
11/30/2006 12,288 12,421
12/31/2006 12,534 12,700
1/31/2007 12,900 12,862
2/28/2007 12,706 12,662
3/31/2007 12,795 12,857
4/30/2007 13,339 13,332
5/31/2007 13,889 13,813
6/30/2007 13,665 13,491
7/31/2007 12,819 12,867
8/31/2007 12,573 13,011
9/30/2007 12,901 13,458
10/31/2007 12,974 13,459
11/30/2007 12,249 12,801
12/31/2007 12,208 12,678
1/31/2008 11,742 12,170
2/29/2008 11,382 11,660
3/31/2008 11,276 11,573
4/30/2008 11,986 12,137
5/31/2008 12,274 12,117
6/30/2008 10,929 10,957
7/31/2008 10,810 10,918
8/31/2008 11,019 11,104
9/30/2008 10,029 10,288
10/31/2008 7,775 8,507
11/30/2008 7,012 7,897
12/31/2008 7,240 8,006
1/31/2009 6,381 7,086
2/28/2009 5,486 6,139
3/31/2009 6,029 6,664
4/30/2009 7,004 7,378
5/31/2009 7,540 7,834
6/30/2009 7,448 7,777
7/31/2009 8,157 8,413
8/31/2009 8,711 8,853
9/30/2009 9,092 9,195
10/31/2009 8,700 8,914
11/30/2009 9,190 9,416
12/31/2009 9,444 9,583
1/31/2010 9,225 9,313
2/28/2010 9,623 9,607
3/31/2010 10,373 10,233
4/30/2010 10,702 10,498
5/31/2010 9,784 9,635
6/30/2010 9,046 9,092
7/31/2010 9,755 9,708
8/31/2010 9,167 9,292
9/30/2010 10,061 10,013
10/31/2010 10,436 10,314
11/30/2010 10,355 10,259
12/31/2010 11,365 11,069
1/31/2011 11,728 11,319
2/28/2011 12,363 11,737
3/31/2011 12,421 11,783
4/30/2011 12,738 12,097
5/31/2011 12,553 11,969
6/30/2011 12,334 11,724
7/31/2011 11,769 11,335
8/31/2011 10,777 10,628
9/30/2011 9,686 9,824
10/31/2011 11,030 10,949
11/30/2011 10,938 10,893
12/31/2011 11,025 11,112
1/31/2012 11,573 11,532
2/29/2012 12,242 11,992
3/31/2012 12,467 12,348
4/30/2012 12,213 12,222
5/31/2012 11,348 11,505
6/30/2012 11,959 12,076
7/31/2012 12,075 12,201
8/31/2012 12,553 12,466
9/30/2012 13,015 12,862
10/31/2012 13,050 12,799
11/30/2012 13,078 12,793
12/31/2012 13,476 13,058
1/31/2013 14,417 13,906
2/28/2013 14,601 14,106
3/31/2013 15,299 14,665
4/30/2013 15,461 14,886
5/31/2013 16,096 15,269
6/30/2013 15,917 15,134
7/31/2013 16,869 15,951
8/31/2013 16,372 15,346
9/30/2013 16,851 15,730
10/31/2013 17,705 16,419
11/30/2013 18,449 16,877
12/31/2013 18,940 17,305
1/31/2014 18,190 16,690
2/28/2014 18,807 17,412
3/31/2014 19,251 17,828
4/30/2014 19,378 17,997
5/31/2014 19,805 18,261
6/30/2014 20,342 18,738
7/31/2014 20,197 18,418
8/31/2014 20,838 19,095
9/30/2014 20,324 18,701
10/31/2014 20,480 19,122
11/30/2014 20,722 19,513
12/31/2014 20,878 19,633
1/31/2015 19,845 18,848
2/28/2015 21,247 19,760
3/31/2015 20,843 19,491
4/30/2015 21,265 19,673
5/31/2015 21,501 19,910
6/30/2015 21,155 19,512
7/31/2015 21,103 19,598 Past performance is not predictive of
8/31/2015 19,822 18,430 future performance.
9/30/2015 19,188 17,874 The returns shown do not reflect the
10/31/2015 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.
--------------------------------------------------------------------------------
27
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 Value Series Russell 3000/R/ Value Index
----------------------- ---------------------------
10/31/2005 $10,000 $10,000
11/30/2005 10,397 10,334
12/31/2005 10,447 10,383
1/31/2006 11,027 10,826
2/28/2006 11,002 10,886
3/31/2006 11,260 11,068
4/30/2006 11,544 11,326
5/31/2006 11,216 11,023
6/30/2006 11,292 11,099
7/31/2006 11,222 11,330
8/31/2006 11,279 11,533
9/30/2006 11,500 11,752
10/31/2006 11,941 12,156
11/30/2006 12,237 12,440
12/31/2006 12,470 12,703
1/31/2007 12,798 12,868
2/28/2007 12,634 12,672
3/31/2007 12,779 12,864
4/30/2007 13,233 13,308
5/31/2007 13,856 13,789
6/30/2007 13,560 13,467
7/31/2007 12,823 12,799
8/31/2007 12,754 12,952
9/30/2007 13,075 13,365
10/31/2007 13,088 13,378
11/30/2007 12,319 12,697
12/31/2007 12,268 12,575
1/31/2008 11,783 12,070
2/29/2008 11,355 11,567
3/31/2008 11,147 11,500
4/30/2008 11,777 12,045
5/31/2008 12,042 12,059
6/30/2008 10,712 10,905
7/31/2008 10,630 10,912
8/31/2008 10,844 11,124
9/30/2008 9,924 10,332
10/31/2008 7,706 8,519
11/30/2008 6,944 7,878
12/31/2008 7,177 8,016
1/31/2009 6,244 7,076
2/28/2009 5,406 6,128
3/31/2009 5,974 6,654
4/30/2009 7,007 7,394
5/31/2009 7,536 7,827
6/30/2009 7,429 7,772
7/31/2009 8,192 8,428
8/31/2009 8,733 8,866
9/30/2009 9,124 9,216
10/31/2009 8,689 8,908
11/30/2009 9,093 9,393
12/31/2009 9,427 9,601
1/31/2010 9,162 9,330
2/28/2010 9,584 9,635
3/31/2010 10,340 10,277
4/30/2010 10,744 10,581
5/31/2010 9,824 9,709
6/30/2010 9,074 9,137
7/31/2010 9,798 9,758
8/31/2010 9,156 9,316
9/30/2010 10,069 10,060
10/31/2010 10,460 10,369
11/30/2010 10,485 10,339
12/31/2010 11,474 11,158
1/31/2011 11,758 11,391
2/28/2011 12,420 11,824
3/31/2011 12,502 11,880
4/30/2011 12,798 12,186
5/31/2011 12,596 12,050
6/30/2011 12,376 11,799
7/31/2011 11,853 11,408
8/31/2011 10,863 10,671
9/30/2011 9,761 9,836
10/31/2011 11,122 10,985
11/30/2011 11,033 10,931
12/31/2011 11,147 11,147
1/31/2012 11,727 11,594
2/29/2012 12,344 12,033
3/31/2012 12,609 12,391
4/30/2012 12,376 12,260
5/31/2012 11,506 11,539
6/30/2012 12,111 12,110
7/31/2012 12,218 12,217
8/31/2012 12,678 12,490
9/30/2012 13,132 12,891
10/31/2012 13,176 12,820
11/30/2012 13,258 12,818
12/31/2012 13,642 13,103
1/31/2013 14,543 13,949
2/28/2013 14,770 14,147
3/31/2013 15,501 14,709
4/30/2013 15,608 14,913
5/31/2013 16,118 15,301
6/30/2013 16,024 15,171
7/31/2013 17,001 16,003
8/31/2013 16,497 15,388
9/30/2013 17,101 15,813
10/31/2013 17,908 16,491
11/30/2013 18,652 16,966
12/31/2013 19,168 17,386
1/31/2014 18,412 16,764
2/28/2014 19,086 17,493
3/31/2014 19,370 17,894
4/30/2014 19,414 18,014
5/31/2014 19,874 18,266
6/30/2014 20,384 18,769
7/31/2014 20,069 18,383
8/31/2014 20,807 19,068
9/30/2014 20,277 18,605
10/31/2014 20,624 19,090
11/30/2014 20,895 19,443
12/31/2014 21,103 19,594
1/31/2015 20,044 18,808
2/28/2015 21,500 19,715
3/31/2015 21,292 19,493
4/30/2015 21,512 19,628
5/31/2015 21,840 19,858
6/30/2015 21,613 19,494
7/31/2015 21,676 19,528 Past performance is not predictive of
8/31/2015 20,309 18,381 future performance.
9/30/2015 19,672 17,820 The returns shown do not reflect the
10/31/2015 21,229 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
2.93% 15.21% 7.82% reserved.
--------------------------------------------------------------------------------
28
THE DFA INVESTMENT TRUST COMPANY
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.
International Equity Series' Performance Overview
The DFA International Value Series
The DFA International Value Series is designed to capture the returns of
international 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
520 securities in 22 eligible developed countries. In general, cash exposure
was low throughout the year with an average cash balance of less than 1% of the
Series' assets.
For the 12 months ending October 31, 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' performance relative to the
Index. 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
29
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.
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 performance
relative to the Index as the largest-market-cap value stocks underperformed.
30
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 large-cap universe, which benefited the Portfolio's performance
relative to the Index as the largest market cap value stocks underperformed
mid-cap value stocks.
31
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 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
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
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*
--------- --------- ---------- --------
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.
33
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. The DFA Investment Trust Company filed its most recent Form
N-Q with the SEC on 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 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 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 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%
34
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%
------------ ----
35
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%
-------------- -----
36
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%
============== ======
37
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.
38
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%
39
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%
=============== ======
40
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.
41
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%
42
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%
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%
============== ======
43
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.
44
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2015
(Amounts in thousands)
The Tax-
The DFA The U.S. Large Managed U.S.
International Cap Value Marketwide
Value Series* Series Value Series
------------- -------------- ------------
ASSETS:
Investments at Value (including $418,689, $1,499,202 and $512,345 of
securities on loan, respectively of securities on loan)................. $9,188,447 $19,083,301 $5,346,461
Temporary Cash Investments at Value & Cost............................... -- 9,755 3,232
Collateral from Securities on Loan Invested in Affiliate at Value & Cost. 434,245 916,343 361,460
Foreign Currencies at Value.............................................. 12,800 -- --
Cash..................................................................... 2,677 157 --
Receivables:
Investment Securities Sold............................................. 10,770 -- --
Dividends, Interest and Tax Reclaims................................... 27,006 27,939 6,553
Securities Lending Income.............................................. 392 539 122
Unrealized Gain on Foreign Currency Contracts............................ 7 -- --
---------- ----------- ----------
Total Assets........................................................ 9,676,344 20,038,034 5,717,828
---------- ----------- ----------
LIABILITIES:
Payables:
Due to Custodian....................................................... -- -- 3
Upon Return of Securities Loaned....................................... 434,245 916,343 361,460
Investment Securities Purchased........................................ 12,024 25,249 6,823
Due to Advisor......................................................... 1,559 1,585 889
Unrealized Loss on Foreign Currency Contracts............................ 1 -- --
Accrued Expenses and Other Liabilities................................... 610 800 241
---------- ----------- ----------
Total Liabilities................................................... 448,439 943,977 369,416
---------- ----------- ----------
NET ASSETS............................................................... $9,227,905 $19,094,057 $5,348,412
========== =========== ==========
Investments at Cost...................................................... $9,165,820 $13,435,978 $3,018,251
========== =========== ==========
Foreign Currencies at Cost............................................... $ 12,765 $ -- $ --
========== =========== ==========
----------
* See Note I in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
45
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2015
(Amounts in thousands)
The Tax-
The DFA The U.S. Large Managed U.S.
International Cap Value Marketwide
Value Series Series Value Series
------------- -------------- ------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $26,207, $23 and $(3),
respectively)...................................................... $ 325,317 $ 429,780 $106,292
Income from Securities Lending...................................... 9,274 4,643 1,349
----------- ----------- --------
Total Investment Income.......................................... 334,591 434,423 107,641
----------- ----------- --------
Expenses
Investment Advisory Services Fees................................... 18,962 18,802 10,630
Accounting & Transfer Agent Fees.................................... 488 947 269
Custodian Fees...................................................... 857 199 60
Shareholders' Reports............................................... 24 47 21
Directors'/Trustees' Fees & Expenses................................ 46 92 26
Professional Fees................................................... 252 350 98
Other............................................................... 155 262 68
----------- ----------- --------
Total Expenses................................................... 20,784 20,699 11,172
----------- ----------- --------
Fees Paid Indirectly (Note C)....................................... (19) -- --
----------- ----------- --------
Net Expenses........................................................ 20,765 20,699 11,172
----------- ----------- --------
Net Investment Income (Loss)........................................ 313,826 413,724 96,469
----------- ----------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold........................................ 244,684 858,150 88,248
Futures........................................................... -- (43) --
Foreign Currency Transactions..................................... (5,879) -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........................ (1,034,230) (1,018,426) (36,271)
Translation of Foreign Currency Denominated Amounts............... 654 -- --
----------- ----------- --------
Net Realized and Unrealized Gain (Loss)............................. (794,771) (160,319) 51,977
----------- ----------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations....... $ (480,945) $ 253,405 $148,446
=========== =========== ========
See accompanying Notes to Financial Statements.
46
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The DFA International The U.S. Large Cap Value The Tax-Managed U.S.
Value Series Series Marketwide Value Series
----------------------- ------------------------ ----------------------
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)........... $ 313,826 $ 419,781 $ 413,724 $ 318,905 $ 96,469 $ 77,511
Net Realized Gain (Loss) on:
Investment Securities Sold*.......... 244,684 173,096 858,150 755,725 88,248 18,712
Futures.............................. -- -- (43) -- -- --
Foreign Currency Transactions........ (5,879) (1,763) -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................ (1,034,230) (672,491) (1,018,426) 1,319,300 (36,271) 573,756
Translation of Foreign Currency
Denominated Amounts................. 654 (1,379) -- -- -- --
----------- ---------- ----------- ----------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations......................... (480,945) (82,756) 253,405 2,393,930 148,446 669,979
----------- ---------- ----------- ----------- ---------- ----------
Transactions in Interest:
Contributions.......................... 1,070,207 1,022,273 1,769,181 1,721,914 247,754 209,662
Withdrawals............................ (705,023) (387,981) (1,305,211) (578,150) (191,765) (125,419)
----------- ---------- ----------- ----------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest........... 365,184 634,292 463,970 1,143,764 55,989 84,243
----------- ---------- ----------- ----------- ---------- ----------
Total Increase (Decrease) in
Net Assets......................... (115,761) 551,536 717,375 3,537,694 204,435 754,222
Net Assets
Beginning of Year...................... 9,343,666 8,792,130 18,376,682 14,838,988 5,143,977 4,389,755
----------- ---------- ----------- ----------- ---------- ----------
End of Year............................ $ 9,227,905 $9,343,666 $19,094,057 $18,376,682 $5,348,412 $5,143,977
=========== ========== =========== =========== ========== ==========
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
47
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The DFA International Value Series
------------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
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%
----------------------------------------------------------------------------------------------------------------------------
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 Tax-Managed U.S. Marketwide Value Series
----------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
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 page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
48
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
A. Organization:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven portfolios, three of which, The DFA International
Value Series, The U.S. Large Cap Value Series and The Tax-Managed U.S.
Marketwide Value Series (the "Series"), are presented in this section of the
report. The remaining operational portfolios are presented in separate reports.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. Security Valuation: The Series utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series including over-the-counter securities, are
valued at the last quoted sale price at the close of the exchanges on which
they are principally traded (official closing price). International equity
securities are subject to a fair value factor, as described later in this note.
Securities held by the Series that are listed on Nasdaq are valued at the
Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price
or NOCP for the day, the Series value the securities at the mean of the most
recent quoted bid and asked prices. 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 Series may differ from the quoted or published prices for the same
securities on their primary markets or exchanges. These securities are
generally categorized as Level 2 in the hierarchy.
The DFA International Value Series (the "International Series") will also
apply a fair value price in the circumstances described below. Generally,
trading in foreign securities markets is completed each day at various times
prior to the close of the NYSE. For example, trading in the Japanese securities
markets is completed each day at the close of the Tokyo Stock Exchange
(normally, 2:00 a.m. ET), which is fourteen hours before the close of
49
the NYSE (normally, 4:00 p.m. ET) and the time that the net asset value of the
International Series is computed. Due to the time differences between the
closings of the relevant foreign securities exchanges and the time the
International Series prices its shares at the close of the NYSE, the
International Series will fair value its foreign investments when it is
determined that the market quotations for the foreign investments are either
unreliable or not readily available. The fair value prices will attempt to
reflect the impact of the U.S. financial markets' perceptions and trading
activities on International Series' foreign investments since the last closing
prices of the foreign investments were calculated on their primary foreign
securities markets or exchanges. For these purposes, the Board of
Directors/Trustees of the International Series has determined that movements in
relevant indices or other appropriate market indicators, after the close of the
Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market
quotations may be unreliable. Fair valuation of portfolio securities may occur
on a daily basis. The fair value pricing by the International Series utilizes
data furnished by an independent pricing service (and that data draws upon,
among other information, the market values of foreign investments). When the
International Series uses fair value pricing, the values assigned to the
International Series' foreign investments may not be the quoted or published
prices of the investments on their primary markets or exchanges. These
securities are generally categorized as Level 2 in the hierarchy.
Listed derivatives, such as futures, that are actively traded are valued
based on quoted prices from the exchange and are categorized as Level 1 in the
hierarchy.
A summary of the inputs used to value the Series' investments by each major
security type, industry and/or country is disclosed previously in this note.
Valuation hierarchy tables have been included at the end of the Summary
Schedules of Portfolio Holdings. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the 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. Foreign Currency Translation: Securities and other assets and
liabilities of the International Series whose values are initially expressed in
foreign currencies are translated to U.S. dollars using the mean between the
most recent bid and asked prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and interest income and certain expenses
are translated to U.S. dollars at the rate of exchange on their respective
accrual dates. Receivables and payables denominated in foreign currencies are
marked-to-market daily based on daily exchange rates and exchange gains or
losses are realized upon ultimate receipt or disbursement.
The International Series does not isolate the effect of fluctuations in
foreign exchange rates from the effect of fluctuations in the market prices of
securities whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and any foreign withholding taxes recorded on the books of the
International Series and the U.S. dollar equivalent amounts actually received
or paid.
3. Deferred Compensation Plan: Each eligible Director/Trustee of the Trust
may elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such
Directors/Trustees may defer payment of all or a portion of their total fees
earned as a Director/Trustee. These deferred amounts may be treated as though
such amounts had been invested in shares of the following funds: U.S. Large Cap
Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio;
U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value
Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio;
Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income are included in Directors'/Trustees'
Fees & Expenses.
Each Director/Trustee has the option to receive their distribution of
proceeds in one of the following methods: lump sum; annual installments over a
period of agreed upon years; or quarterly installments over a period of agreed
upon years. Each Director/Trustee shall have the right in a notice of election
(the "Notice") to defer the receipt of the Director's/Trustee's deferred
compensation until a date specified by such Director/Trustee in the
50
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 Series may be subject to taxes imposed by countries in
which it invests, with respect to its investments in issuers existing or
operating in such countries. Such taxes are generally based on income earned or
repatriated and capital gains realized on the sale of such investments. The
International Series accrues such taxes when the related income or capital
gains are earned or throughout the holding period. Some countries require
governmental approval for the repatriation of investment income, capital or the
proceeds of sales earned by foreign investors. In addition, if there is a
deterioration in a country's balance of payments or for other reasons, a
country may impose temporary restrictions on foreign capital remittances abroad.
C. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides investment advisory
services to each Series. 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 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
investment advisory services/management fees were accrued daily and paid
monthly to the Advisor based on an effective annual rate of 0.20%, 0.10%, and
0.20% of average daily net assets for The DFA International Value Series, The
U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value Series,
respectively.
Earned Income Credit:
In addition, the Series have entered into arrangements with their custodian
whereby net interest earned on uninvested cash balances was used to reduce a
portion of each Series' custody expenses. Custody expense in the accompanying
financial statements is presented before reduction for credits. 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
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"))
51
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 DFA International Value Series........... $293
The U.S. Large Cap Value Series.............. 417
The Tax-Managed U.S. Marketwide Value Series. 125
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 DFA International Value Series........... $2,665,270 $1,984,575
The U.S. Large Cap Value Series.............. 4,001,677 2,985,119
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.
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 Tax Unrealized Unrealized Appreciation
Cost Appreciation Depreciation (Depreciation)
----------- ------------ ------------ --------------
The DFA International Value Series........... $ 9,610,599 $1,293,660 $(600,495) $ 693,165
The U.S. Large Cap Value Series.............. 14,362,443 6,266,359 (163,399) 6,102,960
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 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.
The Series' federal tax returns for the prior three fiscal years remain subject
to examination by the Internal Revenue Service.
52
G. Financial Instruments:
In accordance with the Series' investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. Foreign Market Risks: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States of America, including the possibility of future political and
economic developments and the level of foreign government supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of international
securities held by the Series may be inhibited.
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.
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
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 --
* 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).
53
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 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 Loan Days Expense Borrowed During
Interest Rate Balance Outstanding* Incurred the Period
------------- ------------ ------------ -------- ---------------
The DFA International Value Series.... 0.87% $ 7,575 44 $ 8 $ 54,121
The U.S. Large Cap Value Series....... 0.96% 31,642 68 60 162,215
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 each Series' available line of
credit was utilized.
There were no outstanding borrowings by the Series under the lines of credit
as of October 31, 2015.
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. Securities Lending:
As of October 31, 2015, each Series had securities on loan to
brokers/dealers, for which each such Series received cash collateral. Each
Series invests the cash collateral, as described below, and records a liability
for the return of the collateral, during the period the securities are on loan.
In addition, The U.S. Large Cap Value Series, The DFA International Value
Series and The Tax-Managed U.S. Marketwide Value Series received non-cash
collateral consisting of short and/or long term U.S. government securities with
a market value of $3,425, $614,033 and $152,485 (amounts in thousands),
respectively. Loans of securities are expected at all times to be secured by
collateral equal to at least (i) 100% of the current market value of the loaned
securities with respect to securities of the U.S. government or its agencies,
(ii) 102% of the current market value of the loaned securities with respect to
54
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.
J. Indemnitees; Contractual Obligations:
Under the Trust's organizational documents, its officers and trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust.
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
K. Other:
The Series are subject to claims and suits that arise from time to time in
the ordinary course of business (for example, in The Tribune Company
Bankruptcy, 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 and The Tax-Managed U.S. Marketwide Value
Series have been named as defendants in a multi-district litigation pending in
the United States District Court for the Southern District of New York (the
"Court"), captioned In re Tribune Company Fraudulent Conveyance Litigation,
No. 11-MD-2296-RJS (the "Tribune MDL"). The Tribune MDL arises from the 2007
leveraged buyout of The Tribune Company ("Tribune") (the "LBO") and Tribune's
subsequent bankruptcy and reorganization. In connection with the LBO, thousands
of Tribune shareholders, including The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series, sold Tribune shares back to Tribune
for $34 per share. The Tribune MDL includes a series of lawsuits brought by
individual creditors of Tribune (the "Individual Creditor Actions") and a
lawsuit brought by a court-appointed trustee on behalf of the committee of
unsecured creditors of Tribune (the "Committee Action," and with the Individual
Creditor Actions, collectively referred to as the "Lawsuits"). The Lawsuits
seek to unwind the LBO stock repurchases as fraudulent transfers and recover
the stock repurchase proceeds paid to the Tribune shareholders who participated
in the LBO. On September 23, 2013, the Court entered an order dismissing the
Individual Creditor
55
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 and 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 U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series arising from the Lawsuits. Until The
U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value Series
can do so, no reduction of the net asset values of the U.S. Large Cap Value
Series and The Tax-Managed U.S. Marketwide Value Series will be made relating
to the Lawsuits. However, even if the plaintiffs in the Lawsuits were to obtain
the full recovery the plaintiffs seek, the amount would be less than 1% of The
U.S. Large Cap Value Series' and The Tax-Managed U.S. Marketwide Value Series'
net asset values, respectively, at this time.
The U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value
Series also cannot quantify the cost of the Lawsuits that could potentially be
deducted from their net asset values. Therefore, at this time, those investors
buying or redeeming shares of The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series will pay or receive, as the case may
be, a price based on the net asset values of The U.S. Large Cap Value Series
and The Tax-Managed U.S. Marketwide Value Series, with no adjustment relating
to the Lawsuits. The attorneys' fees and costs relating to the Lawsuits will be
taken as expenses by The U.S. Large Cap Value Series and The Tax-Managed U.S.
Marketwide Value Series as incurred and in a manner similar to any other
expense incurred by The U.S. Large Cap Value Series and The Tax-Managed U.S.
Marketwide Value Series.
L. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the Series
and has determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
56
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 DFA International Value Series, The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series (constituting portfolios within The
DFA Investment Trust Company, hereafter referred to as the "Series") at October
31, 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
57
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 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%
58
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%
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%
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 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%
59
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.
60
Name, Position Portfolios within the
with the Fund, Address Term of Office/1/ and DFA Fund Complex/2/ Principal Occupation(s) During Past 5 Years and
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 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 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)
1939 (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 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) (1990-2010).
------------------------------------------------------------------------------------------------------------------------------
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 Parker
Trustee of DFAITC and DEM. DFAITC-Since 2010 Professor of Human Resources Management and
Stanford University Graduate DEM-Since 2010 Economics, Graduate School of Business, Stanford
School of Business University (since 1995). Cornerstone Research
518 Memorial Way Stanford, (expert testimony and economic and financial
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 Platinum Grove Asset Management, L.P. (hedge
Building 1 fund) (formerly, Oak Hill Platinum Partners)
Austin, TX 78746 (1999-2009). Formerly, Director, American Century
1941 Fund Complex (registered investment companies)
(43 Portfolios) (1980-2014).
------------------------------------------------------------------------------------------------------------------------------
Abbie J. Smith DFAIDG-Since 2000 122 portfolios in 4 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 DFAITC-Since 2000 Booth School of Business (since 1980). Director,
DEM. DEM-Since 2000 HNI Corporation (formerly known as HON Industries
The University of Chicago Inc.) (office furniture) (since 2000). Director,
Booth School of Business Ryder System Inc. (transportation, logistics and
5807 S. Woodlawn Avenue supply-chain management) (since 2003). Trustee,
Chicago, IL 60637 UBS Funds (4 investment companies within the fund
1953 complex) (33 portfolios) (since 2009). Formerly,
Co-Director Investment Research, Fundamental
Investment Advisors (hedge fund) (2008-2011).
------------------------------------------------------------------------------------------------------------------------------
61
Name, Position Portfolios within the
with the Fund, Address Term of Office/1/ and DFA Fund Complex/2/ Principal Occupation(s) During Past 5 Years and
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/Trustee, DIG-Since 1992 investment companies Executive Officer and formerly, Chief Executive
President and Co-Chief DFAITC-Since 1992 Officer (until 1/1/2010) of the following
Executive Officer DEM-Since 1993 companies: Dimensional Holdings Inc., Dimensional
6300 Bee Cave Road, Fund Advisors LP, DFA Securities LLC, DEM,
Building One DFAIDG, DIG and DFAITC (collectively, the "DFA
Austin, TX 78746 Entities"). Director of Dimensional Fund Advisors
1946 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 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
Building One Officer and Chief Investment Officer (since 2010)
Austin, TX 78746 of 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.
62
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
--------------------------------------------------------------------------------------------------------------------------
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, Vice
1974 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 and
1955 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).
--------------------------------------------------------------------------------------------------------------------------
63
Name and Year of Term of Office/1/ and
Birth Position Length of Service Principal Occupation During Past 5 Years
-------------------------------------------------------------------------------------------------------------------------
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 Australia
1972 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 Officer
1965 Global Chief of all the DFA Entities, DFA Australia Limited and
Compliance Officer 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 Australia
1957 Limited and Dimensional Fund Advisors Canada
ULC.
-------------------------------------------------------------------------------------------------------------------------
64
Name and Year of Term of Office/1/ and
Birth Position Length of Service Principal Occupation During Past 5 Years
--------------------------------------------------------------------------------------------------------------------------
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, Senior
1971 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.
--------------------------------------------------------------------------------------------------------------------------
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, Vice
1970 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
--------------------------------------------------------------------------------------------------------------------------
65
Name and Year of Term of Office/1/ and
Birth Position Length of Service Principal Occupation During Past 5 Years
----------------------------------------------------------------------------------------------------------------------
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 Trader
1975 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 Entities.
1958 Controller 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).
----------------------------------------------------------------------------------------------------------------------
66
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 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).
---------------------------------------------------------------------------------------------------------------------
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, Vice
1969 President-Global Operations at Janus Capital Group
(2005-2011).
---------------------------------------------------------------------------------------------------------------------
David F. LaRusso Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Senior
1978 Trader (January 2010-December 2012) and Trader
(2000-2009) for Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------------
67
Name and Year of Term of Office/1/ and
Birth Position Length of Service Principal Occupation During Past 5 Years
-----------------------------------------------------------------------------------------------------------------------
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 Treasurer
1956 Financial Officer and of all the DFA Entities and Dimensional Cayman
Treasurer 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).
-----------------------------------------------------------------------------------------------------------------------
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.
-----------------------------------------------------------------------------------------------------------------------
68
Name and Year of Term of Office/1/ and
Birth Position Length of Service Principal Occupation During Past 5 Years
-----------------------------------------------------------------------------------------------------------------------------
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 1997 Vice President and Secretary of all the DFA Entities.
1964 Secretary and Secretary since 2000 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 Chief
1961 Deputy Chief Compliance Officer of Dimensional Fund Advisors
Compliance Officer 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 2007 Vice President and Co-Chief Investment Officer of all
1976 Chief Investment and Co-Chief Investment the DFA Entities and Dimensional Fund Advisors
Officer Officer since 2014 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.
-----------------------------------------------------------------------------------------------------------------------------
69
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 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 Australia
1961 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, Vice
1978 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).
-------------------------------------------------------------------------------------------------------------------
70
Name and Year of Term of Office/1/ and
Birth Position Length of Service Principal Occupation During Past 5 Years
---------------------------------------------------------------------------------------------------------------
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.
---------------------------------------------------------------------------------------------------------------
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
---------------------------------------------------------------------------------------------------------------
71
Name and Year of Term of Office/1/ and
Birth Position Length of Service Principal Occupation During Past 5 Years
-------------------------------------------------------------------------------------------------------------------
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 Australia
1966 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.
72
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.
73
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 Foreign
Income Capital Gain Capital Gain Total Received Dividend Tax
Dimensional Investment Group Inc. Distributions Distributions Distributions Distributions Deduction(1) Income(2) Credit(3)
--------------------------------- ------------- ------------- ------------- ------------- ------------ ---------- ---------
DFA International Value Portfolio III. 66% 1% 33% 100% 100% 100% 4%
U.S. Large Cap Value Portfolio III.... 31% 1% 68% 100% 100% 100% --
Tax-Managed U.S. Marketwide Value
Portfolio II......................... 85% -- 15% 100% 100% 100% --
Qualifying
Foreign Qualifying Short-Term
Source Interest Capital
Dimensional Investment Group Inc. Income(4) Income(5) Gain(6)
--------------------------------- --------- ---------- ----------
DFA International Value Portfolio III. 100% 100% 100%
U.S. Large Cap Value Portfolio III.... -- 100% 100%
Tax-Managed U.S. Marketwide Value
Portfolio II......................... 5% 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).
74
DFA103115-008A
[LOGO] 00157603
[LOGO]
ANNUAL REPORT
year ended: October 31, 2015
Dimensional Investment Group Inc.
DFA International Value Portfolio IV
Emerging Markets Portfolio II
[LOGO]
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
November 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
DIMENSIONAL INVESTMENT GROUP INC.
ANNUAL REPORT
Table of Contents
Page
----
Letter to Shareholders
Definitions of Abbreviations and Footnotes................. 1
Dimensional Investment Group Inc.
Performance Charts...................................... 2
Management's Discussion and Analysis.................... 3
Disclosure of Fund Expenses............................. 5
Disclosure of Portfolio Holdings........................ 7
Schedules of Investments
DFA International Value Portfolio IV................ 8
Emerging Markets Portfolio II....................... 8
Statements of Assets and Liabilities.................... 9
Statements of Operations................................ 10
Statements of Changes in Net Assets..................... 11
Financial Highlights.................................... 12
Notes to Financial Statements........................... 13
Report of Independent Registered Public Accounting Firm. 18
Results of the Shareholder Meeting...................... 19
The DFA Investment Trust Company
Performance Charts...................................... 22
Management's Discussion and Analysis.................... 23
Disclosure of Fund Expenses............................. 25
Disclosure of Portfolio Holdings........................ 26
Summary Schedules of Portfolio Holdings
The DFA International Value Series.................. 27
The Emerging Markets Series......................... 31
Statements of Assets and Liabilities.................... 35
Statements of Operations................................ 36
Statements of Changes in Net Assets..................... 37
Financial Highlights.................................... 38
Notes to Financial Statements........................... 39
Report of Independent Registered Public Accounting Firm. 46
Results of the Shareholder Meeting...................... 47
Fund Management............................................ 49
Voting Proxies on Fund Portfolio Securities................ 62
Notice to Shareholders..................................... 63
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
Schedules of Investments/Summary Schedule of Portfolio Holdings
---------------------------------------------------------------
Investment Abbreviations
ADR American Depositary Receipt
GDR Global Depositary Receipt
P.L.C. Public Limited Company
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities 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 affiliated 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.
@ 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.
SEC Securities and Exchange Commission
1
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
DFA INTERNATIONAL VALUE PORTFOLIO IV VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
October 31, 2005-October 31, 2015
[CHART]
DFA International Value MSCI World ex USA
Portfolio IV Index (net dividends)
-------------------------- --------------------
10/31/05 $10,000 $10,000
11/30/05 10,181 10,265
12/31/05 10,674 10,741
1/31/06 11,407 11,420
2/28/06 11,517 11,382
3/31/06 12,001 11,743
4/30/06 12,609 12,304
5/31/06 12,096 11,837
6/30/06 12,023 11,822
7/31/06 12,206 11,932
8/31/06 12,623 12,271
9/30/06 12,799 12,262
10/31/06 13,371 12,746
11/30/06 13,810 13,126
12/31/06 14,347 13,502
1/31/07 14,622 13,584
2/28/07 14,606 13,693
3/31/07 15,080 14,044
4/30/07 15,835 14,683
5/31/07 16,377 15,009
6/30/07 16,262 15,024
7/31/07 15,805 14,816
8/31/07 15,629 14,602
9/30/07 16,446 15,432
10/31/07 17,247 16,102
11/30/07 16,201 15,473
12/31/07 15,847 15,182
1/31/08 14,563 13,813
2/29/08 14,377 14,063
3/31/08 14,555 13,863
4/30/08 15,201 14,633
5/31/08 15,209 14,855
6/30/08 13,707 13,700
7/31/08 13,312 13,212
8/31/08 12,755 12,702
9/30/08 11,269 10,868
10/31/08 8,444 8,607
11/30/08 7,927 8,140
12/31/08 8,525 8,569
1/31/09 7,347 7,770
2/28/09 6,440 6,983
3/31/09 7,147 7,443
4/30/09 8,464 8,403
5/31/09 9,721 9,466
6/30/09 9,573 9,368
7/31/09 10,707 10,248
8/31/09 11,318 10,739
9/30/09 11,902 11,182
10/31/09 11,422 11,002
11/30/09 11,763 11,275
12/31/09 11,902 11,454
1/31/10 11,211 10,917
2/28/10 11,247 10,906
3/31/10 12,144 11,608
4/30/10 11,938 11,435
5/31/10 10,538 10,173
6/30/10 10,349 10,026
7/31/10 11,642 10,953
8/31/10 11,076 10,626
9/30/10 12,261 11,645
10/31/10 12,692 12,060
11/30/10 12,055 11,549
12/31/10 13,179 12,479
1/31/11 13,740 12,748
2/28/11 14,200 13,220
3/31/11 13,804 12,956
4/30/11 14,541 13,661
5/31/11 14,016 13,256
6/30/11 13,823 13,067
7/31/11 13,381 12,852
8/31/11 11,945 11,765
9/30/11 10,648 10,584
10/31/11 11,660 11,613
11/30/11 11,283 11,076
12/31/11 10,972 10,956
1/31/12 11,715 11,547
2/29/12 12,322 12,182
3/31/12 12,226 12,092
4/30/12 11,792 11,887
5/31/12 10,336 10,531
6/30/12 11,059 11,221
7/31/12 11,020 11,361
8/31/12 11,474 11,685
9/30/12 11,879 12,040
10/31/12 12,033 12,125
11/30/12 12,226 12,380
12/31/12 12,816 12,754
1/31/13 13,419 13,381
2/28/13 13,017 13,248
3/31/13 13,067 13,353
4/30/13 13,701 13,961
5/31/13 13,540 13,648
6/30/13 13,057 13,137
7/31/13 13,952 13,836
8/31/13 13,852 13,658
9/30/13 14,898 14,623
10/31/13 15,411 15,113
11/30/13 15,471 15,206
12/31/13 15,806 15,435
1/31/14 15,236 14,812
2/28/14 16,097 15,620
3/31/14 15,983 15,550
4/30/14 16,263 15,796
5/31/14 16,439 16,040
6/30/14 16,646 16,268
7/31/14 16,273 15,978
8/31/14 16,273 15,991
9/30/14 15,568 15,334
10/31/14 15,298 15,090
11/30/14 15,308 15,276
12/31/14 14,732 14,768
1/31/15 14,633 14,715
2/28/15 15,684 15,595
3/31/15 15,345 15,334
4/30/15 16,188 15,998
5/31/15 16,199 15,859
6/30/15 15,728 15,408
7/31/15 15,575 15,652
8/31/15 14,426 14,512 Past performance is not predictive of
9/30/15 13,430 13,780 future performance.
10/31/15 14,469 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
-5.42% 2.66% 3.76% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
EMERGING MARKETS PORTFOLIO II VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
October 31, 2005-October 31, 2015
[CHART]
Emerging Markets MSCI Emerging Markets
Portfolio II Index (net dividends)
------------------ -------------------
10/31/05 $10,000 $10,000
11/30/05 10,735 10,827
12/31/05 11,354 11,467
1/31/06 12,439 12,748
2/28/06 12,406 12,733
3/31/06 12,577 12,845
4/30/06 13,333 13,760
5/31/06 11,788 12,318
6/30/06 11,775 12,288
7/31/06 11,992 12,461
8/31/06 12,367 12,779
9/30/06 12,538 12,885
10/31/06 13,287 13,497
11/30/06 14,135 14,500
12/31/06 14,702 15,153
1/31/07 14,924 14,993
2/28/07 14,695 14,904
3/31/07 15,359 15,496
4/30/07 16,345 16,231
5/31/07 17,439 17,019
6/30/07 17,720 17,816
7/31/07 18,143 18,756
8/31/07 17,834 18,358
9/30/07 19,404 20,385
10/31/07 21,530 22,659
11/30/07 20,128 21,052
12/31/07 20,045 21,126
1/31/08 18,296 18,490
2/29/08 18,883 19,855
3/31/08 18,296 18,804
4/30/08 19,600 20,330
5/31/08 19,710 20,707
6/30/08 17,688 18,641
7/31/08 17,455 17,938
8/31/08 16,417 16,506
9/30/08 14,135 13,617
10/31/08 10,412 9,890
11/30/08 9,469 9,146
12/31/08 10,212 9,859
1/31/09 9,424 9,222
2/28/09 8,816 8,702
3/31/09 10,082 9,953
4/30/09 11,579 11,609
5/31/09 13,553 13,593
6/30/09 13,430 13,409
7/31/09 14,971 14,917
8/31/09 15,021 14,864
9/30/09 16,345 16,213
10/31/09 16,005 16,233
11/30/09 16,960 16,930
12/31/09 17,567 17,599
1/31/10 16,616 16,618
2/28/10 16,815 16,676
3/31/10 18,216 18,022
4/30/10 18,326 18,241
5/31/10 16,623 16,636
6/30/10 16,645 16,514
7/31/10 18,112 17,889
8/31/10 17,692 17,542
9/30/10 19,705 19,491
10/31/10 20,295 20,057
11/30/10 19,837 19,528
12/31/10 21,455 20,921
1/31/11 20,897 20,354
2/28/11 20,747 20,164
3/31/11 21,899 21,349
4/30/11 22,660 22,012
5/31/11 22,035 21,434
6/30/11 21,756 21,104
7/31/11 21,583 21,011
8/31/11 19,835 19,133
9/30/11 16,837 16,344
10/31/11 18,939 18,508
11/30/11 18,283 17,275
12/31/11 17,750 17,067
1/31/12 19,650 19,003
2/29/12 20,712 20,141
3/31/12 20,169 19,468
4/30/12 19,812 19,236
5/31/12 17,672 17,079
6/30/12 18,549 17,738
7/31/12 18,696 18,084
8/31/12 18,820 18,024
9/30/12 19,867 19,111
10/31/12 19,766 18,995
11/30/12 20,022 19,236
12/31/12 21,190 20,177
1/31/13 21,301 20,455
2/28/13 21,047 20,198
3/31/13 20,746 19,850
4/30/13 20,984 20,000
5/31/13 20,295 19,487
6/30/13 19,019 18,246
7/31/13 19,297 18,437
8/31/13 18,845 18,120
9/30/13 20,184 19,298
10/31/13 21,111 20,236
11/30/13 20,794 19,940
12/31/13 20,571 19,652
1/31/14 19,147 18,376
2/28/14 19,839 18,984
3/31/14 20,539 19,567
4/30/14 20,652 19,633
5/31/14 21,352 20,318
6/30/14 21,946 20,858
7/31/14 22,207 21,261
8/31/14 22,898 21,740
9/30/14 21,214 20,129
10/31/14 21,434 20,366
11/30/14 21,222 20,151
12/31/14 20,269 19,222
1/31/15 20,402 19,337
2/28/15 21,021 19,936
3/31/15 20,578 19,652
4/30/15 21,956 21,164
5/31/15 21,071 20,316
6/30/15 20,561 19,789
7/31/15 19,241 18,417
8/31/15 17,645 16,751
9/30/15 17,177 16,247 Past performance is not predictive of
10/31/15 18,213 17,406 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
-15.02% -2.14% 6.18% rights reserved.
--------------------------------------------------------------------------------
2
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-US
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.
3
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 Series' Performance Overview
DFA International Value Portfolio IV
The DFA International Value Portfolio IV 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 -5.42% for the
Portfolio 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 performance relative to the Index. Differences in the valuation
timing and methodology between the Master Fund and the Index generally
detracted from relative performance. The Master Fund prices foreign exchange
rates at the closing of the U.S. markets while the Index uses rates at 4 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
Emerging Markets Portfolio II
The Emerging Markets Portfolio II 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 -15.02% 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 underperformance relative to the
Index was driven primarily by country allocation differences between 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
relative performance. This was partially offset by the Master Fund's greater
allocation to Taiwan, which also generally outperformed.
4
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 IV**
--------------------------------------
Actual Fund Return..................... $1,000.00 $ 893.80 0.27% $1.29
Hypothetical 5% Annual Return.......... $1,000.00 $1,023.84 0.27% $1.38
5
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/15 10/31/15 Ratio* Period*
--------- --------- ---------- --------
Emerging Markets Portfolio II**
-------------------------------
Actual Fund Return.............. $1,000.00 $ 829.50 0.34% $1.57
Hypothetical 5% Annual Return... $1,000.00 $1,023.49 0.34% $1.73
----------
* 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).
6
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).
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 this Affiliated Investment
Companies are represented in the Disclosure of Portfolio Holdings, which are
included elsewhere within the report. Refer to the Summary Schedules of
Portfolio Holdings for the underlying Affiliated Investment Company's holdings
which reflect the investments by category.
Affiliated Investment Company
-----------------------------
DFA International Value Portfolio IV. 100.0%
Emerging Markets Portfolio II........ 100.0%
7
SCHEDULE OF INVESTMENTS
October 31, 2015
DFA INTERNATIONAL VALUE PORTFOLIO IV
Value+
------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The DFA International Value Series of The DFA
Investment Trust Company.................................. $221,433,673
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$212,964,435).......................................... $221,433,673
============
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 PORTFOLIO II
Value+
-----------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Emerging Markets Series of The DFA
Investment Trust Company.................................. $82,353,588
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$21,817,506)........................................... $82,353,588
===========
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.
8
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2015
(Amounts in thousands, except share and per share amounts)
DFA
International Emerging
Value Markets
Portfolio IV Portfolio II
------------- ------------
ASSETS:
Investment in Affiliated Investment Company at Value................................... $ 221,434 $ 82,354
Fund Shares Sold..................................................................... 66 73
Prepaid Expenses and Other Assets...................................................... 11 9
------------ ------------
Total Assets...................................................................... 221,511 82,436
------------ ------------
LIABILITIES:
Payables:
Due to Advisor....................................................................... 7 11
Accrued Expenses and Other Liabilities................................................. 17 7
------------ ------------
Total Liabilities................................................................. 24 18
------------ ------------
NET ASSETS............................................................................. $ 221,487 $ 82,418
============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)................................................ 16,757,790 3,780,424
============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............................... $ 13.22 $ 21.80
============ ============
Investment in Affiliated Investment Company at Cost.................................... $ 212,964 $ 21,818
============ ============
NET ASSETS CONSIST OF:
Paid-In Capital........................................................................ $ 224,255 $ 79,589
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). 6,617 1,947
Accumulated Net Realized Gain (Loss)................................................... (17,876) (59,651)
Net Unrealized Foreign Exchange Gain (Loss)............................................ 21 (3)
Net Unrealized Appreciation (Depreciation)............................................. 8,470 60,536
------------ ------------
NET ASSETS............................................................................. $ 221,487 $ 82,418
============ ============
(1) NUMBER OF SHARES AUTHORIZED........................................................ 300,000,000 300,000,000
============ ============
See accompanying Notes to Financial Statements.
9
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2015
(Amounts in thousands)
DFA
International Emerging
Value Markets
Portfolio IV* Portfolio II*
------------- -------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $680 and $322, respectively).................. $ 8,450 $ 2,280
Income from Securities Lending............................................................ 242 130
Expenses Allocated from Affiliated Investment Company..................................... (539) (150)
-------- --------
Total Investment Income................................................................ 8,153 2,260
-------- --------
Expenses
Investment Advisory Services Fees......................................................... 151 59
Administrative Services Fees.............................................................. 57 108
Accounting & Transfer Agent Fees.......................................................... 3 2
Filing Fees............................................................................... 19 17
Shareholders' Reports..................................................................... 9 4
Directors'/Trustees' Fees & Expenses...................................................... 1 --
Other..................................................................................... 14 7
-------- --------
Total Expenses......................................................................... 254 197
-------- --------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor
(Note C)................................................................................. (128) (24)
-------- --------
Net Investment Income (Loss).............................................................. 8,027 2,087
-------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold.............................................................. 8,096 (693)
Futures................................................................................. -- 61
Foreign Currency Transactions........................................................... (157) (49)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.............................................. (28,686) (16,625)
Futures................................................................................. -- (4)
Translation of Foreign Currency Denominated Amounts..................................... 18 (2)
-------- --------
Net Realized and Unrealized Gain (Loss)................................................... (20,729) (17,312)
-------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations............................. $(12,702) $(15,225)
======== ========
----------
* 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.
10
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
DFA International Value Emerging Markets
Portfolio IV Portfolio II
---------------------- ------------------
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).......................................... $ 8,027 $ 12,046 $ 2,087 $ 2,467
Net Realized Gain (Loss) on:
Investment Securities Sold.......................................... 8,096 5,612 (693) (215)
Futures............................................................. -- -- 61 --
Foreign Currency Transactions....................................... (157) (46) (49) 3
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.......................... (28,686) (19,740) (16,625) (285)
Futures............................................................. -- 2 (4) --
Translation of Foreign Currency Denominated Amounts................. 18 (39) (2) (1)
-------- -------- -------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations.... (12,702) (2,165) (15,225) 1,969
-------- -------- -------- --------
Distributions From:
Net Investment Income................................................. (12,599) (7,747) (2,459) (2,821)
-------- -------- -------- --------
Total Distributions................................................ (12,599) (7,747) (2,459) (2,821)
-------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued......................................................... 14,480 27,449 12,868 12,799
Shares Issued in Lieu of Cash Distributions........................... 12,599 7,747 2,459 2,821
Shares Redeemed....................................................... (37,932) (32,986) (20,212) (21,921)
-------- -------- -------- --------
Net Increase (Decrease) from Capital Share Transactions............ (10,853) 2,210 (4,885) (6,301)
-------- -------- -------- --------
Total Increase (Decrease) in Net Assets............................ (36,154) (7,702) (22,569) (7,153)
Net Assets
Beginning of Year..................................................... 257,641 265,343 104,987 112,140
-------- -------- -------- --------
End of Year........................................................... $221,487 $257,641 $ 82,418 $104,987
======== ======== ======== ========
(1) Shares Issued and Redeemed:
Shares Issued......................................................... 1,045 1,777 530 512
Shares Issued in Lieu of Cash Distributions........................... 957 535 106 113
Shares Redeemed....................................................... (2,714) (2,157) (841) (848)
-------- -------- -------- --------
Net Increase (Decrease) from Shares Issued and Redeemed............ (712) 155 (205) (223)
======== ======== ======== ========
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income)..................................................... $ 6,617 $ 11,232 $ 1,947 $ 1,969
See accompanying Notes to Financial Statements.
11
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
DFA International Value Portfolio IV
--------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011
----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year.......................................... $ 14.75 $ 15.32 $ 12.48 $ 12.67 $ 14.14
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).......................................... 0.46 0.68 0.42 0.45 0.49
Net Gains (Losses) on Securities (Realized and Unrealized)................ (1.26) (0.80) 2.96 (0.11) (1.61)
-------- -------- -------- -------- --------
Total from Investment Operations......................................... (0.80) (0.12) 3.38 0.34 (1.12)
----------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income..................................................... (0.73) (0.45) (0.54) (0.53) (0.35)
Total Distributions...................................................... (0.73) (0.45) (0.54) (0.53) (0.35)
----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................................ $ 13.22 $ 14.75 $ 15.32 $ 12.48 $ 12.67
============================================================================ ======== ======== ======== ======== ========
Total Return................................................................ (5.42)% (0.73)% 28.08% 3.20% (8.13)%
----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)......................................... $221,487 $257,641 $265,343 $252,963 $308,474
Ratio of Expenses to Average Net Assets (B)................................. 0.27% 0.27% 0.28% 0.28% 0.28%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B)....... 0.32% 0.27% 0.28% 0.28% 0.28%
Ratio of Net Investment Income to Average Net Assets........................ 3.26% 4.46% 3.13% 3.76% 3.45%
----------------------------------------------------------------------------------------------------------------------------------
Emerging Markets Portfolio II
------------------------------------------------
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.......................................... $ 26.34 $ 26.65 $ 25.49 $ 25.14 $ 27.53
------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).......................................... 0.53 0.59 0.56 0.58 0.63
Net Gains (Losses) on Securities (Realized and Unrealized)................ (4.45) (0.22) 1.16 0.44 (2.42)
------- -------- -------- -------- --------
Total from Investment Operations......................................... (3.92) 0.37 1.72 1.02 (1.79)
-------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income..................................................... (0.62) (0.68) (0.56) (0.67) (0.60)
Total Distributions...................................................... (0.62) (0.68) (0.56) (0.67) (0.60)
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................................ $ 21.80 $ 26.34 $ 26.65 $ 25.49 $ 25.14
============================================================================ ======== ======== ======== ======== ========
Total Return................................................................ (15.02)% 1.53% 6.80% 4.37% (6.68)%
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)......................................... $82,418 $104,987 $112,140 $114,646 $126,007
Ratio of Expenses to Average Net Assets (B)................................. 0.34% 0.34% 0.35% 0.38% 0.39%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B)....... 0.36% 0.34% 0.35% 0.38% 0.39%
Ratio of Net Investment Income to Average Net Assets........................ 2.18% 2.29% 2.17% 2.33% 2.28%
-------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
12
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. Organization:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of fifteen portfolios, two of
which, DFA International Value Portfolio IV and Emerging Markets Portfolio II
(the "Portfolios"), are presented in this report. The remaining portfolios are
presented in separate reports.
DFA International Value Portfolio IV and Emerging Markets Portfolio II
primarily invest their assets in The DFA International Value Series and The
Emerging Markets Series (the "Series"), respectively, each a corresponding
series of The DFA Investment Trust Company. At October 31, 2015, DFA
International Value Portfolio IV and Emerging Markets Portfolio II owned 2% and
2% of their respective Series. The financial statements of the Series are
included elsewhere in this report and should be read in conjunction with the
financial statements of the Portfolios.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. Security Valuation: The Portfolios utilize a fair value hierarchy
which prioritizes the inputs to valuation techniques used to measure fair value
into three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
The Portfolios' investments reflect their proportionate interests in the net
assets of their respective Series. These valuations are classified as Level 1
in the hierarchy.
A summary of the inputs used to value the Portfolios' investments is
disclosed previously in this note. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the year ended October 31, 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
13
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 Portfolios recognize their pro-rata share, on a daily
basis, of net investment income and realized and unrealized gains and losses of
investment securities and foreign currency from their respective Series, which
are each treated as a partnership for federal income tax purposes. Dividend
income and distributions to shareholders are recorded on the ex-dividend date.
Distributions received on securities that represent a return of capital or
capital gains are recorded as a reduction of cost of investments or as a
realized gain, respectively. Expenses directly attributable to a Portfolio are
directly charged. Common expenses of the Fund or Portfolios are allocated using
methods approved by the Board, generally based on average net assets.
C. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides investment advisory
services to the Portfolios. 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 Portfolio, the
new investment management agreement replaced the Portfolio'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 Portfolio's previous administration
agreement with the Advisor and the rate of the advisory fee charged by the
Advisor to the Series in which the Portfolio invests. In order to prevent each
Portfolio from being subject to a higher level of investment management fees,
the Advisor will permanently waive each Portfolio's investment management fee
in the circumstances described below.
Prior to July 21, 2015, each 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 an effective annual rate of 0.20% of the first $40 million of
average daily net assets and no fee on assets exceeding $40 million for DFA
International Value Portfolio IV and based on an effective annual rate of 0.15%
of average daily net assets for Emerging Markets Portfolio II. Effective
July 21, 2015, 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 first $40 million of
average daily net assets and 0.20% of the average daily net assets exceeding
$40 million for DFA International Value Portfolio IV and based on an effective
annual rate 0.25% of average daily net assets for Emerging Markets Portfolio II.
Effective July 21, 2015, pursuant to a Fee Waiver Agreement for the
Portfolios, 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
14
rates listed below as a percentage of the average net assets of a class of a
Portfolio on an annualized basis. The Fee Waiver Agreement will remain in
effect permanently, unless terminated by the Portfolio.
Previously
Recovery Waived Fees/
of Previously Expenses
Waived Fees/ Assumed
Expense Expenses Subject to Future
Limitation Amount Assumed Recovery
- ----------------- ------------- -----------------
DFA International Value Portfolio IV. 0.20%* -- --
Emerging Markets Portfolio II........ 0.25% -- --
* The Expense Limitation Amount for the Portfolio is equal to 0.40% of the
first $40 million average daily net assets and 0.20% of the average daily net
assets exceeding $40 million.
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 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):
DFA International Value Portfolio IV. $14
Emerging Markets Portfolio II........ 6
E. Federal Income Taxes:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to shareholders. Accordingly, no provision
has been made for federal income taxes.
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, foreign capital gains tax and realized gains on
securities considered to be "passive foreign investment companies", were
reclassified to the following accounts. These reclassifications had no effect
on net assets or net asset value per share (amounts in thousands):
Increase Increase
(Decrease) (Decrease)
Increase Undistributed Accumulated
(Decrease) Net Investment Net Realized
Paid-In Capital Income Gains (Losses)
--------------- -------------- --------------
DFA International Value Portfolio IV. $ 3 $(43) $ 40
Emerging Markets Portfolio II........ -- 350 (350)
15
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 International Value Portfolio IV
2014................................. $ 7,747 -- -- $ 7,747
2015................................. 12,599 -- -- 12,599
Emerging Markets Portfolio II
2014................................. 2,821 -- -- 2,821
2015................................. 2,459 -- -- 2,459
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 IV. $6,907 -- $(17,786) $ 8,131 $(2,748)
Emerging Markets Portfolio II........ 2,383 -- (59,639) 60,093 2,837
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 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 DFA
International Value Portfolio IV and Emerging Markets Portfolio II 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 Unlimited Total
------- ---- --------- -------
DFA International Value Portfolio IV. $17,786 -- -- $17,786
Emerging Markets Portfolio II........ 58,399 -- $1,240 59,639
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 IV. $7,978
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 IV. $213,324 $ 8,110 -- $ 8,110
Emerging Markets Portfolio II........ 22,258 60,096 -- 60,096
16
The difference between book basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales and investments in passive foreign investment companies.
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for
financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed the Portfolios'
tax positions and has concluded that no additional provision for income tax is
required in any Portfolio's financial statements. The Portfolios are not aware
of any tax positions for which it is more likely than not that the total
amounts of unrecognized tax benefits will significantly change in the next
twelve months. The Portfolios' federal tax returns for the prior three fiscal
years remain subject to examination by the Internal Revenue Service.
F. Line of Credit 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. 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 Portfolios under the lines of credit during
the year ended 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.
G. Indemnitees; Contractual Obligations:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
17
H. 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 of
Number of Outstanding
Shareholders Shares
- ------------ -------------
DFA International Value Portfolio IV. 1 100%
Emerging Markets Portfolio II........ 2 100%
I. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the
Portfolios and has determined that there are no subsequent events requiring
recognition or disclosure in the financial statements.
18
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 schedules of investments, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of DFA International
Value Portfolio IV and Emerging Markets Portfolio II (constituting portfolios
within Dimensional Investment Group Inc., hereafter referred to as the
"Portfolios") at October 31, 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 transfer agent of the investee funds, provide a
reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 18, 2015
19
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 IV
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
---------- ------- ------ -------- -------- ----------
(a) David G. Booth........... 17,921,875 100.00% 100.00% 0 0.00% 0.00%
(b) George M. Constantinides. 17,921,875 100.00% 100.00% 0 0.00% 0.00%
(c) John P. Gould............ 17,921,875 100.00% 100.00% 0 0.00% 0.00%
(d) Roger G. Ibbotson........ 17,921,875 100.00% 100.00% 0 0.00% 0.00%
(e) Edward P. Lazear......... 17,921,875 100.00% 100.00% 0 0.00% 0.00%
(f) Eduardo A. Repetto....... 17,921,875 100.00% 100.00% 0 0.00% 0.00%
(g) Myron S. Scholes......... 17,921,875 100.00% 100.00% 0 0.00% 0.00%
(h) Abbie J. Smith........... 17,921,875 100.00% 100.00% 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
--- ------- ------ ------- ------- --------- ------- ------- --------- -------- --------
17,921,875 100.00% 100.00% 0 0.00% 0.00% 0 0.00% 0.00% 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
--- ------- ------ ------- ------- --------- ------- ------- --------- -------- --------
17,921,875 100.00% 100.00% 0 0.00% 0.00% 0 0.00% 0.00% 0 0.00%
20
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
--- ------- ------ ------- ------- --------- ------- ------- --------- -------- --------
17,921,875 100.00% 100.00% 0 0.00% 0.00% 0 0.00% 0.00% 0 0.00%
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........... 17,921,875 100.00% 100.00% 0 0.00% 0.00%
(b) George M. Constantinides. 17,921,875 100.00% 100.00% 0 0.00% 0.00%
(c) John P. Gould............ 17,921,875 100.00% 100.00% 0 0.00% 0.00%
(d) Roger G. Ibbotson........ 17,921,875 100.00% 100.00% 0 0.00% 0.00%
(e) Edward P. Lazear......... 17,921,875 100.00% 100.00% 0 0.00% 0.00%
(f) Eduardo A. Repetto....... 17,921,875 100.00% 100.00% 0 0.00% 0.00%
(g) Myron S. Scholes......... 17,921,875 100.00% 100.00% 0 0.00% 0.00%
(h) Abbie J. Smith........... 17,921,875 100.00% 100.00% 0 0.00% 0.00%
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
--- ------- ------ ------- ------- --------- ------- ------- --------- -------- --------
17,921,875 100.00% 100.00% 0 0.00% 0.00% 0 0.00% 0.00% 0 0.00%
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
--- ------- ------ ------- ------- --------- ------- ------- --------- -------- --------
17,921,875 100.00% 100.00% 0 0.00% 0.00% 0 0.00% 0.00% 0 0.00%
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
--- ------- ------ ------- ------- --------- ------- ------- --------- -------- --------
17,921,875 100.00% 100.00% 0 0.00% 0.00% 0 0.00% 0.00% 0 0.00%
Emerging Markets Portfolio II
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
--------- ------- ------ -------- -------- ----------
(a) David G. Booth........... 3,938,182 100.00% 100.00% 0 0.00% 0.00%
(b) George M. Constantinides. 3,938,182 100.00% 100.00% 0 0.00% 0.00%
(c) John P. Gould............ 3,938,182 100.00% 100.00% 0 0.00% 0.00%
(d) Roger G. Ibbotson........ 3,938,182 100.00% 100.00% 0 0.00% 0.00%
(e) Edward P. Lazear......... 3,938,182 100.00% 100.00% 0 0.00% 0.00%
(f) Eduardo A. Repetto....... 3,938,182 100.00% 100.00% 0 0.00% 0.00%
(g) Myron S. Scholes......... 3,938,182 100.00% 100.00% 0 0.00% 0.00%
(h) Abbie J. Smith........... 3,938,182 100.00% 100.00% 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
--- ------- ------ ------- ------- --------- ------- ------- --------- -------- --------
3,938,182 100.00% 100.00% 0 0.00% 0.00% 0 0.00% 0.00% 0 0.00%
21
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
--- ------- ------ ------- ------- --------- ------- ------- --------- -------- --------
3,938,182 100.00% 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
% 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
--- ------- ------ ------- ------- --------- ------- ------- --------- -------- --------
3,938,182 100.00% 100.00% 0 0.00% 0.00% 0 0.00% 0.00% 0 0.00%
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........... 3,938,182 100.00% 100.00% 0 0.00% 0.00%
(b) George M. Constantinides. 3,938,182 100.00% 100.00% 0 0.00% 0.00%
(c) John P. Gould............ 3,938,182 100.00% 100.00% 0 0.00% 0.00%
(d) Roger G. Ibbotson........ 3,938,182 100.00% 100.00% 0 0.00% 0.00%
(e) Edward P. Lazear......... 3,938,182 100.00% 100.00% 0 0.00% 0.00%
(f) Eduardo A. Repetto....... 3,938,182 100.00% 100.00% 0 0.00% 0.00%
(g) Myron S. Scholes......... 3,938,182 100.00% 100.00% 0 0.00% 0.00%
(h) Abbie J. Smith........... 3,938,182 100.00% 100.00% 0 0.00% 0.00%
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
--- ------- ------ ------- ------- --------- ------- ------- --------- -------- --------
3,938,182 100.00% 100.00% 0 0.00% 0.00% 0 0.00% 0.00% 0 0.00%
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
--- ------- ------ ------- ------- --------- ------- ------- --------- -------- --------
3,938,182 100.00% 100.00% 0 0.00% 0.00% 0 0.00% 0.00% 0 0.00%
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
--- ------- ------ ------- ------- --------- ------- ------- --------- -------- --------
3,938,182 100.00% 100.00% 0 0.00% 0.00% 0 0.00% 0.00% 0 0.00%
22
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
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 USA Index
Value Series (net dividends)
----------------------- ---------------------------
10/31/05 $10,000 $10,000
11/30/05 10,178 10,265
12/31/05 10,677 10,741
1/31/06 11,406 11,420
2/28/06 11,515 11,382
3/31/06 12,001 11,743
4/30/06 12,609 12,304
5/31/06 12,098 11,837
6/30/06 12,022 11,822
7/31/06 12,207 11,932
8/31/06 12,627 12,271
9/30/06 12,802 12,262
10/31/06 13,370 12,746
11/30/06 13,815 13,126
12/31/06 14,354 13,502
1/31/07 14,624 13,584
2/28/07 14,611 13,693
3/31/07 15,084 14,044
4/30/07 15,845 14,683
5/31/07 16,387 15,009
6/30/07 16,267 15,024
7/31/07 15,815 14,816
8/31/07 15,638 14,602
9/30/07 16,454 15,432
10/31/07 17,252 16,102
11/30/07 16,207 15,473
12/31/07 15,858 15,182
1/31/08 14,573 13,813
2/29/08 14,388 14,063
3/31/08 14,560 13,863
4/30/08 15,211 14,633
5/31/08 15,218 14,855
6/30/08 13,713 13,700
7/31/08 13,325 13,212
8/31/08 12,768 12,702
9/30/08 11,277 10,868
10/31/08 8,449 8,607
11/30/08 7,931 8,140
12/31/08 8,530 8,569
1/31/09 7,353 7,770
2/28/09 6,450 6,983
3/31/09 7,153 7,443
4/30/09 8,471 8,403
5/31/09 9,730 9,466
6/30/09 9,582 9,368
7/31/09 10,722 10,248
8/31/09 11,337 10,739
9/30/09 11,914 11,182
10/31/09 11,440 11,002
11/30/09 11,781 11,275
12/31/09 11,914 11,454
1/31/10 11,226 10,917
2/28/10 11,270 10,906
3/31/10 12,159 11,608
4/30/10 11,951 11,435
5/31/10 10,552 10,173
6/30/10 10,367 10,026
7/31/10 11,663 10,953
8/31/10 11,092 10,626
9/30/10 12,285 11,645
10/31/10 12,714 12,060
11/30/10 12,077 11,549
12/31/10 13,203 12,479
1/31/11 13,765 12,748
2/28/11 14,225 13,220
3/31/11 13,832 12,956
4/30/11 14,573 13,661
5/31/11 14,047 13,256
6/30/11 13,854 13,067
7/31/11 13,410 12,852
8/31/11 11,974 11,765
9/30/11 10,663 10,584
10/31/11 11,692 11,613
11/30/11 11,307 11,076
12/31/11 11,004 10,956
1/31/12 11,744 11,547
2/29/12 12,359 12,182
3/31/12 12,255 12,092
4/30/12 11,818 11,887
5/31/12 10,359 10,531
6/30/12 11,092 11,221
7/31/12 11,048 11,361
8/31/12 11,507 11,685
9/30/12 11,914 12,040
10/31/12 12,062 12,125
11/30/12 12,255 12,380
12/31/12 12,855 12,754
1/31/13 13,462 13,381
2/28/13 13,055 13,248
3/31/13 13,099 13,353
4/30/13 13,743 13,961
5/31/13 13,580 13,648
6/30/13 13,099 13,137
7/31/13 13,995 13,836
8/31/13 13,899 13,658
9/30/13 14,943 14,623
10/31/13 15,461 15,113
11/30/13 15,520 15,206
12/31/13 15,861 15,435
1/31/14 15,283 14,812
2/28/14 16,157 15,620
3/31/14 16,039 15,550
4/30/14 16,313 15,796
5/31/14 16,498 16,040
6/30/14 16,698 16,268
7/31/14 16,328 15,978
8/31/14 16,335 15,991
9/30/14 15,617 15,334
10/31/14 15,350 15,090
11/30/14 15,358 15,276
12/31/14 14,787 14,768
1/31/15 14,691 14,715
2/28/15 15,743 15,595
3/31/15 15,409 15,334
4/30/15 16,253 15,998
5/31/15 16,261 15,859
6/30/15 15,794 15,408
7/31/15 15,639 15,652
8/31/15 14,476 14,512
9/30/15 13,492 13,780 Past performance is not predictive of
10/31/15 14,528 14,816 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
-5.35% 2.70% 3.81% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THE EMERGING MARKETS SERIES VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
October 31, 2005-October 31, 2015
[CHART]
The Emerging Markets Series MSCI Emerging Markets Index
(net dividends)
----------------------------- ---------------------------
10/31/05 $10,000 $10,000
11/30/05 10,723 10,827
12/31/05 11,345 11,467
1/31/06 12,432 12,748
2/28/06 12,397 12,733
3/31/06 12,565 12,845
4/30/06 13,320 13,760
5/31/06 11,784 12,318
6/30/06 11,771 12,288
7/31/06 11,988 12,461
8/31/06 12,366 12,779
9/30/06 12,539 12,885
10/31/06 13,289 13,497
11/30/06 14,141 14,500
12/31/06 14,714 15,153
1/31/07 14,931 14,993
2/28/07 14,705 14,904
3/31/07 15,375 15,496
4/30/07 16,360 16,231
5/31/07 17,457 17,019
6/30/07 17,745 17,816
7/31/07 18,176 18,756
8/31/07 17,865 18,358
9/30/07 19,441 20,385
10/31/07 21,576 22,659
11/30/07 20,169 21,052
12/31/07 20,098 21,126
1/31/08 18,349 18,490
2/29/08 18,935 19,855
3/31/08 18,349 18,804
4/30/08 19,663 20,330
5/31/08 19,778 20,707
6/30/08 17,750 18,641
7/31/08 17,519 17,938
8/31/08 16,480 16,506
9/30/08 14,190 13,617
10/31/08 10,453 9,890
11/30/08 9,507 9,146
12/31/08 10,253 9,859
1/31/09 9,467 9,222
2/28/09 8,855 8,702
3/31/09 10,133 9,953
4/30/09 11,638 11,609
5/31/09 13,622 13,593
6/30/09 13,506 13,409
7/31/09 15,055 14,917
8/31/09 15,109 14,864
9/30/09 16,445 16,213
10/31/09 16,103 16,233
11/30/09 17,066 16,930
12/31/09 17,683 17,599
1/31/10 16,720 16,618
2/28/10 16,924 16,676
3/31/10 18,344 18,022
4/30/10 18,455 18,241
5/31/10 16,742 16,636
6/30/10 16,769 16,514
7/31/10 18,247 17,889
8/31/10 17,825 17,542
9/30/10 19,854 19,491
10/31/10 20,457 20,057
11/30/10 20,000 19,528
12/31/10 21,629 20,921
1/31/11 21,070 20,354
2/28/11 20,923 20,164
3/31/11 22,091 21,349
4/30/11 22,863 22,012
5/31/11 22,233 21,434
6/30/11 21,971 21,104
7/31/11 21,802 21,011
8/31/11 20,040 19,133
9/30/11 17,008 16,344
10/31/11 19,139 18,508
11/30/11 18,478 17,275
12/31/11 17,941 17,067
1/31/12 19,862 19,003
2/29/12 20,941 20,141
3/31/12 20,399 19,468
4/30/12 20,036 19,236
5/31/12 17,878 17,079
6/30/12 18,766 17,738
7/31/12 18,917 18,084
8/31/12 19,046 18,024
9/30/12 20,111 19,111
10/31/12 20,009 18,995
11/30/12 20,271 19,236
12/31/12 21,460 20,177
1/31/13 21,571 20,455
2/28/13 21,323 20,198
3/31/13 21,021 19,850
4/30/13 21,261 20,000
5/31/13 20,573 19,487
6/30/13 19,281 18,246
7/31/13 19,565 18,437
8/31/13 19,108 18,120
9/30/13 20,470 19,298
10/31/13 21,407 20,236
11/30/13 21,087 19,940
12/31/13 20,874 19,652
1/31/14 19,427 18,376
2/28/14 20,133 18,984
3/31/14 20,843 19,567
4/30/14 20,968 19,633
5/31/14 21,682 20,318
6/30/14 22,286 20,858
7/31/14 22,552 21,261
8/31/14 23,258 21,740
9/30/14 21,549 20,129
10/31/14 21,780 20,366
11/30/14 21,571 20,151
12/31/14 20,599 19,222
1/31/15 20,737 19,337
2/28/15 21,372 19,936
3/31/15 20,928 19,652
4/30/15 22,330 21,164
5/31/15 21,434 20,316
6/30/15 20,919 19,789
7/31/15 19,578 18,417
8/31/15 17,963 16,751
9/30/15 17,483 16,247
10/31/15 18,544 17,406 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
-14.86% -1.94% 6.37% rights reserved.
--------------------------------------------------------------------------------
23
THE DFA INVESTMENT TRUST COMPANY
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.
24
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 ending 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 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 relative performance. This was
partially offset by the Series' greater allocation to Taiwan, which also
generally outperformed.
25
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 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
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
----------
* 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.
26
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.
INTERNATIONAL EQUITY PORTFOLIOS
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 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%
27
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%
------------ ------
28
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
ISRAEL -- (0.4%)
Other Securities........................ $ 35,459,088 0.4%
-------------- ------
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%
29
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
SWITZERLAND -- (Continued)
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%
-------------- ------
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%
============== ======
30
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.
31
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%
------------ ------
32
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%
33
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%
============== ======
34
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.
35
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2015
(Amounts in thousands)
The DFA
International The Emerging
Value Series* Markets Series
------------- --------------
ASSETS:
Investments at Value (including $418,689 and $377,198 of securities on loan, respectively). $9,188,447 $4,394,516
Collateral from Securities on Loan Invested in Affiliate at Value & Cost................... 434,245 233,635
Foreign Currencies at Value................................................................ 12,800 2,861
Cash....................................................................................... 2,677 --
Receivables:
Investment Securities Sold............................................................... 10,770 32,225
Dividends, Interest and Tax Reclaims..................................................... 27,006 2,332
Securities Lending Income................................................................ 392 779
Unrealized Gain on Foreign Currency Contracts.............................................. 7 2
---------- ----------
Total Assets.......................................................................... 9,676,344 4,666,350
---------- ----------
LIABILITIES:
Payables:
Due to Custodian......................................................................... -- 58
Upon Return of Securities Loaned......................................................... 434,245 233,635
Investment Securities Purchased.......................................................... 12,024 1,215
Due to Advisor........................................................................... 1,559 379
Line of Credit........................................................................... -- 26,899
Unrealized Loss on Foreign Currency Contracts.............................................. 1 30
Accrued Expenses and Other Liabilities..................................................... 610 579
---------- ----------
Total Liabilities..................................................................... 448,439 262,795
---------- ----------
NET ASSETS................................................................................. $9,227,905 $4,403,555
========== ==========
Investments at Cost........................................................................ $9,165,820 $3,856,933
Foreign Currencies at Cost................................................................. $ 12,765 $ 2,854
----------
* See Note I in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
36
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2015
(Amounts in thousands)
The DFA The Emerging
International Markets
Value Series Series
------------- ------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $26,207 and $14,586, respectively). $ 325,317 $ 102,490
Interest....................................................................... -- 49
Income from Securities Lending................................................. 9,274 5,876
----------- ---------
Total Investment Income..................................................... 334,591 108,415
----------- ---------
Expenses
Investment Advisory Services Fees.............................................. 18,962 4,259
Accounting & Transfer Agent Fees............................................... 488 226
Custodian Fees................................................................. 857 1,963
Shareholders' Reports.......................................................... 24 10
Directors'/Trustees' Fees & Expenses........................................... 46 20
Professional Fees.............................................................. 252 172
Other.......................................................................... 155 105
----------- ---------
Total Expenses.............................................................. 20,784 6,755
----------- ---------
Fees Paid Indirectly (Note C).................................................. (19) (31)
----------- ---------
Net Expenses................................................................... 20,765 6,724
----------- ---------
Net Investment Income (Loss)................................................... 313,826 101,691
----------- ---------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold................................................... 244,684 (99,010)
Futures...................................................................... -- 2,478
Foreign Currency Transactions................................................ (5,879) (2,204)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................................... (1,034,230) (686,412)
Translation of Foreign Currency Denominated Amounts.......................... 654 (95)
----------- ---------
Net Realized and Unrealized Gain (Loss)........................................ (794,771) (785,243)
----------- ---------
Net Increase (Decrease) in Net Assets Resulting from Operations.................. $ (480,945) $(683,552)
=========== =========
See accompanying Notes to Financial Statements.
37
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The DFA International The Emerging Markets
Value Series Series
----------------------- ----------------------
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)................................ $ 313,826 $ 419,781 $ 101,691 $ 99,780
Net Realized Gain (Loss) on:
Investment Securities Sold*............................... 244,684 173,096 (99,010) (24,811)
Futures................................................... -- -- 2,478 --
Foreign Currency Transactions............................. (5,879) (1,763) (2,204) (653)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................ (1,034,230) (672,491) (686,412) 12,344
Translation of Foreign Currency Denominated Amounts....... 654 (1,379) (95) (12)
----------- ---------- ---------- ----------
Net Increase (Decrease) in Net Assets Resulting from
Operations.............................................. (480,945) (82,756) (683,552) 86,648
----------- ---------- ---------- ----------
Transactions in Interest:
Contributions............................................... 1,070,207 1,022,273 1,463,845 527,157
Withdrawals................................................. (705,023) (387,981) (562,189) (194,514)
----------- ---------- ---------- ----------
Net Increase (Decrease) from Transactions in Interest.... 365,184 634,292 901,656 332,643
----------- ---------- ---------- ----------
Total Increase (Decrease) in Net Assets.................. (115,761) 551,536 218,104 419,291
Net Assets
Beginning of Year........................................... 9,343,666 8,792,130 4,185,451 3,766,160
----------- ---------- ---------- ----------
End of Year................................................. $ 9,227,905 $9,343,666 $4,403,555 $4,185,451
=========== ========== ========== ==========
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
38
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The DFA International Value Series
------------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
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%
----------------------------------------------------------------------------------------------------------------------------
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.
39
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
A. Organization:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven operational portfolios, two of which, The DFA
International Value Series and The Emerging Markets Series (the "Series"), are
presented in this report. The remaining portfolios are presented in separate
reports.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. Security Valuation: The Series utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series including over-the-counter securities, are
valued at the last quoted sale price at the close of the exchanges on which
they are principally traded (official closing price). International equity
securities are subject to a fair value factor, as described later in this note.
Securities held by the Series that are listed on Nasdaq are valued at the
Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price
or NOCP for the day, the Series value the securities at the mean of the most
recent quoted bid and asked prices. 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 Series may differ from the quoted or published prices for the same
securities on their primary markets or exchanges. These securities are
generally categorized as Level 2 in the hierarchy.
The Series will also apply a fair value price in the circumstances described
below. Generally, trading in foreign securities markets is completed each day
at various times prior to the close of the NYSE. For example, trading in the
Japanese securities markets is completed each day at the close of the Tokyo
Stock Exchange (normally, 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 each Series is computed. Due to the time differences between the
closings of the relevant
40
foreign securities exchanges and the time each Series prices its shares at the
close of the NYSE, the Series will fair value their foreign investments when it
is determined that the market quotations for the foreign investments are either
unreliable or not readily available. The fair value prices will attempt to
reflect the impact of the U.S. financial markets' perceptions and trading
activities on each Series' foreign investments since the last closing prices of
the foreign investments were calculated on their primary foreign securities
markets or exchanges. For these purposes, the Board of Directors/Trustees of
the Series have determined that movements in relevant indices or other
appropriate market indicators, after the close of the Tokyo Stock Exchange or
the London Stock Exchange, demonstrate that market quotations may be
unreliable. Fair valuation of portfolio securities may occur on a daily basis.
The fair value pricing by the Series utilizes data furnished by an independent
pricing service (and that data draws upon, among other information, the market
values of foreign investments). When the Series use fair value pricing, the
values assigned to the foreign investments may not be the quoted or published
prices of the investments on their primary markets or exchanges. These
securities are generally categorized as Level 2 in the hierarchy.
Listed derivatives, such as futures, that are actively traded are valued
based on quoted prices from the exchange and are categorized as Level 1 in the
hierarchy.
A summary of the inputs used to value the Series' investments by each major
security type, industry and/or country is disclosed previously in this note.
Valuation hierarchy tables have been included at the end of the Summary
Schedules of Portfolio Holdings. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
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. Foreign Currency Translation: Securities and other assets and
liabilities of the Series whose values are initially expressed in foreign
currencies are translated to U.S. dollars using the mean between the most
recent bid and asked prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and interest income and certain expenses
are translated to U.S. dollars at the rate of exchange on their respective
accrual dates. Receivables and payables denominated in foreign currencies are
marked-to-market daily based on daily exchange rates and exchange gains or
losses are realized upon ultimate receipt or disbursement.
The Series do not isolate the effect of fluctuations in foreign exchange
rates from the effect of fluctuations in the market prices of securities
whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and any foreign withholding taxes recorded on the books of the Series
and the U.S. dollar equivalent amounts actually received or paid.
3. Deferred Compensation Plan: Each eligible Director/Trustee of the Trust
may elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such
Directors/Trustees may defer payment of all or a portion of their total fees
earned as a Director/Trustee. These deferred amounts may be treated as though
such amounts had been invested in shares of the following funds: U.S. Large Cap
Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio;
U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value
Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio;
Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income are included in Directors'/Trustees'
Fees & Expenses.
Each Director/Trustee has the option to receive their distribution of
proceeds in one of the following methods: lump sum; annual installments over a
period of agreed upon years; or quarterly installments over a period of agreed
upon years. Each Director/Trustee shall have the right in a notice of election
(the "Notice") to defer the receipt of the Director's/Trustee's deferred
compensation until a date specified by such Director/Trustee in the Notice,
which date may not be sooner than the earlier of: (i) the first business day of
January following the year in which such Director/Trustee ceases to be a member
of the Board; and (ii) five years following the effective date of
41
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, generally based on average net assets.
The Series may be subject to taxes imposed by countries in which they
invest, with respect to their investments in issuers existing or operating in
such countries. Such taxes are generally based on income earned or repatriated
and capital gains realized on the sale of such investments. The Series accrue
such taxes when the related income or capital gains are earned or throughout
the holding period. Some countries require governmental approval for the
repatriation of investment income, capital or the proceeds of sales earned by
foreign investors. In addition, if there is a deterioration in a country's
balance of payments or for other reasons, a country may impose temporary
restrictions on foreign capital remittances abroad.
The Emerging Markets Series is subject to a 15% tax on short-term capital
gains for investments in India. Such taxes are due upon sale of individual
securities. The capital gains taxes are recognized when the capital gains are
earned.
C. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides investment advisory
services to each Series. 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 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
investment advisory services/management fees were accrued daily and paid
monthly to the Advisor based on an effective annual rate of 0.20% and 0.10% of
average daily net assets for The DFA International Value Series and The
Emerging Markets Series, respectively.
Earned Income Credit:
In addition, the Series have entered into arrangements with their custodian
whereby net interest earned on uninvested cash balances was used to reduce a
portion of each Series' custody expenses. Custody expense in the accompanying
financial statements is presented before reduction for credits. 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 Emerging Markets Series........ 31
42
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 DFA International Value Series. $293
The Emerging Markets Series........ 108
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 DFA International Value Series. $2,665,270 $1,984,575
The Emerging Markets Series........ 1,395,127 380,617
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 Tax Unrealized Unrealized Appreciation
Cost Appreciation Depreciation (Depreciation)
----------- ------------ ------------ --------------
The DFA International Value Series. $9,610,599 $1,293,660 $(600,495) $693,165
The Emerging Markets Series........ 4,110,214 1,080,042 (562,105) 517,937
The difference between book basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales.
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed each Series' tax
positions and has concluded that no additional provision for income tax is
required in any Series' financial statements. No Series is aware of any tax
positions for which it is more likely than not that the total amounts of
unrecognized tax benefits will significantly change in the next twelve months.
Each Series' federal tax returns for the prior three fiscal years remain
subject to examination by the Internal Revenue Service.
G. Financial Instruments:
In accordance with the Series' investment objectives and policies, the Series
may invest in certain financial instruments that have off-balance sheet risk in
excess of the amounts recognized in the financial statements and
43
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. Foreign Market Risks: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States of America, including the possibility of future political and
economic developments and the level of foreign government supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of 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, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Series could lose more than the
initial margin requirements. The Series entering into stock index futures are
subject to equity price risk from those futures contracts. Counterparty credit
risk related to exchange-traded futures is minimal because the exchange's
clearinghouse, as counterparty to all exchange-traded futures, guarantees the
futures against default.
The following is a summary of the location and value of derivative
instrument holdings on the Series' Statements of Operations categorized by
primary risk exposure for the 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
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 DFA International Value Series. $ 14 $14 --
The Emerging Markets Series*....... 2,474 (4) $2,478
* 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
44
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.
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 DFA International Value Series. 0.87% $ 7,575 44 $ 8 $54,121
The Emerging Markets Series........ 0.92% 16,820 30 12 73,594
* 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.
There were no outstanding borrowings by the Series under the lines of credit
as of October 31, 2015.
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. Securities Lending:
As of October 31, 2015, each Series had securities on loan to
brokers/dealers, for which each Series received cash collateral. The DFA
International Value Series and The Emerging Markets Series received non-cash
collateral consisting of short and/or long term U.S. government securities with
a market value of $3,425 and $168,133 (in thousands). Each Series invests the
cash collateral, as described below, and records a liability for the return of
the collateral, during the period the securities are on loan. Loans of
securities are expected at all times to be secured by collateral equal to at
least (i) 100% of the current market value of the loaned securities with
respect to securities of the U.S. government or its agencies, (ii) 102% of the
current market value of the loaned securities with respect to U.S. securities,
and (iii) 105% of the current market value of the loaned securities with
respect to foreign securities. However, daily market fluctuations could cause
the Series' collateral to be lower or higher than the expected thresholds. If
this were to occur, the collateral would be adjusted the next business day to
ensure adequate collateralization. In the event of default or bankruptcy by the
other party to the agreement, realization and/or retention of the collateral
may be subject to legal proceedings. If the borrower fails to return loaned
securities, and
45
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.
J. Indemnitees; Contractual Obligations:
Under the Trust's organizational documents, its officers and trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust.
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
K. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the Series
and has determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
46
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 DFA International Value Series and The Emerging Markets Series
(constituting portfolios within The DFA Investment Trust Company, hereafter
referred to as the "Series") at October 31, 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 custodian, brokers and the transfer agent of the
investee fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 18, 2015
47
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 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%
48
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%
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%
49
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.
50
Name, Position Portfolios within the
with the Fund, Address Term of Office/1/ and DFA Fund Complex/2/ Principal Occupation(s) During Past 5 Years and
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 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 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)
1939 (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 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) (1990-2010).
-------------------------------------------------------------------------------------------------------------------------------
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 Parker
Trustee of DFAITC and DEM. DFAITC-Since 2010 Professor of Human Resources Management and
Stanford University Graduate DEM-Since 2010 Economics, Graduate School of Business,
School of Business Stanford University (since 1995). Cornerstone
518 Memorial Way Research (expert testimony and economic and
Stanford, CA 94305-5015 financial analysis) (since 2009). Formerly,
1948 Chairman of the President George W. Bush's
Council of Economic Advisers (2006-2009).
Formerly, Council of Economic Advisors, State of
California (2005-2006). Formerly, Commissioner,
White House Panel on Tax Reform (2005)
-------------------------------------------------------------------------------------------------------------------------------
Myron S. Scholes 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 Platinum Grove Asset Management, L.P. (hedge
Building 1 fund) (formerly, Oak Hill Platinum Partners)
Austin, TX 78746 (1999-2009). Formerly, Director, American
1941 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 Service
Director of DFAIDG and DIG. DIG-Since 2000 investment companies Professor of Accounting, University of Chicago
Trustee of DFAITC and DEM. DFAITC-Since 2000 Booth School of Business (since 1980). Director,
The University of Chicago DEM-Since 2000 HNI Corporation (formerly known as HON
Booth School of Business Industries Inc.) (office furniture) (since 2000).
5807 S. Woodlawn Director, Ryder System Inc. (transportation,
Avenue Chicago, IL 60637 logistics and supply-chain management) (since
1953 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).
51
Name, Position Portfolios within the
with the Fund, Address Term of Office/1/ and DFA Fund Complex/2/ Principal Occupation(s) During Past 5 Years and
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/Trustee, DIG-Since 1992 investment companies Executive Officer and formerly, Chief Executive
President and Co-Chief DFAITC-Since 1992 Officer (until 1/1/2010) of the following companies:
Executive Officer DEM-Since 1993 Dimensional Holdings Inc., Dimensional Fund
6300 Bee Cave Road, Advisors LP, DFA Securities LLC, DEM, DFAIDG,
Building One DIG and DFAITC (collectively, the "DFA Entities").
Austin, TX 78746 Director of Dimensional Fund Advisors Ltd. and
1946 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 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
6300 Bee Cave Road, the DFA Entities. Director, Co-Chief Executive
Building One Officer and Chief Investment Officer (since 2010)
Austin, TX 78746 of 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.
52
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, Vice
1974 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 and
1955 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, Client
1974 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 DFA
1967 Assistant Secretary 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 Global
1964 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).
53
Term of Office/1/
and Length of
Name and Year 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 Australia
1972 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 Officer of
1965 Global Chief Compliance all the DFA Entities, DFA Australia Limited and
Officer 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).
54
Term of Office/1/
and Length of
Name and Year 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 Australia
1957 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, Regional
1976 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, Senior
1971 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, Regional
1959 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 DFA
1965 Assistant Secretary 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.
-----------------------------------------------------------------------------------------------------------------------
Jeremy P. Freeman Vice President Since 2009 Vice President of all the DFA Entities.
1970
55
Term of Office/1/
and Length of
Name and Year of Birth Position Service Principal Occupation During Past 5 Years
----------------------------------------------------------------------------------------------------------------------
Kimberly A. Ginsburg Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Vice
1970 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 Trader
1975 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 Entities.
1958 Controller 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 Dimensional
1973 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).
56
Term of Office/1/
and Length of
Name and Year of Birth Position 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 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 Defined
1971 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 Portfolio
1971 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, Chief
1967 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, Vice
1969 President-Global Operations at Janus Capital Group
(2005-2011).
57
Term of Office/1/
and Length of
Name and Year of Birth Position Service Principal Occupation During Past 5 Years
-------------------------------------------------------------------------------------------------------------------------
David F. LaRusso Vice President Since Vice President of all the DFA Entities. Formerly,
1978 2013 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 Vice President of all the DFA Entities. Formerly,
1960 2013 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 Dimensional
1972 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 Global
1970 Human Resources for Dimensional Fund Advisors LP.
-------------------------------------------------------------------------------------------------------------------------
David R. Martin Vice President, Chief Since 2007 Vice President, Chief Financial Officer and Treasurer
1956 Financial Officer and of all the DFA Entities. and Dimensional Cayman
Treasurer 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).
-------------------------------------------------------------------------------------------------------------------------
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).
-------------------------------------------------------------------------------------------------------------------------
58
Term of Office/1/
and Length of
Name and Year of Birth Position Service Principal Occupation During Past 5 Years
----------------------------------------------------------------------------------------------------------------------------
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 Vice President of all the DFA Entities. Formerly,
1971 2013 Manager, Investment Systems (2011-January 2013)
and Project Manager (2007-2010) for Dimensional
Fund Advisors LP.
----------------------------------------------------------------------------------------------------------------------------
Catherine L. Newell Vice President and Vice President Vice President and Secretary of all the DFA Entities.
1964 Secretary since 1997 and Director, Vice President and Secretary of DFA
Secretary Australia Limited and Dimensional Fund Advisors Ltd.
since 2000 (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 Chief
1961 Deputy Chief Compliance Officer of Dimensional Fund Advisors LP
Compliance Officer (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 Dimensional
1974 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 Vice President and Co-Chief Investment Officer of all
1976 Chief Investment Officer since 2007 and the DFA Entities and Dimensional Fund Advisors
Co-Chief Canada ULC. Director of Dimensional Funds plc and
Investment Dimensional Fund II plc.
Officer
since 2014
----------------------------------------------------------------------------------------------------------------------------
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.
59
Term of Office/1/
and Length of
Name and Year of Birth Position Service Principal Occupation During Past 5 Years
--------------------------------------------------------------------------------------------------------------------
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 Australia
1961 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 Portfolio
1970 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, Vice
1978 President for Dimensional SmartNest (US) LLC
(September 2010-November 2014).
60
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, Client
1959 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 Portfolio
1981 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 Dimensional
1956 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.
61
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 Australia
1966 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 Global
1981 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.
62
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.
63
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 Foreign
Income Capital Gain Capital Gain Total Received Dividend Tax
Dimensional Investment Group Inc. Distributions Distributions Distributions Distributions Deduction(1) Income(2) Credit(3)
--------------------------------- ------------- ------------- ------------- ------------- ------------ ---------- ---------
DFA International Value Portfolio IV. 100% -- -- 100% 100% 100% 4%
Emerging Markets Portfolio II........ 100% -- -- 100% 100% 100% 5%
Qualifying
Short-
Foreign Qualifying Term
Source Interest Capital
Dimensional Investment Group Inc. Income(4) Income(5) Gain(6)
--------------------------------- --------- ---------- ----------
DFA International Value Portfolio IV. 100% 100% 100%
Emerging Markets Portfolio II........ 100% 100% 100%
----------
(1)Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
income distributions (the total of short-term capital gain and net
investment income distributions).
(2)The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
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).
64
DFA103115-011A
[LOGO] 00157605
ITEM 2. CODE OF ETHICS.
The Registrant has adopted, as of the end of the period covered by this Form
N-CSR (the "Report"), a code of ethics that applies to the Registrant's
principal executive officer and principal financial officer (the "Code of
Business Ethics"). The Registrant has not made any substantive amendments to
the Code of Business Ethics during the period covered by this Report. The
Registrant also has not granted any waiver from any provisions of the Code of
Business Ethics during the period covered by this Report. A copy of the Code of
Business Ethics is filed as an exhibit to this Report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The Registrant's Board of Directors has determined that Abbie J. Smith
possesses the technical attributes to qualify as an "audit committee financial
expert" serving on the Registrant's Audit Committee and has designated
Ms. Smith as the "audit committee financial expert." Ms. Smith
earned a Ph.D. in Accounting, and has taught Accounting at the graduate level
since 1980. Ms. Smith's education and career have provided her with an
understanding of generally accepted accounting principles and financial
statements; the ability to assess the general application of such principles in
connection with the accounting for estimates, accruals and reserves; and
experience preparing, analyzing and evaluating financial statements that
present a breadth and level of complexity of issues that can reasonably be
expected to be raised by the Registrant's financial statements. In addition,
Ms. Smith has served on the boards of directors and audit committees of
entities other than the Registrant. Ms. Smith is independent under the
standards set forth in Item 3 of Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Audit Fees
Fiscal Year Ended October 31, 2015: $305,891
Fiscal Year Ended October 31, 2014: $291,451
(b) Audit-Related Fees
Fees for Registrant Fiscal Year Ended October 31, 2015: $23,488
Fiscal Year Ended October 31, 2014: $23,701
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: $84,417
Fiscal Year Ended October 31, 2014: $126,704
In the fiscal years ended October 31, 2015 and October 31, 2014, Tax Fees
included services in connection with the Registrant's excise tax
calculations and review of the Registrant's applicable tax returns.
There were no Tax Fees required to be approved pursuant to
paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X during the fiscal years
indicated above.
(d) All Other Fees
Fees for Registrant Fiscal Year Ended October 31, 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: $1,585,897
Fiscal Year Ended October 31, 2014: $2,358,763
(h) The Registrant's Audit Committee has considered whether the provision
of non-audit services that were rendered to the Registrant's
investment adviser, and any entity controlling, controlled by, or
under common control with the investment adviser that provides
ongoing services to the Registrant, that were not pre-approved
pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is
compatible with maintaining the principal accountant's independence.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
This item is not applicable to the Registrant because it is not a listed issuer.
ITEM 6. INVESTMENTS.
(a) Please see the schedules of investments contained in the reports to
stockholders included under Item 1 of this Report except as discussed below.
Provided below is a complete schedule of investments for each series of the
Registrant or the master fund in which the series of the Registrant invests
that provided a summary schedule of portfolio holdings in a report to
stockholders included under Item 1 in lieu of a complete schedule of
investments. The schedules of investments for the following series are provided
below:
NAME OF ENTITY FOR WHICH SCHEDULE OF RELATIONSHIP TO SERIES OF THE
INVESTMENTS IS PROVIDED REGISTRANT
------------------------------------ --------------------------------------
U.S. Large Company Portfolio Series of Registrant
The U.S. Large Cap Value Series Master fund for U.S. Large Cap Value
Portfolio II, U.S. Large Cap Value
Portfolio III and LWAS/DFA U.S. High
Book to Market Portfolio
The DFA International Value Series Master fund for DFA International
Value Portfolio, DFA International
Value Portfolio II, DFA International
Value Portfolio III and DFA
International Value Portfolio IV
The Emerging Markets Series Master fund for Emerging Markets
Portfolio II
The Tax-Managed U.S. Marketwide Value Master fund for Tax-Managed U.S.
Series Marketwide Value Portfolio II
U.S. LARGE COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2015
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ----------- ---------------
COMMON STOCKS -- (94.3%)
Consumer Discretionary -- (12.4%)
Advance Auto Parts, Inc. 23,142 $ 4,592,067 0.1%
* Amazon.com, Inc. 121,224 75,874,102 1.3%
* AutoNation, Inc. 24,741 1,563,384 0.0%
* AutoZone, Inc. 9,758 7,654,273 0.1%
#* Bed Bath & Beyond, Inc. 53,606 3,196,526 0.1%
# Best Buy Co., Inc. 97,009 3,398,225 0.1%
BorgWarner, Inc. 71,534 3,063,086 0.1%
# Cablevision Systems Corp. Class A 70,276 2,290,295 0.0%
#* CarMax, Inc. 65,758 3,880,380 0.1%
Carnival Corp. 146,313 7,912,607 0.1%
CBS Corp. Class B 140,469 6,534,618 0.1%
* Chipotle Mexican Grill, Inc. 9,843 6,301,784 0.1%
# Coach, Inc. 87,436 2,728,003 0.0%
Comcast Corp. Class A 668,443 41,857,901 0.7%
Comcast Corp. Special Class A 116,380 7,298,190 0.1%
# Darden Restaurants, Inc. 36,034 2,230,144 0.0%
Delphi Automotive P.L.C. 89,877 7,476,868 0.1%
#* Discovery Communications, Inc. Class A 47,191 1,389,303 0.0%
#* Discovery Communications, Inc. Class C 81,494 2,242,715 0.0%
Dollar General Corp. 93,136 6,311,827 0.1%
#* Dollar Tree, Inc. 74,190 4,858,703 0.1%
DR Horton, Inc. 103,179 3,037,590 0.1%
Expedia, Inc. 31,623 4,310,215 0.1%
Ford Motor Co. 1,231,762 18,242,395 0.3%
#* Fossil Group, Inc. 13,013 708,037 0.0%
# GameStop Corp. Class A 33,732 1,554,033 0.0%
# Gap, Inc. (The) 75,193 2,046,753 0.0%
# Garmin, Ltd. 37,418 1,327,216 0.0%
General Motors Co. 455,610 15,905,345 0.3%
# Genuine Parts Co. 47,917 4,348,947 0.1%
Goodyear Tire & Rubber Co. (The) 85,152 2,796,392 0.0%
# H&R Block, Inc. 74,527 2,776,876 0.0%
Hanesbrands, Inc. 127,215 4,063,247 0.1%
# Harley-Davidson, Inc. 65,102 3,219,294 0.1%
Harman International Industries, Inc. 22,496 2,473,660 0.0%
# Hasbro, Inc. 35,531 2,729,847 0.0%
Home Depot, Inc. (The) 405,880 50,183,003 0.9%
Interpublic Group of Cos., Inc. (The) 129,720 2,974,480 0.1%
Johnson Controls, Inc. 206,739 9,340,468 0.2%
# Kohl's Corp. 62,545 2,884,575 0.1%
L Brands, Inc. 81,210 7,794,536 0.1%
Leggett & Platt, Inc. 43,249 1,947,502 0.0%
# Lennar Corp. Class A 54,978 2,752,748 0.0%
Lowe's Cos., Inc. 292,448 21,591,436 0.4%
Macy's, Inc. 104,617 5,333,375 0.1%
# Marriott International, Inc. Class A 63,032 4,839,597 0.1%
# Mattel, Inc. 107,029 2,630,773 0.0%
McDonald's Corp. 297,688 33,415,478 0.6%
#* Michael Kors Holdings, Ltd. 61,137 2,362,334 0.0%
* Mohawk Industries, Inc. 20,092 3,927,986 0.1%
#* Netflix, Inc. 134,652 14,593,584 0.3%
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Consumer Discretionary -- (Continued)
Newell Rubbermaid, Inc. 84,646 $ 3,591,530 0.1%
News Corp. Class A 120,426 1,854,560 0.0%
News Corp. Class B 34,106 527,961 0.0%
NIKE, Inc. Class B 214,269 28,075,667 0.5%
# Nordstrom, Inc. 44,028 2,871,066 0.0%
* O'Reilly Automotive, Inc. 31,419 8,679,813 0.2%
# Omnicom Group, Inc. 76,791 5,753,182 0.1%
* Priceline Group, Inc. (The) 16,026 23,305,650 0.4%
PulteGroup, Inc. 101,474 1,860,018 0.0%
# PVH Corp. 26,090 2,372,885 0.0%
Ralph Lauren Corp. 18,891 2,092,556 0.0%
Ross Stores, Inc. 130,791 6,615,409 0.1%
Royal Caribbean Cruises, Ltd. 54,226 5,333,127 0.1%
# Scripps Networks Interactive, Inc. Class A 29,775 1,788,882 0.0%
Signet Jewelers, Ltd. 25,157 3,797,198 0.1%
Staples, Inc. 203,419 2,642,413 0.0%
Starbucks Corp. 469,127 29,353,276 0.5%
Starwood Hotels & Resorts Worldwide, Inc. 53,854 4,301,319 0.1%
Target Corp. 198,635 15,330,649 0.3%
# TEGNA, Inc. 71,583 1,935,604 0.0%
# Tiffany & Co. 35,459 2,923,240 0.1%
Time Warner Cable, Inc. 89,443 16,940,504 0.3%
Time Warner, Inc. 257,789 19,421,823 0.3%
TJX Cos., Inc. (The) 213,156 15,600,888 0.3%
# Tractor Supply Co. 42,930 3,966,303 0.1%
#* TripAdvisor, Inc. 35,690 2,990,108 0.1%
Twenty-First Century Fox, Inc. Class A 385,916 11,843,762 0.2%
Twenty-First Century Fox, Inc. Class B 136,294 4,208,759 0.1%
#* Under Armour, Inc. Class A 56,883 5,408,436 0.1%
#* Urban Outfitters, Inc. 30,094 860,688 0.0%
VF Corp. 107,630 7,267,178 0.1%
Viacom, Inc. Class B 109,825 5,415,471 0.1%
Walt Disney Co. (The) 490,819 55,825,753 1.0%
Whirlpool Corp. 24,786 3,969,230 0.1%
# Wyndham Worldwide Corp. 37,333 3,037,039 0.1%
# Wynn Resorts, Ltd. 25,675 1,795,966 0.0%
Yum! Brands, Inc. 136,296 9,664,749 0.2%
------------ ----
Total Consumer Discretionary 761,989,385 13.1%
------------ ----
Consumer Staples -- (9.1%)
Altria Group, Inc. 619,738 37,475,557 0.6%
Archer-Daniels-Midland Co. 192,474 8,788,363 0.2%
# Brown-Forman Corp. Class B 33,539 3,561,171 0.1%
# Campbell Soup Co. 56,927 2,891,322 0.0%
# Clorox Co. (The) 40,662 4,958,324 0.1%
Coca-Cola Co. (The) 1,237,457 52,406,304 0.9%
Coca-Cola Enterprises, Inc. 66,617 3,420,117 0.1%
# Colgate-Palmolive Co. 284,514 18,877,504 0.3%
ConAgra Foods, Inc. 136,463 5,533,575 0.1%
Constellation Brands, Inc. Class A 54,362 7,327,998 0.1%
Costco Wholesale Corp. 138,914 21,965,082 0.4%
CVS Health Corp. 352,268 34,797,033 0.6%
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Consumer Staples -- (Continued)
Dr Pepper Snapple Group, Inc. 60,335 $ 5,392,139 0.1%
Estee Lauder Cos., Inc. (The) Class A 71,390 5,744,039 0.1%
General Mills, Inc. 189,250 10,997,317 0.2%
Hershey Co. (The) 46,168 4,094,640 0.1%
Hormel Foods Corp. 42,601 2,877,698 0.0%
JM Smucker Co. (The) 37,824 4,440,159 0.1%
Kellogg Co. 80,467 5,674,533 0.1%
# Keurig Green Mountain, Inc. 37,982 1,927,587 0.0%
Kimberly-Clark Corp. 115,140 13,783,409 0.2%
Kraft Heinz Co. (The) 187,843 14,646,119 0.3%
Kroger Co. (The) 307,048 11,606,414 0.2%
# McCormick & Co., Inc. 36,654 3,078,203 0.1%
Mead Johnson Nutrition Co. 64,082 5,254,724 0.1%
Molson Coors Brewing Co. Class B 49,954 4,400,947 0.1%
Mondelez International, Inc. Class A 509,303 23,509,426 0.4%
* Monster Beverage Corp. 48,066 6,552,357 0.1%
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%
Reynolds American, Inc. 261,993 12,659,502 0.2%
# Sysco Corp. 174,879 7,213,759 0.1%
# Tyson Foods, Inc. Class A 96,202 4,267,521 0.1%
Wal-Mart Stores, Inc. 498,797 28,551,140 0.5%
Walgreens Boots Alliance, Inc. 276,200 23,388,616 0.4%
# Whole Foods Market, Inc. 113,112 3,388,836 0.1%
------------ ---
Total Consumer Staples 561,674,242 9.7%
------------ ---
Energy -- (6.7%)
Anadarko Petroleum Corp. 160,573 10,739,122 0.2%
# Apache Corp. 119,474 5,630,810 0.1%
Baker Hughes, Inc. 137,774 7,257,934 0.1%
Cabot Oil & Gas Corp. 130,797 2,839,603 0.1%
* Cameron International Corp. 60,534 4,116,917 0.1%
# Chesapeake Energy Corp. 163,455 1,165,434 0.0%
Chevron Corp. 594,780 54,053,606 0.9%
Cimarex Energy Co. 29,856 3,524,799 0.1%
Columbia Pipeline Group, Inc. 100,392 2,085,142 0.0%
ConocoPhillips 389,873 20,799,724 0.4%
# CONSOL Energy, Inc. 72,006 479,560 0.0%
Devon Energy Corp. 122,115 5,120,282 0.1%
# Diamond Offshore Drilling, Inc. 20,485 407,242 0.0%
# Ensco P.L.C. Class A 74,516 1,239,201 0.0%
EOG Resources, Inc. 173,582 14,902,015 0.3%
EQT Corp. 48,172 3,182,724 0.1%
Exxon Mobil Corp. 1,317,882 109,041,557 1.9%
* FMC Technologies, Inc. 72,532 2,453,758 0.0%
Halliburton Co. 270,170 10,369,125 0.2%
# Helmerich & Payne, Inc. 34,058 1,916,444 0.0%
Hess Corp. 76,216 4,284,101 0.1%
Kinder Morgan, Inc. 568,120 15,538,082 0.3%
# Marathon Oil Corp. 214,045 3,934,147 0.1%
Marathon Petroleum Corp. 169,469 8,778,494 0.2%
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Energy -- (Continued)
# Murphy Oil Corp. 51,327 $ 1,459,227 0.0%
# National Oilwell Varco, Inc. 121,315 4,566,297 0.1%
* Newfield Exploration Co. 51,510 2,070,187 0.0%
Noble Energy, Inc. 134,355 4,815,283 0.1%
Occidental Petroleum Corp. 241,470 17,999,174 0.3%
# ONEOK, Inc. 66,114 2,242,587 0.0%
Phillips 66 151,346 13,477,361 0.2%
Pioneer Natural Resources Co. 47,193 6,472,048 0.1%
# Range Resources Corp. 53,532 1,629,514 0.0%
Schlumberger, Ltd. 399,984 31,262,749 0.5%
#* Southwestern Energy Co. 121,515 1,341,526 0.0%
# Spectra Energy Corp. 212,205 6,062,697 0.1%
Tesoro Corp. 38,909 4,160,539 0.1%
# Transocean, Ltd. 108,018 1,709,925 0.0%
Valero Energy Corp. 157,128 10,357,878 0.2%
Williams Cos., Inc. (The) 215,642 8,504,920 0.1%
------------ ---
Total Energy 411,991,735 7.1%
------------ ---
Financials -- (12.8%)
# ACE, Ltd. 102,349 11,620,705 0.2%
* Affiliated Managers Group, Inc. 17,158 3,092,901 0.1%
Aflac, Inc. 136,134 8,678,543 0.1%
Allstate Corp. (The) 126,556 7,831,285 0.1%
American Express Co. 269,013 19,707,892 0.3%
American International Group, Inc. 408,973 25,789,837 0.4%
Ameriprise Financial, Inc. 56,332 6,498,460 0.1%
Aon P.L.C. 88,516 8,259,428 0.1%
Assurant, Inc. 21,120 1,721,914 0.0%
Bank of America Corp. 3,308,905 55,523,426 1.0%
Bank of New York Mellon Corp. (The) 349,749 14,567,046 0.3%
BB&T Corp. 246,419 9,154,466 0.2%
* Berkshire Hathaway, Inc. Class B 592,145 80,543,563 1.4%
BlackRock, Inc. 40,494 14,252,673 0.2%
Capital One Financial Corp. 171,451 13,527,484 0.2%
* CBRE Group, Inc. Class A 91,621 3,415,631 0.1%
Charles Schwab Corp. (The) 378,417 11,549,287 0.2%
Chubb Corp. (The) 71,743 9,279,957 0.2%
# Cincinnati Financial Corp. 46,680 2,811,536 0.0%
Citigroup, Inc. 951,354 50,583,492 0.9%
CME Group, Inc. 106,758 10,085,428 0.2%
Comerica, Inc. 56,240 2,440,816 0.0%
Discover Financial Services 137,592 7,735,422 0.1%
* E*TRADE Financial Corp. 91,718 2,614,880 0.0%
Fifth Third Bancorp 253,892 4,836,643 0.1%
Franklin Resources, Inc. 122,230 4,982,095 0.1%
#* Genworth Financial, Inc. Class A 158,178 740,273 0.0%
Goldman Sachs Group, Inc. (The) 127,245 23,858,437 0.4%
Hartford Financial Services Group, Inc. (The) 131,124 6,065,796 0.1%
Hudson City Bancorp, Inc. 152,310 1,541,377 0.0%
# Huntington Bancshares, Inc. 253,834 2,784,559 0.0%
Intercontinental Exchange, Inc. 34,923 8,814,565 0.2%
Invesco, Ltd. 135,510 4,494,867 0.1%
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Financials -- (Continued)
JPMorgan Chase & Co. 1,168,888 $ 75,101,054 1.3%
KeyCorp 265,780 3,300,988 0.1%
Legg Mason, Inc. 34,677 1,551,796 0.0%
Leucadia National Corp. 106,606 2,133,186 0.0%
Lincoln National Corp. 79,321 4,244,467 0.1%
Loews Corp. 90,663 3,305,573 0.1%
# M&T Bank Corp. 42,114 5,047,363 0.1%
Marsh & McLennan Cos., Inc. 167,521 9,337,621 0.2%
McGraw Hill Financial, Inc. 86,132 7,979,268 0.1%
MetLife, Inc. 353,025 17,785,399 0.3%
Moody's Corp. 55,081 5,296,589 0.1%
Morgan Stanley 481,593 15,878,121 0.3%
Nasdaq, Inc. 37,377 2,163,755 0.0%
Navient Corp. 118,225 1,559,388 0.0%
# Northern Trust Corp. 69,184 4,869,862 0.1%
# People's United Financial, Inc. 97,983 1,562,829 0.0%
PNC Financial Services Group, Inc. (The) 162,339 14,652,718 0.3%
Principal Financial Group, Inc. 86,642 4,345,963 0.1%
# Progressive Corp. (The) 185,202 6,135,742 0.1%
Prudential Financial, Inc. 142,552 11,760,540 0.2%
Regions Financial Corp. 418,778 3,915,574 0.1%
State Street Corp. 128,997 8,900,793 0.2%
SunTrust Banks, Inc. 163,744 6,798,651 0.1%
# T Rowe Price Group, Inc. 80,984 6,124,010 0.1%
Torchmark Corp. 36,778 2,133,492 0.0%
Travelers Cos., Inc. (The) 98,366 11,104,538 0.2%
U.S. Bancorp. 523,222 22,069,504 0.4%
Unum Group 77,971 2,701,695 0.0%
Wells Fargo & Co. 1,476,526 79,939,118 1.4%
# XL Group P.L.C. 95,556 3,638,772 0.1%
# Zions Bancorporation 64,534 1,856,643 0.0%
------------ ----
Total Financials 786,599,696 13.5%
------------ ----
Health Care -- (13.7%)
Abbott Laboratories 471,100 21,105,280 0.4%
AbbVie, Inc. 523,201 31,156,620 0.5%
Aetna, Inc. 110,185 12,647,034 0.2%
Agilent Technologies, Inc. 104,750 3,955,360 0.1%
* Alexion Pharmaceuticals, Inc. 71,483 12,581,008 0.2%
* Allergan P.L.C. 124,421 38,380,146 0.7%
AmerisourceBergen Corp. 64,920 6,265,429 0.1%
Amgen, Inc. 239,668 37,910,684 0.7%
Anthem, Inc. 82,683 11,505,339 0.2%
Baxalta, Inc. 171,181 5,898,897 0.1%
Baxter International, Inc. 172,434 6,447,307 0.1%
Becton Dickinson and Co. 66,457 9,471,452 0.2%
* Biogen, Inc. 74,332 21,594,189 0.4%
* Boston Scientific Corp. 424,799 7,765,326 0.1%
Bristol-Myers Squibb Co. 527,066 34,760,003 0.6%
Cardinal Health, Inc. 103,472 8,505,398 0.1%
* Celgene Corp. 249,874 30,662,038 0.5%
#* Cerner Corp. 97,073 6,434,969 0.1%
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Health Care -- (Continued)
Cigna Corp. 81,389 $ 10,909,382 0.2%
CR Bard, Inc. 23,453 4,370,467 0.1%
* DaVita HealthCare Partners, Inc. 53,811 4,170,891 0.1%
DENTSPLY International, Inc. 44,191 2,689,022 0.0%
* Edwards Lifesciences Corp. 33,984 5,340,586 0.1%
Eli Lilly & Co. 308,342 25,151,457 0.4%
* Endo International P.L.C. 65,835 3,949,442 0.1%
* Express Scripts Holding Co. 213,586 18,449,559 0.3%
Gilead Sciences, Inc. 463,882 50,159,561 0.9%
* HCA Holdings, Inc. 101,050 6,951,229 0.1%
#* Henry Schein, Inc. 26,360 3,999,076 0.1%
Humana, Inc. 46,825 8,364,350 0.1%
* Intuitive Surgical, Inc. 11,701 5,810,717 0.1%
Johnson & Johnson 875,261 88,427,619 1.5%
* Laboratory Corp. of America Holdings 31,798 3,902,886 0.1%
#* Mallinckrodt P.L.C. 37,090 2,435,700 0.0%
McKesson Corp. 73,458 13,134,290 0.2%
Medtronic P.L.C. 446,998 33,042,092 0.6%
Merck & Co., Inc. 890,284 48,662,923 0.8%
* Mylan NV 130,511 5,754,230 0.1%
Patterson Cos., Inc. 27,447 1,300,988 0.0%
PerkinElmer, Inc. 35,838 1,850,674 0.0%
Perrigo Co. P.L.C. 46,236 7,293,267 0.1%
Pfizer, Inc. 1,949,380 65,928,032 1.1%
Quest Diagnostics, Inc. 45,374 3,083,163 0.1%
* Regeneron Pharmaceuticals, Inc. 24,439 13,622,054 0.2%
St Jude Medical, Inc. 89,054 5,682,536 0.1%
Stryker Corp. 99,979 9,559,992 0.2%
#* Tenet Healthcare Corp. 31,470 987,214 0.0%
Thermo Fisher Scientific, Inc. 125,954 16,472,264 0.3%
UnitedHealth Group, Inc. 301,403 35,499,245 0.6%
Universal Health Services, Inc. Class B 28,996 3,540,122 0.1%
#* Varian Medical Systems, Inc. 31,203 2,450,372 0.0%
* Vertex Pharmaceuticals, Inc. 77,331 9,646,269 0.2%
* Waters Corp. 26,004 3,323,311 0.1%
Zimmer Holdings, Inc. 53,995 5,646,257 0.1%
Zoetis, Inc. 145,090 6,240,321 0.1%
------------ ----
Total Health Care 844,848,039 14.5%
------------ ----
Industrials -- (9.6%)
3M Co. 197,470 31,044,259 0.5%
# ADT Corp. (The) 53,713 1,774,678 0.0%
Allegion P.L.C. 30,284 1,973,608 0.0%
American Airlines Group, Inc. 212,350 9,814,817 0.2%
AMETEK, Inc. 76,543 4,196,087 0.1%
# Boeing Co. (The) 201,889 29,893,704 0.5%
# Caterpillar, Inc. 190,481 13,903,208 0.2%
# CH Robinson Worldwide, Inc. 44,821 3,109,681 0.1%
# Cintas Corp. 28,217 2,626,721 0.0%
CSX Corp. 310,940 8,392,271 0.1%
Cummins, Inc. 52,515 5,435,828 0.1%
Danaher Corp. 187,953 17,537,895 0.3%
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ----------- ---------------
Industrials -- (Continued)
# Deere & Co. 98,541 $ 7,686,198 0.1%
Delta Air Lines, Inc. 251,410 12,781,684 0.2%
# Dover Corp. 49,456 3,186,450 0.1%
Dun & Bradstreet Corp. (The) 11,414 1,299,712 0.0%
Eaton Corp. P.L.C. 147,768 8,261,709 0.1%
Emerson Electric Co. 207,709 9,810,096 0.2%
Equifax, Inc. 37,375 3,983,054 0.1%
# Expeditors International of Washington, Inc. 59,790 2,976,944 0.1%
# Fastenal Co. 91,716 3,591,599 0.1%
FedEx Corp. 83,022 12,955,583 0.2%
# Flowserve Corp. 42,155 1,954,306 0.0%
Fluor Corp. 45,814 2,190,367 0.0%
General Dynamics Corp. 95,887 14,246,891 0.2%
General Electric Co. 3,191,286 92,291,991 1.6%
Honeywell International, Inc. 247,100 25,520,488 0.4%
Illinois Tool Works, Inc. 104,142 9,574,816 0.2%
Ingersoll-Rand P.L.C. 83,873 4,970,314 0.1%
#* Jacobs Engineering Group, Inc. 39,130 1,570,678 0.0%
# JB Hunt Transport Services, Inc. 29,028 2,216,868 0.0%
# Kansas City Southern 34,883 2,886,917 0.1%
L-3 Communications Holdings, Inc. 25,391 3,209,422 0.1%
Lockheed Martin Corp. 84,413 18,556,510 0.3%
Masco Corp. 108,716 3,152,764 0.1%
Nielsen Holdings P.L.C. 115,957 5,509,117 0.1%
Norfolk Southern Corp. 95,263 7,623,898 0.1%
Northrop Grumman Corp. 59,231 11,120,620 0.2%
# PACCAR, Inc. 112,199 5,907,277 0.1%
# Parker-Hannifin Corp. 43,752 4,580,834 0.1%
# Pentair P.L.C. 56,912 3,182,519 0.1%
# Pitney Bowes, Inc. 63,823 1,317,945 0.0%
Precision Castparts Corp. 43,460 10,031,003 0.2%
#* Quanta Services, Inc. 64,530 1,297,698 0.0%
Raytheon Co. 95,946 11,264,060 0.2%
Republic Services, Inc. 76,097 3,328,483 0.1%
Robert Half International, Inc. 42,513 2,238,735 0.0%
# Rockwell Automation, Inc. 42,388 4,627,074 0.1%
# Rockwell Collins, Inc. 41,650 3,611,888 0.1%
# Roper Technologies, Inc. 31,819 5,929,471 0.1%
# Ryder System, Inc. 16,870 1,210,929 0.0%
Snap-on, Inc. 18,387 3,050,219 0.1%
Southwest Airlines Co. 208,410 9,647,299 0.2%
Stanley Black & Decker, Inc. 48,436 5,133,247 0.1%
#* Stericycle, Inc. 26,814 3,254,415 0.1%
Textron, Inc. 87,372 3,684,477 0.1%
Tyco International P.L.C. 133,233 4,855,011 0.1%
Union Pacific Corp. 274,261 24,505,220 0.4%
* United Continental Holdings, Inc. 119,403 7,201,195 0.1%
United Parcel Service, Inc. Class B 220,766 22,743,313 0.4%
* United Rentals, Inc. 30,145 2,256,655 0.0%
United Technologies Corp. 261,796 25,763,344 0.4%
* Verisk Analytics, Inc. 48,995 3,508,532 0.1%
Waste Management, Inc. 132,941 7,146,908 0.1%
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Industrials -- (Continued)
# WW Grainger, Inc. 19,185 $ 4,028,850 0.1%
Xylem, Inc. 57,368 2,088,769 0.0%
------------ ----
Total Industrials 590,227,123 10.2%
------------ ----
Information Technology -- (19.7%)
Accenture P.L.C. Class A 197,277 21,148,094 0.3%
# Activision Blizzard, Inc. 158,996 5,526,701 0.1%
* Adobe Systems, Inc. 157,296 13,945,863 0.2%
#* Akamai Technologies, Inc. 56,450 3,433,289 0.1%
* Alliance Data Systems Corp. 19,418 5,773,166 0.1%
* Alphabet, Inc. Class A 91,627 67,564,834 1.1%
* Alphabet, Inc. Class C 93,490 66,453,627 1.1%
Altera Corp. 95,606 5,024,095 0.1%
Amphenol Corp. Class A 97,715 5,298,107 0.1%
Analog Devices, Inc. 99,147 5,960,718 0.1%
Apple, Inc. 1,802,520 215,401,140 3.7%
Applied Materials, Inc. 379,492 6,364,081 0.1%
#* Autodesk, Inc. 71,497 3,945,919 0.1%
Automatic Data Processing, Inc. 147,234 12,807,886 0.2%
# Avago Technologies, Ltd. 82,123 10,111,805 0.2%
Broadcom Corp. Class A 176,689 9,081,815 0.1%
CA, Inc. 99,036 2,744,288 0.0%
Cisco Systems, Inc. 1,607,551 46,377,846 0.8%
* Citrix Systems, Inc. 50,794 4,170,187 0.1%
* Cognizant Technology Solutions Corp. Class A 192,660 13,122,073 0.2%
Computer Sciences Corp. 43,724 2,911,581 0.1%
# Corning, Inc. 387,494 7,207,388 0.1%
* eBay, Inc. 354,254 9,883,687 0.2%
* Electronic Arts, Inc. 98,537 7,101,562 0.1%
EMC Corp. 608,369 15,951,435 0.3%
* F5 Networks, Inc. 22,443 2,473,219 0.0%
* Facebook, Inc. Class A 714,259 72,832,990 1.2%
Fidelity National Information Services, Inc. 89,003 6,490,099 0.1%
* First Solar, Inc. 23,920 1,365,114 0.0%
* Fiserv, Inc. 74,146 7,155,830 0.1%
FLIR Systems, Inc. 44,330 1,182,281 0.0%
Harris Corp. 39,216 3,103,162 0.1%
HP, Inc. 570,973 15,393,432 0.3%
Intel Corp. 1,502,648 50,879,661 0.9%
International Business Machines Corp. 284,842 39,900,667 0.7%
# Intuit, Inc. 87,651 8,539,837 0.1%
Juniper Networks, Inc. 111,789 3,509,057 0.1%
KLA-Tencor Corp. 49,793 3,342,106 0.1%
Lam Research Corp. 50,000 3,829,500 0.1%
# Linear Technology Corp. 75,783 3,366,281 0.1%
MasterCard, Inc. Class A 315,447 31,226,099 0.5%
# Microchip Technology, Inc. 66,722 3,222,005 0.1%
#* Micron Technology, Inc. 340,241 5,634,391 0.1%
Microsoft Corp. 2,528,007 133,074,289 2.3%
Motorola Solutions, Inc. 50,818 3,555,735 0.1%
# NetApp, Inc. 94,850 3,224,900 0.1%
NVIDIA Corp. 161,849 4,591,656 0.1%
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- -------------- ---------------
Information Technology -- (Continued)
Oracle Corp. 1,027,913 $ 39,924,141 0.7%
# Paychex, Inc. 101,612 5,241,147 0.1%
* PayPal Holdings, Inc. 350,549 12,623,270 0.2%
* Qorvo, Inc. 47,264 2,076,308 0.0%
QUALCOMM, Inc. 496,627 29,509,576 0.5%
* Red Hat, Inc. 57,995 4,587,984 0.1%
* salesforce.com inc 196,096 15,238,620 0.2%
# SanDisk Corp. 64,619 4,975,663 0.1%
# Seagate Technology P.L.C. 95,467 3,633,474 0.1%
# Skyworks Solutions, Inc. 60,289 4,656,722 0.1%
Symantec Corp. 216,254 4,454,832 0.1%
TE Connectivity, Ltd. 127,186 8,195,866 0.1%
#* Teradata Corp. 44,757 1,258,119 0.0%
Texas Instruments, Inc. 324,421 18,401,159 0.3%
Total System Services, Inc. 53,492 2,805,655 0.0%
#* VeriSign, Inc. 31,568 2,544,381 0.0%
# Visa, Inc. Class A 616,796 47,851,034 0.8%
Western Digital Corp. 72,826 4,866,233 0.1%
# Western Union Co. (The) 161,654 3,111,840 0.1%
Xerox Corp. 317,556 2,981,851 0.1%
Xilinx, Inc. 81,757 3,893,268 0.1%
* Yahoo!, Inc. 273,751 9,751,011 0.2%
-------------- ----
Total Information Technology 1,207,785,652 20.8%
-------------- ----
Materials -- (2.8%)
Air Products & Chemicals, Inc. 61,156 8,499,461 0.1%
Airgas, Inc. 21,237 2,042,150 0.0%
# Alcoa, Inc. 414,003 3,697,047 0.1%
Avery Dennison Corp. 28,902 1,877,763 0.0%
Ball Corp. 43,672 2,991,532 0.1%
CF Industries Holdings, Inc. 73,662 3,739,820 0.1%
Dow Chemical Co. (The) 366,054 18,914,010 0.3%
Eastman Chemical Co. 46,990 3,391,268 0.1%
Ecolab, Inc. 83,946 10,102,901 0.1%
EI du Pont de Nemours & Co. 286,002 18,132,527 0.3%
# FMC Corp. 42,233 1,719,305 0.0%
# Freeport-McMoRan, Inc. 359,361 4,229,679 0.1%
# International Flavors & Fragrances, Inc. 25,472 2,956,280 0.1%
International Paper Co. 132,040 5,636,788 0.1%
LyondellBasell Industries NV Class A 117,803 10,945,077 0.1%
Martin Marietta Materials, Inc. 21,178 3,285,767 0.1%
# Monsanto Co. 147,874 13,784,814 0.2%
Mosaic Co. (The) 106,569 3,600,966 0.1%
Newmont Mining Corp. 167,224 3,254,179 0.1%
Nucor Corp. 101,019 4,273,104 0.1%
* Owens-Illinois, Inc. 50,816 1,095,085 0.0%
PPG Industries, Inc. 85,570 8,921,528 0.1%
# Praxair, Inc. 90,548 10,058,977 0.1%
Sealed Air Corp. 65,063 3,195,895 0.1%
Sherwin-Williams Co. (The) 25,043 6,682,224 0.1%
Sigma-Aldrich Corp. 37,749 5,274,290 0.1%
Vulcan Materials Co. 42,098 4,065,825 0.1%
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Materials -- (Continued)
WestRock Co. 82,765 $ 4,449,446 0.1%
------------ ---
Total Materials 170,817,708 2.9%
------------ ---
Real Estate Investment Trusts -- (2.5%)
American Tower Corp. 133,790 13,677,352 0.2%
# Apartment Investment & Management Co. Class A 49,398 1,935,907 0.0%
AvalonBay Communities, Inc. 42,008 7,344,258 0.1%
Boston Properties, Inc. 48,542 6,109,011 0.1%
Crown Castle International Corp. 105,495 9,015,603 0.2%
# Equinix, Inc. 18,003 5,341,130 0.1%
Equity Residential 115,079 8,897,908 0.1%
Essex Property Trust, Inc. 20,780 4,580,743 0.1%
General Growth Properties, Inc. 184,760 5,348,802 0.1%
HCP, Inc. 146,215 5,439,198 0.1%
# Host Hotels & Resorts, Inc. 237,415 4,114,402 0.1%
# Iron Mountain, Inc. 60,641 1,858,040 0.0%
Kimco Realty Corp. 130,584 3,495,734 0.1%
# Macerich Co. (The) 42,536 3,604,501 0.1%
# Plum Creek Timber Co., Inc. 55,228 2,249,989 0.0%
# Prologis, Inc. 165,666 7,078,908 0.1%
Public Storage 46,471 10,663,236 0.2%
# Realty Income Corp. 78,889 3,901,850 0.1%
Simon Property Group, Inc. 97,799 19,702,586 0.3%
# SL Green Realty Corp. 31,486 3,734,869 0.1%
Ventas, Inc. 105,097 5,645,811 0.1%
Vornado Realty Trust 56,005 5,631,303 0.1%
Welltower, Inc. 111,224 7,215,101 0.1%
Weyerhaeuser Co. 162,527 4,766,917 0.1%
------------ ---
Total Real Estate Investment Trusts 151,353,159 2.6%
------------ ---
Telecommunication Services -- (2.2%)
AT&T, Inc. 1,944,212 65,150,544 1.1%
# CenturyLink, Inc. 177,949 5,019,941 0.1%
# Frontier Communications Corp. 369,248 1,897,935 0.0%
* Level 3 Communications, Inc. 91,102 4,641,647 0.1%
Verizon Communications, Inc. 1,285,086 60,244,832 1.1%
------------ ---
Total Telecommunication Services 136,954,899 2.4%
------------ ---
Utilities -- (2.8%)
AES Corp. 215,828 2,363,317 0.0%
AGL Resources, Inc. 37,957 2,372,312 0.0%
Ameren Corp. 76,692 3,349,907 0.1%
American Electric Power Co., Inc. 155,057 8,783,979 0.2%
CenterPoint Energy, Inc. 135,998 2,522,763 0.1%
# CMS Energy Corp. 87,449 3,154,285 0.1%
# Consolidated Edison, Inc. 92,571 6,086,543 0.1%
# Dominion Resources, Inc. 187,854 13,418,411 0.2%
DTE Energy Co. 56,729 4,628,519 0.1%
# Duke Energy Corp. 217,568 15,549,585 0.3%
Edison International 102,983 6,232,531 0.1%
# Entergy Corp. 56,745 3,867,739 0.1%
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
Utilities -- (Continued)
Eversource Energy 100,252 $ 5,106,837 0.1%
Exelon Corp. 272,341 7,603,761 0.1%
FirstEnergy Corp. 133,529 4,166,105 0.1%
NextEra Energy, Inc. 145,483 14,935,285 0.3%
NiSource, Inc. 100,469 1,924,986 0.0%
NRG Energy, Inc. 104,514 1,347,185 0.0%
Pepco Holdings, Inc. 80,116 2,133,489 0.0%
PG&E Corp. 154,616 8,256,494 0.1%
Pinnacle West Capital Corp. 35,026 2,224,501 0.0%
PPL Corp. 211,765 7,284,716 0.1%
Public Service Enterprise Group, Inc. 159,894 6,602,023 0.1%
# SCANA Corp. 45,173 2,675,145 0.1%
Sempra Energy 74,443 7,623,708 0.1%
# Southern Co. (The) 287,136 12,949,834 0.2%
TECO Energy, Inc. 74,347 2,007,369 0.0%
# WEC Energy Group, Inc. 99,782 5,144,760 0.1%
Xcel Energy, Inc. 160,320 5,712,202 0.1%
-------------- -----
Total Utilities 170,028,291 2.9%
-------------- -----
TOTAL COMMON STOCKS 5,794,269,929 99.7%
-------------- -----
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 6.0%
-------------- -----
TOTAL INVESTMENTS -- (100.0%) (Cost $3,253,320,307) $6,144,974,973 105.8%
============== =====
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 Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
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 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 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.
Dimensional Investment Group Inc.
By: /s/ David G. Booth
---------------------------------
David G. Booth
Chairman, Director, 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
Dimensional Investment Group Inc.
Date: January 7, 2016
By: /s/ David R. Martin
---------------------------------
David R. Martin
Principal Financial Officer
Dimensional Investment Group Inc.
Date: January 7, 2016