================================================================================
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
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FORM N-CSR
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CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-7436
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THE DFA INVESTMENT TRUST COMPANY
(Exact name of registrant as specified in charter)
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6300 Bee Cave Road, Building One, Austin, TX 78746
(Address of principal executive offices) (Zip code)
-----------------
Catherine L. Newell, Esquire, Vice President and Secretary
The DFA Investment Trust Company,
6300 Bee Cave Road, Building One, Austin, TX 78746
(Name and address of agent for service)
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Registrant's telephone number, including area code: 512-306-7400
Date of fiscal year end: October 31
Date of reporting period: November 1, 2015 - April 30, 2016
================================================================================
ITEM 1. REPORTS TO STOCKHOLDERS.
[LOGO]
SEMI-ANNUAL REPORT
six months ended: April 30, 2016 (Unaudited)
DFA INVESTMENT DIMENSIONS GROUP INC.
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DIMENSIONAL EMERGING MARKETS VALUE FUND
[LOGO]
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
May 2016
Dear Shareholder,
At Dimensional we strive to offer Fund shareholders the best available
investment solutions and second-to-none client service. More than just shares
in a mutual fund, the assets invested with us represent institutions and
individuals and are often savings earned with sacrifice. We appreciate and take
with enormous responsibility the trust clients have put in us, always aiming
for the highest standards when managing money, performing research, and finding
ways to better provide client service.
On behalf of all of us at Dimensional, thank you for letting us help you pursue
your investment goals. Your trust is taken with the seriousness it deserves.
Sincerely,
Eduardo A. Repetto
Co-Chief Executive Officer and Co-Chief Investment Officer
SEMI-ANNUAL REPORT
(Unaudited)
Table of Contents
Page
----
Letter to Shareholders
Definitions of Abbreviations and Footnotes........................... 1
DFA Investment Dimensions Group Inc.
Disclosure of Fund Expenses....................................... 2
Disclosure of Portfolio Holdings.................................. 8
Schedules of Investments/Summary Schedules of Portfolio Holdings
Enhanced U.S. Large Company Portfolio......................... 11
U.S. Large Cap Equity Portfolio............................... 14
U.S. Large Cap Value Portfolio................................ 17
U.S. Targeted Value Portfolio................................. 18
U.S. Small Cap Value Portfolio................................ 21
U.S. Core Equity 1 Portfolio.................................. 24
U.S. Core Equity 2 Portfolio.................................. 27
U.S. Vector Equity Portfolio.................................. 30
U.S. Small Cap Portfolio...................................... 33
U.S. Micro Cap Portfolio...................................... 36
DFA Real Estate Securities Portfolio.......................... 39
Large Cap International Portfolio............................. 41
International Core Equity Portfolio........................... 45
International Small Company Portfolio......................... 50
Japanese Small Company Portfolio.............................. 51
Asia Pacific Small Company Portfolio.......................... 51
United Kingdom Small Company Portfolio........................ 52
Continental Small Company Portfolio........................... 52
DFA International Real Estate Securities Portfolio............ 53
DFA Global Real Estate Securities Portfolio................... 56
DFA International Small Cap Value Portfolio................... 59
International Vector Equity Portfolio......................... 63
World ex U.S. Value Portfolio................................. 67
World ex U.S. Targeted Value Portfolio........................ 68
World ex U.S. Core Equity Portfolio........................... 73
World Core Equity Portfolio................................... 79
Selectively Hedged Global Equity Portfolio.................... 80
Emerging Markets Portfolio.................................... 81
Emerging Markets Small Cap Portfolio.......................... 81
Emerging Markets Value Portfolio.............................. 81
Emerging Markets Core Equity Portfolio........................ 82
Statements of Assets and Liabilities.............................. 86
Statements of Operations.......................................... 93
Statements of Changes in Net Assets............................... 100
Financial Highlights.............................................. 110
Notes to Financial Statements..................................... 129
i
TABLE OF CONTENTS
CONTINUED
Page
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DFA Investment Dimensions Group Inc. - DFA Commodity Strategy Portfolio
Consolidated Disclosure of Fund Expenses............................. 164
Consolidated Disclosure of Portfolio Holdings........................ 165
Consolidated Schedule of Investments................................. 166
Consolidated Statement of Assets and Liabilities..................... 171
Consolidated Statement of Operations................................. 172
Consolidated Statements of Changes in Net Assets..................... 173
Consolidated Financial Highlights.................................... 174
Consolidated Notes to Financial Statements........................... 175
Dimensional Investment Group Inc.
Disclosure of Fund Expenses.......................................... 188
Disclosure of Portfolio Holdings..................................... 190
Schedule of Investments/Summary Schedule of Portfolio Holdings
DFA International Value Portfolio................................ 191
U.S. Large Company Portfolio..................................... 192
Statements of Assets and Liabilities................................. 195
Statements of Operations............................................. 196
Statements of Changes in Net Assets.................................. 197
Financial Highlights................................................. 198
Notes to Financial Statements........................................ 200
The DFA Investment Trust Company
Disclosure of Fund Expenses.......................................... 209
Disclosure of Portfolio Holdings..................................... 211
Summary Schedules of Portfolio Holdings
The U.S. Large Cap Value Series.................................. 213
The DFA International Value Series............................... 216
The Japanese Small Company Series................................ 220
The Asia Pacific Small Company Series............................ 223
The United Kingdom Small Company Series.......................... 225
The Continental Small Company Series............................. 228
The Canadian Small Company Series................................ 232
The Emerging Markets Series...................................... 235
The Emerging Markets Small Cap Series............................ 239
Statements of Assets and Liabilities................................. 243
Statements of Operations............................................. 245
Statements of Changes in Net Assets.................................. 247
Financial Highlights................................................. 250
Notes to Financial Statements........................................ 255
ii
TABLE OF CONTENTS
CONTINUED
PAGE
----
DIMENSIONAL EMERGING MARKETS VALUE FUND
Disclosure of Fund Expenses..................... 268
Disclosure of Portfolio Holdings................ 269
Summary Schedule of Portfolio Holdings.......... 270
Statement of Assets and Liabilities............. 274
Statement of Operations......................... 275
Statements of Changes in Net Assets............. 276
Financial Highlights............................ 277
Notes to Financial Statements................... 278
VOTING PROXIES ON FUND PORTFOLIO SECURITIES........ 286
BOARD APPROVAL OF INVESTMENT MANAGEMENT AGREEMENTS. 287
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 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.
^ 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.
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2016
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/15 04/30/16 Ratio* Period*
--------- --------- ---------- --------
Enhanced U.S. Large Company Portfolio
-------------------------------------
Actual Fund Return
Institutional Class Shares........... $1,000.00 $1,007.10 0.23% $1.15
Hypothetical 5% Annual Return
Institutional Class Shares........... $1,000.00 $1,023.72 0.23% $1.16
2
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/15 04/30/16 Ratio* Period*
--------- --------- ---------- --------
U.S. Large Cap Equity Portfolio
-------------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $ 996.50 0.18% $0.89
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,023.97 0.18% $0.91
U.S. Large Cap Value Portfolio**
--------------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $ 999.80 0.27% $1.34
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,023.52 0.27% $1.36
U.S. Targeted Value Portfolio
-----------------------------
Actual Fund Return
Class R1 Shares................. $1,000.00 $1,005.70 0.47% $2.34
Class R2 Shares................. $1,000.00 $1,005.10 0.62% $3.09
Institutional Class Shares...... $1,000.00 $1,006.00 0.37% $1.85
Hypothetical 5% Annual Return
Class R1 Shares................. $1,000.00 $1,022.53 0.47% $2.36
Class R2 Shares................. $1,000.00 $1,021.78 0.62% $3.12
Institutional Class Shares...... $1,000.00 $1,023.02 0.37% $1.86
U.S. Small Cap Value Portfolio
------------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,006.20 0.52% $2.59
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,022.28 0.52% $2.61
U.S. Core Equity 1 Portfolio
----------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $ 998.10 0.19% $0.94
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,023.92 0.19% $0.96
U.S. Core Equity 2 Portfolio
----------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $ 995.50 0.22% $1.09
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,023.77 0.22% $1.11
U.S. Vector Equity Portfolio
----------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $ 994.40 0.32% $1.59
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,023.27 0.32% $1.61
3
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/15 04/30/16 Ratio* Period*
--------- --------- ---------- --------
U.S. Small Cap Portfolio
------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $ 997.30 0.37% $1.84
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,023.02 0.37% $1.86
U.S. Micro Cap Portfolio
------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $ 997.40 0.52% $2.58
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,022.28 0.52% $2.61
DFA Real Estate Securities Portfolio
------------------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $1,049.60 0.18% $0.92
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,023.97 0.18% $0.91
Large Cap International Portfolio
---------------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $ 976.30 0.28% $1.38
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,023.47 0.28% $1.41
International Core Equity Portfolio
-----------------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $ 997.20 0.38% $1.89
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,022.97 0.38% $1.91
International Small Company Portfolio***
----------------------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $1,029.70 0.53% $2.67
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,022.23 0.53% $2.66
Japanese Small Company Portfolio**
----------------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $1,006.10 0.54% $2.69
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,022.18 0.54% $2.72
Asia Pacific Small Company Portfolio**
--------------------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $1,091.90 0.55% $2.86
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,022.13 0.55% $2.77
4
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/15 04/30/16 Ratio* Period*
--------- --------- ---------- --------
United Kingdom Small Company Portfolio**
----------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $ 950.00 0.59% $2.86
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,021.93 0.59% $2.97
Continental Small Company Portfolio**
-------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,040.20 0.54% $2.74
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,022.18 0.54% $2.72
DFA International Real Estate Securities Portfolio
--------------------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,076.10 0.28% $1.45
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,023.47 0.28% $1.41
DFA Global Real Estate Securities Portfolio****
-----------------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,059.40 0.24% $1.23
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,023.67 0.24% $1.21
DFA International Small Cap Value Portfolio
-------------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,013.90 0.68% $3.40
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,021.48 0.68% $3.42
International Vector Equity Portfolio
-------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,005.80 0.49% $2.44
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,022.43 0.49% $2.46
World ex U.S. Value Portfolio***
--------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $ 984.20 0.53% $2.61
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,022.23 0.53% $2.66
World ex U.S. Targeted Value Portfolio
--------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,032.50 0.73% $3.69
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,021.23 0.73% $3.67
5
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/15 04/30/16 Ratio* Period*
--------- --------- ---------- --------
World ex U.S. Core Equity Portfolio
-----------------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $ 999.40 0.47% $2.34
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,022.53 0.47% $2.36
World Core Equity Portfolio***
------------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $1,000.30 0.35% $1.74
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,023.12 0.35% $1.76
Selectively Hedged Global Equity Portfolio***
---------------------------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $ 987.50 0.34% $1.68
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,023.17 0.34% $1.71
Emerging Markets Portfolio**
----------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $1,017.00 0.57% $2.86
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,022.03 0.57% $2.87
Emerging Markets Small Cap Portfolio**
--------------------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $1,045.90 0.73% $3.71
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,021.23 0.73% $3.67
Emerging Markets Value Portfolio**
----------------------------------
Actual Fund Return
Class R2 Shares.............................. $1,000.00 $1,041.20 0.82% $4.16
Institutional Class Shares................... $1,000.00 $1,042.30 0.57% $2.89
Hypothetical 5% Annual Return
Class R2 Shares.............................. $1,000.00 $1,020.79 0.82% $4.12
Institutional Class Shares................... $1,000.00 $1,022.03 0.57% $2.87
6
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/15 04/30/16 RATIO* PERIOD*
--------- --------- ---------- --------
EMERGING MARKETS CORE EQUITY PORTFOLIO
--------------------------------------
Actual Fund Return
Institutional Class Shares............ $1,000.00 $1,024.50 0.61% $3.07
Hypothetical 5% Annual Return
Institutional Class Shares............ $1,000.00 $1,021.83 0.61% $3.07
----------
* 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 (182), then
divided by the number of days in the year (366) 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 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 Fund of Fund's portion of the expenses
of its Master Funds (Affiliated Investment Companies).
****The Portfolio is invested into other funds. The expenses shown reflect the
direct expenses of the fund and the fund's portion of the expenses of its
Master Funds (Affiliated Investment Companies).
7
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on March 31, 2016. 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
regulations 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%
8
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.................................... 27.2%
Government................................... 38.1%
Foreign Corporate............................ 16.8%
Foreign Government........................... 15.9%
Supranational................................ 2.0%
-----
100.0%
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS
U.S. Large Cap Equity Portfolio
Consumer Discretionary....................... 15.7%
Consumer Staples............................. 9.4%
Energy....................................... 6.3%
Financials................................... 12.8%
Health Care.................................. 13.4%
Industrials.................................. 12.8%
Information Technology....................... 19.2%
Materials.................................... 4.2%
Telecommunication Services................... 3.3%
Utilities.................................... 2.9%
-----
100.0%
U.S. Targeted Value Portfolio
Consumer Discretionary....................... 12.6%
Consumer Staples............................. 3.5%
Energy....................................... 8.2%
Financials................................... 26.3%
Health Care.................................. 5.3%
Industrials.................................. 20.8%
Information Technology....................... 13.5%
Materials.................................... 7.3%
Telecommunication Services................... 1.5%
Utilities.................................... 1.0%
-----
100.0%
U.S. Small Cap Value Portfolio
Consumer Discretionary....................... 14.7%
Consumer Staples............................. 4.1%
Energy....................................... 10.2%
Financials................................... 25.5%
Health Care.................................. 5.4%
Industrials.................................. 18.8%
Information Technology....................... 14.1%
Materials.................................... 6.1%
Telecommunication Services................... 0.9%
Utilities.................................... 0.2%
-----
100.0%
U.S. Core Equity 1 Portfolio
Consumer Discretionary....................... 16.3%
Consumer Staples............................. 8.6%
Energy....................................... 6.6%
Financials................................... 14.6%
Health Care.................................. 11.7%
Industrials.................................. 13.6%
Information Technology....................... 18.0%
Materials.................................... 4.6%
Telecommunication Services................... 2.6%
Utilities.................................... 3.4%
-----
100.0%
U.S. Core Equity 2 Portfolio
Consumer Discretionary....................... 15.0%
Consumer Staples............................. 7.5%
Energy....................................... 8.1%
Financials................................... 16.7%
Health Care.................................. 11.1%
Industrials.................................. 14.5%
Information Technology....................... 16.9%
Materials.................................... 4.9%
Telecommunication Services................... 2.9%
Utilities.................................... 2.4%
-----
100.0%
U.S. Vector Equity Portfolio
Consumer Discretionary....................... 14.5%
Consumer Staples............................. 5.0%
Energy....................................... 8.6%
Financials................................... 24.0%
Health Care.................................. 8.1%
Industrials.................................. 16.1%
Information Technology....................... 13.9%
Materials.................................... 5.7%
Telecommunication Services................... 2.7%
Utilities.................................... 1.4%
-----
100.0%
U.S. Small Cap Portfolio
Consumer Discretionary....................... 17.7%
Consumer Staples............................. 4.2%
Energy....................................... 3.9%
Financials................................... 19.4%
Health Care.................................. 9.0%
Industrials.................................. 17.9%
Information Technology....................... 17.1%
Materials.................................... 5.1%
Telecommunication Services................... 1.0%
Utilities.................................... 4.7%
-----
100.0%
U.S. Micro Cap Portfolio
Consumer Discretionary....................... 16.9%
Consumer Staples............................. 3.8%
Energy....................................... 2.0%
Financials................................... 20.2%
Health Care.................................. 10.6%
Industrials.................................. 21.6%
Information Technology....................... 15.2%
Materials.................................... 5.4%
Telecommunication Services................... 1.8%
Utilities.................................... 2.5%
-----
100.0%
DFA Real Estate Securities Portfolio
Real Estate Investment Trusts................ 100.0%
-----
100.0%
9
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
Large Cap International Portfolio
Consumer Discretionary....................... 13.8%
Consumer Staples............................. 11.4%
Energy....................................... 6.8%
Financials................................... 21.9%
Health Care.................................. 10.1%
Industrials.................................. 13.2%
Information Technology....................... 4.8%
Materials.................................... 9.2%
Telecommunication Services................... 5.0%
Utilities.................................... 3.8%
-----
100.0%
International Core Equity Portfolio
Consumer Discretionary....................... 15.9%
Consumer Staples............................. 8.3%
Energy....................................... 7.4%
Financials................................... 19.4%
Health Care.................................. 6.2%
Industrials.................................. 17.8%
Information Technology....................... 6.0%
Materials.................................... 12.4%
Telecommunication Services................... 3.3%
Utilities.................................... 3.3%
-----
100.0%
DFA International Real Estate Securities Portfolio
Real Estate Investment Trusts................ 100.0%
-----
100.0%
DFA Global Real Estate Securities Portfolio
Affiliated Investment Companies.............. 72.4%
Common Stocks................................ 27.6%
-----
100.0%
DFA International Small Cap Value Portfolio
Consumer Discretionary....................... 15.5%
Consumer Staples............................. 5.0%
Energy....................................... 6.2%
Financials................................... 20.5%
Health Care.................................. 1.6%
Industrials.................................. 24.6%
Information Technology....................... 4.8%
Materials.................................... 20.3%
Telecommunication Services................... 0.5%
Utilities.................................... 1.0%
-----
100.0%
International Vector Equity Portfolio
Consumer Discretionary....................... 15.6%
Consumer Staples............................. 7.2%
Energy....................................... 7.5%
Financials................................... 20.5%
Health Care.................................. 5.0%
Industrials.................................. 18.9%
Information Technology....................... 6.5%
Materials.................................... 14.4%
Telecommunication Services................... 2.3%
Utilities.................................... 2.1%
-----
100.0%
World ex U.S. Targeted Value Portfolio
Consumer Discretionary....................... 14.1%
Consumer Staples............................. 5.3%
Energy....................................... 5.5%
Financials................................... 22.3%
Health Care.................................. 1.9%
Industrials.................................. 20.6%
Information Technology....................... 6.7%
Materials.................................... 21.3%
Telecommunication Services................... 1.1%
Utilities.................................... 1.2%
-----
100.0%
World ex U.S. Core Equity Portfolio
Consumer Discretionary....................... 15.2%
Consumer Staples............................. 8.0%
Energy....................................... 6.9%
Financials................................... 21.2%
Health Care.................................. 5.2%
Industrials.................................. 16.6%
Information Technology....................... 8.1%
Materials.................................... 12.1%
Real Estate Investment Trusts................ 0.1%
Telecommunication Services................... 3.3%
Utilities.................................... 3.3%
-----
100.0%
Emerging Markets Core Equity Portfolio
Consumer Discretionary....................... 12.0%
Consumer Staples............................. 9.1%
Energy....................................... 6.0%
Financials................................... 23.2%
Health Care.................................. 3.9%
Industrials.................................. 10.3%
Information Technology....................... 16.3%
Materials.................................... 10.2%
Telecommunication Services................... 4.9%
Utilities.................................... 4.1%
-----
100.0%
10
ENHANCED U.S. LARGE COMPANY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2016
(Unaudited)
Face
Amount^ Value+
------- ------
(000)
BONDS -- (61.9%)
AUSTRALIA -- (4.1%)
Australia & New Zealand Banking Group, Ltd.
1.500%, 01/16/18............................. 1,500 $ 1,505,997
BHP Billiton Finance USA, Ltd.
5.400%, 03/29/17............................. 1,000 1,036,318
Commonwealth Bank of Australia
1.900%, 09/18/17............................. 3,250 3,274,635
Westpac Banking Corp.
1.500%, 12/01/17............................. 2,500 2,510,735
-----------
TOTAL AUSTRALIA.................................. 8,327,685
-----------
CANADA -- (4.0%)
Royal Bank of Canada
1.250%, 06/16/17............................. 2,000 2,000,340
1.500%, 01/16/18............................. 2,000 2,009,498
Thomson Reuters Corp.
1.300%, 02/23/17............................. 1,023 1,021,619
Toronto-Dominion Bank (The)
2.375%, 10/19/16............................. 1,500 1,511,302
Other Securities................................. 1,591,045
-----------
TOTAL CANADA..................................... 8,133,804
-----------
DENMARK -- (0.8%)
Kommunekredit
1.125%, 01/16/18............................. 1,500 1,503,489
-----------
FINLAND -- (1.5%)
Municipality Finance P.L.C.
1.125%, 04/17/18............................. 3,000 3,001,581
-----------
FRANCE -- (2.4%)
BNP Paribas SA
1.375%, 03/17/17............................. 1,800 1,802,664
Societe Generale SA
2.750%, 10/12/17............................. 1,980 2,016,036
Other Securities................................. 1,001,310
-----------
TOTAL FRANCE..................................... 4,820,010
-----------
GERMANY -- (6.1%)
Erste Abwicklungsanstalt
1.000%, 10/13/17............................. 1,800 1,796,427
1.125%, 02/12/18............................. 2,000 1,997,302
FMS Wertmanagement AoeR
1.125%, 09/05/17............................. 5,000 5,013,450
State of North Rhine-Westphalia
1.125%, 11/21/17............................. 3,000 3,003,855
Other Securities................................. 527,988
-----------
TOTAL GERMANY.................................... 12,339,022
-----------
JAPAN -- (0.9%)
Other Securities................................. 1,899,154
-----------
Face
Amount^ Value+
------- ------
(000)
NETHERLANDS -- (3.9%)
Bank Nederlandse Gemeenten NV
1.125%, 09/12/16............................. 5,000 $5,006,150
Other Securities................................. 2,851,752
----------
TOTAL NETHERLANDS................................ 7,857,902
----------
NEW ZEALAND -- (0.8%)
ANZ New Zealand Int'l, Ltd.
1.400%, 04/27/17............................. 1,600 1,604,237
----------
NORWAY -- (2.9%)
Kommunalbanken A.S.
0.875%, 10/03/16............................. 5,000 5,002,455
Other Securities................................. 748,986
----------
TOTAL NORWAY..................................... 5,751,441
----------
SPAIN -- (0.3%)
Other Securities................................. 587,937
----------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (2.0%)
European Bank for Reconstruction & Development
1.375%, 10/20/16............................. 4,000 4,013,760
----------
SWEDEN -- (2.0%)
Kommuninvest I Sverige AB
1.000%, 01/29/18............................. 3,000 2,997,300
Other Securities................................. 1,004,467
----------
TOTAL SWEDEN..................................... 4,001,767
----------
SWITZERLAND -- (1.0%)
Credit Suisse AG New York
1.375%, 05/26/17............................. 1,400 1,400,167
Other Securities................................. 698,165
----------
TOTAL SWITZERLAND................................ 2,098,332
----------
UNITED KINGDOM -- (2.0%)
Diageo Capital P.L.C.
1.500%, 05/11/17............................. 1,500 1,508,497
Other Securities................................. 2,521,047
----------
TOTAL UNITED KINGDOM............................. 4,029,544
----------
UNITED STATES -- (27.2%)
ABB Finance USA, Inc.
1.625%, 05/08/17............................. $1,750 1,759,936
Actavis, Inc.
1.875%, 10/01/17............................. 1,200 1,203,425
Anthem, Inc.
2.375%, 02/15/17............................. 1,500 1,511,724
AT&T, Inc.
2.400%, 03/15/17............................. 1,500 1,515,451
11
ENHANCED U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Face
Amount^ Value+
------- ------
(000)
UNITED STATES -- (Continued)
Becton Dickinson and Co.
1.450%, 05/15/17............................. $1,310 $ 1,312,424
Capital One Financial Corp.
5.250%, 02/21/17............................. 1,492 1,535,365
Cardinal Health, Inc.
1.900%, 06/15/17............................. 1,500 1,510,316
Caterpillar Financial Services Corp.
1.500%, 02/23/18............................. 1,500 1,512,688
Chevron Corp.
1.344%, 11/09/17............................. 3,200 3,215,370
eBay, Inc.
1.350%, 07/15/17............................. 1,068 1,067,438
Goldman Sachs Group, Inc. (The)
6.250%, 09/01/17............................. 1,000 1,061,846
HSBC USA, Inc.
1.625%, 01/16/18............................. 1,125 1,124,754
International Business Machines Corp.
1.250%, 02/08/18............................. 1,060 1,064,295
Laboratory Corp. of America Holdings
2.200%, 08/23/17............................. 1,097 1,104,032
Molson Coors Brewing Co.
2.000%, 05/01/17............................. 1,715 1,725,082
Morgan Stanley
5.450%, 01/09/17............................. 1,000 1,028,883
National Rural Utilities Cooperative Finance
Corp.
0.950%, 04/24/17............................. 1,800 1,800,862
NYSE Euronext
2.000%, 10/05/17............................. 1,500 1,513,410
Reinsurance Group of America, Inc.
5.625%, 03/15/17............................. 1,100 1,137,937
Ryder System, Inc.
5.850%, 11/01/16............................. 1,141 1,167,655
Stryker Corp.
2.000%, 09/30/16............................. 1,453 1,459,913
Toyota Motor Credit Corp.
1.750%, 05/22/17............................. 5,000 5,043,650
UnitedHealth Group, Inc.
6.000%, 06/15/17............................. 1,500 1,581,705
Wells Fargo Bank NA
1.650%, 01/22/18............................. 1,500 1,512,298
Other Securities................................. 16,278,670
------------
TOTAL UNITED STATES.............................. 54,749,129
------------
TOTAL BONDS...................................... 124,718,794
------------
Face
Amount^ Value+
------- ------
(000)
U.S. TREASURY OBLIGATIONS -- (38.1%)
U.S. Treasury Notes
0.750%, 10/31/17............................. 28,000 $ 28,017,500
^^ 0.875%, 11/15/17............................. 45,000 45,108,990
2.250%, 11/30/17............................. 3,000 3,071,601
Other Securities................................. 502,149
------------
TOTAL U.S. TREASURY OBLIGATIONS.................. 76,700,240
------------
TOTAL INVESTMENT SECURITIES...................... 201,419,034
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $201,037,091)............................ $201,419,034
============
12
ENHANCED U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2016, 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......................... -- $ 8,327,685 -- $ 8,327,685
Canada............................ -- 8,133,804 -- 8,133,804
Denmark........................... -- 1,503,489 -- 1,503,489
Finland........................... -- 3,001,581 -- 3,001,581
France............................ -- 4,820,010 -- 4,820,010
Germany........................... -- 12,339,022 -- 12,339,022
Japan............................. -- 1,899,154 -- 1,899,154
Netherlands....................... -- 7,857,902 -- 7,857,902
New Zealand....................... -- 1,604,237 -- 1,604,237
Norway............................ -- 5,751,441 -- 5,751,441
Spain............................. -- 587,937 -- 587,937
Supranational Organization
Obligations..................... -- 4,013,760 -- 4,013,760
Sweden............................ -- 4,001,767 -- 4,001,767
Switzerland....................... -- 2,098,332 -- 2,098,332
United Kingdom.................... -- 4,029,544 -- 4,029,544
United States..................... -- 54,749,129 -- 54,749,129
U.S. Treasury Obligations.......... -- 76,700,240 -- 76,700,240
Futures Contracts**................ $18,023,161 -- -- 18,023,161
----------- ------------ -- ------------
TOTAL.............................. $18,023,161 $201,419,034 -- $219,442,195
=========== ============ == ============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
13
U.S. LARGE CAP EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2016
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (95.6%)
Consumer Discretionary -- (15.1%)
* Amazon.com, Inc...................... 15,447 $ 10,188,687 1.4%
Comcast Corp. Class A................ 126,603 7,692,398 1.0%
Home Depot, Inc. (The)............... 48,803 6,534,234 0.9%
McDonald's Corp...................... 34,541 4,369,091 0.6%
Starbucks Corp....................... 55,525 3,122,171 0.4%
Walt Disney Co. (The)................ 66,252 6,841,182 0.9%
Other Securities..................... 79,676,042 10.5%
------------ ------
Total Consumer Discretionary............. 118,423,805 15.7%
------------ ------
Consumer Staples -- (9.0%)
Altria Group, Inc.................... 70,557 4,424,629 0.6%
Coca-Cola Co. (The).................. 139,102 6,231,770 0.8%
CVS Health Corp...................... 47,810 4,804,905 0.6%
Mondelez International, Inc. Class A. 66,278 2,847,303 0.4%
PepsiCo, Inc......................... 49,312 5,077,164 0.7%
Philip Morris International, Inc..... 45,731 4,487,126 0.6%
Procter & Gamble Co. (The)........... 82,566 6,615,188 0.9%
Wal-Mart Stores, Inc................. 82,943 5,546,398 0.7%
Other Securities..................... 30,908,541 4.1%
------------ ------
Total Consumer Staples................... 70,943,024 9.4%
------------ ------
Energy -- (6.0%)
Chevron Corp......................... 55,723 5,693,776 0.8%
Exxon Mobil Corp..................... 155,810 13,773,604 1.8%
Schlumberger, Ltd.................... 51,832 4,164,183 0.6%
Other Securities..................... 23,547,075 3.0%
------------ ------
Total Energy............................. 47,178,638 6.2%
------------ ------
Financials -- (12.2%)
American Express Co.................. 43,590 2,852,094 0.4%
Bank of America Corp................. 247,461 3,603,032 0.5%
* Berkshire Hathaway, Inc. Class B..... 55,365 8,054,500 1.1%
Citigroup, Inc....................... 65,833 3,046,751 0.4%
JPMorgan Chase & Co.................. 123,315 7,793,508 1.0%
Wells Fargo & Co..................... 180,115 9,002,148 1.2%
Other Securities..................... 61,804,899 8.1%
------------ ------
Total Financials......................... 96,156,932 12.7%
------------ ------
Health Care -- (12.8%)
AbbVie, Inc.......................... 54,530 3,326,330 0.4%
Amgen, Inc........................... 26,545 4,202,074 0.6%
Gilead Sciences, Inc................. 54,053 4,768,015 0.6%
Johnson & Johnson.................... 95,307 10,682,009 1.4%
Merck & Co., Inc..................... 119,713 6,565,061 0.9%
Pfizer, Inc.......................... 218,743 7,155,084 1.0%
UnitedHealth Group, Inc.............. 36,225 4,770,108 0.6%
Other Securities..................... 59,228,026 7.8%
------------ ------
Total Health Care........................ 100,696,707 13.3%
------------ ------
Industrials -- (12.3%)
3M Co................................ 22,746 3,807,225 0.5%
Boeing Co. (The)..................... 23,780 3,205,544 0.4%
General Electric Co.................. 272,616 8,382,942 1.1%
14
U.S. LARGE CAP EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (Continued)
Honeywell International, Inc....................... 27,882 $ 3,186,076 0.4%
Union Pacific Corp................................. 36,430 3,177,789 0.4%
United Parcel Service, Inc. Class B................ 26,016 2,733,501 0.4%
United Technologies Corp........................... 35,870 3,743,752 0.5%
Other Securities................................... 68,197,008 9.1%
------------ ------
Total Industrials........................................ 96,433,837 12.8%
------------ ------
Information Technology -- (18.4%)
* Alphabet, Inc. Class A............................. 7,958 5,633,309 0.8%
* Alphabet, Inc. Class C............................. 8,474 5,872,567 0.8%
Apple, Inc......................................... 268,150 25,136,381 3.3%
Cisco Systems, Inc................................. 176,939 4,864,053 0.6%
* Facebook, Inc. Class A............................. 54,857 6,450,086 0.9%
Intel Corp......................................... 237,043 7,177,662 1.0%
International Business Machines Corp............... 34,461 5,029,238 0.7%
MasterCard, Inc. Class A........................... 37,017 3,590,279 0.5%
Microsoft Corp..................................... 256,995 12,816,341 1.7%
Oracle Corp........................................ 121,109 4,827,405 0.6%
# Visa, Inc. Class A................................. 54,357 4,198,535 0.6%
Other Securities................................... 59,170,932 7.7%
------------ ------
Total Information Technology............................. 144,766,788 19.2%
------------ ------
Materials -- (4.0%)
Other Securities................................... 31,626,818 4.2%
------------ ------
Real Estate Investment Trusts -- (0.0%)
Other Securities................................... 59,618 0.0%
------------ ------
Telecommunication Services -- (3.1%)
AT&T, Inc.......................................... 277,504 10,772,705 1.4%
Verizon Communications, Inc........................ 198,982 10,136,143 1.3%
Other Securities................................... 3,818,962 0.6%
------------ ------
Total Telecommunication Services......................... 24,727,810 3.3%
------------ ------
Utilities -- (2.7%)
Other Securities................................... 21,564,607 2.8%
------------ ------
TOTAL COMMON STOCKS...................................... 752,578,584 99.6%
------------ ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities................................... 7,330 0.0%
------------ ------
TOTAL INVESTMENT SECURITIES.............................. 752,585,914
------------
TEMPORARY CASH INVESTMENTS -- (0.6%)
State Street Institutional Liquid Reserves, 0.455%. 4,721,127 4,721,127 0.6%
------------ ------
SECURITIES LENDING COLLATERAL -- (3.8%)
(S)@ DFA Short Term Investment Fund..................... 2,584,529 29,903,001 4.0%
------------ ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $753,882,803).................................. $787,210,042 104.2%
============ ======
15
U.S. LARGE CAP EQUITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2016, 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........ $118,423,805 -- -- $118,423,805
Consumer Staples.............. 70,943,024 -- -- 70,943,024
Energy........................ 47,178,638 -- -- 47,178,638
Financials.................... 96,156,932 -- -- 96,156,932
Health Care................... 100,696,707 -- -- 100,696,707
Industrials................... 96,433,837 -- -- 96,433,837
Information Technology........ 144,766,788 -- -- 144,766,788
Materials..................... 31,626,818 -- -- 31,626,818
Real Estate Investment Trusts. 59,618 -- -- 59,618
Telecommunication Services.... 24,727,810 -- -- 24,727,810
Utilities..................... 21,564,607 -- -- 21,564,607
Rights/Warrants................. -- $ 7,330 -- 7,330
Temporary Cash Investments...... 4,721,127 -- -- 4,721,127
Securities Lending Collateral... -- 29,903,001 -- 29,903,001
------------ ----------- -- ------------
TOTAL........................... $757,299,711 $29,910,331 -- $787,210,042
============ =========== == ============
See accompanying Notes to Financial Statements.
16
U.S. LARGE CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2016
(Unaudited)
Value+
---------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The U.S. Large Cap Value Series of
The DFA Investment Trust Company..................... $16,424,431,750
---------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $12,160,340,183)............................ $16,424,431,750
===============
Summary of the Portfolio's Master Fund's investments as of April 30, 2016,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
17
U.S. TARGETED VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2016
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (87.8%)
Consumer Discretionary -- (11.1%)
# PulteGroup, Inc........................ 3,243,691 $ 59,651,478 0.8%
#* Toll Brothers, Inc..................... 1,615,831 44,112,186 0.6%
# Wendy's Co. (The)...................... 2,548,979 27,681,912 0.4%
Other Securities....................... 834,046,405 10.7%
-------------- ------
Total Consumer Discretionary............... 965,491,981 12.5%
-------------- ------
Consumer Staples -- (3.1%)
Ingredion, Inc......................... 354,037 40,746,118 0.5%
Pinnacle Foods, Inc.................... 721,573 30,731,794 0.4%
#* Post Holdings, Inc..................... 755,073 54,244,444 0.7%
Other Securities....................... 143,585,061 1.9%
-------------- ------
Total Consumer Staples..................... 269,307,417 3.5%
-------------- ------
Energy -- (7.2%)
# Helmerich & Payne, Inc................. 885,440 58,545,293 0.8%
* Newfield Exploration Co................ 809,365 29,339,481 0.4%
# Patterson-UTI Energy, Inc.............. 1,467,463 28,982,394 0.4%
Other Securities....................... 512,232,589 6.6%
-------------- ------
Total Energy............................... 629,099,757 8.2%
-------------- ------
Financials -- (23.1%)
Allied World Assurance Co. Holdings AG. 787,105 28,005,196 0.4%
American Financial Group, Inc.......... 567,382 39,211,770 0.5%
Assurant, Inc.......................... 715,633 60,521,083 0.8%
Assured Guaranty, Ltd.................. 1,174,815 30,392,464 0.4%
Axis Capital Holdings, Ltd............. 720,075 38,358,395 0.5%
Endurance Specialty Holdings, Ltd...... 520,270 33,286,875 0.4%
# Hanover Insurance Group, Inc. (The).... 293,477 25,168,588 0.3%
Investors Bancorp, Inc................. 2,927,525 33,812,914 0.4%
Old Republic International Corp........ 1,795,740 33,203,233 0.4%
# PacWest Bancorp........................ 759,885 30,380,202 0.4%
# People's United Financial, Inc......... 2,975,454 46,119,537 0.6%
# Prosperity Bancshares, Inc............. 504,558 26,625,526 0.4%
Reinsurance Group of America, Inc...... 491,494 46,800,059 0.6%
# RenaissanceRe Holdings, Ltd............ 350,778 38,904,788 0.5%
# Umpqua Holdings Corp................... 1,961,372 31,048,519 0.4%
Validus Holdings, Ltd.................. 638,880 29,445,979 0.4%
# WR Berkley Corp........................ 546,312 30,593,472 0.4%
Zions Bancorporation................... 1,832,160 50,421,043 0.7%
Other Securities....................... 1,358,429,741 17.6%
-------------- ------
Total Financials........................... 2,010,729,384 26.1%
-------------- ------
Health Care -- (4.6%)
* LifePoint Health, Inc.................. 435,950 29,452,782 0.4%
Other Securities....................... 371,945,194 4.8%
-------------- ------
Total Health Care.......................... 401,397,976 5.2%
-------------- ------
Industrials -- (18.3%)
ADT Corp. (The)........................ 1,312,983 55,119,026 0.7%
#* AECOM.................................. 1,409,709 45,801,445 0.6%
# AGCO Corp.............................. 856,026 45,771,710 0.6%
AMERCO................................. 78,430 27,607,360 0.4%
Chicago Bridge & Iron Co. NV........... 654,400 26,339,600 0.3%
18
U.S. TARGETED VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (Continued)
* Jacobs Engineering Group, Inc.. 1,268,043 $ 56,529,357 0.7%
#* Kirby Corp..................... 434,489 27,729,088 0.4%
Owens Corning.................. 744,538 34,300,866 0.4%
#* Quanta Services, Inc........... 1,241,879 29,457,370 0.4%
Ryder System, Inc.............. 400,103 27,575,099 0.4%
# Trinity Industries, Inc........ 1,554,911 30,336,314 0.4%
# Waste Connections, Inc......... 640,339 43,082,008 0.6%
Other Securities............... 1,142,585,091 14.7%
-------------- -----
Total Industrials................... 1,592,234,334 20.6%
-------------- -----
Information Technology -- (11.8%)
* Arrow Electronics, Inc......... 803,639 49,905,982 0.7%
Avnet, Inc..................... 1,231,625 50,644,420 0.7%
* First Solar, Inc............... 695,904 38,859,279 0.5%
Ingram Micro, Inc. Class A..... 1,355,507 47,374,970 0.6%
Other Securities............... 841,201,924 10.8%
-------------- -----
Total Information Technology........ 1,027,986,575 13.3%
-------------- -----
Materials -- (6.4%)
Airgas, Inc.................... 324,745 46,256,678 0.6%
# Albemarle Corp................. 453,652 30,013,616 0.4%
Reliance Steel & Aluminum Co... 690,878 51,104,246 0.7%
Steel Dynamics, Inc............ 1,843,712 46,479,980 0.6%
Other Securities............... 381,817,233 4.9%
-------------- -----
Total Materials..................... 555,671,753 7.2%
-------------- -----
Other -- (0.0%)
Other Securities............... -- 0.0%
-------------- -----
Telecommunication Services -- (1.3%)
# Frontier Communications Corp... 9,001,366 50,047,595 0.7%
Other Securities............... 67,191,335 0.8%
-------------- -----
Total Telecommunication Services.... 117,238,930 1.5%
-------------- -----
Utilities -- (0.9%)
# UGI Corp....................... 668,383 26,895,732 0.4%
Other Securities............... 47,284,546 0.6%
-------------- -----
Total Utilities..................... 74,180,278 1.0%
-------------- -----
TOTAL COMMON STOCKS................. 7,643,338,385 99.1%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities............... 927 0.0%
-------------- -----
Face
Amount
------ - -
(000)
BONDS -- (0.0%)
Health Care -- (0.0%)
Other Securities............... 34,382 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES......... 7,643,373,694
--------------
19
U.S. TARGETED VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
TEMPORARY CASH INVESTMENTS -- (1.0%)
State Street Institutional Liquid Reserves, 0.455%. 90,311,754 $ 90,311,754 1.2%
-------------- ------
SECURITIES LENDING COLLATERAL -- (11.2%)
(S)@ DFA Short Term Investment Fund..................... 84,218,990 974,413,712 12.6%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $7,924,272,349)................................... $8,708,099,160 112.9%
============== ======
Summary of the Portfolio's investments as of April 30, 2016, 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...... $ 965,491,981 -- -- $ 965,491,981
Consumer Staples............ 269,307,417 -- -- 269,307,417
Energy...................... 629,099,757 -- -- 629,099,757
Financials.................. 2,010,729,384 -- -- 2,010,729,384
Health Care................. 401,397,976 -- -- 401,397,976
Industrials................. 1,592,234,334 -- -- 1,592,234,334
Information Technology...... 1,027,986,575 -- -- 1,027,986,575
Materials................... 555,671,753 -- -- 555,671,753
Other....................... -- -- -- --
Telecommunication Services.. 117,238,930 -- -- 117,238,930
Utilities................... 74,180,278 -- -- 74,180,278
Rights/Warrants............... -- $ 927 -- 927
Bonds
Health Care................. -- 34,382 -- 34,382
Temporary Cash Investments.... 90,311,754 -- -- 90,311,754
Securities Lending Collateral. -- 974,413,712 -- 974,413,712
Futures Contracts**........... 2,420,645 -- -- 2,420,645
-------------- ------------ -- --------------
TOTAL......................... $7,736,070,784 $974,449,021 -- $8,710,519,805
============== ============ == ==============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
20
U.S. SMALL CAP VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2016
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (85.9%)
Consumer Discretionary -- (12.6%)
# Aaron's, Inc............................ 1,997,415 $ 52,352,247 0.4%
# Group 1 Automotive, Inc................. 849,486 55,930,158 0.5%
#* Helen of Troy, Ltd...................... 725,897 72,248,528 0.6%
# Wendy's Co. (The)....................... 5,573,089 60,523,746 0.5%
Other Securities........................ 1,552,932,296 12.4%
-------------- ------
Total Consumer Discretionary................ 1,793,986,975 14.4%
-------------- ------
Consumer Staples -- (3.5%)
#* Darling Ingredients, Inc................ 3,696,918 53,568,342 0.4%
# Fresh Del Monte Produce, Inc............ 1,819,097 78,694,136 0.6%
#* Post Holdings, Inc...................... 1,084,458 77,907,463 0.6%
#* Seaboard Corp........................... 18,550 55,705,650 0.5%
Other Securities........................ 232,929,424 1.9%
-------------- ------
Total Consumer Staples...................... 498,805,015 4.0%
-------------- ------
Energy -- (8.8%)
# Patterson-UTI Energy, Inc............... 5,206,407 102,826,538 0.8%
# PBF Energy, Inc. Class A................ 1,699,824 54,700,336 0.4%
#* PDC Energy, Inc......................... 1,594,850 100,140,631 0.8%
# Rowan Cos. P.L.C. Class A............... 4,871,649 91,635,718 0.7%
#* RSP Permian, Inc........................ 2,076,424 63,559,339 0.5%
Other Securities........................ 840,691,673 6.9%
-------------- ------
Total Energy................................ 1,253,554,235 10.1%
-------------- ------
Financials -- (21.9%)
Argo Group International Holdings, Ltd.. 1,097,999 60,357,005 0.5%
Aspen Insurance Holdings, Ltd........... 2,052,573 95,136,759 0.8%
# Associated Banc-Corp.................... 4,118,530 75,121,987 0.6%
# CNO Financial Group, Inc................ 5,989,232 110,022,192 0.9%
Endurance Specialty Holdings, Ltd....... 1,966,733 125,831,577 1.0%
# First American Financial Corp........... 1,864,289 67,151,690 0.6%
# Fulton Financial Corp................... 5,128,492 71,747,603 0.6%
# Hanover Insurance Group, Inc. (The)..... 1,233,815 105,811,974 0.9%
# Iberiabank Corp......................... 877,982 51,792,158 0.4%
# Kemper Corp............................. 1,728,535 53,515,444 0.4%
# MB Financial, Inc....................... 1,956,826 68,019,272 0.6%
# Selective Insurance Group, Inc.......... 1,864,419 64,713,983 0.5%
# Washington Federal, Inc................. 3,026,177 73,505,839 0.6%
# Webster Financial Corp.................. 2,464,150 90,286,456 0.7%
# Wintrust Financial Corp................. 1,612,369 83,875,435 0.7%
Other Securities........................ 1,929,627,233 15.3%
-------------- ------
Total Financials............................ 3,126,516,607 25.1%
-------------- ------
Health Care -- (4.7%)
#* Amsurg Corp............................. 844,604 68,396,032 0.5%
#* LifePoint Health, Inc................... 1,329,027 89,789,064 0.7%
#* Magellan Health, Inc.................... 842,493 59,362,057 0.5%
#* Prestige Brands Holdings, Inc........... 1,178,287 66,903,136 0.5%
Other Securities........................ 381,413,827 3.1%
-------------- ------
Total Health Care........................... 665,864,116 5.3%
-------------- ------
21
U.S. SMALL CAP VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (16.2%)
AMERCO............................................. 324,342 $ 114,168,384 0.9%
# Covanta Holding Corp............................... 3,314,703 53,897,071 0.4%
#* Esterline Technologies Corp........................ 1,098,116 75,396,645 0.6%
#* FTI Consulting, Inc................................ 1,290,918 52,023,995 0.4%
# GATX Corp.......................................... 1,696,443 77,934,591 0.6%
# Terex Corp......................................... 2,193,999 52,414,636 0.4%
Other Securities................................... 1,879,731,201 15.2%
--------------- ------
Total Industrials........................................ 2,305,566,523 18.5%
--------------- ------
Information Technology -- (12.1%)
#* CACI International, Inc. Class A................... 858,360 82,531,314 0.7%
# Convergys Corp..................................... 3,834,500 101,614,250 0.8%
* Fairchild Semiconductor International, Inc......... 4,389,401 87,788,020 0.7%
# MKS Instruments, Inc............................... 1,722,360 61,763,830 0.5%
* Sanmina Corp....................................... 2,983,940 70,570,181 0.6%
# SYNNEX Corp........................................ 1,223,979 101,063,946 0.8%
#* Tech Data Corp..................................... 1,052,415 72,290,386 0.6%
# Vishay Intertechnology, Inc........................ 5,014,564 60,977,098 0.5%
Other Securities................................... 1,081,985,521 8.6%
--------------- ------
Total Information Technology............................. 1,720,584,546 13.8%
--------------- ------
Materials -- (5.3%)
# Commercial Metals Co............................... 4,284,225 76,773,312 0.6%
Domtar Corp........................................ 1,761,459 68,062,776 0.6%
#* Louisiana-Pacific Corp............................. 3,104,436 52,775,412 0.4%
# Olin Corp.......................................... 2,483,191 54,108,732 0.4%
Other Securities................................... 499,141,593 4.0%
--------------- ------
Total Materials.......................................... 750,861,825 6.0%
--------------- ------
Other -- (0.0%)
Other Securities................................... -- 0.0%
--------------- ------
Telecommunication Services -- (0.7%)
Other Securities................................... 104,667,330 0.8%
--------------- ------
Utilities -- (0.1%)
Other Securities................................... 23,234,419 0.2%
--------------- ------
TOTAL COMMON STOCKS...................................... 12,243,641,591 98.2%
--------------- ------
PREFERRED STOCKS -- (0.0%)
Other -- (0.0%)
Other Securities................................... -- 0.0%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities................................... 468 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES.............................. 12,243,642,059
---------------
TEMPORARY CASH INVESTMENTS -- (1.6%)
State Street Institutional Liquid Reserves, 0.455%. 232,692,172 232,692,172 1.9%
--------------- ------
SECURITIES LENDING COLLATERAL -- (12.5%)
(S)@ DFA Short Term Investment Fund..................... 153,989,923 1,781,663,404 14.3%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $12,211,751,656)............................... $14,257,997,635 114.4%
=============== ======
22
U.S. SMALL CAP VALUE PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2016, 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...... $ 1,793,986,975 -- -- $ 1,793,986,975
Consumer Staples............ 498,805,015 -- -- 498,805,015
Energy...................... 1,253,554,235 -- -- 1,253,554,235
Financials.................. 3,126,516,607 -- -- 3,126,516,607
Health Care................. 665,864,116 -- -- 665,864,116
Industrials................. 2,305,566,523 -- -- 2,305,566,523
Information Technology...... 1,720,584,546 -- -- 1,720,584,546
Materials................... 750,861,825 -- -- 750,861,825
Other....................... -- -- -- --
Telecommunication Services.. 104,667,330 -- -- 104,667,330
Utilities................... 23,234,419 -- -- 23,234,419
Preferred Stocks
Other....................... -- -- -- --
Rights/Warrants............... -- $ 468 -- 468
Temporary Cash Investments.... 232,692,172 -- -- 232,692,172
Securities Lending Collateral. -- 1,781,663,404 -- 1,781,663,404
Futures Contracts**........... 7,853,405 -- -- 7,853,405
--------------- -------------- -- ---------------
TOTAL......................... $12,484,187,168 $1,781,663,872 -- $14,265,851,040
=============== ============== == ===============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
23
U.S. CORE EQUITY 1 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2016
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (90.1%)
Consumer Discretionary -- (14.7%)
* Amazon.com, Inc................... 240,307 $ 158,504,094 1.2%
Comcast Corp. Class A............. 1,773,630 107,765,759 0.8%
Home Depot, Inc. (The)............ 756,178 101,244,672 0.7%
Lowe's Cos., Inc.................. 538,551 40,940,647 0.3%
McDonald's Corp................... 530,776 67,137,856 0.5%
Starbucks Corp.................... 870,072 48,924,149 0.4%
Walt Disney Co. (The)............. 795,874 82,181,949 0.6%
Other Securities.................. 1,629,789,080 11.6%
-------------- ------
Total Consumer Discretionary.......... 2,236,488,206 16.1%
-------------- ------
Consumer Staples -- (7.8%)
Altria Group, Inc................. 1,091,456 68,445,206 0.5%
Coca-Cola Co. (The)............... 2,038,454 91,322,739 0.7%
CVS Health Corp................... 645,326 64,855,263 0.5%
PepsiCo, Inc...................... 803,748 82,753,894 0.6%
Philip Morris International, Inc.. 646,971 63,480,794 0.5%
Procter & Gamble Co. (The)........ 1,072,417 85,922,050 0.6%
Wal-Mart Stores, Inc.............. 1,111,725 74,341,051 0.5%
Other Securities.................. 653,778,733 4.6%
-------------- ------
Total Consumer Staples................ 1,184,899,730 8.5%
-------------- ------
Energy -- (6.0%)
Chevron Corp...................... 901,839 92,149,909 0.7%
Exxon Mobil Corp.................. 2,361,075 208,719,030 1.5%
Schlumberger, Ltd................. 780,118 62,674,680 0.5%
Other Securities.................. 549,563,143 3.9%
-------------- ------
Total Energy.......................... 913,106,762 6.6%
-------------- ------
Financials -- (13.1%)
Bank of America Corp.............. 4,894,970 71,270,763 0.5%
* Berkshire Hathaway, Inc. Class B.. 771,527 112,241,748 0.8%
Citigroup, Inc.................... 1,387,489 64,212,991 0.5%
JPMorgan Chase & Co............... 1,895,254 119,780,053 0.9%
Wells Fargo & Co.................. 2,490,425 124,471,441 0.9%
Other Securities.................. 1,512,248,536 10.8%
-------------- ------
Total Financials...................... 2,004,225,532 14.4%
-------------- ------
Health Care -- (10.6%)
AbbVie, Inc....................... 914,606 55,790,966 0.4%
Amgen, Inc........................ 294,780 46,663,674 0.3%
Gilead Sciences, Inc.............. 809,650 71,419,226 0.5%
Johnson & Johnson................. 1,140,308 127,805,721 0.9%
Merck & Co., Inc.................. 1,168,919 64,103,518 0.5%
Pfizer, Inc....................... 2,719,755 88,963,186 0.7%
UnitedHealth Group, Inc........... 463,186 60,992,332 0.5%
Other Securities.................. 1,099,732,934 7.8%
-------------- ------
Total Health Care..................... 1,615,471,557 11.6%
-------------- ------
Industrials -- (12.2%)
3M Co............................. 353,746 59,210,005 0.4%
# Boeing Co. (The).................. 368,258 49,641,178 0.4%
General Electric Co............... 2,398,826 73,763,899 0.5%
Honeywell International, Inc...... 364,099 41,605,593 0.3%
24
U.S. CORE EQUITY 1 PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (Continued)
Union Pacific Corp.................... 487,836 $ 42,553,934 0.3%
United Parcel Service, Inc. Class B... 403,892 42,436,932 0.3%
United Technologies Corp.............. 474,079 49,479,625 0.4%
Other Securities...................... 1,511,160,426 10.9%
--------------- ------
Total Industrials......................... 1,869,851,592 13.5%
--------------- ------
Information Technology -- (16.2%)
Accenture P.L.C. Class A.............. 360,274 40,682,140 0.3%
* Alphabet, Inc. Class A................ 89,302 63,215,100 0.5%
* Alphabet, Inc. Class C................ 94,832 65,719,524 0.5%
Apple, Inc............................ 3,423,733 320,940,731 2.3%
Cisco Systems, Inc.................... 2,715,644 74,653,054 0.5%
* Facebook, Inc. Class A................ 668,990 78,659,844 0.6%
Intel Corp............................ 3,474,801 105,216,974 0.8%
International Business Machines Corp.. 533,338 77,835,348 0.6%
MasterCard, Inc. Class A.............. 568,036 55,093,812 0.4%
Microsoft Corp........................ 3,823,147 190,660,341 1.4%
Oracle Corp........................... 1,433,762 57,149,753 0.4%
# Visa, Inc. Class A.................... 737,983 57,001,807 0.4%
Other Securities...................... 1,287,040,287 9.1%
--------------- ------
Total Information Technology.............. 2,473,868,715 17.8%
--------------- ------
Materials -- (4.1%)
Other Securities...................... 630,003,819 4.5%
--------------- ------
Other -- (0.0%)
Other Securities...................... -- 0.0%
--------------- ------
Real Estate Investment Trusts -- (0.0%)
Other Securities...................... 2,988,544 0.0%
--------------- ------
Telecommunication Services -- (2.3%)
AT&T, Inc............................. 3,704,290 143,800,538 1.0%
Verizon Communications, Inc........... 2,493,148 127,000,959 0.9%
Other Securities...................... 82,117,892 0.6%
--------------- ------
Total Telecommunication Services.......... 352,919,389 2.5%
--------------- ------
Utilities -- (3.1%)
Other Securities...................... 466,051,539 3.4%
--------------- ------
TOTAL COMMON STOCKS....................... 13,749,875,385 98.9%
--------------- ------
PREFERRED STOCKS -- (0.0%)
Other -- (0.0%)
Other Securities...................... -- 0.0%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities...................... 288,597 0.0%
--------------- ------
Face
Amount
------ - -
(000)
BONDS -- (0.0%)
Financials -- (0.0%)
Other Securities...................... 468 0.0%
--------------- ------
25
U.S. CORE EQUITY 1 PORTFOLIO
CONTINUED
Face Percentage
Amount Value+ of Net Assets**
------ ------ ---------------
(000)
Health Care -- (0.0%)
Other Securities................................... $ 1,684 0.0%
--------------- ------
TOTAL BONDS.............................................. 2,152 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES.............................. 13,750,166,134
---------------
Shares
------ - -
TEMPORARY CASH INVESTMENTS -- (1.0%)
State Street Institutional Liquid Reserves, 0.455%. 145,442,452 145,442,452 1.0%
--------------- ------
SECURITIES LENDING COLLATERAL -- (8.9%)
(S)@ DFA Short Term Investment Fund..................... 117,912,148 1,364,243,558 9.9%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $12,152,312,348).................................. $15,259,852,144 109.8%
=============== ======
Summary of the Portfolio's investments as of April 30, 2016, 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........ $ 2,236,434,663 $ 53,543 -- $ 2,236,488,206
Consumer Staples.............. 1,184,899,730 -- -- 1,184,899,730
Energy........................ 913,106,762 -- -- 913,106,762
Financials.................... 2,004,225,532 -- -- 2,004,225,532
Health Care................... 1,615,471,557 -- -- 1,615,471,557
Industrials................... 1,869,851,592 -- -- 1,869,851,592
Information Technology........ 2,473,868,715 -- -- 2,473,868,715
Materials..................... 630,003,819 -- -- 630,003,819
Other......................... -- -- -- --
Real Estate Investment Trusts. 2,988,544 -- -- 2,988,544
Telecommunication Services.... 352,919,389 -- -- 352,919,389
Utilities..................... 466,051,539 -- -- 466,051,539
Preferred Stocks
Other......................... -- -- -- --
Rights/Warrants............... -- 288,597 -- 288,597
Bonds
Financials.................... -- 468 -- 468
Health Care................... -- 1,684 -- 1,684
Temporary Cash Investments...... 145,442,452 -- -- 145,442,452
Securities Lending Collateral... -- 1,364,243,558 -- 1,364,243,558
Futures Contracts**............. 3,531,760 -- -- 3,531,760
--------------- -------------- -- ---------------
TOTAL........................... $13,898,796,054 $1,364,587,850 -- $15,263,383,904
=============== ============== == ===============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
26
U.S. CORE EQUITY 2 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2016
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (89.4%)
Consumer Discretionary -- (13.4%)
* Amazon.com, Inc...................... 79,998 $ 52,765,881 0.3%
Comcast Corp. Class A................ 2,576,504 156,548,383 1.0%
Ford Motor Co........................ 3,747,421 50,815,029 0.3%
Time Warner Cable, Inc............... 205,377 43,562,515 0.3%
Time Warner, Inc..................... 819,384 61,568,514 0.4%
Walt Disney Co. (The)................ 788,924 81,464,292 0.5%
Other Securities..................... 1,898,115,394 12.1%
-------------- ------
Total Consumer Discretionary............. 2,344,840,008 14.9%
-------------- ------
Consumer Staples -- (6.7%)
Coca-Cola Co. (The).................. 1,076,563 48,230,022 0.3%
CVS Health Corp...................... 926,557 93,118,979 0.6%
Mondelez International, Inc. Class A. 1,251,565 53,767,232 0.3%
PepsiCo, Inc......................... 441,915 45,499,568 0.3%
Procter & Gamble Co. (The)........... 1,622,423 129,988,531 0.8%
Wal-Mart Stores, Inc................. 1,521,016 101,710,340 0.7%
Walgreens Boots Alliance, Inc........ 544,530 43,170,338 0.3%
Other Securities..................... 654,880,650 4.1%
-------------- ------
Total Consumer Staples................... 1,170,365,660 7.4%
-------------- ------
Energy -- (7.3%)
Chevron Corp......................... 886,815 90,614,757 0.6%
EOG Resources, Inc................... 483,369 39,935,947 0.3%
Exxon Mobil Corp..................... 3,452,202 305,174,657 1.9%
Schlumberger, Ltd.................... 1,176,167 94,493,257 0.6%
Other Securities..................... 734,809,245 4.6%
-------------- ------
Total Energy............................. 1,265,027,863 8.0%
-------------- ------
Financials -- (14.9%)
American Express Co.................. 820,191 53,665,097 0.3%
Bank of America Corp................. 4,318,089 62,871,376 0.4%
* Berkshire Hathaway, Inc. Class B..... 385,401 56,068,137 0.4%
Citigroup, Inc....................... 1,299,154 60,124,847 0.4%
JPMorgan Chase & Co.................. 2,517,017 159,075,474 1.0%
* Synchrony Financial.................. 1,327,569 40,583,784 0.3%
U.S. Bancorp......................... 1,047,909 44,735,235 0.3%
Wells Fargo & Co..................... 3,311,925 165,530,011 1.1%
Other Securities..................... 1,960,949,825 12.3%
-------------- ------
Total Financials......................... 2,603,603,786 16.5%
-------------- ------
Health Care -- (9.9%)
* Allergan P.L.C....................... 178,521 38,660,508 0.3%
Amgen, Inc........................... 270,507 42,821,258 0.3%
* Express Scripts Holding Co........... 551,540 40,665,044 0.3%
Johnson & Johnson.................... 1,171,060 131,252,405 0.8%
Medtronic P.L.C...................... 592,143 46,868,118 0.3%
Merck & Co., Inc..................... 1,166,009 63,943,934 0.4%
Pfizer, Inc.......................... 3,930,794 128,576,272 0.8%
UnitedHealth Group, Inc.............. 576,403 75,900,747 0.5%
Other Securities..................... 1,159,090,619 7.2%
-------------- ------
Total Health Care........................ 1,727,778,905 10.9%
-------------- ------
27
U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (13.0%)
# Caterpillar, Inc............. 543,284 $ 42,224,032 0.3%
FedEx Corp................... 251,048 41,450,535 0.3%
General Electric Co.......... 3,748,360 115,262,070 0.7%
Union Pacific Corp........... 692,103 60,372,145 0.4%
United Technologies Corp..... 628,226 65,567,948 0.4%
Other Securities............. 1,946,051,448 12.3%
--------------- ------
Total Industrials................ 2,270,928,178 14.4%
--------------- ------
Information Technology -- (15.1%)
* Alphabet, Inc. Class A....... 81,193 57,474,901 0.4%
* Alphabet, Inc. Class C....... 86,171 59,717,365 0.4%
Apple, Inc................... 3,294,240 308,802,058 2.0%
Cisco Systems, Inc........... 3,743,259 102,902,190 0.7%
Intel Corp................... 5,001,878 151,456,866 1.0%
Microsoft Corp............... 3,539,615 176,520,600 1.1%
Oracle Corp.................. 1,315,382 52,431,127 0.3%
QUALCOMM, Inc................ 929,225 46,944,447 0.3%
# Visa, Inc. Class A........... 547,188 42,264,801 0.3%
Other Securities............. 1,638,714,164 10.2%
--------------- ------
Total Information Technology..... 2,637,228,519 16.7%
--------------- ------
Materials -- (4.4%)
Dow Chemical Co. (The)....... 878,752 46,231,143 0.3%
Other Securities............. 715,783,970 4.5%
--------------- ------
Total Materials.................. 762,015,113 4.8%
--------------- ------
Other -- (0.0%)
Other Securities............. -- 0.0%
--------------- ------
Real Estate Investment Trusts -- (0.0%)
Other Securities............. 4,018,165 0.0%
--------------- ------
Telecommunication Services -- (2.6%)
AT&T, Inc.................... 5,603,692 217,535,323 1.4%
Verizon Communications, Inc.. 2,410,985 122,815,576 0.8%
Other Securities............. 113,512,339 0.7%
--------------- ------
Total Telecommunication Services. 453,863,238 2.9%
--------------- ------
Utilities -- (2.1%)
Other Securities............. 373,926,450 2.4%
--------------- ------
TOTAL COMMON STOCKS.............. 15,613,595,885 98.9%
--------------- ------
PREFERRED STOCKS -- (0.0%)
Other -- (0.0%)
Other Securities............. -- 0.0%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities............. 316,396 0.0%
--------------- ------
Face
Amount
------ - -
(000)
BONDS -- (0.0%)
Financials -- (0.0%)
Other Securities............. 1,092 0.0%
--------------- ------
28
U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
Face Percentage
Amount Value+ of Net Assets**
------ ------ ---------------
(000)
Health Care -- (0.0%)
Other Securities................................... $ 15,560 0.0%
--------------- ------
TOTAL BONDS.............................................. 16,652 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES.............................. 15,613,928,933
---------------
Shares
------ - -
TEMPORARY CASH INVESTMENTS -- (1.0%)
State Street Institutional Liquid Reserves, 0.455%. 176,554,693 176,554,693 1.1%
--------------- ------
SECURITIES LENDING COLLATERAL -- (9.6%)
(S)@ DFA Short Term Investment Fund..................... 144,426,688 1,671,016,782 10.6%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $13,620,512,518)............................... $17,461,500,408 110.6%
=============== ======
Summary of the Portfolio's investments as of April 30, 2016, 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........ $ 2,344,722,913 $ 117,095 -- $ 2,344,840,008
Consumer Staples.............. 1,170,365,660 -- -- 1,170,365,660
Energy........................ 1,265,027,863 -- -- 1,265,027,863
Financials.................... 2,603,603,786 -- -- 2,603,603,786
Health Care................... 1,727,778,905 -- -- 1,727,778,905
Industrials................... 2,270,928,178 -- -- 2,270,928,178
Information Technology........ 2,637,228,519 -- -- 2,637,228,519
Materials..................... 762,015,113 -- -- 762,015,113
Other......................... -- -- -- --
Real Estate Investment Trusts. 4,018,165 -- -- 4,018,165
Telecommunication Services.... 453,863,238 -- -- 453,863,238
Utilities..................... 373,926,450 -- -- 373,926,450
Preferred Stocks
Other......................... -- -- -- --
Rights/Warrants................. -- 316,396 -- 316,396
Bonds
Financials.................... -- 1,092 -- 1,092
Health Care................... -- 15,560 -- 15,560
Temporary Cash Investments...... 176,554,693 -- -- 176,554,693
Securities Lending Collateral... -- 1,671,016,782 -- 1,671,016,782
Futures Contracts**............. 3,968,270 -- -- 3,968,270
--------------- -------------- -- ---------------
TOTAL........................... $15,794,001,753 $1,671,466,925 -- $17,465,468,678
=============== ============== == ===============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
29
U.S. VECTOR EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2016
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (88.1%)
Consumer Discretionary -- (12.8%)
Comcast Corp. Class A.............. 492,620 $ 29,931,591 0.8%
General Motors Co.................. 301,169 9,577,174 0.3%
Kohl's Corp........................ 151,862 6,727,487 0.2%
Time Warner, Inc................... 94,912 7,131,688 0.2%
Walt Disney Co. (The).............. 118,253 12,210,805 0.3%
Other Securities................... 465,089,879 12.6%
------------ ------
Total Consumer Discretionary........... 530,668,624 14.4%
------------ ------
Consumer Staples -- (4.4%)
CVS Health Corp.................... 102,304 10,281,552 0.3%
JM Smucker Co. (The)............... 60,483 7,680,131 0.2%
Procter & Gamble Co. (The)......... 117,650 9,426,118 0.3%
Tyson Foods, Inc. Class A.......... 134,859 8,876,419 0.3%
Wal-Mart Stores, Inc............... 157,202 10,512,098 0.3%
Other Securities................... 135,316,627 3.5%
------------ ------
Total Consumer Staples................. 182,092,945 4.9%
------------ ------
Energy -- (7.6%)
Chevron Corp....................... 234,198 23,930,352 0.7%
ConocoPhillips..................... 160,246 7,658,156 0.2%
Exxon Mobil Corp................... 602,772 53,285,045 1.5%
Phillips 66........................ 85,158 6,992,323 0.2%
Schlumberger, Ltd.................. 118,930 9,554,836 0.3%
Tesoro Corp........................ 117,828 9,389,713 0.3%
Valero Energy Corp................. 125,201 7,370,583 0.2%
Other Securities................... 196,919,494 5.1%
------------ ------
Total Energy........................... 315,100,502 8.5%
------------ ------
Financials -- (21.1%)
American International Group, Inc.. 128,798 7,189,504 0.2%
Bank of America Corp............... 1,204,998 17,544,771 0.5%
Chubb, Ltd......................... 58,676 6,915,553 0.2%
Citigroup, Inc..................... 374,753 17,343,569 0.5%
Fifth Third Bancorp................ 403,189 7,382,391 0.2%
Goldman Sachs Group, Inc. (The).... 49,450 8,115,239 0.2%
JPMorgan Chase & Co................ 536,613 33,913,942 0.9%
Travelers Cos., Inc. (The)......... 66,684 7,328,572 0.2%
Wells Fargo & Co................... 700,957 35,033,831 1.0%
Other Securities................... 738,232,916 19.9%
------------ ------
Total Financials....................... 879,000,288 23.8%
------------ ------
Health Care -- (7.1%)
* Allergan P.L.C..................... 38,459 8,328,681 0.2%
Anthem, Inc........................ 51,610 7,265,140 0.2%
Johnson & Johnson.................. 96,154 10,776,940 0.3%
Merck & Co., Inc................... 149,737 8,211,577 0.2%
Pfizer, Inc........................ 459,005 15,014,054 0.4%
UnitedHealth Group, Inc............ 73,435 9,669,921 0.3%
Other Securities................... 237,035,013 6.4%
------------ ------
Total Health Care...................... 296,301,326 8.0%
------------ ------
30
U.S. VECTOR EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (14.2%)
ADT Corp. (The)............... 242,523 $ 10,181,116 0.3%
General Electric Co........... 493,793 15,184,135 0.4%
Union Pacific Corp............ 83,333 7,269,138 0.2%
* United Rentals, Inc........... 128,450 8,597,158 0.2%
United Technologies Corp...... 68,756 7,176,064 0.2%
Other Securities.............. 540,244,050 14.6%
-------------- ------
Total Industrials................. 588,651,661 15.9%
-------------- ------
Information Technology -- (12.2%)
Apple, Inc.................... 324,073 30,378,603 0.8%
Cisco Systems, Inc............ 438,509 12,054,612 0.3%
Intel Corp.................... 578,019 17,502,415 0.5%
Microsoft Corp................ 278,222 13,874,931 0.4%
# Visa, Inc. Class A............ 116,012 8,960,767 0.3%
Other Securities.............. 425,310,985 11.5%
-------------- ------
Total Information Technology...... 508,082,313 13.8%
-------------- ------
Materials -- (5.0%)
# Alcoa, Inc.................... 604,988 6,757,716 0.2%
Newmont Mining Corp........... 252,066 8,814,748 0.2%
Nucor Corp.................... 158,273 7,878,830 0.2%
Reliance Steel & Aluminum Co.. 95,563 7,068,795 0.2%
Other Securities.............. 177,487,180 4.8%
-------------- ------
Total Materials................... 208,007,269 5.6%
-------------- ------
Other -- (0.0%)
Other Securities.............. -- 0.0%
-------------- ------
Real Estate Investment Trusts -- (0.0%)
Other Securities.............. 885,642 0.0%
-------------- ------
Telecommunication Services -- (2.4%)
AT&T, Inc..................... 1,197,322 46,480,040 1.3%
CenturyLink, Inc.............. 378,513 11,714,977 0.3%
Verizon Communications, Inc... 259,639 13,226,011 0.4%
Other Securities.............. 29,480,899 0.8%
-------------- ------
Total Telecommunication Services.. 100,901,927 2.8%
-------------- ------
Utilities -- (1.3%)
UGI Corp...................... 221,969 8,932,033 0.3%
Other Securities.............. 43,876,721 1.1%
-------------- ------
Total Utilities................... 52,808,754 1.4%
-------------- ------
TOTAL COMMON STOCKS............... 3,662,501,251 99.1%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............. 61,999 0.0%
-------------- ------
Face
Amount
------ - -
(000)
BONDS -- (0.0%)
Financials -- (0.0%)
Other Securities.............. 240 0.0%
-------------- ------
31
U.S. VECTOR EQUITY PORTFOLIO
CONTINUED
Face Percentage
Amount Value+ of Net Assets**
------ ------ ---------------
(000)
Health Care -- (0.0%)
Other Securities................................... $ 22,832 0.0%
-------------- ------
TOTAL BONDS.............................................. 23,072 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES.............................. 3,662,586,322
--------------
Shares
------ - -
TEMPORARY CASH INVESTMENTS -- (0.9%)
State Street Institutional Liquid Reserves, 0.455%. 38,305,931 38,305,931 1.0%
-------------- ------
SECURITIES LENDING COLLATERAL -- (11.0%)
(S)@ DFA Short Term Investment Fund..................... 39,313,122 454,852,818 12.3%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,314,303,726).............................. $4,155,745,071 112.4%
============== ======
Summary of the Portfolio's investments as of April 30, 2016, 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........ $ 530,648,307 $ 20,317 -- $ 530,668,624
Consumer Staples.............. 182,092,945 -- -- 182,092,945
Energy........................ 315,100,502 -- -- 315,100,502
Financials.................... 879,000,288 -- -- 879,000,288
Health Care................... 296,301,326 -- -- 296,301,326
Industrials................... 588,651,661 -- -- 588,651,661
Information Technology........ 508,082,313 -- -- 508,082,313
Materials..................... 208,007,269 -- -- 208,007,269
Other......................... -- -- -- --
Real Estate Investment Trusts. 885,642 -- -- 885,642
Telecommunication Services.... 100,901,927 -- -- 100,901,927
Utilities..................... 52,808,754 -- -- 52,808,754
Rights/Warrants................. -- 61,999 -- 61,999
Bonds
Financials.................... -- 240 -- 240
Health Care................... -- 22,832 -- 22,832
Temporary Cash Investments...... 38,305,931 -- -- 38,305,931
Securities Lending Collateral... -- 454,852,818 -- 454,852,818
Futures Contracts**............. 912,702 -- -- 912,702
-------------- ------------ -- --------------
TOTAL........................... $3,701,699,567 $454,958,206 -- $4,156,657,773
============== ============ == ==============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
32
U.S. SMALL CAP PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2016
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (83.1%)
Consumer Discretionary -- (14.7%)
# Cracker Barrel Old Country Store, Inc.......... 208,527 $ 30,530,438 0.3%
# CST Brands, Inc................................ 734,964 27,759,590 0.2%
#* Helen of Troy, Ltd............................. 283,241 28,190,977 0.2%
# Pool Corp...................................... 361,310 31,582,107 0.3%
#* Tenneco, Inc................................... 514,186 27,406,114 0.2%
# Texas Roadhouse, Inc........................... 670,715 27,311,515 0.2%
# Thor Industries, Inc........................... 471,347 30,175,635 0.3%
# Tupperware Brands Corp......................... 479,155 27,824,531 0.2%
# Vail Resorts, Inc.............................. 229,928 29,807,866 0.3%
# Wendy's Co. (The).............................. 2,658,346 28,869,638 0.3%
Other Securities............................... 1,789,137,516 15.0%
-------------- ------
Total Consumer Discretionary....................... 2,078,595,927 17.5%
-------------- ------
Consumer Staples -- (3.5%)
# Lancaster Colony Corp.......................... 253,716 29,557,914 0.3%
#* Post Holdings, Inc............................. 381,461 27,404,158 0.2%
Other Securities............................... 443,204,667 3.7%
-------------- ------
Total Consumer Staples............................. 500,166,739 4.2%
-------------- ------
Energy -- (3.2%)
# Patterson-UTI Energy, Inc...................... 1,368,035 27,018,691 0.2%
Other Securities............................... 427,579,110 3.6%
-------------- ------
Total Energy....................................... 454,597,801 3.8%
-------------- ------
Financials -- (16.2%)
# Bank of Hawaii Corp............................ 414,146 28,331,728 0.2%
# First Horizon National Corp.................... 1,943,918 27,370,365 0.2%
FNB Corp....................................... 2,065,648 27,307,867 0.2%
Hanover Insurance Group, Inc. (The)............ 334,899 28,720,938 0.3%
# Home BancShares, Inc........................... 671,250 28,857,037 0.3%
# MarketAxess Holdings, Inc...................... 284,264 34,896,249 0.3%
# PrivateBancorp, Inc............................ 716,638 29,819,307 0.3%
# RLI Corp....................................... 430,322 26,757,422 0.2%
# UMB Financial Corp............................. 476,901 26,587,231 0.2%
* Western Alliance Bancorp....................... 785,132 28,720,129 0.3%
Other Securities............................... 1,997,657,057 16.8%
-------------- ------
Total Financials................................... 2,285,025,330 19.3%
-------------- ------
Health Care -- (7.5%)
# Cantel Medical Corp............................ 397,773 26,646,813 0.2%
* Charles River Laboratories International, Inc.. 351,864 27,892,259 0.2%
* LifePoint Health, Inc.......................... 404,620 27,336,127 0.2%
#* Prestige Brands Holdings, Inc.................. 528,257 29,994,432 0.3%
Other Securities............................... 946,889,051 8.0%
-------------- ------
Total Health Care.................................. 1,058,758,682 8.9%
-------------- ------
Industrials -- (14.9%)
# CLARCOR, Inc................................... 466,037 27,388,994 0.2%
# Deluxe Corp.................................... 463,334 29,088,109 0.3%
EMCOR Group, Inc............................... 588,832 28,546,575 0.2%
# Valmont Industries, Inc........................ 222,670 31,258,415 0.3%
Other Securities............................... 1,994,524,597 16.8%
-------------- ------
Total Industrials.................................. 2,110,806,690 17.8%
-------------- ------
33
U.S. SMALL CAP PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Information Technology -- (14.2%)
# Blackbaud, Inc................... 454,126 $ 28,051,363 0.2%
#* Cimpress NV...................... 308,264 27,087,158 0.2%
#* EPAM Systems, Inc................ 409,203 29,843,175 0.3%
#* Euronet Worldwide, Inc........... 420,188 32,396,495 0.3%
# Fair Isaac Corp.................. 256,448 27,365,566 0.2%
# j2 Global, Inc................... 432,468 27,470,367 0.2%
#* ViaSat, Inc...................... 383,558 29,418,899 0.3%
Other Securities................. 1,808,910,384 15.2%
--------------- ------
Total Information Technology........... 2,010,543,407 16.9%
--------------- ------
Materials -- (4.2%)
# PolyOne Corp..................... 793,039 28,533,543 0.2%
Sensient Technologies Corp....... 431,359 29,008,893 0.3%
Other Securities................. 540,244,334 4.5%
--------------- ------
Total Materials........................ 597,786,770 5.0%
--------------- ------
Other -- (0.0%)
Other Securities................. -- 0.0%
--------------- ------
Real Estate Investment Trusts -- (0.0%)
Other Securities................. 2,935,761 0.0%
--------------- ------
Telecommunication Services -- (0.8%)
Other Securities................. 116,626,424 1.0%
--------------- ------
Utilities -- (3.9%)
# Black Hills Corp................. 493,078 29,875,596 0.3%
# IDACORP, Inc..................... 394,859 28,718,095 0.3%
# New Jersey Resources Corp........ 789,721 28,177,245 0.2%
# NorthWestern Corp................ 471,107 26,777,722 0.2%
# ONE Gas, Inc..................... 480,605 28,100,974 0.2%
Piedmont Natural Gas Co., Inc.... 492,406 29,445,879 0.3%
Portland General Electric Co..... 690,542 27,428,328 0.2%
Southwest Gas Corp............... 436,198 28,313,612 0.2%
# Spire, Inc....................... 428,728 27,421,443 0.2%
# WGL Holdings, Inc................ 427,325 29,011,094 0.3%
Other Securities................. 264,617,172 2.2%
--------------- ------
Total Utilities........................ 547,887,160 4.6%
--------------- ------
TOTAL COMMON STOCKS.................... 11,763,730,691 99.0%
--------------- ------
PREFERRED STOCKS -- (0.0%)
Other -- (0.0%)
Other Securities................. -- 0.0%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities................. 5,257 0.0%
--------------- ------
Face
Amount
------ - -
(000)
BONDS -- (0.0%)
Financials -- (0.0%)
Other Securities................. 2,027 0.0%
--------------- ------
Health Care -- (0.0%)
Other Securities................. 48,071 0.0%
--------------- ------
TOTAL BONDS............................ 50,098 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES............ 11,763,786,046
---------------
34
U.S. SMALL CAP PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
TEMPORARY CASH INVESTMENTS -- (1.0%)
State Street Institutional Liquid Reserves, 0.455%. 147,100,614 $ 147,100,614 1.2%
--------------- ------
SECURITIES LENDING COLLATERAL -- (15.9%)
(S)@ DFA Short Term Investment Fund..................... 194,586,049 2,251,360,585 19.0%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $12,292,426,878)............................... $14,162,247,245 119.2%
=============== ======
Summary of the Portfolio's investments as of April 30, 2016, 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.......... $ 2,078,586,323 $ 9,604 -- $ 2,078,595,927
Consumer Staples.............. 500,166,739 -- -- 500,166,739
Energy........................ 454,584,173 13,628 -- 454,597,801
Financials.................... 2,285,025,330 -- -- 2,285,025,330
Health Care................... 1,058,758,682 -- -- 1,058,758,682
Industrials................... 2,110,806,690 -- -- 2,110,806,690
Information Technology........ 2,010,543,407 -- -- 2,010,543,407
Materials..................... 597,786,770 -- -- 597,786,770
Other......................... -- -- -- --
Real Estate Investment Trusts. 2,935,761 -- -- 2,935,761
Telecommunication Services.... 116,626,424 -- -- 116,626,424
Utilities..................... 547,887,160 -- -- 547,887,160
Preferred Stocks
Other......................... -- -- -- --
Rights/Warrants................. -- 5,257 -- 5,257
Bonds
Financials.................... -- 2,027 -- 2,027
Health Care................... -- 48,071 -- 48,071
Temporary Cash Investments...... 147,100,614 -- -- 147,100,614
Securities Lending Collateral... -- 2,251,360,585 -- 2,251,360,585
Futures Contracts**............. 5,063,656 -- -- 5,063,656
--------------- -------------- -- ---------------
TOTAL........................... $11,915,871,729 $2,251,439,172 -- $14,167,310,901
=============== ============== == ===============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
35
U.S. MICRO CAP PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2016
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (86.0%)
Consumer Discretionary -- (14.5%)
#* BJ's Restaurants, Inc.................... 296,368 $ 13,218,013 0.3%
# Children's Place, Inc. (The)............. 251,866 19,622,880 0.4%
# Core-Mark Holding Co., Inc............... 213,399 17,426,162 0.4%
Drew Industries, Inc..................... 254,564 16,503,384 0.3%
#* Gentherm, Inc............................ 375,676 13,802,336 0.3%
#* Helen of Troy, Ltd....................... 162,124 16,136,202 0.3%
#* Krispy Kreme Doughnuts, Inc.............. 750,994 13,074,806 0.3%
La-Z-Boy, Inc............................ 582,277 15,063,506 0.3%
# Nexstar Broadcasting Group, Inc. Class A. 288,613 14,814,505 0.3%
#* Popeyes Louisiana Kitchen, Inc........... 268,854 14,453,591 0.3%
# Sonic Corp............................... 598,492 20,570,170 0.4%
Other Securities......................... 651,364,989 13.1%
------------ -----
Total Consumer Discretionary................. 826,050,544 16.7%
------------ -----
Consumer Staples -- (3.2%)
#* National Beverage Corp................... 396,141 18,515,630 0.4%
#* USANA Health Sciences, Inc............... 129,318 15,316,424 0.3%
# WD-40 Co................................. 167,039 17,088,090 0.4%
Other Securities......................... 134,225,677 2.6%
------------ -----
Total Consumer Staples....................... 185,145,821 3.7%
------------ -----
Energy -- (1.7%)
Other Securities......................... 95,681,499 1.9%
------------ -----
Financials -- (17.4%)
# BBCN Bancorp, Inc........................ 851,644 13,302,679 0.3%
#* BofI Holding, Inc........................ 689,616 14,047,478 0.3%
# Community Bank System, Inc............... 328,690 13,006,263 0.3%
# FBL Financial Group, Inc. Class A........ 266,223 16,098,505 0.3%
First Midwest Bancorp, Inc............... 726,841 13,432,022 0.3%
Horace Mann Educators Corp............... 408,077 12,691,195 0.3%
Other Securities......................... 905,952,591 18.2%
------------ -----
Total Financials............................. 988,530,733 20.0%
------------ -----
Health Care -- (9.1%)
#* AMN Healthcare Services, Inc............. 494,764 17,569,070 0.4%
#* Cambrex Corp............................. 360,586 17,394,669 0.4%
# Cantel Medical Corp...................... 278,932 18,685,655 0.4%
#* Cynosure, Inc. Class A................... 258,990 12,674,971 0.3%
#* Emergent Biosolutions, Inc............... 415,388 16,000,746 0.3%
* ICU Medical, Inc......................... 178,732 17,755,237 0.4%
Other Securities......................... 419,736,478 8.3%
------------ -----
Total Health Care............................ 519,816,826 10.5%
------------ -----
Industrials -- (18.6%)
# AAON, Inc................................ 612,931 16,254,930 0.3%
#* American Woodmark Corp................... 186,252 13,566,596 0.3%
# Apogee Enterprises, Inc.................. 334,904 13,878,422 0.3%
AZZ, Inc................................. 286,343 15,725,958 0.3%
# EnPro Industries, Inc.................... 223,751 13,107,334 0.3%
# Exponent, Inc............................ 288,685 14,388,060 0.3%
# Forward Air Corp......................... 310,472 14,151,314 0.3%
G&K Services, Inc. Class A............... 216,109 15,268,101 0.3%
#* Hawaiian Holdings, Inc................... 590,692 24,850,412 0.5%
Insperity, Inc........................... 269,097 14,200,249 0.3%
36
U.S. MICRO CAP PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (Continued)
# John Bean Technologies Corp.......... 302,609 $ 15,778,033 0.3%
Mueller Water Products, Inc. Class A. 1,715,790 18,444,742 0.4%
#* RBC Bearings, Inc.................... 176,597 12,944,560 0.3%
#* Trex Co., Inc........................ 296,139 14,051,796 0.3%
Other Securities..................... 840,205,398 16.9%
-------------- -----
Total Industrials........................ 1,056,815,905 21.4%
-------------- -----
Information Technology -- (13.1%)
# CSG Systems International, Inc....... 364,785 16,189,158 0.3%
* ExlService Holdings, Inc............. 342,470 16,572,123 0.3%
Methode Electronics, Inc............. 456,176 13,562,112 0.3%
Other Securities..................... 699,131,328 14.2%
-------------- -----
Total Information Technology............. 745,454,721 15.1%
-------------- -----
Materials -- (4.7%)
#* Headwaters, Inc...................... 788,676 15,781,407 0.3%
Kaiser Aluminum Corp................. 168,635 15,991,657 0.3%
Other Securities..................... 234,009,565 4.8%
-------------- -----
Total Materials.......................... 265,782,629 5.4%
-------------- -----
Other -- (0.0%)
Other Securities..................... -- 0.0%
-------------- -----
Telecommunication Services -- (1.5%)
# Shenandoah Telecommunications Co..... 492,068 14,117,431 0.3%
Other Securities..................... 72,664,631 1.5%
-------------- -----
Total Telecommunication Services......... 86,782,062 1.8%
-------------- -----
Utilities -- (2.2%)
# American States Water Co............. 401,996 16,759,213 0.3%
# California Water Service Group....... 496,702 13,872,887 0.3%
Empire District Electric Co. (The)... 450,028 15,152,443 0.3%
# MGE Energy, Inc...................... 298,791 14,894,731 0.3%
Other Securities..................... 63,380,754 1.3%
-------------- -----
Total Utilities.......................... 124,060,028 2.5%
-------------- -----
TOTAL COMMON STOCKS...................... 4,894,120,768 99.0%
-------------- -----
PREFERRED STOCKS -- (0.0%)
Other -- (0.0%)
Other Securities..................... -- 0.0%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities..................... 4,238 0.0%
-------------- -----
Face
Amount
------ - -
(000)
BONDS -- (0.0%)
Financials -- (0.0%)
Other Securities..................... 8,610 0.0%
-------------- -----
37
U.S. MICRO CAP PORTFOLIO
CONTINUED
Face Percentage
Amount Value+ of Net Assets**
------ ------ ---------------
(000)
Health Care -- (0.0%)
Other Securities................................... $ 69,457 0.0%
-------------- ------
TOTAL BONDS.............................................. 78,067 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES.............................. 4,894,203,073
--------------
Shares
------ - -
TEMPORARY CASH INVESTMENTS -- (0.9%)
State Street Institutional Liquid Reserves, 0.455%. 51,101,252 51,101,252 1.0%
-------------- ------
SECURITIES LENDING COLLATERAL -- (13.1%)
(S)@ DFA Short Term Investment Fund..................... 64,462,614 745,832,439 15.1%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,502,906,340)................................ $5,691,136,764 115.1%
============== ======
Summary of the Portfolio's investments as of April 30, 2016, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
--------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- ------------ ------- --------------
Common Stocks
Consumer Discretionary...... $ 825,968,899 $ 81,645 -- $ 826,050,544
Consumer Staples............ 185,145,821 -- -- 185,145,821
Energy...................... 95,631,209 50,290 -- 95,681,499
Financials.................. 988,530,733 -- -- 988,530,733
Health Care................. 519,816,826 -- -- 519,816,826
Industrials................. 1,056,815,905 -- -- 1,056,815,905
Information Technology...... 745,454,721 -- -- 745,454,721
Materials................... 265,782,629 -- -- 265,782,629
Other....................... -- -- -- --
Telecommunication Services.. 86,782,062 -- -- 86,782,062
Utilities................... 124,060,028 -- -- 124,060,028
Preferred Stocks
Other....................... -- -- -- --
Rights/Warrants............... -- 4,238 -- 4,238
Bonds
Financials.................. -- 8,610 -- 8,610
Health Care................. -- 69,457 -- 69,457
Temporary Cash Investments.... 51,101,252 -- -- 51,101,252
Securities Lending Collateral. -- 745,832,439 -- 745,832,439
Futures Contracts**........... 2,178,128 -- -- 2,178,128
-------------- ------------ -- --------------
TOTAL......................... $4,947,268,213 $746,046,679 -- $5,693,314,892
============== ============ == ==============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
38
DFA REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2016
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (96.0%)
Real Estate Investment Trusts -- (96.0%)
Alexandria Real Estate Equities, Inc.......... 702,724 $ 65,318,196 0.9%
American Campus Communities, Inc.............. 1,179,109 52,765,128 0.8%
Apartment Investment & Management Co. Class A. 1,497,552 59,991,933 0.9%
AvalonBay Communities, Inc.................... 1,310,424 231,669,859 3.3%
Boston Properties, Inc........................ 1,490,533 192,070,082 2.8%
Camden Property Trust......................... 829,122 66,935,019 1.0%
CubeSmart..................................... 1,651,728 48,907,666 0.7%
DCT Industrial Trust, Inc..................... 887,128 35,813,357 0.5%
DDR Corp...................................... 2,946,522 51,564,135 0.7%
# Digital Realty Trust, Inc..................... 1,401,049 123,264,291 1.8%
# Douglas Emmett, Inc........................... 1,353,312 43,914,974 0.6%
Duke Realty Corp.............................. 3,318,928 72,584,955 1.0%
# EPR Properties................................ 582,095 38,348,419 0.6%
# Equinix, Inc.................................. 275,588 91,040,496 1.3%
Equity Lifestyle Properties, Inc.............. 770,003 52,737,505 0.8%
Equity Residential............................ 3,487,338 237,383,098 3.4%
Essex Property Trust, Inc..................... 632,202 139,368,931 2.0%
Extra Space Storage, Inc...................... 1,122,838 95,385,088 1.4%
Federal Realty Investment Trust............... 664,638 101,078,147 1.5%
General Growth Properties, Inc................ 5,481,482 153,645,940 2.2%
HCP, Inc...................................... 4,457,515 150,797,732 2.2%
Highwoods Properties, Inc..................... 912,626 42,647,013 0.6%
Hospitality Properties Trust.................. 1,450,871 37,127,789 0.5%
Host Hotels & Resorts, Inc.................... 7,483,191 118,384,082 1.7%
# Iron Mountain, Inc............................ 1,864,868 68,123,628 1.0%
Kilroy Realty Corp............................ 880,276 57,050,688 0.8%
Kimco Realty Corp............................. 3,956,919 111,268,562 1.6%
Liberty Property Trust........................ 1,445,173 50,436,538 0.7%
Macerich Co. (The)............................ 1,535,271 116,803,418 1.7%
Mid-America Apartment Communities, Inc........ 721,659 69,069,983 1.0%
National Retail Properties, Inc............... 1,303,569 57,044,179 0.8%
Omega Healthcare Investors, Inc............... 1,723,275 58,194,997 0.8%
Prologis, Inc................................. 5,017,086 227,825,875 3.3%
Public Storage................................ 1,418,576 347,281,591 5.0%
# Realty Income Corp............................ 2,392,365 141,628,008 2.0%
Regency Centers Corp.......................... 901,482 66,439,223 1.0%
Retail Properties of America, Inc. Class A.... 2,271,531 36,321,781 0.5%
Senior Housing Properties Trust............... 2,266,752 39,849,500 0.6%
Simon Property Group, Inc..................... 2,965,302 596,529,803 8.6%
SL Green Realty Corp.......................... 954,980 100,349,298 1.4%
Sovran Self Storage, Inc...................... 360,894 38,334,161 0.6%
# Spirit Realty Capital, Inc.................... 4,225,788 48,300,757 0.7%
Taubman Centers, Inc.......................... 609,676 42,341,998 0.6%
UDR, Inc...................................... 2,508,462 87,595,493 1.3%
# Ventas, Inc................................... 3,187,881 198,031,168 2.9%
VEREIT, Inc................................... 8,663,845 76,934,944 1.1%
Vornado Realty Trust.......................... 1,650,859 158,036,732 2.3%
Weingarten Realty Investors................... 1,153,006 42,568,981 0.6%
Welltower, Inc................................ 3,387,943 235,191,003 3.4%
# WP Carey, Inc................................. 949,550 58,008,009 0.8%
39
DFA REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Real Estate Investment Trusts -- (Continued)
Other Securities................................... $1,436,224,029 20.6%
-------------- ------
TOTAL COMMON STOCKS...................................... 6,868,528,182 98.9%
-------------- ------
TOTAL INVESTMENT SECURITIES.............................. 6,868,528,182
--------------
TEMPORARY CASH INVESTMENTS -- (1.0%)
State Street Institutional Liquid Reserves, 0.455%. 73,285,966 73,285,966 1.1%
-------------- ------
SECURITIES LENDING COLLATERAL -- (3.0%)
(S)@ DFA Short Term Investment Fund..................... 18,537,272 214,476,243 3.0%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $5,034,398,446)................................ $7,156,290,391 103.0%
============== ======
Summary of the Portfolio's investments as of April 30, 2016, 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 $6,868,528,182 -- -- $6,868,528,182
Temporary Cash Investments.... 73,285,966 -- -- 73,285,966
Securities Lending Collateral. -- $214,476,243 -- 214,476,243
Futures Contracts**........... 1,535,152 -- -- 1,535,152
-------------- ------------ -- --------------
TOTAL......................... $6,943,349,300 $214,476,243 -- $7,157,825,543
============== ============ == ==============
**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
LARGE CAP INTERNATIONAL PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2016
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (91.1%)
AUSTRALIA -- (5.5%)
Australia & New Zealand Banking Group, Ltd.. 631,042 $ 11,566,951 0.4%
BHP Billiton, Ltd........................... 722,701 11,286,377 0.3%
# Commonwealth Bank of Australia.............. 377,833 21,093,287 0.6%
National Australia Bank, Ltd................ 525,578 10,782,772 0.3%
Westpac Banking Corp........................ 670,087 15,729,312 0.5%
Other Securities............................ 125,135,900 3.9%
------------ ----
TOTAL AUSTRALIA................................. 195,594,599 6.0%
------------ ----
AUSTRIA -- (0.2%)
Other Securities............................ 5,055,466 0.2%
------------ ----
BELGIUM -- (1.2%)
Anheuser-Busch InBev NV..................... 147,197 18,260,358 0.5%
Other Securities............................ 23,728,619 0.8%
------------ ----
TOTAL BELGIUM................................... 41,988,977 1.3%
------------ ----
CANADA -- (7.9%)
Royal Bank of Canada........................ 246,120 15,284,666 0.5%
Toronto-Dominion Bank (The)................. 270,619 12,045,964 0.4%
Other Securities............................ 249,852,134 7.6%
------------ ----
TOTAL CANADA.................................... 277,182,764 8.5%
------------ ----
DENMARK -- (1.8%)
# Novo Nordisk A.S. Class B................... 411,533 22,977,678 0.7%
Other Securities............................ 40,248,208 1.2%
------------ ----
TOTAL DENMARK................................... 63,225,886 1.9%
------------ ----
FINLAND -- (0.9%)
Other Securities............................ 31,948,259 1.0%
------------ ----
FRANCE -- (7.9%)
BNP Paribas SA.............................. 204,500 10,830,103 0.3%
# L'Oreal SA.................................. 55,745 10,125,839 0.3%
LVMH Moet Hennessy Louis Vuitton SE......... 66,560 11,089,663 0.3%
# Sanofi...................................... 222,328 18,325,735 0.6%
Total SA.................................... 451,039 22,795,871 0.7%
Other Securities............................ 206,892,457 6.4%
------------ ----
TOTAL FRANCE.................................... 280,059,668 8.6%
------------ ----
GERMANY -- (6.9%)
Allianz SE.................................. 70,352 11,968,835 0.4%
BASF SE..................................... 233,002 19,276,442 0.6%
Bayer AG.................................... 162,181 18,742,750 0.6%
Daimler AG.................................. 270,445 18,843,699 0.6%
Deutsche Telekom AG......................... 692,240 12,151,185 0.4%
E.ON SE..................................... 1,021,940 10,591,561 0.3%
SAP SE...................................... 170,191 13,353,358 0.4%
Siemens AG.................................. 137,308 14,369,039 0.4%
Other Securities............................ 125,795,063 3.8%
------------ ----
TOTAL GERMANY................................... 245,091,932 7.5%
------------ ----
41
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
HONG KONG -- (2.6%)
AIA Group, Ltd..................................... 2,743,800 $ 16,385,385 0.5%
Other Securities................................... 76,074,801 2.3%
------------ -----
TOTAL HONG KONG........................................ 92,460,186 2.8%
------------ -----
IRELAND -- (0.5%)
Other Securities................................... 18,096,151 0.5%
------------ -----
ISRAEL -- (0.5%)
Teva Pharmaceutical Industries, Ltd. Sponsored ADR. 179,025 9,747,911 0.3%
Other Securities................................... 9,040,041 0.3%
------------ -----
TOTAL ISRAEL........................................... 18,787,952 0.6%
------------ -----
ITALY -- (1.7%)
Other Securities................................... 60,848,359 1.9%
------------ -----
JAPAN -- (19.7%)
Japan Tobacco, Inc................................. 268,100 10,954,008 0.3%
KDDI Corp.......................................... 427,700 12,320,212 0.4%
SoftBank Group Corp................................ 235,560 12,666,178 0.4%
Toyota Motor Corp.................................. 453,200 22,972,574 0.7%
Toyota Motor Corp. Sponsored ADR................... 96,721 9,836,526 0.3%
Other Securities................................... 627,425,841 19.2%
------------ -----
TOTAL JAPAN............................................ 696,175,339 21.3%
------------ -----
NETHERLANDS -- (2.6%)
# Unilever NV........................................ 256,547 11,175,010 0.3%
Other Securities................................... 81,534,652 2.5%
------------ -----
TOTAL NETHERLANDS...................................... 92,709,662 2.8%
------------ -----
NEW ZEALAND -- (0.1%)
Other Securities................................... 4,153,310 0.1%
------------ -----
NORWAY -- (0.6%)
Other Securities................................... 22,463,384 0.7%
------------ -----
PORTUGAL -- (0.2%)
Other Securities................................... 4,874,526 0.1%
------------ -----
SINGAPORE -- (1.1%)
Other Securities................................... 38,501,682 1.2%
------------ -----
SPAIN -- (2.6%)
Banco Santander SA................................. 2,309,901 11,730,414 0.4%
Other Securities................................... 81,343,723 2.4%
------------ -----
TOTAL SPAIN............................................ 93,074,137 2.8%
------------ -----
SWEDEN -- (2.6%)
Other Securities................................... 90,298,974 2.8%
------------ -----
SWITZERLAND -- (7.5%)
Nestle SA.......................................... 692,983 51,724,008 1.6%
Novartis AG........................................ 388,810 29,589,299 0.9%
Roche Holding AG................................... 166,430 42,108,317 1.3%
Other Securities................................... 141,054,585 4.3%
------------ -----
TOTAL SWITZERLAND...................................... 264,476,209 8.1%
------------ -----
42
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
UNITED KINGDOM -- (16.5%)
BP P.L.C. Sponsored ADR......................... 769,178 $ 25,828,980 0.8%
British American Tobacco P.L.C.................. 322,533 19,665,513 0.6%
BT Group P.L.C.................................. 2,107,623 13,661,757 0.4%
Diageo P.L.C. Sponsored ADR..................... 97,095 10,518,301 0.3%
GlaxoSmithKline P.L.C........................... 566,003 12,096,881 0.4%
GlaxoSmithKline P.L.C. Sponsored ADR............ 315,368 13,532,441 0.4%
HSBC Holdings P.L.C............................. 1,758,504 11,653,386 0.4%
HSBC Holdings P.L.C. Sponsored ADR.............. 462,508 15,415,391 0.5%
Imperial Brands P.L.C........................... 194,041 10,550,632 0.3%
Reckitt Benckiser Group P.L.C................... 141,876 13,821,410 0.4%
Royal Dutch Shell P.L.C. Class A................ 433,207 11,347,078 0.3%
Royal Dutch Shell P.L.C. Sponsored ADR, Class A. 318,521 16,846,578 0.5%
# Royal Dutch Shell P.L.C. Sponsored ADR, Class B. 281,511 15,018,612 0.5%
SABMiller P.L.C................................. 167,523 10,260,118 0.3%
Unilever P.L.C. Sponsored ADR................... 219,410 9,842,733 0.3%
Vodafone Group P.L.C............................ 3,596,570 11,587,564 0.4%
Other Securities................................ 360,917,491 11.0%
-------------- ------
TOTAL UNITED KINGDOM................................ 582,564,866 17.8%
-------------- ------
TOTAL COMMON STOCKS................................. 3,219,632,288 98.5%
-------------- ------
PREFERRED STOCKS -- (0.4%)
GERMANY -- (0.4%)
Other Securities................................ 14,557,698 0.4%
-------------- ------
TOTAL PREFERRED STOCKS.............................. 14,557,698 0.4%
-------------- ------
TOTAL INVESTMENT SECURITIES......................... 3,234,189,986
--------------
Value+
- ------ -
SECURITIES LENDING COLLATERAL -- (8.5%)
(S)@ DFA Short Term Investment Fund................. 26,011,167 300,949,208 9.2%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,233,264,010)........................... $3,535,139,194 108.1%
============== ======
43
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2016, 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................... $ 4,611,562 $ 190,983,037 -- $ 195,594,599
Austria..................... -- 5,055,466 -- 5,055,466
Belgium..................... 4,452,138 37,536,839 -- 41,988,977
Canada...................... 277,154,864 27,900 -- 277,182,764
Denmark..................... 5,174,020 58,051,866 -- 63,225,886
Finland..................... 1,667,362 30,280,897 -- 31,948,259
France...................... 12,412,322 267,647,346 -- 280,059,668
Germany..................... 16,655,694 228,436,238 -- 245,091,932
Hong Kong................... 505,213 91,954,973 -- 92,460,186
Ireland..................... 3,457,831 14,638,320 -- 18,096,151
Israel...................... 10,538,091 8,249,861 -- 18,787,952
Italy....................... 3,959,676 56,888,683 -- 60,848,359
Japan....................... 33,923,086 662,252,253 -- 696,175,339
Netherlands................. 16,303,795 76,405,867 -- 92,709,662
New Zealand................. -- 4,153,310 -- 4,153,310
Norway...................... 831,015 21,632,369 -- 22,463,384
Portugal.................... -- 4,874,526 -- 4,874,526
Singapore................... -- 38,501,682 -- 38,501,682
Spain....................... 13,228,979 79,845,158 -- 93,074,137
Sweden...................... -- 90,298,974 -- 90,298,974
Switzerland................. 16,720,969 247,755,240 -- 264,476,209
United Kingdom.............. 176,419,694 406,145,172 -- 582,564,866
Preferred Stocks
Germany..................... -- 14,557,698 -- 14,557,698
Securities Lending Collateral. -- 300,949,208 -- 300,949,208
Futures Contracts**........... 742,253 -- -- 742,253
------------ -------------- -- --------------
TOTAL......................... $598,758,564 $2,937,122,883 -- $3,535,881,447
============ ============== == ==============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
44
INTERNATIONAL CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2016
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (90.2%)
AUSTRALIA -- (5.7%)
Australia & New Zealand Banking Group, Ltd.. 1,813,928 $ 33,249,160 0.2%
BHP Billiton, Ltd........................... 2,349,520 36,692,310 0.3%
# Commonwealth Bank of Australia.............. 536,081 29,927,799 0.2%
National Australia Bank, Ltd................ 1,764,921 36,209,165 0.2%
# Westpac Banking Corp........................ 1,801,605 42,290,042 0.3%
Woodside Petroleum, Ltd..................... 1,409,032 30,167,370 0.2%
Other Securities............................ 777,100,404 4.9%
-------------- ----
TOTAL AUSTRALIA................................. 985,636,250 6.3%
-------------- ----
AUSTRIA -- (0.5%)
Other Securities............................ 85,289,644 0.5%
-------------- ----
BELGIUM -- (1.5%)
Anheuser-Busch InBev NV..................... 393,517 48,817,308 0.3%
Other Securities............................ 205,432,796 1.3%
-------------- ----
TOTAL BELGIUM................................... 254,250,104 1.6%
-------------- ----
CANADA -- (7.8%)
Toronto-Dominion Bank (The)................. 680,144 30,275,000 0.2%
Other Securities............................ 1,308,225,125 8.3%
-------------- ----
TOTAL CANADA.................................... 1,338,500,125 8.5%
-------------- ----
CHINA -- (0.0%)
Other Securities............................ 1,238,895 0.0%
-------------- ----
DENMARK -- (1.8%)
# Novo Nordisk A.S. Class B................... 600,030 33,502,286 0.2%
Novo Nordisk A.S. Sponsored ADR............. 595,283 33,210,839 0.2%
Other Securities............................ 250,303,376 1.6%
-------------- ----
TOTAL DENMARK................................... 317,016,501 2.0%
-------------- ----
FINLAND -- (1.6%)
UPM-Kymmene Oyj............................. 1,572,202 30,095,200 0.2%
Other Securities............................ 245,026,404 1.5%
-------------- ----
TOTAL FINLAND................................... 275,121,604 1.7%
-------------- ----
FRANCE -- (6.5%)
Cie de Saint-Gobain......................... 768,958 35,235,603 0.2%
Cie Generale des Etablissements Michelin.... 314,958 32,897,376 0.2%
Engie SA.................................... 2,052,295 33,849,406 0.2%
Orange SA................................... 2,005,464 33,318,621 0.2%
Total SA.................................... 1,874,712 94,749,439 0.6%
# Total SA Sponsored ADR...................... 583,465 29,610,867 0.2%
Other Securities............................ 850,700,041 5.4%
-------------- ----
TOTAL FRANCE.................................... 1,110,361,353 7.0%
-------------- ----
GERMANY -- (6.4%)
BASF SE..................................... 707,050 58,494,812 0.4%
Bayerische Motoren Werke AG................. 446,398 41,297,866 0.3%
Daimler AG.................................. 1,081,794 75,375,771 0.5%
Deutsche Telekom AG......................... 2,550,534 44,770,615 0.3%
E.ON SE..................................... 3,520,643 36,488,545 0.2%
45
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
GERMANY-- (Continued)
Fresenius SE & Co. KGaA............................ 594,150 $ 43,324,348 0.3%
Other Securities................................... 789,864,791 4.9%
-------------- -----
TOTAL GERMANY.......................................... 1,089,616,748 6.9%
-------------- -----
GREECE -- (0.0%)
Other Securities................................... -- 0.0%
-------------- -----
HONG KONG -- (2.5%)
AIA Group, Ltd..................................... 6,136,600 36,646,459 0.3%
Other Securities................................... 398,343,893 2.5%
-------------- -----
TOTAL HONG KONG........................................ 434,990,352 2.8%
-------------- -----
IRELAND -- (0.5%)
Other Securities................................... 85,277,265 0.5%
-------------- -----
ISRAEL -- (0.6%)
Teva Pharmaceutical Industries, Ltd. Sponsored ADR. 570,084 31,041,074 0.2%
Other Securities................................... 69,792,323 0.4%
-------------- -----
TOTAL ISRAEL........................................... 100,833,397 0.6%
-------------- -----
ITALY -- (2.6%)
Assicurazioni Generali SpA......................... 2,428,511 37,130,940 0.3%
Eni SpA............................................ 2,230,601 36,441,177 0.2%
Other Securities................................... 370,488,474 2.3%
-------------- -----
TOTAL ITALY............................................ 444,060,591 2.8%
-------------- -----
JAPAN -- (20.2%)
Honda Motor Co., Ltd............................... 1,287,400 34,741,479 0.2%
Mitsubishi UFJ Financial Group, Inc................ 6,194,700 28,587,377 0.2%
NTT DOCOMO, Inc.................................... 1,305,900 31,320,677 0.2%
Toyota Motor Corp.................................. 1,311,386 66,473,767 0.4%
Toyota Motor Corp. Sponsored ADR................... 384,641 39,117,990 0.3%
Other Securities................................... 3,262,495,314 20.7%
-------------- -----
TOTAL JAPAN............................................ 3,462,736,604 22.0%
-------------- -----
NETHERLANDS -- (2.4%)
Other Securities................................... 410,793,325 2.6%
-------------- -----
NEW ZEALAND -- (0.4%)
Other Securities................................... 68,471,162 0.4%
-------------- -----
NORWAY -- (0.8%)
Other Securities................................... 136,579,444 0.9%
-------------- -----
PORTUGAL -- (0.3%)
Other Securities................................... 46,979,738 0.3%
-------------- -----
SINGAPORE -- (1.1%)
Other Securities................................... 184,354,316 1.2%
-------------- -----
SPAIN -- (2.3%)
# Banco Santander SA................................. 6,424,415 32,625,227 0.2%
Iberdrola SA....................................... 6,047,752 43,052,370 0.3%
Other Securities................................... 314,019,289 2.0%
-------------- -----
TOTAL SPAIN............................................ 389,696,886 2.5%
-------------- -----
46
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
SWEDEN -- (2.8%)
Other Securities................................ $ 477,834,950 3.0%
--------------- -----
SWITZERLAND -- (6.3%)
ABB, Ltd........................................ 1,450,592 30,709,417 0.2%
Nestle SA....................................... 2,417,067 180,409,034 1.2%
Novartis AG Sponsored ADR....................... 794,013 60,321,168 0.4%
Roche Holding AG................................ 153,905 38,939,377 0.3%
Swiss Re AG..................................... 383,737 34,105,983 0.2%
Syngenta AG..................................... 92,858 37,251,372 0.3%
Other Securities................................ 702,644,913 4.3%
--------------- -----
TOTAL SWITZERLAND................................... 1,084,381,264 6.9%
--------------- -----
UNITED KINGDOM -- (15.6%)
Aviva P.L.C..................................... 5,302,684 33,595,114 0.2%
BP P.L.C. Sponsored ADR......................... 2,497,898 83,879,423 0.5%
HSBC Holdings P.L.C. Sponsored ADR.............. 1,913,051 63,761,990 0.4%
Lloyds Banking Group P.L.C...................... 47,561,951 46,682,559 0.3%
# Rio Tinto P.L.C. Sponsored ADR.................. 929,561 31,289,023 0.2%
# Royal Dutch Shell P.L.C. Class A................ 1,302,276 34,110,775 0.2%
Royal Dutch Shell P.L.C. Sponsored ADR, Class A. 1,228,120 64,955,244 0.4%
# Royal Dutch Shell P.L.C. Sponsored ADR, Class B. 1,354,884 72,283,061 0.5%
SSE P.L.C....................................... 1,436,654 31,740,802 0.2%
Vodafone Group P.L.C. Sponsored ADR............. 1,397,631 45,758,430 0.3%
Other Securities................................ 2,164,994,430 13.8%
--------------- -----
TOTAL UNITED KINGDOM................................ 2,673,050,851 17.0%
--------------- -----
TOTAL COMMON STOCKS................................. 15,457,071,369 98.0%
--------------- -----
PREFERRED STOCKS -- (0.3%)
GERMANY -- (0.3%)
Other Securities................................ 58,019,805 0.4%
--------------- -----
UNITED KINGDOM -- (0.0%)
Other Securities................................ 7,555 0.0%
--------------- -----
TOTAL PREFERRED STOCKS.............................. 58,027,360 0.4%
--------------- -----
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities................................ 50 0.0%
--------------- -----
AUSTRIA -- (0.0%)
Other Securities................................ -- 0.0%
--------------- -----
FRANCE -- (0.0%)
Other Securities................................ 3,064 0.0%
--------------- -----
GERMANY -- (0.0%)
Other Securities................................ 7,014 0.0%
--------------- -----
HONG KONG -- (0.0%)
Other Securities................................ 15,696 0.0%
--------------- -----
NORWAY -- (0.0%)
Other Securities................................ -- 0.0%
--------------- -----
SINGAPORE -- (0.0%)
Other Securities................................ 126,514 0.0%
--------------- -----
47
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
SWEDEN -- (0.0%)
Other Securities................ $ 74,933 0.0%
--------------- ------
TOTAL RIGHTS/WARRANTS.................. 227,271 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES............ 15,515,326,000
---------------
Value+
- ------ -
SECURITIES LENDING COLLATERAL -- (9.5%)
(S)@ DFA Short Term Investment Fund.. 139,982,243 1,619,594,557 10.3%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $16,776,905,112)................ $17,134,920,557 108.7%
=============== ======
Summary of the Portfolio's investments as of April 30, 2016, 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...... $ 33,220,552 $ 952,415,698 -- $ 985,636,250
Austria........ 52,899 85,236,745 -- 85,289,644
Belgium........ 21,018,646 233,231,458 -- 254,250,104
Canada......... 1,338,316,757 183,368 -- 1,338,500,125
China.......... -- 1,238,895 -- 1,238,895
Denmark........ 33,275,296 283,741,205 -- 317,016,501
Finland........ 7,000,930 268,120,674 -- 275,121,604
France......... 73,074,470 1,037,286,883 -- 1,110,361,353
Germany........ 68,946,254 1,020,670,494 -- 1,089,616,748
Greece......... -- -- -- --
Hong Kong...... 1,688,746 433,301,606 -- 434,990,352
Ireland........ 14,960,007 70,317,258 -- 85,277,265
Israel......... 34,270,859 66,562,538 -- 100,833,397
Italy.......... 11,660,996 432,399,595 -- 444,060,591
Japan.......... 105,480,092 3,357,256,512 -- 3,462,736,604
Netherlands.... 53,802,336 356,990,989 -- 410,793,325
New Zealand.... 143,672 68,327,490 -- 68,471,162
Norway......... 13,270,904 123,308,540 -- 136,579,444
Portugal....... 256,103 46,723,635 -- 46,979,738
Singapore...... -- 184,354,316 -- 184,354,316
Spain.......... 25,956,274 363,740,612 -- 389,696,886
Sweden......... 4,494,345 473,340,605 -- 477,834,950
Switzerland.... 103,322,153 981,059,111 -- 1,084,381,264
United Kingdom. 607,654,068 2,065,396,783 -- 2,673,050,851
Preferred Stocks
Germany........ -- 58,019,805 -- 58,019,805
United Kingdom. -- 7,555 -- 7,555
48
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
Investments in Securities (Market Value)
------------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- --------------- ------- ---------------
Rights/Warrants
Australia................... -- 50 -- 50
Austria..................... -- -- -- --
France...................... -- 3,064 -- 3,064
Germany..................... -- 7,014 -- 7,014
Hong Kong................... -- 15,696 -- 15,696
Norway...................... -- -- -- --
Singapore................... -- 126,514 -- 126,514
Sweden...................... -- 74,933 -- 74,933
Securities Lending Collateral. -- 1,619,594,557 -- 1,619,594,557
Futures Contracts**........... 1,194,215 -- -- 1,194,215
-------------- --------------- -- ---------------
TOTAL......................... $2,553,060,574 $14,583,054,198 -- $17,136,114,772
============== =============== == ===============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
49
INTERNATIONAL SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2016
(Unaudited)
Value+
--------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The Continental Small Company Series of
The DFA Investment Trust Company....................... $3,705,934,034
Investment in The Japanese Small Company Series of
The DFA Investment Trust Company....................... 2,188,913,143
Investment in The United Kingdom Small Company Series of
The DFA Investment Trust Company....................... 1,744,103,035
Investment in The Asia Pacific Small Company Series of
The DFA Investment Trust Company....................... 1,154,035,558
Investment in The Canadian Small Company Series of
The DFA Investment Trust Company....................... 742,464,736
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $8,717,704,490)............................... 9,535,450,506
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $8,717,704,490)............................... $9,535,450,506
==============
Summary of the Portfolio's investments as of April 30, 2016, 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. $9,535,450,506 -- -- $9,535,450,506
Futures Contracts**............. 3,477,895 -- -- 3,477,895
-------------- -- -- --------------
TOTAL........................... $9,538,928,401 -- -- $9,538,928,401
============== == == ==============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
50
SCHEDULE OF INVESTMENTS
April 30, 2016
(Unaudited)
JAPANESE SMALL COMPANY PORTFOLIO
Value+
------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Japanese Small Company Series of
The DFA Investment Trust Company..................... $426,614,587
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $396,037,684)............................... $426,614,587
============
Summary of the Portfolio's Master Fund's investments as of April 30, 2016,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
ASIA PACIFIC SMALL COMPANY PORTFOLIO
Value+
------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Asia Pacific Small Company Series of
The DFA Investment Trust Company..................... $229,006,722
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $246,963,879)............................... $229,006,722
============
Summary of the Portfolio's Master Fund's investments as of April 30, 2016,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
51
SCHEDULE OF INVESTMENTS
April 30, 2016
(Unaudited)
UNITED KINGDOM SMALL COMPANY PORTFOLIO
Value+
-----------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The United Kingdom Small Company Series of
The DFA Investment Trust Company....................... $30,493,383
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $23,712,197).................................. $30,493,383
===========
Summary of the Portfolio's Master Fund's investments as of April 30, 2016,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
CONTINENTAL SMALL COMPANY PORTFOLIO
Value+
------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Continental Small Company Series of
The DFA Investment Trust Company..................... $311,842,891
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $270,992,367)............................... $311,842,891
============
Summary of the Portfolio's Master Fund's investments as of April 30, 2016,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
52
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2016
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (96.3%)
AUSTRALIA -- (19.5%)
Dexus Property Group.................. 9,591,650 $ 61,158,014 1.5%
Goodman Group......................... 17,302,709 90,144,699 2.2%
GPT Group (The)....................... 17,423,461 66,357,261 1.7%
Scentre Group......................... 48,606,788 172,530,731 4.3%
Stockland............................. 23,295,853 77,050,891 1.9%
Vicinity Centres...................... 32,841,525 82,550,045 2.1%
Westfield Corp........................ 19,343,832 147,740,520 3.7%
Other Securities...................... 103,103,628 2.6%
------------ -----
TOTAL AUSTRALIA........................... 800,635,789 20.0%
------------ -----
BELGIUM -- (1.7%)
Cofinimmo SA.......................... 209,642 26,059,763 0.6%
Other Securities...................... 42,129,167 1.1%
------------ -----
TOTAL BELGIUM............................. 68,188,930 1.7%
------------ -----
CANADA -- (5.1%)
H&R REIT.............................. 1,411,332 24,656,414 0.6%
RioCan REIT........................... 1,638,027 35,614,391 0.9%
Other Securities...................... 147,363,295 3.7%
------------ -----
TOTAL CANADA.............................. 207,634,100 5.2%
------------ -----
CHINA -- (0.2%)
Other Securities...................... 8,700,270 0.2%
------------ -----
FRANCE -- (5.3%)
# Fonciere Des Regions.................. 313,125 29,623,460 0.7%
Gecina SA............................. 321,929 46,521,806 1.2%
ICADE................................. 380,277 29,917,717 0.8%
# Klepierre............................. 2,012,004 94,629,509 2.4%
Other Securities...................... 18,771,071 0.4%
------------ -----
TOTAL FRANCE.............................. 219,463,563 5.5%
------------ -----
GERMANY -- (0.5%)
Other Securities...................... 22,166,073 0.6%
------------ -----
GREECE -- (0.0%)
Other Securities...................... 831,369 0.0%
------------ -----
HONG KONG -- (4.3%)
Link REIT (The)....................... 22,642,305 137,222,468 3.4%
Other Securities...................... 38,731,386 1.0%
------------ -----
TOTAL HONG KONG........................... 175,953,854 4.4%
------------ -----
ITALY -- (0.3%)
Other Securities...................... 13,153,104 0.3%
------------ -----
JAPAN -- (21.2%)
Advance Residence Investment Corp..... 12,713 34,240,938 0.9%
# Daiwa Office Investment Corp.......... 3,479 22,354,340 0.6%
Frontier Real Estate Investment Corp.. 4,979 24,974,344 0.6%
# GLP J-Reit............................ 18,118 22,008,053 0.5%
53
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
JAPAN -- (Continued)
# Japan Hotel REIT Investment Corp...... 35,628 $ 32,138,711 0.8%
# Japan Logistics Fund, Inc............. 9,191 20,405,287 0.5%
Japan Prime Realty Investment Corp.... 8,086 35,642,117 0.9%
Japan Real Estate Investment Corp..... 12,715 79,176,464 2.0%
Japan Retail Fund Investment Corp..... 24,541 60,293,968 1.5%
# Kenedix Office Investment Corp........ 4,726 27,671,033 0.7%
# Mori Hills REIT Investment Corp....... 16,198 24,306,428 0.6%
Mori Trust Sogo Reit, Inc............. 12,289 24,132,903 0.6%
# Nippon Building Fund, Inc............. 13,713 86,871,906 2.2%
Nomura Real Estate Master Fund, Inc... 29,746 46,663,998 1.2%
Orix JREIT, Inc....................... 22,757 37,904,035 0.9%
# United Urban Investment Corp.......... 26,406 45,576,876 1.1%
Other Securities...................... 246,943,715 6.1%
------------ -----
TOTAL JAPAN............................... 871,305,116 21.7%
------------ -----
MALAYSIA -- (0.6%)
Other Securities...................... 23,245,493 0.6%
------------ -----
MEXICO -- (1.9%)
Fibra Uno Administracion S.A. de C.V.. 21,560,405 51,217,186 1.3%
Other Securities...................... 24,744,969 0.6%
------------ -----
TOTAL MEXICO.............................. 75,962,155 1.9%
------------ -----
NETHERLANDS -- (7.6%)
Unibail-Rodamco SE.................... 941,798 252,444,451 6.3%
Wereldhave NV......................... 467,416 24,092,441 0.6%
Other Securities...................... 33,833,747 0.8%
------------ -----
TOTAL NETHERLANDS......................... 310,370,639 7.7%
------------ -----
NEW ZEALAND -- (0.8%)
Other Securities...................... 31,496,919 0.8%
------------ -----
SINGAPORE -- (6.9%)
Ascendas REIT......................... 21,886,800 39,945,294 1.0%
CapitaLand Commercial Trust, Ltd...... 26,622,700 28,244,490 0.7%
CapitaLand Mall Trust................. 24,659,100 37,855,427 0.9%
Suntec REIT........................... 23,856,700 29,807,225 0.7%
Other Securities...................... 149,242,119 3.8%
------------ -----
TOTAL SINGAPORE........................... 285,094,555 7.1%
------------ -----
SOUTH AFRICA -- (3.9%)
Growthpoint Properties, Ltd........... 24,304,567 43,010,768 1.1%
Redefine Properties, Ltd.............. 42,429,793 36,624,975 0.9%
Resilient REIT, Ltd................... 2,560,526 24,463,554 0.6%
Other Securities...................... 57,634,902 1.4%
------------ -----
TOTAL SOUTH AFRICA........................ 161,734,199 4.0%
------------ -----
SPAIN -- (0.8%)
Merlin Properties Socimi SA........... 2,779,202 32,348,965 0.8%
------------ -----
TAIWAN -- (0.3%)
Other Securities...................... 12,279,290 0.3%
------------ -----
TURKEY -- (0.8%)
Other Securities...................... 31,221,027 0.8%
------------ -----
54
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
UNITED KINGDOM -- (14.6%)
British Land Co. P.L.C. (The)... 9,998,511 $ 105,199,181 2.6%
Derwent London P.L.C............ 1,063,081 51,093,980 1.3%
Great Portland Estates P.L.C.... 3,477,045 38,554,224 1.0%
Hammerson P.L.C................. 8,252,744 70,626,299 1.8%
Intu Properties P.L.C........... 9,711,955 43,248,974 1.1%
Land Securities Group P.L.C..... 8,069,924 133,665,386 3.3%
Segro P.L.C..................... 7,525,583 45,980,310 1.1%
Shaftesbury P.L.C............... 2,688,177 35,756,746 0.9%
Other Securities................ 76,574,198 1.9%
-------------- ------
TOTAL UNITED KINGDOM................... 600,699,298 15.0%
-------------- ------
TOTAL COMMON STOCKS.................... 3,952,484,708 98.6%
-------------- ------
TOTAL INVESTMENT SECURITIES............ 3,952,484,708
--------------
Value+
- ------ -
SECURITIES LENDING COLLATERAL -- (3.7%)
(S)@ DFA Short Term Investment Fund.. 13,007,981 150,502,338 3.8%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,638,218,291).............. $4,102,987,046 102.4%
============== ======
Summary of the Portfolio's investments as of April 30, 2016, 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................... -- $ 800,635,789 -- $ 800,635,789
Belgium..................... -- 68,188,930 -- 68,188,930
Canada...................... $207,634,100 -- -- 207,634,100
China....................... -- 8,700,270 -- 8,700,270
France...................... -- 219,463,563 -- 219,463,563
Germany..................... -- 22,166,073 -- 22,166,073
Greece...................... -- 831,369 -- 831,369
Hong Kong................... -- 175,953,854 -- 175,953,854
Italy....................... -- 13,153,104 -- 13,153,104
Japan....................... -- 871,305,116 -- 871,305,116
Malaysia.................... -- 23,245,493 -- 23,245,493
Mexico...................... 75,962,155 -- -- 75,962,155
Netherlands................. -- 310,370,639 -- 310,370,639
New Zealand................. -- 31,496,919 -- 31,496,919
Singapore................... -- 285,094,555 -- 285,094,555
South Africa................ -- 161,734,199 -- 161,734,199
Spain....................... -- 32,348,965 -- 32,348,965
Taiwan...................... -- 12,279,290 -- 12,279,290
Turkey...................... -- 31,221,027 -- 31,221,027
United Kingdom.............. -- 600,699,298 -- 600,699,298
Securities Lending Collateral. -- 150,502,338 -- 150,502,338
Futures Contracts**........... 658,924 -- -- 658,924
Forward Currency Contracts**.. -- (31) -- (31)
------------ -------------- -- --------------
TOTAL......................... $284,255,179 $3,819,390,760 -- $4,103,645,939
============ ============== == ==============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
55
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2016
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (27.4%)
AUSTRALIA -- (0.1%)
Other Securities.............................. $ 5,136,936 0.1%
----------- ----
BELGIUM -- (0.0%)
Other Securities.............................. 51,749 0.0%
----------- ----
CANADA -- (0.0%)
Other Securities.............................. 594,613 0.0%
----------- ----
HONG KONG -- (0.0%)
Other Securities.............................. 778,767 0.0%
----------- ----
JAPAN -- (0.0%)
Other Securities.............................. 734,860 0.0%
----------- ----
MEXICO -- (0.0%)
Other Securities.............................. 75,865 0.0%
----------- ----
NETHERLANDS -- (0.1%)
Other Securities.............................. 2,313,715 0.1%
----------- ----
SOUTH AFRICA -- (0.0%)
Other Securities.............................. 176,274 0.0%
----------- ----
TAIWAN -- (0.0%)
Other Securities.............................. 12,151 0.0%
----------- ----
TURKEY -- (0.0%)
Other Securities.............................. 35,993 0.0%
----------- ----
UNITED KINGDOM -- (0.0%)
Other Securities.............................. 12,509 0.0%
----------- ----
UNITED STATES -- (27.2%)
Alexandria Real Estate Equities, Inc.......... 127,935 11,891,558 0.3%
American Campus Communities, Inc.............. 225,772 10,103,297 0.2%
Apartment Investment & Management Co. Class A. 273,038 10,937,902 0.2%
AvalonBay Communities, Inc.................... 222,272 39,295,467 0.9%
Boston Properties, Inc........................ 242,586 31,259,632 0.7%
Camden Property Trust......................... 151,525 12,232,613 0.3%
# CubeSmart..................................... 306,376 9,071,793 0.2%
DDR Corp...................................... 517,304 9,052,820 0.2%
Digital Realty Trust, Inc..................... 245,968 21,640,265 0.5%
Douglas Emmett, Inc........................... 268,352 8,708,022 0.2%
Duke Realty Corp.............................. 603,002 13,187,654 0.3%
# EPR Properties................................ 114,007 7,510,781 0.2%
Equinix, Inc.................................. 22,541 7,446,419 0.2%
Equity Lifestyle Properties, Inc.............. 140,089 9,594,696 0.2%
Equity Residential............................ 588,940 40,089,146 0.9%
Essex Property Trust, Inc..................... 114,045 25,141,220 0.6%
Extra Space Storage, Inc...................... 197,505 16,778,050 0.4%
Federal Realty Investment Trust............... 116,621 17,735,722 0.4%
General Growth Properties, Inc................ 905,899 25,392,349 0.6%
HCP, Inc...................................... 811,698 27,459,743 0.6%
Healthcare Trust of America, Inc. Class A..... 299,242 8,645,101 0.2%
56
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
UNITED STATES -- (Continued)
# Highwoods Properties, Inc................................. 180,655 $ 8,442,008 0.2%
# Host Hotels & Resorts, Inc................................ 1,311,617 20,749,781 0.5%
# Iron Mountain, Inc........................................ 395,199 14,436,619 0.3%
Kilroy Realty Corp........................................ 160,900 10,427,929 0.2%
Kimco Realty Corp......................................... 721,340 20,284,081 0.5%
Liberty Property Trust.................................... 285,282 9,956,342 0.2%
Macerich Co. (The)........................................ 226,137 17,204,503 0.4%
Mid-America Apartment Communities, Inc.................... 131,527 12,588,449 0.3%
National Retail Properties, Inc........................... 245,970 10,763,647 0.2%
Omega Healthcare Investors, Inc........................... 328,019 11,077,202 0.2%
Prologis, Inc............................................. 861,707 39,130,115 0.9%
Public Storage............................................ 240,944 58,985,501 1.3%
Realty Income Corp........................................ 436,847 25,861,342 0.6%
Regency Centers Corp...................................... 170,217 12,544,993 0.3%
Senior Housing Properties Trust........................... 448,993 7,893,297 0.2%
Simon Property Group, Inc................................. 540,094 108,650,710 2.4%
SL Green Realty Corp...................................... 174,499 18,336,355 0.4%
Sovran Self Storage, Inc.................................. 73,571 7,814,712 0.2%
Spirit Realty Capital, Inc................................ 898,408 10,268,803 0.2%
Taubman Centers, Inc...................................... 114,953 7,983,486 0.2%
UDR, Inc.................................................. 446,056 15,576,276 0.3%
Ventas, Inc............................................... 548,212 34,054,929 0.8%
VEREIT, Inc............................................... 1,577,576 14,008,875 0.3%
Vornado Realty Trust...................................... 268,043 25,659,756 0.6%
Weingarten Realty Investors............................... 215,370 7,951,460 0.2%
Welltower, Inc............................................ 603,375 41,886,293 0.9%
WP Carey, Inc............................................. 176,193 10,763,630 0.2%
Other Securities.......................................... 275,121,037 6.0%
-------------- ------
TOTAL UNITED STATES............................................. 1,221,596,381 27.3%
-------------- ------
TOTAL COMMON STOCKS............................................. 1,231,519,813 27.5%
-------------- ------
AFFILIATED INVESTMENT COMPANIES -- (71.8%)
UNITED STATES -- (71.8%)
DFA International Real Estate Securities Portfolio of DFA
Investment Dimensions Group Inc.......................... 287,730,253 1,602,657,507 35.8%
DFA Real Estate Securities Portfolio DFA Investment
Dimensions Group Inc..................................... 48,028,299 1,632,481,897 36.5%
-------------- ------
TOTAL UNITED STATES............................................. 3,235,139,404 72.3%
-------------- ------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT
COMPANIES...................................................... 3,235,139,404 72.3%
-------------- ------
TOTAL INVESTMENT SECURITIES..................................... 4,466,659,217
--------------
SECURITIES LENDING COLLATERAL -- (0.8%)
(S)@ DFA Short Term Investment Fund............................ 3,139,358 36,322,371 0.8%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)...................................
(Cost $3,701,762,863)....................................... $4,502,981,588 100.6%
============== ======
57
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2016, 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..................... -- $ 5,136,936 -- $ 5,136,936
Belgium....................... -- 51,749 -- 51,749
Canada........................ $ 594,613 -- -- 594,613
Hong Kong..................... -- 778,767 -- 778,767
Japan......................... -- 734,860 -- 734,860
Mexico........................ 75,865 -- -- 75,865
Netherlands................... -- 2,313,715 -- 2,313,715
South Africa.................. -- 176,274 -- 176,274
Taiwan........................ -- 12,151 -- 12,151
Turkey........................ -- 35,993 -- 35,993
United Kingdom................ -- 12,509 -- 12,509
United States................. 1,221,596,381 -- -- 1,221,596,381
Affiliated Investment Companies
United States................. 3,235,139,404 -- -- 3,235,139,404
Securities Lending Collateral... -- 36,322,371 -- 36,322,371
-------------- ----------- -- --------------
TOTAL........................... $4,457,406,263 $45,575,325 -- $4,502,981,588
============== =========== == ==============
See accompanying Notes to Financial Statements.
58
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2016
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (90.4%)
AUSTRALIA -- (6.6%)
BlueScope Steel, Ltd........ 13,979,123 $ 68,250,911 0.5%
Treasury Wine Estates, Ltd.. 5,703,502 40,159,778 0.3%
Other Securities............ 812,284,584 6.4%
-------------- ----
TOTAL AUSTRALIA................. 920,695,273 7.2%
-------------- ----
AUSTRIA -- (1.0%)
Wienerberger AG............. 2,705,234 53,432,915 0.4%
Other Securities............ 85,832,556 0.7%
-------------- ----
TOTAL AUSTRIA................... 139,265,471 1.1%
-------------- ----
BELGIUM -- (1.2%)
Other Securities............ 173,769,800 1.3%
-------------- ----
CANADA -- (7.9%)
* New Gold, Inc............... 8,344,810 39,239,961 0.3%
# Precision Drilling Corp..... 9,215,142 47,812,684 0.4%
RONA, Inc................... 2,992,633 56,957,102 0.5%
Other Securities............ 959,467,405 7.4%
-------------- ----
TOTAL CANADA.................... 1,103,477,152 8.6%
-------------- ----
CHINA -- (0.0%)
Other Securities............ 1,860,319 0.0%
-------------- ----
DENMARK -- (1.5%)
Sydbank A.S................. 1,319,462 37,320,928 0.3%
Other Securities............ 170,611,641 1.3%
-------------- ----
TOTAL DENMARK................... 207,932,569 1.6%
-------------- ----
FINLAND -- (2.5%)
# Huhtamaki Oyj............... 1,164,372 45,800,624 0.4%
# Kesko Oyj Class B........... 1,468,229 58,726,912 0.5%
Neste Oyj................... 1,254,581 40,202,465 0.3%
Other Securities............ 197,561,569 1.5%
-------------- ----
TOTAL FINLAND................... 342,291,570 2.7%
-------------- ----
FRANCE -- (4.3%)
Arkema SA................... 1,008,246 80,474,640 0.6%
* Nexans SA................... 866,187 40,296,430 0.3%
Rexel SA.................... 3,309,555 50,181,373 0.4%
Other Securities............ 428,467,073 3.4%
-------------- ----
TOTAL FRANCE.................... 599,419,516 4.7%
-------------- ----
GERMANY -- (6.6%)
Aareal Bank AG.............. 1,784,257 63,519,777 0.5%
Aurubis AG.................. 1,319,350 71,701,614 0.6%
# Bilfinger SE................ 854,798 37,314,001 0.3%
DMG Mori AG................. 1,252,749 60,056,008 0.5%
Lanxess AG.................. 1,559,962 81,694,612 0.6%
Osram Licht AG.............. 1,020,295 53,278,697 0.4%
Rheinmetall AG.............. 1,098,284 86,047,463 0.7%
59
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
GERMANY-- (Continued)
# Salzgitter AG......................... 1,341,069 $ 45,458,158 0.4%
Other Securities...................... 428,521,889 3.2%
-------------- -----
TOTAL GERMANY............................. 927,592,219 7.2%
-------------- -----
GREECE -- (0.0%)
Other Securities...................... 1,967 0.0%
-------------- -----
HONG KONG -- (2.7%)
Other Securities...................... 379,871,260 2.9%
-------------- -----
IRELAND -- (0.4%)
Smurfit Kappa Group P.L.C............. 1,403,675 37,258,397 0.3%
Other Securities...................... 17,794,896 0.1%
-------------- -----
TOTAL IRELAND............................. 55,053,293 0.4%
-------------- -----
ISRAEL -- (0.6%)
Other Securities...................... 81,041,593 0.6%
-------------- -----
ITALY -- (3.8%)
Banca Popolare dell'Emilia Romagna SC. 13,881,994 81,398,005 0.6%
Banca Popolare di Milano Scarl........ 138,471,503 105,380,530 0.8%
# Italcementi SpA....................... 3,958,034 46,967,470 0.4%
Unipol Gruppo Finanziario SpA......... 12,426,970 53,353,095 0.4%
Other Securities...................... 246,264,355 1.9%
-------------- -----
TOTAL ITALY............................... 533,363,455 4.1%
-------------- -----
JAPAN -- (21.9%)
Other Securities...................... 3,062,570,517 23.8%
-------------- -----
NETHERLANDS -- (2.5%)
# APERAM SA............................. 1,781,789 70,144,486 0.5%
# SBM Offshore NV....................... 4,637,830 62,121,030 0.5%
Other Securities...................... 213,093,393 1.7%
-------------- -----
TOTAL NETHERLANDS......................... 345,358,909 2.7%
-------------- -----
NEW ZEALAND -- (0.5%)
Other Securities...................... 74,910,799 0.6%
-------------- -----
NORWAY -- (0.7%)
Other Securities...................... 90,946,238 0.7%
-------------- -----
PORTUGAL -- (0.3%)
Other Securities...................... 38,743,109 0.3%
-------------- -----
SINGAPORE -- (1.4%)
Other Securities...................... 188,858,413 1.5%
-------------- -----
SPAIN -- (2.6%)
Acciona SA............................ 645,432 51,796,874 0.4%
Gamesa Corp. Tecnologica SA........... 3,555,091 70,205,768 0.6%
Other Securities...................... 234,347,197 1.8%
-------------- -----
TOTAL SPAIN............................... 356,349,839 2.8%
-------------- -----
SWEDEN -- (3.1%)
BillerudKorsnas AB.................... 2,623,293 40,795,656 0.3%
Holmen AB Class B..................... 1,365,261 47,077,595 0.4%
60
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
SWEDEN -- (Continued)
Saab AB Class B.......... 1,160,690 $ 39,756,280 0.3%
Other Securities......... 303,665,024 2.4%
--------------- -----
TOTAL SWEDEN................. 431,294,555 3.4%
--------------- -----
SWITZERLAND -- (4.2%)
Baloise Holding AG....... 422,896 52,420,679 0.4%
Helvetia Holding AG...... 179,222 96,527,152 0.8%
Other Securities......... 438,886,273 3.4%
--------------- -----
TOTAL SWITZERLAND............ 587,834,104 4.6%
--------------- -----
UNITED KINGDOM -- (14.1%)
Beazley P.L.C............ 13,185,017 62,843,812 0.5%
Bellway P.L.C............ 3,313,114 118,633,480 0.9%
Bodycote P.L.C........... 5,105,659 44,570,730 0.4%
Bovis Homes Group P.L.C.. 3,964,970 50,603,237 0.4%
# Carillion P.L.C.......... 9,049,319 38,949,681 0.3%
Centamin P.L.C........... 20,804,556 36,790,691 0.3%
DS Smith P.L.C........... 8,524,227 47,542,090 0.4%
Greene King P.L.C........ 6,891,783 82,480,955 0.6%
Hiscox, Ltd.............. 7,439,820 98,062,344 0.8%
Home Retail Group P.L.C.. 17,574,564 43,867,693 0.3%
Inchcape P.L.C........... 7,454,059 73,936,863 0.6%
John Wood Group P.L.C.... 5,984,911 54,750,403 0.4%
Man Group P.L.C.......... 26,341,969 56,977,144 0.5%
Persimmon P.L.C.......... 2,092,699 60,868,415 0.5%
Taylor Wimpey P.L.C...... 21,266,727 57,368,195 0.5%
Other Securities......... 1,045,519,277 8.0%
--------------- -----
TOTAL UNITED KINGDOM......... 1,973,765,010 15.4%
--------------- -----
UNITED STATES -- (0.0%)
Other Securities......... 89,418 0.0%
--------------- -----
TOTAL COMMON STOCKS.......... 12,616,356,368 98.2%
--------------- -----
PREFERRED STOCKS -- (0.1%)
GERMANY -- (0.1%)
Other Securities......... 5,511,315 0.0%
--------------- -----
TOTAL PREFERRED STOCKS....... 5,511,315 0.0%
--------------- -----
RIGHTS/WARRANTS -- (0.0%)
AUSTRIA -- (0.0%)
Other Securities......... -- 0.0%
--------------- -----
GERMANY -- (0.0%)
Other Securities......... 31,085 0.0%
--------------- -----
HONG KONG -- (0.0%)
Other Securities......... 45,228 0.0%
--------------- -----
NORWAY -- (0.0%)
Other Securities......... -- 0.0%
--------------- -----
SINGAPORE -- (0.0%)
Other Securities......... 472,996 0.0%
--------------- -----
TOTAL RIGHTS/WARRANTS........ 549,309 0.0%
--------------- -----
TOTAL INVESTMENT SECURITIES.. 12,622,416,992
---------------
61
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
SECURITIES LENDING COLLATERAL -- (9.5%)
(S)@ DFA Short Term Investment Fund.. 114,916,154 $ 1,329,579,905 10.4%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $12,925,033,172)............. $13,951,996,897 108.6%
=============== ======
Summary of the Portfolio's investments as of April 30, 2016, 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................... -- $ 920,695,273 -- $ 920,695,273
Austria..................... -- 139,265,471 -- 139,265,471
Belgium..................... -- 173,769,800 -- 173,769,800
Canada...................... $1,102,859,801 617,351 -- 1,103,477,152
China....................... -- 1,860,319 -- 1,860,319
Denmark..................... -- 207,932,569 -- 207,932,569
Finland..................... -- 342,291,570 -- 342,291,570
France...................... -- 599,419,516 -- 599,419,516
Germany..................... -- 927,592,219 -- 927,592,219
Greece...................... -- 1,967 -- 1,967
Hong Kong................... 2,406,667 377,464,593 -- 379,871,260
Ireland..................... -- 55,053,293 -- 55,053,293
Israel...................... -- 81,041,593 -- 81,041,593
Italy....................... -- 533,363,455 -- 533,363,455
Japan....................... 15,694,545 3,046,875,972 -- 3,062,570,517
Netherlands................. -- 345,358,909 -- 345,358,909
New Zealand................. -- 74,910,799 -- 74,910,799
Norway...................... -- 90,946,238 -- 90,946,238
Portugal.................... -- 38,743,109 -- 38,743,109
Singapore................... -- 188,858,413 -- 188,858,413
Spain....................... 181,646 356,168,193 -- 356,349,839
Sweden...................... -- 431,294,555 -- 431,294,555
Switzerland................. 574,291 587,259,813 -- 587,834,104
United Kingdom.............. -- 1,973,765,010 -- 1,973,765,010
United States............... 89,418 -- -- 89,418
Preferred Stocks
Germany..................... -- 5,511,315 -- 5,511,315
Rights/Warrants
Austria..................... -- -- -- --
Germany..................... -- 31,085 -- 31,085
Hong Kong................... -- 45,228 -- 45,228
Norway...................... -- -- -- --
Singapore................... -- 472,996 -- 472,996
Securities Lending Collateral. -- 1,329,579,905 -- 1,329,579,905
Futures Contracts**........... 5,699,896 -- -- 5,699,896
Forward Currency Contracts**.. -- (1,201) -- (1,201)
-------------- --------------- -- ---------------
TOTAL......................... $1,127,506,264 $12,830,189,328 -- $13,957,695,592
============== =============== == ===============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
62
INTERNATIONAL VECTOR EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2016
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (89.7%)
AUSTRALIA -- (6.0%)
Australia & New Zealand Banking Group, Ltd.. 214,260 $ 3,927,369 0.2%
BHP Billiton, Ltd........................... 314,531 4,912,011 0.3%
Macquarie Group, Ltd........................ 83,903 4,019,372 0.2%
Woodside Petroleum, Ltd..................... 226,867 4,857,222 0.3%
Other Securities............................ 98,704,796 5.6%
------------ ----
TOTAL AUSTRALIA................................. 116,420,770 6.6%
------------ ----
AUSTRIA -- (0.6%)
Other Securities............................ 11,208,001 0.6%
------------ ----
BELGIUM -- (1.8%)
Ageas....................................... 83,970 3,299,740 0.2%
Anheuser-Busch InBev NV..................... 27,589 3,422,522 0.2%
Delhaize Group.............................. 43,074 4,526,415 0.3%
# Umicore SA.................................. 56,575 2,824,199 0.2%
Other Securities............................ 21,692,128 1.1%
------------ ----
TOTAL BELGIUM................................... 35,765,004 2.0%
------------ ----
CANADA -- (7.9%)
* Kinross Gold Corp........................... 601,124 3,425,549 0.2%
Suncor Energy, Inc.......................... 139,453 4,093,441 0.3%
Other Securities............................ 145,373,036 8.2%
------------ ----
TOTAL CANADA.................................... 152,892,026 8.7%
------------ ----
CHINA -- (0.0%)
Other Securities............................ 360,059 0.0%
------------ ----
DENMARK -- (1.8%)
Novo Nordisk A.S. Class B................... 52,427 2,927,228 0.2%
Other Securities............................ 31,430,502 1.8%
------------ ----
TOTAL DENMARK................................... 34,357,730 2.0%
------------ ----
FINLAND -- (1.9%)
UPM-Kymmene Oyj............................. 273,652 5,238,266 0.3%
Other Securities............................ 31,782,870 1.8%
------------ ----
TOTAL FINLAND................................... 37,021,136 2.1%
------------ ----
FRANCE -- (5.9%)
# AXA SA...................................... 110,215 2,782,885 0.2%
BNP Paribas SA.............................. 73,561 3,895,712 0.2%
Cie de Saint-Gobain......................... 110,562 5,066,231 0.3%
Sanofi...................................... 34,442 2,838,936 0.2%
# Technip SA.................................. 50,974 2,987,590 0.2%
Total SA.................................... 240,139 12,136,816 0.7%
Other Securities............................ 84,649,422 4.7%
------------ ----
TOTAL FRANCE.................................... 114,357,592 6.5%
------------ ----
GERMANY -- (5.5%)
Allianz SE.................................. 25,753 4,381,303 0.3%
BASF SE..................................... 38,075 3,149,975 0.2%
Bayerische Motoren Werke AG................. 33,040 3,056,648 0.2%
63
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
GERMANY -- (Continued)
Daimler AG........................... 89,896 $ 6,263,651 0.4%
E.ON SE.............................. 393,681 4,080,177 0.2%
Other Securities..................... 86,068,552 4.8%
------------ -----
TOTAL GERMANY............................ 107,000,306 6.1%
------------ -----
HONG KONG -- (2.7%)
Other Securities..................... 52,371,165 3.0%
------------ -----
IRELAND -- (0.5%)
Other Securities..................... 10,489,734 0.6%
------------ -----
ISRAEL -- (0.7%)
Other Securities..................... 13,106,771 0.7%
------------ -----
ITALY -- (2.7%)
Assicurazioni Generali SpA........... 290,493 4,441,519 0.3%
Eni SpA.............................. 211,731 3,459,035 0.2%
Other Securities..................... 43,555,555 2.4%
------------ -----
TOTAL ITALY.............................. 51,456,109 2.9%
------------ -----
JAPAN -- (20.9%)
Aeon Co., Ltd........................ 193,419 2,898,461 0.2%
Honda Motor Co., Ltd................. 108,123 2,917,782 0.2%
Mitsubishi UFJ Financial Group, Inc.. 817,300 3,771,686 0.2%
Toyota Motor Corp. Sponsored ADR..... 36,827 3,745,306 0.2%
Other Securities..................... 392,945,517 22.3%
------------ -----
TOTAL JAPAN.............................. 406,278,752 23.1%
------------ -----
NETHERLANDS -- (2.7%)
ING Groep NV......................... 227,723 2,790,385 0.2%
Koninklijke DSM NV................... 71,745 4,403,461 0.3%
Other Securities..................... 44,776,969 2.5%
------------ -----
TOTAL NETHERLANDS........................ 51,970,815 3.0%
------------ -----
NEW ZEALAND -- (0.5%)
Other Securities..................... 9,520,443 0.5%
------------ -----
NORWAY -- (0.8%)
Other Securities..................... 16,158,737 0.9%
------------ -----
PORTUGAL -- (0.3%)
Other Securities..................... 5,648,473 0.3%
------------ -----
SINGAPORE -- (1.1%)
Other Securities..................... 21,756,485 1.2%
------------ -----
SPAIN -- (2.2%)
Banco Santander SA................... 853,014 4,331,877 0.3%
Other Securities..................... 38,003,601 2.1%
------------ -----
TOTAL SPAIN.............................. 42,335,478 2.4%
------------ -----
SWEDEN -- (2.7%)
Other Securities..................... 51,922,528 3.0%
------------ -----
64
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
SWITZERLAND -- (6.2%)
Baloise Holding AG.............................. 24,834 $ 3,078,334 0.2%
Clariant AG..................................... 182,599 3,459,625 0.2%
Flughafen Zuerich AG............................ 3,315 3,045,379 0.2%
Lonza Group AG.................................. 20,074 3,348,107 0.2%
Nestle SA....................................... 110,012 8,211,257 0.5%
Novartis AG..................................... 52,784 4,016,979 0.2%
Novartis AG Sponsored ADR....................... 73,269 5,566,246 0.3%
Swiss Life Holding AG........................... 12,759 3,226,963 0.2%
Swiss Re AG..................................... 45,227 4,019,710 0.2%
Other Securities................................ 83,165,711 4.7%
-------------- -----
TOTAL SWITZERLAND................................... 121,138,311 6.9%
-------------- -----
UNITED KINGDOM -- (14.3%)
Barratt Developments P.L.C...................... 426,314 3,319,876 0.2%
BP P.L.C. Sponsored ADR......................... 289,506 9,721,617 0.6%
HSBC Holdings P.L.C. Sponsored ADR.............. 225,279 7,508,549 0.4%
J Sainsbury P.L.C............................... 683,557 2,892,001 0.2%
Royal Dutch Shell P.L.C. Sponsored ADR, Class A. 142,317 7,527,151 0.4%
Royal Dutch Shell P.L.C. Sponsored ADR, Class B. 113,939 6,078,646 0.4%
Vodafone Group P.L.C............................ 935,888 3,015,279 0.2%
Vodafone Group P.L.C. Sponsored ADR............. 142,624 4,669,516 0.3%
# WM Morrison Supermarkets P.L.C.................. 1,327,157 3,713,504 0.2%
Other Securities................................ 228,878,663 12.8%
-------------- -----
TOTAL UNITED KINGDOM................................ 277,324,802 15.7%
-------------- -----
TOTAL COMMON STOCKS................................. 1,740,861,227 98.8%
-------------- -----
PREFERRED STOCKS -- (0.3%)
GERMANY -- (0.3%)
Other Securities................................ 6,400,476 0.4%
-------------- -----
UNITED KINGDOM -- (0.0%)
Other Securities................................ 791 0.0%
-------------- -----
TOTAL PREFERRED STOCKS.............................. 6,401,267 0.4%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities................................ 5 0.0%
-------------- -----
AUSTRIA -- (0.0%)
Other Securities................................ -- 0.0%
-------------- -----
GERMANY -- (0.0%)
Other Securities................................ 1,106 0.0%
-------------- -----
HONG KONG -- (0.0%)
Other Securities................................ 3,424 0.0%
-------------- -----
NORWAY -- (0.0%)
Other Securities................................ -- 0.0%
-------------- -----
SINGAPORE -- (0.0%)
Other Securities................................ 25,005 0.0%
-------------- -----
65
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
SWEDEN -- (0.0%)
Other Securities................ $ 4,448 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS................... 33,988 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES............. 1,747,296,482
--------------
Value+
- ------
SECURITIES LENDING COLLATERAL -- (10.0%)
(S)@ DFA Short Term Investment Fund.. 16,695,254 193,164,090 11.0%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,869,019,904) $1,940,460,572 110.2%
============== ======
Summary of the Portfolio's investments as of April 30, 2016, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
--------------------------------------------------
Level 1 Level 2 Level 3 Total
------------ -------------- ------- --------------
Common Stocks
Australia................... $ 2,616,470 $ 113,804,300 -- $ 116,420,770
Austria..................... -- 11,208,001 -- 11,208,001
Belgium..................... 1,559,858 34,205,146 -- 35,765,004
Canada...................... 152,856,522 35,504 -- 152,892,026
China....................... -- 360,059 -- 360,059
Denmark..................... 716 34,357,014 -- 34,357,730
Finland..................... -- 37,021,136 -- 37,021,136
France...................... 478,208 113,879,384 -- 114,357,592
Germany..................... 3,107,345 103,892,961 -- 107,000,306
Hong Kong................... 346,043 52,025,122 -- 52,371,165
Ireland..................... 2,005,795 8,483,939 -- 10,489,734
Israel...................... 2,542,040 10,564,731 -- 13,106,771
Italy....................... 571,572 50,884,537 -- 51,456,109
Japan....................... 8,545,691 397,733,061 -- 406,278,752
Netherlands................. 4,903,846 47,066,969 -- 51,970,815
New Zealand................. 6,329 9,514,114 -- 9,520,443
Norway...................... 716,257 15,442,480 -- 16,158,737
Portugal.................... -- 5,648,473 -- 5,648,473
Singapore................... 4,343 21,752,142 -- 21,756,485
Spain....................... 2,556,694 39,778,784 -- 42,335,478
Sweden...................... 273,054 51,649,474 -- 51,922,528
Switzerland................. 10,062,622 111,075,689 -- 121,138,311
United Kingdom.............. 52,256,035 225,068,767 -- 277,324,802
Preferred Stocks
Germany..................... -- 6,400,476 -- 6,400,476
United Kingdom.............. -- 791 -- 791
Rights/Warrants
Australia................... -- 5 -- 5
Austria..................... -- -- -- --
Germany..................... -- 1,106 -- 1,106
Hong Kong................... -- 3,424 -- 3,424
Norway...................... -- -- -- --
Singapore................... -- 25,005 -- 25,005
Sweden...................... -- 4,448 -- 4,448
Securities Lending Collateral. -- 193,164,090 -- 193,164,090
------------ -------------- -- --------------
TOTAL......................... $245,409,440 $1,695,051,132 -- $1,940,460,572
============ ============== == ==============
See accompanying Notes to Financial Statements.
66
WORLD EX U.S. VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2016
(Unaudited)
Shares Value+
--------- ------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The DFA International Value Series of
The DFA Investment Trust Company........................ $120,762,084
Investment in Dimensional Emerging Markets Value Fund..... 42,158,597
Investment in DFA International Small Cap Value Portfolio
DFA Investment Dimensions Group Inc..................... 1,120,881 21,386,406
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $190,686,820).................................. 184,307,087
============
Summary of the portfolio's investments as of April 30, 2016, 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. $184,307,087 -- -- $184,307,087
------------ -- -- ------------
TOTAL........................... $184,307,087 -- -- $184,307,087
============ == == ============
See accompanying Notes to Financial Statements.
67
WORLD EX U.S. TARGETED VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2016
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (97.3%)
AUSTRALIA -- (5.5%)
Incitec Pivot, Ltd........... 229,347 $ 557,343 0.2%
Santos, Ltd.................. 204,830 737,899 0.3%
Other Securities............. 12,427,121 5.0%
----------- ----
TOTAL AUSTRALIA.................. 13,722,363 5.5%
----------- ----
AUSTRIA -- (0.8%)
OMV AG....................... 23,148 696,524 0.3%
Other Securities............. 1,237,066 0.5%
----------- ----
TOTAL AUSTRIA.................... 1,933,590 0.8%
----------- ----
BELGIUM -- (1.1%)
Ageas........................ 28,003 1,100,427 0.4%
Solvay SA.................... 6,658 674,526 0.3%
Other Securities............. 1,065,259 0.4%
----------- ----
TOTAL BELGIUM.................... 2,840,212 1.1%
----------- ----
BRAZIL -- (1.1%)
Kroton Educacional SA........ 178,300 663,587 0.3%
Other Securities............. 1,981,364 0.8%
----------- ----
TOTAL BRAZIL..................... 2,644,951 1.1%
----------- ----
CANADA -- (6.6%)
* Kinross Gold Corp............ 119,643 681,794 0.3%
Teck Resources, Ltd. Class B. 48,198 590,039 0.2%
Yamana Gold, Inc............. 140,071 694,382 0.3%
Other Securities............. 14,594,386 5.9%
----------- ----
TOTAL CANADA..................... 16,560,601 6.7%
----------- ----
CHILE -- (0.2%)
Other Securities............. 527,229 0.2%
----------- ----
CHINA -- (5.7%)
Other Securities............. 14,358,061 5.8%
----------- ----
COLOMBIA -- (0.0%)
Other Securities............. 125,227 0.1%
----------- ----
DENMARK -- (1.3%)
Other Securities............. 3,238,837 1.3%
----------- ----
FINLAND -- (1.9%)
Neste Oyj.................... 17,647 565,490 0.2%
Stora Enso Oyj Class R....... 70,796 618,976 0.3%
UPM-Kymmene Oyj.............. 72,885 1,395,170 0.6%
Other Securities............. 2,192,234 0.8%
----------- ----
TOTAL FINLAND.................... 4,771,870 1.9%
----------- ----
FRANCE -- (4.1%)
Arkema SA.................... 9,229 736,626 0.3%
SCOR SE...................... 23,193 790,085 0.3%
Technip SA................... 14,725 863,033 0.4%
68
WORLD EX U.S. TARGETED VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
FRANCE -- (Continued)
Other Securities...................... $ 7,801,483 3.1%
----------- -----
TOTAL FRANCE.............................. 10,191,227 4.1%
----------- -----
GERMANY -- (4.8%)
Lanxess AG............................ 11,884 622,360 0.3%
Osram Licht AG........................ 10,639 555,557 0.2%
Rheinmetall AG........................ 8,438 661,094 0.3%
* RWE AG................................ 39,393 590,209 0.3%
ThyssenKrupp AG....................... 24,717 575,951 0.2%
Other Securities...................... 9,036,196 3.5%
----------- -----
TOTAL GERMANY............................. 12,041,367 4.8%
----------- -----
HONG KONG -- (2.0%)
Other Securities...................... 5,109,809 2.1%
----------- -----
INDIA -- (2.4%)
Other Securities...................... 5,979,674 2.4%
----------- -----
INDONESIA -- (0.6%)
Other Securities...................... 1,570,865 0.6%
----------- -----
IRELAND -- (0.5%)
Smurfit Kappa Group P.L.C............. 34,342 911,556 0.4%
Other Securities...................... 290,531 0.1%
----------- -----
TOTAL IRELAND............................. 1,202,087 0.5%
----------- -----
ISRAEL -- (0.5%)
Other Securities...................... 1,347,339 0.5%
----------- -----
ITALY -- (2.6%)
Banca Popolare dell'Emilia Romagna SC. 99,170 581,490 0.3%
Banca Popolare di Milano Scarl........ 961,134 731,449 0.3%
Unione di Banche Italiane SpA......... 148,196 629,922 0.3%
Other Securities...................... 4,486,531 1.7%
----------- -----
TOTAL ITALY............................... 6,429,392 2.6%
----------- -----
JAPAN -- (16.5%)
Other Securities...................... 41,470,577 16.7%
----------- -----
MALAYSIA -- (0.9%)
Other Securities...................... 2,288,089 0.9%
----------- -----
MEXICO -- (1.1%)
* Cemex S.A.B. de C.V................... 905,937 672,950 0.3%
Other Securities...................... 2,076,737 0.8%
----------- -----
TOTAL MEXICO.............................. 2,749,687 1.1%
----------- -----
NETHERLANDS -- (1.3%)
APERAM SA............................. 14,890 586,181 0.2%
Koninklijke DSM NV.................... 11,507 706,260 0.3%
Other Securities...................... 2,084,049 0.9%
----------- -----
TOTAL NETHERLANDS......................... 3,376,490 1.4%
----------- -----
NEW ZEALAND -- (0.7%)
Other Securities...................... 1,688,650 0.7%
----------- -----
69
WORLD EX U.S. TARGETED VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
NORWAY -- (0.8%)
Other Securities...................... $ 1,912,139 0.8%
----------- ----
PHILIPPINES -- (0.2%)
Other Securities...................... 594,111 0.2%
----------- ----
POLAND -- (0.3%)
Other Securities...................... 762,815 0.3%
----------- ----
PORTUGAL -- (0.3%)
Other Securities...................... 684,938 0.3%
----------- ----
SINGAPORE -- (0.8%)
Other Securities...................... 2,025,503 0.8%
----------- ----
SOUTH AFRICA -- (2.0%)
* AngloGold Ashanti, Ltd. Sponsored ADR. 47,956 788,876 0.3%
Other Securities...................... 4,341,721 1.8%
----------- ----
TOTAL SOUTH AFRICA........................ 5,130,597 2.1%
----------- ----
SOUTH KOREA -- (5.8%)
Other Securities...................... 14,594,159 5.9%
----------- ----
SPAIN -- (1.6%)
Banco de Sabadell SA.................. 368,761 706,578 0.3%
Other Securities...................... 3,407,941 1.4%
----------- ----
TOTAL SPAIN............................... 4,114,519 1.7%
----------- ----
SWEDEN -- (2.0%)
Other Securities...................... 5,054,997 2.0%
----------- ----
SWITZERLAND -- (3.7%)
Baloise Holding AG.................... 6,236 772,992 0.3%
* Dufry AG.............................. 4,813 634,439 0.3%
Helvetia Holding AG................... 1,207 650,078 0.3%
Swiss Life Holding AG................. 4,696 1,187,697 0.5%
Other Securities...................... 5,948,071 2.3%
----------- ----
TOTAL SWITZERLAND......................... 9,193,277 3.7%
----------- ----
TAIWAN -- (4.0%)
Other Securities...................... 10,094,682 4.1%
----------- ----
THAILAND -- (0.7%)
Other Securities...................... 1,678,671 0.7%
----------- ----
TURKEY -- (0.4%)
Other Securities...................... 1,049,361 0.4%
----------- ----
UNITED KINGDOM -- (12.5%)
Barratt Developments P.L.C............ 91,018 708,793 0.3%
Bellway P.L.C......................... 25,648 918,384 0.4%
Berkeley Group Holdings P.L.C......... 15,152 663,968 0.3%
Direct Line Insurance Group P.L.C..... 174,812 926,087 0.4%
GKN P.L.C............................. 171,282 698,988 0.3%
Greene King P.L.C..................... 51,273 613,636 0.3%
Hiscox, Ltd........................... 55,044 725,521 0.3%
Inchcape P.L.C........................ 64,830 643,049 0.3%
70
WORLD EX U.S. TARGETED VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
UNITED KINGDOM -- (Continued)
Investec P.L.C.................. 76,209 $ 583,609 0.2%
J Sainsbury P.L.C............... 179,895 761,102 0.3%
Johnson Matthey P.L.C........... 24,288 1,026,537 0.4%
Randgold Resources, Ltd......... 11,902 1,188,870 0.5%
Royal Mail P.L.C................ 123,358 878,625 0.4%
RSA Insurance Group P.L.C....... 129,305 868,577 0.4%
Smiths Group P.L.C.............. 49,987 811,208 0.3%
Travis Perkins P.L.C............ 34,083 922,114 0.4%
WM Morrison Supermarkets P.L.C.. 241,087 674,583 0.3%
Other Securities................ 17,710,024 6.8%
------------ ------
TOTAL UNITED KINGDOM................... 31,323,675 12.6%
------------ ------
TOTAL COMMON STOCKS.................... 244,381,638 98.5%
------------ ------
PREFERRED STOCKS -- (0.5%)
BRAZIL -- (0.3%)
Other Securities................ 707,150 0.3%
------------ ------
CHILE -- (0.0%)
Other Securities................ 24,345 0.0%
------------ ------
COLOMBIA -- (0.0%)
Other Securities................ 42,206 0.0%
------------ ------
GERMANY -- (0.2%)
Other Securities................ 450,943 0.2%
------------ ------
TOTAL PREFERRED STOCKS................. 1,224,644 0.5%
------------ ------
RIGHTS/WARRANTS -- (0.0%)
BRAZIL -- (0.0%)
Other Securities................ 493 0.0%
------------ ------
GERMANY -- (0.0%)
Other Securities................ 292 0.0%
------------ ------
HONG KONG -- (0.0%)
Other Securities................ 673 0.0%
------------ ------
NORWAY -- (0.0%)
Other Securities................ -- 0.0%
------------ ------
SINGAPORE -- (0.0%)
Other Securities................ 4,097 0.0%
------------ ------
THAILAND -- (0.0%)
Other Securities................ 26,261 0.0%
------------ ------
TOTAL RIGHTS/WARRANTS.................. 31,816 0.0%
------------ ------
TOTAL INVESTMENT SECURITIES............ 245,638,098
------------
Value+
------
SECURITIES LENDING COLLATERAL -- (2.2%)
(S)@ DFA Short Term Investment Fund.. 484,106 $ 5,601,103 2.3%
------------ ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $239,178,634)................ $251,239,201 101.3%
============ ======
71
WORLD EX U.S. TARGETED VALUE PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2016, 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................... -- $ 13,722,363 -- $ 13,722,363
Austria..................... -- 1,933,590 -- 1,933,590
Belgium..................... -- 2,840,212 -- 2,840,212
Brazil...................... $ 2,644,951 -- -- 2,644,951
Canada...................... 16,560,601 -- -- 16,560,601
Chile....................... 155,985 371,244 -- 527,229
China....................... -- 14,358,061 -- 14,358,061
Colombia.................... 125,227 -- -- 125,227
Denmark..................... -- 3,238,837 -- 3,238,837
Finland..................... -- 4,771,870 -- 4,771,870
France...................... -- 10,191,227 -- 10,191,227
Germany..................... -- 12,041,367 -- 12,041,367
Hong Kong................... 30,568 5,079,241 -- 5,109,809
India....................... -- 5,979,674 -- 5,979,674
Indonesia................... -- 1,570,865 -- 1,570,865
Ireland..................... -- 1,202,087 -- 1,202,087
Israel...................... -- 1,347,339 -- 1,347,339
Italy....................... -- 6,429,392 -- 6,429,392
Japan....................... 65,134 41,405,443 -- 41,470,577
Malaysia.................... -- 2,288,089 -- 2,288,089
Mexico...................... 2,749,687 -- -- 2,749,687
Netherlands................. -- 3,376,490 -- 3,376,490
New Zealand................. -- 1,688,650 -- 1,688,650
Norway...................... -- 1,912,139 -- 1,912,139
Philippines................. -- 594,111 -- 594,111
Poland...................... -- 762,815 -- 762,815
Portugal.................... -- 684,938 -- 684,938
Singapore................... -- 2,025,503 -- 2,025,503
South Africa................ 1,434,666 3,695,931 -- 5,130,597
South Korea................. -- 14,594,159 -- 14,594,159
Spain....................... 14,111 4,100,408 -- 4,114,519
Sweden...................... -- 5,054,997 -- 5,054,997
Switzerland................. 86,163 9,107,114 -- 9,193,277
Taiwan...................... -- 10,094,682 -- 10,094,682
Thailand.................... 1,678,671 -- -- 1,678,671
Turkey...................... -- 1,049,361 -- 1,049,361
United Kingdom.............. -- 31,323,675 -- 31,323,675
Preferred Stocks
Brazil...................... 707,150 -- -- 707,150
Chile....................... -- 24,345 -- 24,345
Colombia.................... 42,206 -- -- 42,206
Germany..................... -- 450,943 -- 450,943
Rights/Warrants
Brazil...................... -- 493 -- 493
Germany..................... -- 292 -- 292
Hong Kong................... -- 673 -- 673
Norway...................... -- -- -- --
Singapore................... -- 4,097 -- 4,097
Thailand.................... -- 26,261 -- 26,261
Securities Lending Collateral. -- 5,601,103 -- 5,601,103
Forward Currency Contracts**.. -- 9 -- 9
----------- ------------ -- ------------
TOTAL......................... $26,295,120 $224,944,090 -- $251,239,210
=========== ============ == ============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
72
WORLD EX U.S. CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2016
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (91.2%)
AUSTRALIA -- (4.6%)
Australia & New Zealand Banking Group, Ltd.......... 155,652 $ 2,853,089 0.2%
BHP Billiton, Ltd................................... 207,411 3,239,125 0.2%
Commonwealth Bank of Australia...................... 42,958 2,398,217 0.2%
National Australia Bank, Ltd........................ 157,323 3,227,643 0.2%
# Westpac Banking Corp................................ 191,634 4,498,328 0.3%
Other Securities.................................... 56,252,441 3.8%
----------- ----
TOTAL AUSTRALIA......................................... 72,468,843 4.9%
----------- ----
AUSTRIA -- (0.4%)
Other Securities.................................... 7,037,381 0.5%
----------- ----
BELGIUM -- (1.2%)
Anheuser-Busch InBev NV............................. 39,170 4,859,190 0.3%
Other Securities.................................... 13,385,834 0.9%
----------- ----
TOTAL BELGIUM........................................... 18,245,024 1.2%
----------- ----
BRAZIL -- (1.3%)
Other Securities.................................... 19,849,306 1.4%
----------- ----
CANADA -- (5.8%)
Canadian Natural Resources, Ltd..................... 71,701 2,152,464 0.2%
Royal Bank of Canada................................ 64,900 4,031,588 0.3%
Other Securities.................................... 86,419,197 5.8%
----------- ----
TOTAL CANADA............................................ 92,603,249 6.3%
----------- ----
CHILE -- (0.2%)
Other Securities.................................... 3,784,738 0.3%
----------- ----
CHINA -- (4.5%)
China Construction Bank Corp. Class H............... 6,088,000 3,866,653 0.3%
China Mobile, Ltd. Sponsored ADR.................... 39,357 2,263,815 0.2%
Industrial & Commercial Bank of China, Ltd. Class H. 4,742,000 2,538,871 0.2%
Other Securities.................................... 63,004,471 4.2%
----------- ----
TOTAL CHINA............................................. 71,673,810 4.9%
----------- ----
COLOMBIA -- (0.1%)
Other Securities.................................... 1,212,413 0.1%
----------- ----
CZECH REPUBLIC -- (0.0%)
Other Securities.................................... 292,472 0.0%
----------- ----
DENMARK -- (1.4%)
Novo Nordisk A.S. Class B........................... 52,084 2,908,076 0.2%
Other Securities.................................... 18,648,196 1.3%
----------- ----
TOTAL DENMARK........................................... 21,556,272 1.5%
----------- ----
EGYPT -- (0.0%)
Other Securities.................................... 117,060 0.0%
----------- ----
73
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
FINLAND -- (1.2%)
UPM-Kymmene Oyj.................................... 130,315 $ 2,494,499 0.2%
Other Securities................................... 16,433,755 1.1%
----------- ----
TOTAL FINLAND.......................................... 18,928,254 1.3%
----------- ----
FRANCE -- (5.0%)
Cie de Saint-Gobain................................ 49,612 2,273,348 0.2%
Cie Generale des Etablissements Michelin........... 23,605 2,465,543 0.2%
# Sanofi............................................. 35,579 2,932,655 0.2%
Total SA........................................... 185,779 9,389,419 0.6%
Other Securities................................... 62,784,584 4.2%
----------- ----
TOTAL FRANCE........................................... 79,845,549 5.4%
----------- ----
GERMANY -- (4.9%)
Allianz SE......................................... 15,044 2,559,404 0.2%
BASF SE............................................ 63,703 5,270,200 0.4%
Bayerische Motoren Werke AG........................ 37,367 3,456,954 0.2%
Daimler AG......................................... 84,976 5,920,842 0.4%
Deutsche Telekom AG................................ 206,421 3,623,396 0.3%
E.ON SE............................................ 312,916 3,243,115 0.2%
Other Securities................................... 54,132,557 3.6%
----------- ----
TOTAL GERMANY.......................................... 78,206,468 5.3%
----------- ----
GREECE -- (0.0%)
Other Securities................................... 413,575 0.0%
----------- ----
HONG KONG -- (2.1%)
AIA Group, Ltd..................................... 557,400 3,328,673 0.2%
Other Securities................................... 29,612,084 2.0%
----------- ----
TOTAL HONG KONG........................................ 32,940,757 2.2%
----------- ----
HUNGARY -- (0.1%)
Other Securities................................... 985,664 0.1%
----------- ----
INDIA -- (2.0%)
Other Securities................................... 30,986,814 2.1%
----------- ----
INDONESIA -- (0.5%)
Other Securities................................... 8,001,945 0.5%
----------- ----
IRELAND -- (0.4%)
Other Securities................................... 6,366,244 0.4%
----------- ----
ISRAEL -- (0.5%)
Teva Pharmaceutical Industries, Ltd. Sponsored ADR. 43,337 2,359,700 0.2%
Other Securities................................... 4,853,172 0.3%
----------- ----
TOTAL ISRAEL........................................... 7,212,872 0.5%
----------- ----
ITALY -- (2.0%)
Assicurazioni Generali SpA......................... 164,855 2,520,566 0.2%
Eni SpA............................................ 205,577 3,358,498 0.2%
Other Securities................................... 25,248,498 1.7%
----------- ----
TOTAL ITALY............................................ 31,127,562 2.1%
----------- ----
74
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
JAPAN -- (16.0%)
Hitachi, Ltd....................... 480,000 $ 2,199,468 0.2%
Honda Motor Co., Ltd............... 104,700 2,825,410 0.2%
Nissan Motor Co., Ltd.............. 257,500 2,285,061 0.2%
Toyota Motor Corp.................. 144,900 7,344,938 0.5%
Other Securities................... 239,955,065 16.2%
------------ -----
TOTAL JAPAN............................ 254,609,942 17.3%
------------ -----
MALAYSIA -- (0.7%)
Other Securities................... 10,306,200 0.7%
------------ -----
MEXICO -- (1.0%)
Other Securities................... 15,229,451 1.0%
------------ -----
NETHERLANDS -- (1.9%)
Akzo Nobel NV...................... 33,291 2,365,212 0.2%
Koninklijke DSM NV................. 39,424 2,419,709 0.2%
Other Securities................... 26,065,370 1.7%
------------ -----
TOTAL NETHERLANDS...................... 30,850,291 2.1%
------------ -----
NEW ZEALAND -- (0.4%)
Other Securities................... 6,520,871 0.4%
------------ -----
NORWAY -- (0.6%)
Other Securities................... 9,450,928 0.6%
------------ -----
PERU -- (0.0%)
Other Securities................... 197,442 0.0%
------------ -----
PHILIPPINES -- (0.3%)
Other Securities................... 4,783,606 0.3%
------------ -----
POLAND -- (0.3%)
Other Securities................... 4,579,048 0.3%
------------ -----
PORTUGAL -- (0.2%)
Other Securities................... 3,849,511 0.3%
------------ -----
RUSSIA -- (0.3%)
Other Securities................... 4,072,793 0.3%
------------ -----
SINGAPORE -- (0.8%)
Other Securities................... 12,812,884 0.9%
------------ -----
SOUTH AFRICA -- (1.7%)
Other Securities................... 27,638,548 1.9%
------------ -----
SOUTH KOREA -- (4.0%)
Samsung Electronics Co., Ltd....... 7,245 7,895,823 0.6%
Other Securities................... 55,585,172 3.7%
------------ -----
TOTAL SOUTH KOREA...................... 63,480,995 4.3%
------------ -----
SPAIN -- (1.9%)
Banco Bilbao Vizcaya Argentaria SA. 412,856 2,837,066 0.2%
Banco Santander SA................. 590,578 2,999,146 0.2%
Iberdrola SA....................... 336,198 2,393,306 0.2%
Other Securities................... 22,208,023 1.5%
------------ -----
TOTAL SPAIN............................ 30,437,541 2.1%
------------ -----
75
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
SWEDEN -- (2.1%)
Other Securities....................................... $ 33,483,071 2.3%
-------------- -----
SWITZERLAND -- (4.9%)
ABB, Ltd............................................... 127,841 2,706,428 0.2%
Cie Financiere Richemont SA............................ 43,082 2,872,717 0.2%
Nestle SA.............................................. 188,507 14,070,096 1.0%
Novartis AG............................................ 46,381 3,529,696 0.3%
Roche Holding AG....................................... 11,852 2,998,665 0.2%
Syngenta AG............................................ 8,330 3,341,704 0.2%
Other Securities....................................... 48,954,124 3.2%
-------------- -----
TOTAL SWITZERLAND.......................................... 78,473,430 5.3%
-------------- -----
TAIWAN -- (3.0%)
Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored
ADR................................................... 103,887 2,450,694 0.2%
Other Securities....................................... 45,088,263 3.0%
-------------- -----
TOTAL TAIWAN............................................... 47,538,957 3.2%
-------------- -----
THAILAND -- (0.5%)
Other Securities....................................... 8,346,194 0.6%
-------------- -----
TURKEY -- (0.3%)
Other Securities....................................... 5,352,375 0.4%
-------------- -----
UNITED KINGDOM -- (12.1%)
BP P.L.C. Sponsored ADR................................ 265,854 8,927,373 0.6%
HSBC Holdings P.L.C. Sponsored ADR..................... 143,062 4,768,256 0.3%
Royal Dutch Shell P.L.C. Sponsored ADR, Class A........ 108,253 5,725,526 0.4%
# Royal Dutch Shell P.L.C. Sponsored ADR, Class B........ 67,335 3,592,322 0.3%
SSE P.L.C.............................................. 122,363 2,703,434 0.2%
Vodafone Group P.L.C................................... 1,177,738 3,794,481 0.3%
Other Securities....................................... 162,598,773 11.0%
-------------- -----
TOTAL UNITED KINGDOM....................................... 192,110,165 13.1%
-------------- -----
UNITED STATES -- (0.0%)
Other Securities....................................... 47,390 0.0%
-------------- -----
TOTAL COMMON STOCKS........................................ 1,448,027,905 98.4%
-------------- -----
PREFERRED STOCKS -- (0.8%)
BRAZIL -- (0.5%)
Other Securities....................................... 6,928,936 0.5%
-------------- -----
CHILE -- (0.0%)
Other Securities....................................... 131,925 0.0%
-------------- -----
COLOMBIA -- (0.0%)
Other Securities....................................... 159,976 0.0%
-------------- -----
GERMANY -- (0.3%)
Other Securities....................................... 4,975,263 0.3%
-------------- -----
UNITED KINGDOM -- (0.0%)
Other Securities....................................... 1,092 0.0%
-------------- -----
TOTAL PREFERRED STOCKS..................................... 12,197,192 0.8%
-------------- -----
76
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
RIGHTS/WARRANTS -- (0.0%)
BRAZIL -- (0.0%)
Other Securities................ $ 1,483 0.0%
-------------- ------
GERMANY -- (0.0%)
Other Securities................ 616 0.0%
-------------- ------
SINGAPORE -- (0.0%)
Other Securities................ 7,833 0.0%
-------------- ------
SOUTH KOREA -- (0.0%)
Other Securities................ 6,231 0.0%
-------------- ------
SWEDEN -- (0.0%)
Other Securities................ 7,320 0.0%
-------------- ------
THAILAND -- (0.0%)
Other Securities................ 33,526 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS.................. 57,009 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES............ 1,460,282,106
--------------
Value+
- ------ -
SECURITIES LENDING COLLATERAL -- (8.0%)
(S)@ DFA Short Term Investment Fund.. 10,940,211 126,578,247 8.6%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,632,847,885) $1,586,860,353 107.8%
============== ======
Summary of the Portfolio's investments as of April 30, 2016, 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...... $ 798,326 $71,670,517 -- $72,468,843
Austria........ -- 7,037,381 -- 7,037,381
Belgium........ 550,595 17,694,429 -- 18,245,024
Brazil......... 19,849,306 -- -- 19,849,306
Canada......... 92,592,071 11,178 -- 92,603,249
Chile.......... 934,057 2,850,681 -- 3,784,738
China.......... 4,553,162 67,120,648 -- 71,673,810
Colombia....... 1,210,611 1,802 -- 1,212,413
Czech Republic. -- 292,472 -- 292,472
Denmark........ 298,142 21,258,130 -- 21,556,272
Egypt.......... -- 117,060 -- 117,060
Finland........ 182,349 18,745,905 -- 18,928,254
France......... 1,729,487 78,116,062 -- 79,845,549
Germany........ 2,522,140 75,684,328 -- 78,206,468
Greece......... -- 413,575 -- 413,575
Hong Kong...... 114,214 32,826,543 -- 32,940,757
Hungary........ -- 985,664 -- 985,664
India.......... 894,021 30,092,793 -- 30,986,814
Indonesia...... 160,110 7,841,835 -- 8,001,945
Ireland........ 1,290,883 5,075,361 -- 6,366,244
77
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
Investments in Securities (Market Value)
---------------------------------------------------
Level 1 Level 2 Level 3 Total
------------ -------------- ------- --------------
Israel...................... $ 2,583,641 $ 4,629,231 -- $ 7,212,872
Italy....................... 163,079 30,964,483 -- 31,127,562
Japan....................... 3,090,533 251,519,409 -- 254,609,942
Malaysia.................... -- 10,306,200 -- 10,306,200
Mexico...................... 15,229,451 -- -- 15,229,451
Netherlands................. 2,824,020 28,026,271 -- 30,850,291
New Zealand................. -- 6,520,871 -- 6,520,871
Norway...................... 332,056 9,118,872 -- 9,450,928
Peru........................ 197,442 -- -- 197,442
Philippines................. 33,210 4,750,396 -- 4,783,606
Poland...................... -- 4,579,048 -- 4,579,048
Portugal.................... -- 3,849,511 -- 3,849,511
Russia...................... 219,950 3,852,843 -- 4,072,793
Singapore................... -- 12,812,884 -- 12,812,884
South Africa................ 4,339,746 23,298,802 -- 27,638,548
South Korea................. 1,074,981 62,406,014 -- 63,480,995
Spain....................... 808,834 29,628,707 -- 30,437,541
Sweden...................... 90,745 33,392,326 -- 33,483,071
Switzerland................. 3,348,763 75,124,667 -- 78,473,430
Taiwan...................... 2,644,437 44,894,520 -- 47,538,957
Thailand.................... 8,346,194 -- -- 8,346,194
Turkey...................... 25,920 5,326,455 -- 5,352,375
United Kingdom.............. 43,971,608 148,138,557 -- 192,110,165
United States............... 47,390 -- -- 47,390
Preferred Stocks
Brazil...................... 6,928,936 -- -- 6,928,936
Chile....................... -- 131,925 -- 131,925
Colombia.................... 159,976 -- -- 159,976
Germany..................... -- 4,975,263 -- 4,975,263
United Kingdom.............. -- 1,092 -- 1,092
Rights/Warrants
Brazil...................... -- 1,483 -- 1,483
Germany..................... -- 616 -- 616
Singapore................... -- 7,833 -- 7,833
South Korea................. -- 6,231 -- 6,231
Sweden...................... -- 7,320 -- 7,320
Thailand.................... -- 33,526 -- 33,526
Securities Lending Collateral. -- 126,578,247 -- 126,578,247
Forward Currency Contracts**.. -- (15) -- (15)
------------ -------------- -- --------------
TOTAL......................... $224,140,386 $1,362,719,952 -- $1,586,860,338
============ ============== == ==============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
78
WORLD CORE EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2016
(Unaudited)
Shares Value+
--------- ------------
AFFILIATED INVESTMENT COMPANIES -- (99.8%)
Investment in U.S. Core Equity 1 Portfolio
DFA Investment Dimensions Group Inc.................... 6,861,385 $119,868,403
Investment in International Core Equity Portfolio
DFA Investment Dimensions Group Inc.................... 7,660,147 88,551,305
Investment in Emerging Markets Core Equity Portfolio
DFA Investment Dimensions Group Inc.................... 1,419,854 24,208,516
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $239,238,498)................................. 232,628,224
------------
TEMPORARY CASH INVESTMENTS -- (0.2%)
State Street Institutional Liquid Reserves, 0.455%
(Cost $416,634)........................................ 416,634 416,634
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $239,655,132)................................. $233,044,858
============
Summary of the Fund's investments as of April 30, 2016, 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. $232,628,224 -- -- $232,628,224
Temporary Cash Investments...... 416,634 -- -- 416,634
------------ -- -- ------------
TOTAL........................... $233,044,858 -- -- $233,044,858
============ == == ============
See accompanying Notes to Financial Statements.
79
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2016
(Unaudited)
Shares Value+
--------- ------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in U.S. Core Equity 2 Portfolio
DFA Investment Dimensions Group Inc.................... 7,263,744 $121,086,608
Investment in International Core Equity Portfolio
DFA Investment Dimensions Group Inc.................... 8,632,268 99,789,015
Investment in Emerging Markets Core Equity Portfolio
DFA Investment Dimensions Group Inc.................... 2,546,190 43,412,540
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $258,819,215)................................. 264,288,163
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $258,819,215)................................. $264,288,163
============
Summary of the Portfolio's investments as of April 30, 2016, 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. $264,288,163 -- -- $264,288,163
Futures Contracts**............. 351,323 -- -- 351,323
Forward Currency Contracts**.... -- $(1,430,675) -- (1,430,675)
------------ ----------- -- ------------
TOTAL........................... $264,639,486 $(1,430,675) -- $263,208,811
============ =========== == ============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
80
SCHEDULES OF INVESTMENTS
April 30, 2016
(Unaudited)
EMERGING MARKETS PORTFOLIO
Value+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Emerging Markets Series of
The DFA Investment Trust Company..................... $4,465,869,637
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $3,862,556,096)............................. $4,465,869,637
==============
Summary of the Portfolio's Master Fund's investments as of April 30, 2016,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
EMERGING MARKETS SMALL CAP PORTFOLIO
Value+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Emerging Markets Small Cap Series of
The DFA Investment Trust Company..................... $5,082,100,585
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $5,227,167,181)............................. $5,082,100,585
==============
Summary of the Portfolio's Master Fund's investments as of April 30, 2016,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
EMERGING MARKETS VALUE PORTFOLIO
Value+
---------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in Dimensional Emerging Markets Value Fund.. $15,603,940,830
---------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $17,951,231,812)............................ $15,603,940,830
===============
Summary of the Portfolio's Master Fund's investments as of April 30, 2016,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
81
EMERGING MARKETS CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2016
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (90.8%)
BELGIUM -- (0.0%)
Other Securities.................................... $ 3,499 0.0%
-------------- -----
BRAZIL -- (6.2%)
AMBEV SA ADR........................................ 12,546,714 70,136,131 0.4%
BM&FBovespa SA -- Bolsa de Valores Mercadorias e
Futuros............................................ 13,220,623 66,040,649 0.4%
Ultrapar Participacoes SA........................... 2,067,950 43,544,650 0.3%
Other Securities.................................... 891,727,313 5.4%
-------------- -----
TOTAL BRAZIL............................................ 1,071,448,743 6.5%
-------------- -----
CHILE -- (1.5%)
Other Securities.................................... 252,754,709 1.5%
-------------- -----
CHINA -- (13.2%)
Bank of China, Ltd. Class H......................... 140,558,702 56,911,425 0.4%
China Construction Bank Corp. Class H............... 226,793,302 144,042,560 0.9%
China Mobile, Ltd................................... 3,556,500 40,831,337 0.3%
China Mobile, Ltd. Sponsored ADR.................... 1,846,091 106,187,154 0.7%
CNOOC, Ltd.......................................... 31,188,000 38,527,169 0.2%
Industrial & Commercial Bank of China, Ltd. Class H. 172,209,725 92,201,236 0.6%
Ping An Insurance Group Co. of China, Ltd. Class H.. 11,581,000 54,350,553 0.3%
Tencent Holdings, Ltd............................... 9,155,700 186,303,037 1.2%
Other Securities.................................... 1,571,420,224 9.4%
-------------- -----
TOTAL CHINA............................................. 2,290,774,695 14.0%
-------------- -----
COLOMBIA -- (0.4%)
Other Securities.................................... 72,646,357 0.4%
-------------- -----
CZECH REPUBLIC -- (0.2%)
Other Securities.................................... 32,042,611 0.2%
-------------- -----
EGYPT -- (0.1%)
Other Securities.................................... 13,279,560 0.1%
-------------- -----
GREECE -- (0.3%)
Other Securities.................................... 48,471,454 0.3%
-------------- -----
HONG KONG -- (0.0%)
Other Securities.................................... 300,894 0.0%
-------------- -----
HUNGARY -- (0.3%)
Other Securities.................................... 54,488,209 0.3%
-------------- -----
INDIA -- (11.7%)
Axis Bank, Ltd...................................... 5,610,260 39,750,263 0.3%
HDFC Bank, Ltd...................................... 2,994,559 50,620,379 0.3%
Infosys, Ltd........................................ 2,560,765 46,511,670 0.3%
Infosys, Ltd. Sponsored ADR......................... 3,708,004 69,710,475 0.4%
ITC, Ltd............................................ 8,357,996 41,000,030 0.3%
Reliance Industries, Ltd............................ 3,320,225 48,994,520 0.3%
Tata Consultancy Services, Ltd...................... 1,530,394 58,541,560 0.4%
Other Securities.................................... 1,667,771,072 10.0%
-------------- -----
TOTAL INDIA............................................. 2,022,899,969 12.3%
-------------- -----
82
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
INDONESIA -- (2.9%)
Bank Rakyat Indonesia Persero Tbk PT................ 49,181,400 $ 38,434,548 0.2%
Other Securities.................................... 469,672,574 2.9%
-------------- ----
TOTAL INDONESIA......................................... 508,107,122 3.1%
-------------- ----
MALAYSIA -- (4.1%)
Malayan Banking Bhd................................. 16,693,109 38,110,571 0.3%
Public Bank Bhd..................................... 8,524,711 40,777,421 0.3%
Other Securities.................................... 632,292,100 3.7%
-------------- ----
TOTAL MALAYSIA.......................................... 711,180,092 4.3%
-------------- ----
MEXICO -- (4.8%)
Alfa S.A.B. de C.V. Class A......................... 19,913,602 37,455,232 0.2%
America Movil S.A.B. de C.V. Series L ADR........... 3,134,148 44,379,535 0.3%
* Cemex S.A.B. de C.V. Sponsored ADR.................. 6,971,669 51,938,935 0.3%
Fomento Economico Mexicano S.A.B. de C.V. Sponsored
ADR................................................ 627,285 58,469,235 0.4%
Grupo Financiero Banorte S.A.B. de C.V. Class O..... 8,581,116 48,789,413 0.3%
Grupo Mexico S.A.B. de C.V. Series B................ 19,299,353 49,087,874 0.3%
Grupo Televisa S.A.B. Sponsored ADR................. 1,922,391 56,191,489 0.4%
Wal-Mart de Mexico S.A.B. de C.V.................... 16,371,536 40,461,021 0.3%
Other Securities.................................... 446,729,340 2.6%
-------------- ----
TOTAL MEXICO............................................ 833,502,074 5.1%
-------------- ----
PERU -- (0.1%)
Other Securities.................................... 23,545,845 0.2%
-------------- ----
PHILIPPINES -- (1.6%)
Other Securities.................................... 273,999,298 1.7%
-------------- ----
POLAND -- (1.6%)
Other Securities.................................... 283,780,785 1.7%
-------------- ----
RUSSIA -- (1.4%)
Gazprom PAO Sponsored ADR........................... 9,916,642 51,526,664 0.3%
Other Securities.................................... 186,109,944 1.2%
-------------- ----
TOTAL RUSSIA............................................ 237,636,608 1.5%
-------------- ----
SOUTH AFRICA -- (8.3%)
* AngloGold Ashanti, Ltd. Sponsored ADR............... 4,151,296 68,288,819 0.4%
Bidvest Group, Ltd. (The)........................... 1,904,950 48,398,033 0.3%
FirstRand, Ltd...................................... 17,937,935 57,654,497 0.4%
MTN Group, Ltd...................................... 9,901,001 103,648,613 0.6%
Naspers, Ltd. Class N............................... 587,379 80,829,985 0.5%
Sanlam, Ltd......................................... 8,202,959 39,836,570 0.3%
Sasol, Ltd.......................................... 1,457,316 47,669,025 0.3%
Sasol, Ltd. Sponsored ADR........................... 1,144,917 37,541,828 0.2%
Standard Bank Group, Ltd............................ 5,266,378 47,293,861 0.3%
Steinhoff International Holdings NV................. 8,846,810 55,341,494 0.3%
Woolworths Holdings, Ltd............................ 5,724,006 36,858,560 0.2%
Other Securities.................................... 808,294,524 4.9%
-------------- ----
TOTAL SOUTH AFRICA...................................... 1,431,655,809 8.7%
-------------- ----
SOUTH KOREA -- (13.8%)
Hyundai Motor Co.................................... 364,834 45,776,294 0.3%
Samsung Electronics Co., Ltd........................ 373,807 407,386,290 2.5%
SK Hynix, Inc....................................... 1,652,748 40,538,282 0.3%
83
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
SOUTH KOREA -- (Continued)
Other Securities....................................... $ 1,893,827,466 11.5%
--------------- -----
TOTAL SOUTH KOREA.......................................... 2,387,528,332 14.6%
--------------- -----
TAIWAN -- (12.9%)
Hon Hai Precision Industry Co., Ltd.................... 50,864,095 121,161,489 0.8%
Taiwan Semiconductor Manufacturing Co., Ltd............ 41,147,652 189,047,454 1.2%
Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored
ADR................................................... 4,912,051 115,875,283 0.7%
Other Securities....................................... 1,805,033,032 10.9%
--------------- -----
TOTAL TAIWAN............................................... 2,231,117,258 13.6%
--------------- -----
THAILAND -- (3.1%)
PTT PCL................................................ 5,046,680 43,921,864 0.3%
Other Securities....................................... 492,816,082 3.0%
--------------- -----
TOTAL THAILAND............................................. 536,737,946 3.3%
--------------- -----
TURKEY -- (2.2%)
Other Securities....................................... 372,991,943 2.3%
--------------- -----
UNITED KINGDOM -- (0.1%)
Other Securities....................................... 16,364,772 0.1%
--------------- -----
TOTAL COMMON STOCKS........................................ 15,707,258,584 95.8%
--------------- -----
PREFERRED STOCKS -- (2.5%)
BRAZIL -- (2.4%)
Itau Unibanco Holding SA............................... 9,694,322 92,651,701 0.6%
Itau Unibanco Holding SA ADR........................... 5,918,551 56,403,790 0.4%
Other Securities....................................... 265,526,449 1.6%
--------------- -----
TOTAL BRAZIL............................................... 414,581,940 2.6%
--------------- -----
CHILE -- (0.0%)
Other Securities....................................... 3,067,883 0.0%
--------------- -----
COLOMBIA -- (0.1%)
Other Securities....................................... 15,164,385 0.1%
--------------- -----
TOTAL PREFERRED STOCKS..................................... 432,814,208 2.7%
--------------- -----
RIGHTS/WARRANTS -- (0.0%)
BRAZIL -- (0.0%)
Other Securities....................................... 79,571 0.0%
--------------- -----
MALAYSIA -- (0.0%)
Other Securities....................................... 14,569 0.0%
--------------- -----
POLAND -- (0.0%)
Other Securities....................................... -- 0.0%
--------------- -----
SOUTH KOREA -- (0.0%)
Other Securities....................................... 399,536 0.0%
--------------- -----
THAILAND -- (0.0%)
Other Securities....................................... 1,933,163 0.0%
--------------- -----
TOTAL RIGHTS/WARRANTS...................................... 2,426,839 0.0%
--------------- -----
TOTAL INVESTMENT SECURITIES................................ 16,142,499,631
---------------
84
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
SECURITIES LENDING COLLATERAL -- (6.7%)
(S)@ DFA Short Term Investment Fund. 100,943,640 $ 1,167,917,912 7.1%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $17,859,828,890)............... $17,310,417,543 105.6%
=============== ======
Summary of the Portfolio's investments as of April 30, 2016, 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
Belgium..................... -- $ 3,499 -- $ 3,499
Brazil...................... $1,071,448,743 -- -- 1,071,448,743
Chile....................... 88,133,502 164,621,207 -- 252,754,709
China....................... 212,048,199 2,078,726,496 -- 2,290,774,695
Colombia.................... 72,614,846 31,511 -- 72,646,357
Czech Republic.............. -- 32,042,611 -- 32,042,611
Egypt....................... -- 13,279,560 -- 13,279,560
Greece...................... -- 48,471,454 -- 48,471,454
Hong Kong................... -- 300,894 -- 300,894
Hungary..................... 304,855 54,183,354 -- 54,488,209
India....................... 118,815,605 1,904,084,364 -- 2,022,899,969
Indonesia................... 23,601,174 484,505,948 -- 508,107,122
Malaysia.................... -- 711,180,092 -- 711,180,092
Mexico...................... 833,213,479 288,595 -- 833,502,074
Peru........................ 23,545,845 -- -- 23,545,845
Philippines................. 5,837,100 268,162,198 -- 273,999,298
Poland...................... -- 283,780,785 -- 283,780,785
Russia...................... 7,474,026 230,162,582 -- 237,636,608
South Africa................ 167,797,802 1,263,858,007 -- 1,431,655,809
South Korea................. 79,351,412 2,308,176,920 -- 2,387,528,332
Taiwan...................... 139,285,761 2,091,831,497 -- 2,231,117,258
Thailand.................... 536,399,675 338,271 -- 536,737,946
Turkey...................... 3,148,492 369,843,451 -- 372,991,943
United Kingdom.............. 16,364,772 -- -- 16,364,772
Preferred Stocks
Brazil...................... 414,581,940 -- -- 414,581,940
Chile....................... -- 3,067,883 -- 3,067,883
Colombia.................... 15,164,385 -- -- 15,164,385
Rights/Warrants
Brazil...................... -- 79,571 -- 79,571
Malaysia.................... -- 14,569 -- 14,569
Poland...................... -- -- -- --
South Korea................. -- 399,536 -- 399,536
Thailand.................... -- 1,933,163 -- 1,933,163
Securities Lending Collateral. -- 1,167,917,912 -- 1,167,917,912
Futures Contracts**........... 6,522,042 -- -- 6,522,042
Forward Currency Contracts**.. -- 318 -- 318
-------------- --------------- -- ---------------
TOTAL......................... $3,835,653,655 $13,481,286,248 -- $17,316,939,903
============== =============== == ===============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
85
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2016
(Unaudited)
(Amounts in thousands, except share and per share amounts)
Enhanced U.S.
Large U.S. Large Cap
Company Equity U.S. Large Cap U.S. Targeted
Portfolio Portfolio* Value Portfolio Value Portfolio*
------------- -------------- --------------- ----------------
ASSETS:
Investments in Affiliated Investment Company at Value........... -- -- $ 16,424,432 --
Investments at Value (including $0, $35,364, $0 and $1,273,216
of securities on loan, respectively)........................... $ 201,419 $ 752,586 -- $ 7,643,374
Temporary Cash Investments at Value & Cost...................... -- 4,721 -- 90,312
Collateral from Securities on Loan Invested in Affiliate at
Value & Cost................................................... -- 29,903 -- 974,414
Segregated Cash for Futures Contracts........................... -- -- -- 2,745
Cash............................................................ 395 -- -- --
Receivables:
Investment Securities/Affiliated Investment Company Sold...... -- 710 -- 12,069
Dividends, Interest and Tax Reclaims.......................... 927 745 -- 2,357
Securities Lending Income..................................... -- 14 -- 610
Fund Shares Sold.............................................. 106 1,358 9,949 7,278
Prepaid Expenses and Other Assets............................... 17 29 129 102
------------ ------------ -------------- ------------
Total Assets................................................ 202,864 790,066 16,434,510 8,733,261
------------ ------------ -------------- ------------
LIABILITIES:
Payables:
Due to Custodian.............................................. -- -- -- 558
Upon Return of Securities Loaned.............................. -- 29,903 -- 974,414
Investment Securities/Affiliated Investment Company
Purchased.................................................... -- 4,636 -- 34,568
Fund Shares Redeemed.......................................... 110 276 11,611 9,197
Due to Advisor................................................ 34 92 1,984 2,169
Futures Margin Variation...................................... 1,300 -- -- 406
Accrued Expenses and Other Liabilities.......................... 17 29 545 342
------------ ------------ -------------- ------------
Total Liabilities........................................... 1,461 34,936 14,140 1,021,654
------------ ------------ -------------- ------------
NET ASSETS...................................................... $ 201,403 $ 755,130 $ 16,420,370 $ 7,711,607
============ ============ ============== ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE:
Class R1 Shares -- based on net assets of $0; $0; $0 and
$33,422 and shares outstanding of 0; 0; 0 and 1,620,971,
respectively................................................... N/A N/A N/A $ 20.62
============ ============ ============== ============
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
$151,938 and shares outstanding of 0; 0; 0 and 7,401,925,
respectively................................................... N/A N/A N/A $ 20.53
============ ============ ============== ============
NUMBER OF SHARES AUTHORIZED..................................... N/A N/A N/A 100,000,000
============ ============ ============== ============
Institutional Class Shares -- based on net assets of $201,403;
$755,130; $16,420,370 and $7,526,247 and shares
outstanding of 17,089,339; 59,573,201; 521,093,197 and
364,994,287, respectively...................................... $ 11.79 $ 12.68 $ 31.51 $ 20.62
============ ============ ============== ============
NUMBER OF SHARES AUTHORIZED..................................... 300,000,000 100,000,000 2,000,000,000 700,000,000
============ ============ ============== ============
Investments in Affiliated Investment Company at Cost............ $ -- $ -- $ 12,160,340 $ --
============ ============ ============== ============
Investments at Cost............................................. $ 201,037 $ 719,259 $ -- $ 6,859,547
============ ============ ============== ============
NET ASSETS CONSIST OF:
Paid-In Capital................................................. $ 201,146 $ 732,505 $ 12,026,448 $ 6,740,979
Undistributed Net Investment Income (Distributions in Excess of
Net Investment Income)......................................... 149 961 28,147 4,275
Accumulated Net Realized Gain (Loss)............................ (18,289) (11,663) 101,683 180,105
Net Unrealized Appreciation (Depreciation)...................... 18,397 33,327 4,264,092 786,248
------------ ------------ -------------- ------------
NET ASSETS...................................................... $ 201,403 $ 755,130 $ 16,420,370 $ 7,711,607
============ ============ ============== ============
----------
* See Note K in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
86
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2016
(Unaudited)
(Amounts in thousands, except share and per share amounts)
U.S. Core U.S. Core
U.S. Small Cap Equity 1 Equity 2
Value Portfolio* Portfolio* Portfolio*
---------------- -------------- --------------
ASSETS:
Investments at Value (including $1,953,269, $1,949,986,
$2,257,253 and $584,191 of securities on loan,
respectively)...................................................... $ 12,243,642 $ 13,750,166 $ 15,613,929
Temporary Cash Investments at Value & Cost.......................... 232,692 145,442 176,555
Collateral from Securities on Loan Invested in Affiliate at Value &
Cost............................................................... 1,781,663 1,364,244 1,671,017
Segregated Cash for Futures Contracts............................... 9,300 4,005 4,500
Cash................................................................ 5 -- --
Receivables:
Investment Securities Sold........................................ 42,887 181 182
Dividends and Interest............................................ 3,916 12,385 14,170
Securities Lending Income......................................... 762 846 1,095
Fund Shares Sold.................................................. 8,940 11,368 15,605
Prepaid Expenses and Other Assets................................... 165 228 165
-------------- -------------- --------------
Total Assets.................................................... 14,323,972 15,288,865 17,497,218
-------------- -------------- --------------
LIABILITIES:
Payables:
Due to Custodian.................................................. -- -- --
Upon Return of Securities Loaned.................................. 1,781,663 1,364,244 1,671,017
Investment Securities Purchased................................... 66,067 14,353 25,467
Fund Shares Redeemed.............................................. 5,180 6,597 10,228
Due to Advisor.................................................... 5,034 1,931 2,572
Futures Margin Variation.......................................... 1,588 592 665
Accrued Expenses and Other Liabilities.............................. 680 488 636
-------------- -------------- --------------
Total Liabilities............................................... 1,860,212 1,388,205 1,710,585
-------------- -------------- --------------
NET ASSETS.......................................................... $ 12,463,760 $ 13,900,660 $ 15,786,633
============== ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE:
Institutional Class Shares -- based on net assets of
$12,463,760; $13,900,660; $15,786,633 and $3,698,145 and
shares outstanding of 394,026,452; 795,893,759; 946,812,718
and 239,427,153, respectively...................................... $ 31.63 $ 17.47 $ 16.67
============== ============== ==============
NUMBER OF SHARES AUTHORIZED......................................... 1,700,000,000 1,500,000,000 2,300,000,000
============== ============== ==============
Investments at Cost................................................. $ 10,197,396 $ 10,642,626 $ 11,772,941
============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital..................................................... $ 10,143,520 $ 10,743,404 $ 11,889,198
Undistributed Net Investment Income (Distributions in Excess of
Net Investment Income)............................................. (15,311) 15,501 19,716
Accumulated Net Realized Gain (Loss)................................ 281,452 30,683 32,763
Net Unrealized Appreciation (Depreciation).......................... 2,054,099 3,111,072 3,844,956
-------------- -------------- --------------
NET ASSETS.......................................................... $ 12,463,760 $ 13,900,660 $ 15,786,633
============== ============== ==============
U.S. Vector
Equity
Portfolio*
--------------
ASSETS:
Investments at Value (including $1,953,269, $1,949,986,
$2,257,253 and $584,191 of securities on loan,
respectively)...................................................... $ 3,662,586
Temporary Cash Investments at Value & Cost.......................... 38,306
Collateral from Securities on Loan Invested in Affiliate at Value &
Cost............................................................... 454,853
Segregated Cash for Futures Contracts............................... 1,035
Cash................................................................ --
Receivables:
Investment Securities Sold........................................ 66
Dividends and Interest............................................ 2,580
Securities Lending Income......................................... 316
Fund Shares Sold.................................................. 2,417
Prepaid Expenses and Other Assets................................... 47
--------------
Total Assets.................................................... 4,162,206
--------------
LIABILITIES:
Payables:
Due to Custodian.................................................. 210
Upon Return of Securities Loaned.................................. 454,853
Investment Securities Purchased................................... 4,296
Fund Shares Redeemed.............................................. 3,447
Due to Advisor.................................................... 899
Futures Margin Variation.......................................... 153
Accrued Expenses and Other Liabilities.............................. 203
--------------
Total Liabilities............................................... 464,061
--------------
NET ASSETS.......................................................... $ 3,698,145
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE:
Institutional Class Shares -- based on net assets of
$12,463,760; $13,900,660; $15,786,633 and $3,698,145 and
shares outstanding of 394,026,452; 795,893,759; 946,812,718
and 239,427,153, respectively...................................... $ 15.45
==============
NUMBER OF SHARES AUTHORIZED......................................... 1,000,000,000
==============
Investments at Cost................................................. $ 2,821,145
==============
NET ASSETS CONSIST OF:
Paid-In Capital..................................................... $ 2,809,935
Undistributed Net Investment Income (Distributions in Excess of
Net Investment Income)............................................. 3,632
Accumulated Net Realized Gain (Loss)................................ 42,224
Net Unrealized Appreciation (Depreciation).......................... 842,354
--------------
NET ASSETS.......................................................... $ 3,698,145
==============
----------
* See Note K in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
87
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2016
(Unaudited)
(Amounts in thousands, except share and per share amounts)
DFA Real
Estate Large Cap
U.S. Small Cap U.S. Micro Cap Securities International
Portfolio* Portfolio* Portfolio* Portfolio*
-------------- -------------- ------------ -------------
ASSETS:
Investments at Value (including $2,458,643, $809,545, $360,069 and
$269,577 of securities on loan, respectively)...................... $ 11,763,785 $ 4,894,204 $ 6,868,528 $ 3,234,190
Temporary Cash Investments at Value & Cost.......................... 147,101 51,101 73,286 --
Collateral from Securities on Loan Invested in Affiliate at Value &
Cost............................................................... 2,251,361 745,832 214,476 300,949
Segregated Cash for Futures Contracts............................... 4,925 1,998 2,903 1,043
Foreign Currencies at Value......................................... -- -- -- 3,209
Cash................................................................ 1 -- -- 27,272
Receivables:
Investment Securities Sold........................................ 10,913 4,072 -- 241
Dividends, Interest and Tax Reclaims.............................. 4,544 1,786 6,409 17,112
Securities Lending Income......................................... 1,596 509 44 494
Fund Shares Sold.................................................. 10,068 2,630 4,489 3,303
Unrealized Gain on Foreign Currency Contracts....................... -- -- -- 30
Prepaid Expenses and Other Assets................................... 136 56 72 44
-------------- -------------- ------------ ------------
Total Assets.................................................... 14,194,430 5,702,188 7,170,207 3,587,887
-------------- -------------- ------------ ------------
LIABILITIES:
Payables:
Due to Custodian.................................................. -- 475 590 --
Upon Return of Securities Loaned.................................. 2,251,361 745,832 214,476 300,949
Investment Securities Purchased................................... 46,981 8,813 3,162 1,216
Fund Shares Redeemed.............................................. 12,796 1,678 3,882 15,758
Due to Advisor.................................................... 3,364 2,007 924 663
Futures Margin Variation.......................................... 994 451 429 136
Accrued Expenses and Other Liabilities.............................. 489 318 357 260
-------------- -------------- ------------ ------------
Total Liabilities............................................... 2,315,985 759,574 223,820 318,982
-------------- -------------- ------------ ------------
NET ASSETS.......................................................... $ 11,878,445 $ 4,942,614 $ 6,946,387 $ 3,268,905
============== ============== ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE:
Institutional Class Shares -- based on net assets of $11,878,445;
$4,942,614; $6,946,387 and $3,268,905 and shares outstanding of
408,479,865; 277,382,197; 204,347,960 and 166,392,451,
respectively....................................................... $ 29.08 $ 17.82 $ 33.99 $ 19.65
============== ============== ============ ============
NUMBER OF SHARES AUTHORIZED......................................... 1,000,000,000 1,500,000,000 700,000,000 500,000,000
============== ============== ============ ============
Investments at Cost................................................. $ 9,893,965 $ 3,705,973 $ 4,746,636 $ 2,932,315
============== ============== ============ ============
Foreign Currencies at Cost.......................................... $ -- $ -- $ -- $ 3,193
============== ============== ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital..................................................... $ 9,852,504 $ 3,605,218 $ 4,883,966 $ 3,251,552
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income)................................................. 4,582 (1,645) 28,195 17,008
Accumulated Net Realized Gain (Loss)................................ 146,475 148,632 (89,201) (302,776)
Net Unrealized Foreign Exchange Gain (Loss)......................... -- -- -- 488
Net Unrealized Appreciation (Depreciation).......................... 1,874,884 1,190,409 2,123,427 302,633
-------------- -------------- ------------ ------------
NET ASSETS.......................................................... $ 11,878,445 $ 4,942,614 $ 6,946,387 $ 3,268,905
============== ============== ============ ============
----------
* See Note K in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
88
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2016
(Unaudited)
(Amounts in thousands, except share and per share amounts)
International Asia Pacific
International Small Japanese Small Small
Core Equity Company Company Company
Portfolio* Portfolio Portfolio Portfolio
-------------- -------------- -------------- ------------
ASSETS:
Investments in Affiliated Investment Companies at Value............. -- $ 9,535,451 $ 426,615 $ 229,007
Investments at Value (including $1,531,223, $0, $0 and $0 of
securities on loan, respectively).................................. $ 15,515,326 -- -- --
Collateral from Securities on Loan Invested in Affiliate at Value &
Cost............................................................... 1,619,595 -- -- --
Segregated Cash for Futures Contracts............................... 5,711 3,780 -- --
Foreign Currencies at Value......................................... 13,917 -- -- --
Cash................................................................ 159,339 95,899 -- --
Receivables:
Investment Securities Sold........................................ 7,776 -- -- --
Dividends, Interest and Tax Reclaims.............................. 77,533 -- -- --
Securities Lending Income......................................... 3,595 -- -- --
Fund Shares Sold.................................................. 18,076 9,694 183 --
Unrealized Gain on Foreign Currency Contracts....................... 1 -- -- --
Prepaid Expenses and Other Assets................................... 323 71 12 10
-------------- -------------- ------------ ------------
Total Assets.................................................... 17,421,192 9,644,895 426,810 229,017
-------------- -------------- ------------ ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.................................. 1,619,595 -- -- --
Investment Securities Purchased................................... 16,986 -- -- --
Fund Shares Redeemed.............................................. 11,087 7,390 13 --
Due to Advisor.................................................... 4,411 3,097 139 74
Futures Margin Variation.......................................... 844 854 -- --
Unrealized Loss on Foreign Currency Contracts..................... 2 -- -- --
Accrued Expenses and Other Liabilities.............................. 971 375 14 12
-------------- -------------- ------------ ------------
Total Liabilities............................................... 1,653,896 11,716 166 86
-------------- -------------- ------------ ------------
NET ASSETS.......................................................... $ 15,767,296 $ 9,633,179 $ 426,644 $ 228,931
============== ============== ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE:
Institutional Class Shares -- based on net assets of $15,767,296;
$9,633,179; $426,644 and $228,931 and shares outstanding of
1,364,426,670; 547,196,445; 21,018,767 and 11,450,523,
respectively....................................................... $ 11.56 $ 17.60 $ 20.30 $ 19.99
============== ============== ============ ============
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.............. $ -- $ 8,717,704 $ 396,038 $ 246,964
============== ============== ============ ============
Investments at Cost................................................. $ 15,157,311 $ -- $ -- $ --
============== ============== ============ ============
Foreign Currencies at Cost.......................................... $ 13,866 $ -- $ -- $ --
============== ============== ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital..................................................... $ 15,659,083 $ 8,740,392 $ 446,571 $ 289,802
Undistributed Net Investment Income (Distributions in Excess of
Net Investment Income)............................................. 93,136 (997) (1,096) (4,640)
Accumulated Net Realized Gain (Loss)................................ (346,707) 71,042 (49,635) (38,272)
Net Unrealized Foreign Exchange Gain (Loss)......................... 2,524 1,517 227 (2)
Net Unrealized Appreciation (Depreciation).......................... 359,260 821,225 30,577 (17,957)
-------------- -------------- ------------ ------------
NET ASSETS.......................................................... $ 15,767,296 $ 9,633,179 $ 426,644 $ 228,931
============== ============== ============ ============
----------
* See Note K in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
89
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2016
(Unaudited)
(Amounts in thousands, except share and per share amounts)
DFA
United Continental International DFA Global
Kingdom Small Small Real Estate Real Estate
Company Company Securities Securities
Portfolio Portfolio Portfolio Portfolio
------------- ------------ -------------- --------------
ASSETS:
Investments in Affiliated Investment Companies at
Value................................................... $ 30,493 $ 311,843 -- $ 3,235,140
Investments at Value (including $0, $0, $142,946,
$35,187 and $1,252,219 of securities on loan,
respectively)........................................... -- -- $ 3,952,485 $ 1,231,520
Collateral from Securities on Loan Invested in Affiliate
at Value & Cost......................................... -- -- 150,502 36,322
Segregated Cash for Futures Contracts.................... -- -- 1,215 --
Foreign Currencies at Value.............................. -- -- 22,514 105
Cash..................................................... -- -- 23,364 13,909
Receivables:
Investment Securities/Affiliated Investment Company
Sold.................................................. -- -- 35 --
Dividends, Interest and Tax Reclaims................... -- -- 14,483 1,214
Securities Lending Income.............................. -- -- 248 5
Fund Shares Sold....................................... -- 29 2,953 3,300
Unrealized Gain on Foreign Currency Contracts............ -- -- 99 --
Prepaid Expenses and Other Assets........................ 11 18 39 66
------------ ------------ -------------- --------------
Total Assets......................................... 30,504 311,890 4,167,937 4,521,581
------------ ------------ -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned....................... -- -- 150,502 36,322
Investment Securities/Affiliated Investment Company
Purchased............................................. -- -- 6,019 6,425
Fund Shares Redeemed................................... -- -- 1,688 3,085
Due to Advisor......................................... 9 100 802 202
Futures Margin Variation............................... -- -- 180 --
Unrealized Loss on Forward Currency Contracts.......... -- -- -- --
Unrealized Loss on Foreign Currency Contracts............ -- -- -- --
Accrued Expenses and Other Liabilities................... 3 10 232 120
------------ ------------ -------------- --------------
Total Liabilities.................................... 12 110 159,423 46,154
------------ ------------ -------------- --------------
NET ASSETS............................................... $ 30,492 $ 311,780 $ 4,008,514 $ 4,475,427
============ ============ ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$30,492; $311,780; $4,008,514; $4,475,427 and
$12,844,342 and shares outstanding of 977,037;
14,507,650; 720,006,948; 408,661,079 and
673,320,678, respectively............................... $ 31.21 $ 21.49 $ 5.57 $ 10.95
============ ============ ============== ==============
NUMBER OF SHARES AUTHORIZED.............................. 100,000,000 100,000,000 1,200,000,000 1,500,000,000
============ ============ ============== ==============
Investments in Affiliated Investment Companies at
Cost.................................................... $ 23,712 $ 270,992 $ -- $ 2,507,233
============ ============ ============== ==============
Investments at Cost...................................... $ -- $ -- $ 3,487,716 $ 1,158,207
============ ============ ============== ==============
Foreign Currencies at Cost............................... $ -- $ -- $ 21,528 $ 105
============ ============ ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital.......................................... $ 22,434 $ 285,187 $ 4,010,479 $ 3,674,370
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................ (55) 1,906 (213,899) 36,367
Accumulated Net Realized Gain (Loss)..................... 1,325 (16,294) (254,947) (36,530)
Net Unrealized Foreign Exchange Gain (Loss).............. 7 130 467 --
Net Unrealized Appreciation (Depreciation)............... 6,781 40,851 466,414 801,220
------------ ------------ -------------- --------------
NET ASSETS............................................... $ 30,492 $ 311,780 $ 4,008,514 $ 4,475,427
============ ============ ============== ==============
DFA
International
Small Cap
Value Portfolio*
----------------
ASSETS:
Investments in Affiliated Investment Companies at
Value................................................... --
Investments at Value (including $0, $0, $142,946,
$35,187 and $1,252,219 of securities on loan,
respectively)........................................... $ 12,622,417
Collateral from Securities on Loan Invested in Affiliate
at Value & Cost......................................... 1,329,580
Segregated Cash for Futures Contracts.................... 6,086
Foreign Currencies at Value.............................. 58,485
Cash..................................................... 103,967
Receivables:
Investment Securities/Affiliated Investment Company
Sold.................................................. 42,798
Dividends, Interest and Tax Reclaims................... 67,986
Securities Lending Income.............................. 2,769
Fund Shares Sold....................................... 4,673
Unrealized Gain on Foreign Currency Contracts............ --
Prepaid Expenses and Other Assets........................ 141
--------------
Total Assets......................................... 14,238,902
--------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned....................... 1,329,580
Investment Securities/Affiliated Investment Company
Purchased............................................. 49,151
Fund Shares Redeemed................................... 6,659
Due to Advisor......................................... 6,662
Futures Margin Variation............................... 1,322
Unrealized Loss on Forward Currency Contracts.......... 1
Unrealized Loss on Foreign Currency Contracts............ 14
Accrued Expenses and Other Liabilities................... 1,171
--------------
Total Liabilities.................................... 1,394,560
--------------
NET ASSETS............................................... $ 12,844,342
==============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$30,492; $311,780; $4,008,514; $4,475,427 and
$12,844,342 and shares outstanding of 977,037;
14,507,650; 720,006,948; 408,661,079 and
673,320,678, respectively............................... $ 19.08
==============
NUMBER OF SHARES AUTHORIZED.............................. 2,300,000,000
==============
Investments in Affiliated Investment Companies at
Cost.................................................... $ --
==============
Investments at Cost...................................... $ 11,595,453
==============
Foreign Currencies at Cost............................... $ 57,541
==============
NET ASSETS CONSIST OF:
Paid-In Capital.......................................... $ 11,523,426
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................ (17,792)
Accumulated Net Realized Gain (Loss)..................... 302,445
Net Unrealized Foreign Exchange Gain (Loss).............. 2,655
Net Unrealized Appreciation (Depreciation)............... 1,033,608
--------------
NET ASSETS............................................... $ 12,844,342
==============
----------
* See Note K in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
90
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2016
(Unaudited)
(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............................................ -- $ 184,307 -- -- $ 232,628
Investments at Value (including $184,757, $0,
$6,085, $125,386 and $0 of securities on loan,
respectively).................................... $ 1,747,297 -- $ 245,638 $ 1,460,282 --
Temporary Cash Investments at Value & Cost........ -- -- -- -- 417
Collateral from Securities on Loan Invested in
Affiliate at Value & Cost........................ 193,164 -- 5,601 126,578 --
Foreign Currencies at Value....................... 2,813 -- 1,479 1,839 --
Cash.............................................. 2,341 47 834 5,887 --
Receivables:
Investment Securities Sold...................... 1,340 -- 25 316 --
Dividends, Interest and Tax Reclaims............ 9,007 -- 1,065 6,164 --
Securities Lending Income....................... 448 -- 17 295 --
Fund Shares Sold................................ 1,233 -- 24 1,486 127
Unrealized Gain on Foreign Currency
Contracts........................................ -- -- 2 13 --
Prepaid Expenses and Other Assets................. 47 10 33 54 34
------------ ------------ ------------ ------------ ------------
Total Assets.................................. 1,957,690 184,364 254,718 1,602,914 233,206
------------ ------------ ------------ ------------ ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................ 193,164 -- 5,601 126,578 --
Investment Securities Purchased................. 1,220 -- 910 3,744 370
Fund Shares Redeemed............................ 1,244 -- 134 415 1
Due to Advisor.................................. 636 50 117 479 3
Unrealized Loss on Foreign Currency
Contracts........................................ -- -- 1 2 --
Accrued Expenses and Other Liabilities............ 145 3 19 165 2
------------ ------------ ------------ ------------ ------------
Total Liabilities............................. 196,409 53 6,782 131,383 376
------------ ------------ ------------ ------------ ------------
NET ASSETS........................................ $ 1,761,281 $ 184,311 $ 247,936 $ 1,471,531 $ 232,830
============ ============ ============ ============ ============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets
of $1,761,281; $184,311; $247,936; $1,471,531
and $232,830 and shares outstanding of
164,879,464; 18,452,164; 21,127,009;
151,102,638 and 18,168,715, respectively......... $ 10.68 $ 9.99 $ 11.74 $ 9.74 $ 12.81
============ ============ ============ ============ ============
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............................................. $ -- $ 190,687 $ -- $ -- $ 239,239
============ ============ ============ ============ ============
Investments at Cost............................... $ 1,675,856 $ -- $ 233,578 $ 1,506,270 $ --
============ ============ ============ ============ ============
Foreign Currencies at Cost........................ $ 2,807 $ -- $ 1,440 $ 1,827 $ --
============ ============ ============ ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital................................... $ 1,676,547 $ 193,442 $ 246,575 $ 1,520,956 $ 241,474
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income).......................................... 10,258 678 1,022 8,000 (14)
Accumulated Net Realized Gain (Loss).............. 2,719 (3,416) (11,795) (11,639) (2,019)
Net Unrealized Foreign Exchange Gain (Loss)....... 310 (13) 35 190 --
Net Unrealized Appreciation (Depreciation)........ 71,447 (6,380) 12,099 (45,976) (6,611)
------------ ------------ ------------ ------------ ------------
NET ASSETS........................................ $ 1,761,281 $ 184,311 $ 247,936 $ 1,471,531 $ 232,830
============ ============ ============ ============ ============
----------
* See Note K in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
91
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2016
(Unaudited)
(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...................................................... $ 264,288 $ 4,465,870 $ 5,082,101 $ 15,603,941
Investments at Value (including $0, $0, $0, $0 and
$1,765,197 of securities on loan, respectively)............ -- -- -- --
Collateral from Securities on Loan Invested in Affiliate at
Value & Cost............................................... -- -- -- --
Segregated Cash for Futures Contracts....................... 545 -- -- --
Foreign Currencies at Value................................. -- -- -- --
Cash........................................................ 12,479 -- -- --
Receivables:
Investment Securities/Affiliated Investment Companies
Sold..................................................... -- -- -- --
Dividends, Interest and Tax Reclaims...................... -- -- -- --
Securities Lending Income................................. -- -- -- --
Fund Shares Sold.......................................... 156 3,247 2,003 4,207
From Advisor.............................................. 45 -- -- --
Unrealized Gain on Forward Currency Contracts............... 1 -- -- --
Unrealized Gain on Foreign Currency Contracts............... -- -- -- --
Prepaid Expenses and Other Assets........................... 14 105 57 166
------------ ------------ ------------ --------------
Total Assets............................................ 277,528 4,469,222 5,084,161 15,608,314
------------ ------------ ------------ --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......................... -- -- -- --
Investment Securities/Affiliated Investment Companies
Purchased................................................ -- -- -- --
Fund Shares Redeemed...................................... 154 2,517 3,311 40,594
Due to Advisor............................................ -- 1,454 1,849 5,010
Futures Margin Variation.................................. 76 -- -- --
Unrealized Loss on Forward Currency Contracts............... 1,432 -- -- --
Accrued Expenses and Other Liabilities...................... 6 192 148 658
------------ ------------ ------------ --------------
Total Liabilities....................................... 1,668 4,163 5,308 46,262
------------ ------------ ------------ --------------
NET ASSETS.................................................. $ 275,860 $ 4,465,059 $ 5,078,853 $ 15,562,052
============ ============ ============ ==============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Class R2 Shares -- based on net assets of $0; $0; $0;
$80,491 and $0 and shares outstanding of 0; 0; 0;
3,555,527 and 0, respectively.............................. N/A N/A N/A $ 22.64
============ ============ ============ ==============
NUMBER OF SHARES AUTHORIZED................................. N/A N/A N/A 100,000,000
============ ============ ============ ==============
Institutional Class Shares -- based on net assets of
$275,860; $4,465,059; $5,078,853; $15,481,561 and
$16,398,710 and shares outstanding of 21,322,762;
200,069,856; 268,835,938; 680,257,851 and
961,524,343, respectively.................................. $ 12.94 $ 22.32 $ 18.89 $ 22.76
============ ============ ============ ==============
NUMBER OF SHARES AUTHORIZED................................. 100,000,000 500,000,000 500,000,000 1,500,000,000
============ ============ ============ ==============
Investments in Affiliated Investment Companies at
Cost....................................................... $ 258,819 $ 3,862,556 $ 5,227,167 $ 17,951,232
============ ============ ============ ==============
Investments at Cost......................................... $ -- $ -- $ -- $ --
============ ============ ============ ==============
Foreign Currencies at Cost.................................. $ -- $ -- $ -- $ --
============ ============ ============ ==============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 272,053 $ 4,069,400 $ 5,140,446 $ 19,150,276
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... 1,004 (9,695) (19,674) (125,399)
Accumulated Net Realized Gain (Loss)........................ (1,586) (198,005) 103,039 (1,115,844)
Net Unrealized Foreign Exchange Gain (Loss)................. (1,431) 45 108 310
Net Unrealized Appreciation (Depreciation).................. 5,820 603,314 (145,066) (2,347,291)
------------ ------------ ------------ --------------
NET ASSETS.................................................. $ 275,860 $ 4,465,059 $ 5,078,853 $ 15,562,052
============ ============ ============ ==============
Emerging
Markets Core
Equity
Portfolio*
--------------
ASSETS:
Investments in Affiliated Investment Companies at
Value...................................................... --
Investments at Value (including $0, $0, $0, $0 and
$1,765,197 of securities on loan, respectively)............ $ 16,142,500
Collateral from Securities on Loan Invested in Affiliate at
Value & Cost............................................... 1,167,918
Segregated Cash for Futures Contracts....................... 5,866
Foreign Currencies at Value................................. 23,467
Cash........................................................ 202,989
Receivables:
Investment Securities/Affiliated Investment Companies
Sold..................................................... 2,536
Dividends, Interest and Tax Reclaims...................... 19,421
Securities Lending Income................................. 4,718
Fund Shares Sold.......................................... 46,301
From Advisor.............................................. --
Unrealized Gain on Forward Currency Contracts............... 1
Unrealized Gain on Foreign Currency Contracts............... 1
Prepaid Expenses and Other Assets........................... 263
--------------
Total Assets............................................ 17,615,981
--------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......................... 1,167,918
Investment Securities/Affiliated Investment Companies
Purchased................................................ 31,238
Fund Shares Redeemed...................................... 7,844
Due to Advisor............................................ 7,261
Futures Margin Variation.................................. 326
Unrealized Loss on Forward Currency Contracts............... --
Accrued Expenses and Other Liabilities...................... 2,684
--------------
Total Liabilities....................................... 1,217,271
--------------
NET ASSETS.................................................. $ 16,398,710
==============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Class R2 Shares -- based on net assets of $0; $0; $0;
$80,491 and $0 and shares outstanding of 0; 0; 0;
3,555,527 and 0, respectively.............................. N/A
==============
NUMBER OF SHARES AUTHORIZED................................. N/A
==============
Institutional Class Shares -- based on net assets of
$275,860; $4,465,059; $5,078,853; $15,481,561 and
$16,398,710 and shares outstanding of 21,322,762;
200,069,856; 268,835,938; 680,257,851 and
961,524,343, respectively.................................. $ 17.05
==============
NUMBER OF SHARES AUTHORIZED................................. 1,500,000,000
==============
Investments in Affiliated Investment Companies at
Cost....................................................... $ --
==============
Investments at Cost......................................... $ 16,691,911
==============
Foreign Currencies at Cost.................................. $ 23,093
==============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 17,672,619
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... (18,725)
Accumulated Net Realized Gain (Loss)........................ (712,853)
Net Unrealized Foreign Exchange Gain (Loss)................. 184
Net Unrealized Appreciation (Depreciation).................. (542,515)
--------------
NET ASSETS.................................................. $ 16,398,710
==============
----------
* See Note K in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
92
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2016
(Unaudited)
(Amounts in thousands)
Enhanced
U.S. Large U.S. Large U.S. Large U.S. Targeted
Company Cap Equity Cap Value Value
Portfolio Portfolio Portfolio* Portfolio
---------- ---------- ---------- -------------
Investment Income
Net Investment Income Allocated from Affiliated Investment Company:
Dividends (Net of Foreign Taxes Withheld of $0, $0, $4 and $0,
respectively)....................................................... -- -- $ 201,938 --
Interest............................................................. -- -- 223 --
Income from Securities Lending....................................... -- -- 1,862 --
Expenses Allocated from Affiliated Investment Company................ -- -- (8,481) --
-------- -------- --------- ---------
Total Net Investment Income Received from Affiliated Investment
Company............................................................ -- -- 195,542 --
-------- -------- --------- ---------
Fund Investment Income
Dividends (Net of Foreign Taxes Withheld of $0, $1, $0 and $28,
respectively)......................................................... -- $ 7,730 -- $ 56,601
Interest............................................................... $ 994 -- -- --
Income from Securities Lending......................................... -- 95 -- 3,996
-------- -------- --------- ---------
Total Investment Income............................................. 994 7,825 -- 60,597
-------- -------- --------- ---------
Fund Expenses
Investment Management Fees............................................. 201 523 18,955 12,243
Accounting & Transfer Agent Fees....................................... 7 21 46 200
S&P 500(R) Fees........................................................ 4 -- -- --
Custodian Fees......................................................... 3 9 -- 56
Shareholder Servicing Fees --
Class R1 Shares........................................................ -- -- -- 17
Class R2 Shares........................................................ -- -- -- 174
Filing Fees............................................................ 11 18 107 71
Shareholders' Reports.................................................. 3 7 199 110
Directors'/Trustees' Fees & Expenses................................... 1 3 64 29
Professional Fees...................................................... 2 6 17 58
Other.................................................................. 4 12 50 105
-------- -------- --------- ---------
Total Expenses...................................................... 236 599 19,438 13,063
-------- -------- --------- ---------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor (Note C).................................... -- 28 (7,582) --
Fees Paid Indirectly (Note C).......................................... (1) -- -- --
-------- -------- --------- ---------
Net Expenses........................................................... 235 627 11,856 13,063
-------- -------- --------- ---------
Net Investment Income (Loss)........................................... 759 7,198 183,686 47,534
-------- -------- --------- ---------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold........................................... (217) (10,091) 94,446 179,003
Futures.............................................................. (17,276) -- 7,533 1,705
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........................... 484 2,036 (238,408) (139,185)
Futures.............................................................. 17,228 -- 3,166 2,421
-------- -------- --------- ---------
Net Realized and Unrealized Gain (Loss)................................ 219 (8,055) (133,263) 43,944
-------- -------- --------- ---------
Net Increase (Decrease) in Net Assets Resulting from Operations.......... $ 978 $ (857) $ 50,423 $ 91,478
======== ======== ========= =========
----------
* 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.
93
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2016
(Unaudited)
(Amounts in thousands)
U.S. Small U.S. Core U.S. Core U.S. Vector
Cap Value Equity 1 Equity 2 Equity
Portfolio Portfolio Portfolio Portfolio
---------- --------- --------- -----------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $35, $18, $24 and $8,
respectively)..................................................... $ 88,986 $ 137,208 $ 156,188 $ 34,972
Income from Securities Lending..................................... 4,751 4,525 6,154 1,861
--------- --------- --------- --------
Total Investment Income......................................... 93,737 141,733 162,342 36,833
--------- --------- --------- --------
Expenses
Investment Management Fees......................................... 28,480 11,086 14,775 5,230
Accounting & Transfer Agent Fees................................... 323 368 417 100
Custodian Fees..................................................... 76 77 86 28
Filing Fees........................................................ 95 130 170 47
Shareholders' Reports.............................................. 149 104 129 56
Directors'/Trustees' Fees & Expenses............................... 48 55 62 15
Professional Fees.................................................. 98 108 124 31
Other.............................................................. 182 196 225 60
--------- --------- --------- --------
Total Expenses.................................................. 29,451 12,124 15,988 5,567
--------- --------- --------- --------
Net Investment Income (Loss)....................................... 64,286 129,609 146,354 31,266
--------- --------- --------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold....................................... 263,736 27,339 31,128 41,600
Futures.......................................................... 22,223 3,994 4,534 1,179
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities............................................ (205,889) (169,214) (208,977) (90,441)
Futures.......................................................... 7,853 3,532 3,968 913
--------- --------- --------- --------
Net Realized and Unrealized Gain (Loss)............................ 87,923 (134,349) (169,347) (46,749)
--------- --------- --------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations...... $ 152,209 $ (4,740) $ (22,993) $(15,483)
========= ========= ========= ========
See accompanying Notes to Financial Statements.
94
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2016
(Unaudited)
(Amounts in thousands)
DFA Real
Estate Large Cap
U.S. Small U.S. Micro Securities International
Cap Portfolio Cap Portfolio Portfolio Portfolio
------------- ------------- ---------- -------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $18, $5, $0 and
$4,503, respectively)....................................... $ 79,050 $ 32,522 $170,012 $ 46,912
Income from Securities Lending............................... 8,501 3,110 269 1,470
--------- --------- -------- ---------
Total Investment Income................................... 87,551 35,632 170,281 48,382
--------- --------- -------- ---------
Expenses
Investment Management Fees................................... 18,642 11,861 5,584 3,821
Accounting & Transfer Agent Fees............................. 300 136 186 93
Custodian Fees............................................... 72 38 35 146
Filing Fees.................................................. 65 38 59 35
Shareholders' Reports........................................ 135 68 113 68
Directors'/Trustees' Fees & Expenses......................... 44 20 27 13
Professional Fees............................................ 88 42 56 40
Other........................................................ 156 80 107 70
--------- --------- -------- ---------
Total Expenses............................................ 19,502 12,283 6,167 4,286
--------- --------- -------- ---------
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor (Note C)................... -- -- (254) --
Fees Paid Indirectly (Note C)................................ -- -- -- (10)
--------- --------- -------- ---------
Net Expenses................................................. 19,502 12,283 5,913 4,276
--------- --------- -------- ---------
Net Investment Income (Loss)................................. 68,049 23,349 164,368 44,106
--------- --------- -------- ---------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold................................. 159,673 154,845 11,374 (13,530)
Futures.................................................... 3,279 (1,164) 2,614 1,001
Foreign Currency Transactions.............................. -- -- -- 152
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................. (207,290) (191,278) 150,494 (94,577)
Futures.................................................... 5,064 2,178 1,535 742
Translation of Foreign Currency Denominated Amounts........ -- -- -- 536
--------- --------- -------- ---------
Net Realized and Unrealized Gain (Loss)...................... (39,274) (35,419) 166,017 (105,676)
--------- --------- -------- ---------
Net Increase (Decrease) in Net Assets Resulting from
Operations.................................................... $ 28,775 $ (12,070) $330,385 $ (61,570)
========= ========= ======== =========
See accompanying Notes to Financial Statements.
95
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2016
(Unaudited)
(Amounts in thousands)
International Japanese Asia Pacific
International Small Small Small
Core Equity Company Company Company
Portfolio Portfolio* Portfolio* Portfolio*
------------- ------------- ---------- ------------
Investment Income
Net Investment Income Allocated from Affiliated Investment Companies:
Dividends (Net of Foreign Taxes Withheld of $0, $9,818, $519 and $92,
respectively)........................................................... -- $127,132 $ 4,682 $ 3,183
Income from Securities Lending........................................... -- 13,208 414 417
Expenses Allocated from Affiliated Investment Companies.................. -- (5,569) (272) (133)
--------- -------- ------- -------
Total Net Investment Income Received from Affiliated Investment
Companies.............................................................. -- 134,771 4,824 3,467
--------- -------- ------- -------
Fund Investment Income
Dividends (Net of Foreign Taxes Withheld of $19,578, $0, $0 and $0,
respectively)............................................................. $ 213,337 -- -- --
Interest................................................................... -- 60 -- --
Income from Securities Lending............................................. 12,772 -- -- --
--------- -------- ------- -------
Total Investment Income................................................. 226,109 60 -- --
--------- -------- ------- -------
Fund Expenses
Investment Management Fees................................................. 24,915 18,046 1,079 516
Accounting & Transfer Agent Fees........................................... 406 28 3 2
Custodian Fees............................................................. 731 1 -- --
Filing Fees................................................................ 212 53 9 9
Shareholders' Reports...................................................... 175 135 3 3
Directors'/Trustees' Fees & Expenses....................................... 60 38 2 1
Professional Fees.......................................................... 126 27 1 --
Other...................................................................... 296 38 2 2
--------- -------- ------- -------
Total Expenses.......................................................... 26,921 18,366 1,099 533
--------- -------- ------- -------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor (Note C)............................................. -- -- (216) (103)
Fees Paid Indirectly (Note C).............................................. (45) -- -- --
--------- -------- ------- -------
Net Expenses............................................................... 26,876 18,366 883 430
--------- -------- ------- -------
Net Investment Income (Loss)............................................... 199,233 116,465 3,941 3,037
--------- -------- ------- -------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold............................................... (54,465) 73,364 4,562 (4,251)
Futures.................................................................. 10,009 6,570 -- --
Foreign Currency Transactions............................................ (646) 68 11 82
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............................... (124,486) 85,173 (6,674) 20,913
Futures.................................................................. 1,194 3,496 1 --
Translation of Foreign Currency Denominated Amounts...................... 2,802 1,762 283 2
--------- -------- ------- -------
Net Realized and Unrealized Gain (Loss).................................... (165,592) 170,433 (1,817) 16,746
--------- -------- ------- -------
Net Increase (Decrease) in Net Assets Resulting from Operations.............. $ 33,641 $286,898 $ 2,124 $19,783
========= ======== ======= =======
----------
* 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.
96
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2016
(Unaudited)
(Amounts in thousands)
United DFA
Kingdom Continental International DFA Global
Small Small Real Estate Real Estate
Company Company Securities Securities
Portfolio* Portfolio* Portfolio Portfolio
---------- ----------- ------------- -----------
Investment Income
Net Investment Income Allocated from Affiliated Investment
Company:
Dividends (Net of Foreign Taxes Withheld of $0, $463, $0, $0
and $0, respectively).......................................... $ 791 $ 3,025 -- --
Income Distributions Received from Affiliated Investment
Companies...................................................... -- -- -- $ 57,136
Income from Securities Lending.................................. 18 561 -- --
Expenses Allocated from Affiliated Investment Company........... (19) (179) -- --
------- ------- -------- --------
Total Net Investment Income Received from Affiliated
Investment Company............................................ 790 3,407 -- 57,136
------- ------- -------- --------
Fund Investment Income
Dividends (Net of Foreign Taxes Withheld of $0, $0, $8,326, $0
and $13,924, respectively)....................................... -- -- $ 72,140 27,875
Interest.......................................................... -- -- -- 22
Income from Securities Lending.................................... -- -- 1,043 101
------- ------- -------- --------
Total Fund Investment Income................................... -- -- 73,183 27,998
------- ------- -------- --------
Fund Expenses
Investment Management Fees........................................ 81 714 4,437 4,099
Accounting & Transfer Agent Fees.................................. 1 2 106 39
Custodian Fees.................................................... -- -- 177 9
Filing Fees....................................................... 8 11 31 59
Shareholders' Reports............................................. 1 3 55 88
Directors'/Trustees' Fees & Expenses.............................. -- 1 15 17
Professional Fees................................................. 1 -- 39 12
Other............................................................. 1 3 59 9
------- ------- -------- --------
Total Expenses................................................. 93 734 4,919 4,332
------- ------- -------- --------
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor (Note C)........................ (17) (143) -- (2,805)
Fees Paid Indirectly (Note C)..................................... -- -- (11) --
------- ------- -------- --------
Net Expenses...................................................... 76 591 4,908 1,527
------- ------- -------- --------
Net Investment Income (Loss)...................................... 714 2,816 68,275 83,607
------- ------- -------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold...................................... 1,509 824 (300) 2,003
Affiliated Investment Companies Shares Sold..................... -- -- -- (524)
Futures......................................................... -- 50 1,792 --
Foreign Currency Transactions................................... (6) (7) 215 6
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency...................... (4,013) 8,945 215,380 30,278
Affiliated Investment Companies Shares.......................... -- -- -- 135,571
Futures......................................................... -- 2 659 --
Translation of Foreign Currency Denominated Amounts............. 3 14 464 --
------- ------- -------- --------
Net Realized and Unrealized Gain (Loss)........................... (2,507) 9,828 218,210 167,334
------- ------- -------- --------
Net Increase (Decrease) in Net Assets Resulting from
Operations......................................................... $(1,793) $12,644 $286,485 $250,941
======= ======= ======== ========
DFA
International
Small Cap
Value
Portfolio
-------------
Investment Income
Net Investment Income Allocated from Affiliated Investment
Company:
Dividends (Net of Foreign Taxes Withheld of $0, $463, $0, $0
and $0, respectively).......................................... --
Income Distributions Received from Affiliated Investment
Companies...................................................... --
Income from Securities Lending.................................. --
Expenses Allocated from Affiliated Investment Company........... --
---------
Total Net Investment Income Received from Affiliated
Investment Company............................................ --
---------
Fund Investment Income
Dividends (Net of Foreign Taxes Withheld of $0, $0, $8,326, $0
and $13,924, respectively)....................................... $ 176,074
Interest.......................................................... --
Income from Securities Lending.................................... 12,842
---------
Total Fund Investment Income................................... 188,916
---------
Fund Expenses
Investment Management Fees........................................ 38,979
Accounting & Transfer Agent Fees.................................. 345
Custodian Fees.................................................... 936
Filing Fees....................................................... 94
Shareholders' Reports............................................. 179
Directors'/Trustees' Fees & Expenses.............................. 51
Professional Fees................................................. 110
Other............................................................. 265
---------
Total Expenses................................................. 40,959
---------
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor (Note C)........................ --
Fees Paid Indirectly (Note C)..................................... (11)
---------
Net Expenses...................................................... 40,948
---------
Net Investment Income (Loss)...................................... 147,968
---------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold...................................... 300,489
Affiliated Investment Companies Shares Sold..................... --
Futures......................................................... 14,562
Foreign Currency Transactions................................... 4,711
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency...................... (287,797)
Affiliated Investment Companies Shares.......................... --
Futures......................................................... 5,700
Translation of Foreign Currency Denominated Amounts............. 2,392
---------
Net Realized and Unrealized Gain (Loss)........................... 40,057
---------
Net Increase (Decrease) in Net Assets Resulting from
Operations......................................................... $ 188,025
=========
----------
* 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.
97
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2016
(Unaudited)
(Amounts in thousands)
World ex U.S.
International World ex Targeted World ex U.S. World Core
Vector Equity U.S. 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, $199,
$0, $0 and $0, respectively)............................... -- $ 2,089 -- -- --
Income Distributions Received from Affiliated Investment
Companies.................................................. -- 307 -- -- $ 2,039
Income from Securities Lending.............................. -- 103 -- -- --
Expenses Allocated from Affiliated Investment
Companies.................................................. -- (141) -- -- --
------- ------- ------ ------- -------
Total Net Investment Income Received from Affiliated
Investment Companies...................................... -- 2,358 -- -- 2,039
------- ------- ------ ------- -------
Fund Investment Income
Dividends (Net of Foreign Taxes Withheld of $2,173, $0,
$247, $1,679 and $0, respectively)........................... $24,179 -- $3,077 $17,280 1
Interest...................................................... -- -- -- 2 --
Income from Securities Lending................................ 1,690 -- 152 1,124 --
------- ------- ------ ------- -------
Total Investment Income.................................... 25,869 -- 3,229 18,406 1
------- ------- ------ ------- -------
Fund Expenses
Investment Management Fees.................................... 3,629 363 637 2,503 312
Accounting & Transfer Agent Fees.............................. 52 2 9 39 2
Custodian Fees................................................ 117 4 116 235 --
Filing Fees................................................... 40 11 25 33 16
Shareholders' Reports......................................... 37 2 3 21 1
Directors'/Trustees' Fees & Expenses.......................... 7 1 1 5 1
Professional Fees............................................. 14 3 4 16 1
Other......................................................... 42 1 9 27 2
------- ------- ------ ------- -------
Total Expenses............................................. 3,938 387 804 2,879 335
------- ------- ------ ------- -------
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor (Note C).................... -- (177) -- 63 (290)
Fees Paid Indirectly (Note C)................................. (6) -- -- (7) --
------- ------- ------ ------- -------
Net Expenses.................................................. 3,932 210 804 2,935 45
------- ------- ------ ------- -------
Net Investment Income (Loss).................................. 21,937 2,148 2,425 15,471 1,995
------- ------- ------ ------- -------
Realized and Unrealized Gain (Loss)
Capital Gain Distributions Received from Affiliated
Investment Companies......................................... -- 256 -- -- 1,313
Net Realized Gain (Loss) on:
Investment Securities Sold**................................ 3,292 -- 894 (1,582) --
Affiliated Investment Companies Shares Sold................. -- (3,128) -- -- (2,462)
Futures..................................................... 182 68 -- (629) --
Foreign Currency Transactions............................... 5 33 5 12 --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. (4,913) 7,295 3,450 10,477 --
Affiliated Investment Companies Shares...................... -- (6,409) -- -- (4)
Futures..................................................... -- 18 -- -- --
Translation of Foreign Currency Denominated
Amounts.................................................... 329 24 37 203 --
------- ------- ------ ------- -------
Net Realized and Unrealized Gain (Loss)....................... (1,105) (1,843) 4,386 8,481 (1,153)
------- ------- ------ ------- -------
Net Increase (Decrease) in Net Assets Resulting from
Operations..................................................... $20,832 $ 305 $6,811 $23,952 $ 842
======= ======= ====== ======= =======
----------
* Investment Income and a portion of Realized and Unrealized Gain (Loss) were
allocated from the Portfolio's Master Fund (Affiliated Investment Company).
**Net of foreign capital gain taxes withheld of $0, $0, $1, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
98
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2016
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
SELECTIVELY EMERGING EMERGING EMERGING
HEDGED EMERGING MARKETS MARKETS MARKETS CORE
GLOBAL EQUITY MARKETS SMALL CAP VALUE EQUITY
PORTFOLIO PORTFOLIO* PORTFOLIO* PORTFOLIO* PORTFOLIO
------------- ---------- ---------- ---------- ------------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment
Companies:
Dividends (Net of Foreign Taxes Withheld of $0, $4,671,
$3,463, $14,773 and $0, respectively)........................ -- $ 35,908 $ 41,469 $ 113,511 --
Income Distributions Received from Affiliated Investment
Companies.................................................... $ 2,292 -- -- -- --
Interest...................................................... -- 10 -- -- --
Income from Securities Lending................................ -- 3,434 18,287 15,897 --
Expenses Allocated from Affiliated Investment Companies....... -- (3,379) (6,325) (11,118) --
------- -------- -------- --------- ---------
Total Net Investment Income Received from Affiliated
Investment Companies........................................ 2,292 35,973 53,431 118,290 --
------- -------- -------- --------- ---------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0, $0, $0, $0 and
$15,472, respectively)......................................... -- -- -- -- $ 126,521
Interest........................................................ 16 -- -- -- 25
Income from Securities Lending.................................. -- -- -- -- 24,552
------- -------- -------- --------- ---------
Total Fund Investment Income................................. 16 -- -- -- 151,098
------- -------- -------- --------- ---------
FUND EXPENSES
Investment Management Fees...................................... 369 10,419 15,128 34,755 39,526
Accounting & Transfer Agent Fees................................ 2 14 15 45 411
Custodian Fees.................................................. 1 -- -- -- 3,121
Shareholder Servicing Fees --
Class R2 Shares............................................... -- -- -- 87 --
Filing Fees..................................................... 14 55 41 95 183
Shareholders' Reports........................................... 3 86 58 153 238
Directors'/Trustees' Fees & Expenses............................ 1 18 20 59 60
Professional Fees............................................... 1 5 6 18 252
Other........................................................... 2 19 21 53 345
------- -------- -------- --------- ---------
Total Expenses............................................... 393 10,616 15,289 35,265 44,136
------- -------- -------- --------- ---------
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor (Note C)...................... (364) (2,084) (4,655) (6,951) --
Fees Paid Indirectly (Note C)................................... -- -- -- -- (61)
------- -------- -------- --------- ---------
Net Expenses.................................................... 29 8,532 10,634 28,314 44,075
------- -------- -------- --------- ---------
NET INVESTMENT INCOME (LOSS).................................... 2,279 27,441 42,797 89,976 107,023
------- -------- -------- --------- ---------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from Affiliated Investment
Companies...................................................... 2,164 -- -- -- --
Net Realized Gain (Loss) on:
Investment Securities Sold**.................................. (2) (77,243) 111,354 (154,950) (229,453)
Affiliated Investment Companies Shares Sold................... (827) -- -- -- --
Futures....................................................... 457 841 2,692 3,540 10,672
Foreign Currency Transactions................................. (1,889) 857 488 385 (1,273)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................... -- 127,702 59,663 693,722 621,227
Affiliated Investment Companies Shares........................ (1,585) -- -- -- --
Futures....................................................... (401) 1,109 737 1,999 6,522
Translation of Foreign Currency Denominated Amounts........... (1,539) 189 573 144 744
------- -------- -------- --------- ---------
NET REALIZED AND UNREALIZED GAIN (LOSS)......................... (3,622) 53,455 175,507 544,840 408,439
------- -------- -------- --------- ---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS....................................................... $(1,343) $ 80,896 $218,304 $ 634,816 $ 515,462
======= ======== ======== ========= =========
----------
* 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, $68, $144 and $53,
respectively.
See accompanying Notes to Financial Statements.
99
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
-------------------- --------------------- ------------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2016 2015 2016 2015 2016 2015
----------- -------- ----------- --------- ----------- -----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................. $ 759 $ 1,130 $ 7,198 $ 9,255 $ 183,686 $ 317,704
Net Realized Gain (Loss) on:
Investment Securities Sold.................. (217) 4,580 (10,091) (1,560) 94,446 681,400
Futures..................................... (17,276) 15,372 -- (12) 7,533 (35)
Foreign Currency Transactions............... -- 629 -- -- -- --
In-Kind Redemptions......................... -- -- -- 10,024 -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency................................... 484 (4,379) 2,036 (4,105) (238,408) (815,432)
Futures..................................... 17,228 (6,271) -- -- 3,166 4
Translation of Foreign Currency
Denominated Amounts........................ -- (191) -- -- -- --
-------- -------- --------- --------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations................ 978 10,870 (857) 13,602 50,423 183,641
-------- -------- --------- --------- ----------- -----------
Distributions From:
Net Investment Income:
Institutional Class Shares.................. (658) (799) (7,578) (8,112) (185,461) (302,945)
Net Short-Term Gains:
Institutional Class Shares.................. (3,529) (10,591) -- (285) -- --
Net Long-Term Gains:
Institutional Class Shares.................. (9,801) (16,610) -- (266) (643,970) (86,223)
-------- -------- --------- --------- ----------- -----------
Total Distributions....................... (13,988) (28,000) (7,578) (8,663) (829,431) (389,168)
-------- -------- --------- --------- ----------- -----------
Capital Share Transactions (1):
Shares Issued................................ 30,520 39,673 182,068 595,263 2,234,302 3,716,590
Shares Issued in Lieu of Cash
Distributions............................... 12,337 24,405 7,488 8,492 775,568 359,045
Shares Redeemed.............................. (32,085) (60,026) (125,135) (184,505) (1,618,427) (3,209,154)
-------- -------- --------- --------- ----------- -----------
Net Increase (Decrease) from Capital
Share Transactions....................... 10,772 4,052 64,421 419,250 1,391,443 866,481
-------- -------- --------- --------- ----------- -----------
Total Increase (Decrease) in Net
Assets................................... (2,238) (13,078) 55,986 424,189 612,435 660,954
Net Assets
Beginning of Period.......................... 203,641 216,719 699,144 274,955 15,807,935 15,146,981
-------- -------- --------- --------- ----------- -----------
End of Period................................ $201,403 $203,641 $ 755,130 $ 699,144 $16,420,370 $15,807,935
======== ======== ========= ========= =========== ===========
(1) Shares Issued and Redeemed:
Shares Issued................................ 2,596 3,122 14,860 46,215 74,094 110,785
Shares Issued in Lieu of Cash
Distributions............................... 1,056 2,085 590 675 24,897 10,996
Shares Redeemed.............................. (2,797) (4,848) (10,260) (14,242) (53,048) (95,477)
-------- -------- --------- --------- ----------- -----------
Net Increase (Decrease) from Shares
Issued and Redeemed...................... 855 359 5,190 32,648 45,943 26,304
======== ======== ========= ========= =========== ===========
Undistributed Net Investment Income
(Distributions in Excess of Net
Investment Income)............................ $ 149 $ 48 $ 961 $ 1,341 $ 28,147 $ 29,922
----------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
100
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
----------------------- ------------------------ ---------------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2016 2015 2016 2015 2016 2015
----------- ----------- ----------- ----------- ----------- -----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................. $ 47,534 $ 81,463 $ 64,286 $ 140,359 $ 129,609 $ 209,655
Net Realized Gain (Loss) on:
Investment Securities Sold.................. 179,003 315,026 263,736 522,294 27,339 164,919
Futures..................................... 1,705 (296) 22,223 (2,510) 3,994 --
In-Kind Redemptions......................... -- -- -- 12,630 -- 48,790
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities....................... (139,185) (527,329) (205,889) (1,025,518) (169,214) (56,468)
Futures..................................... 2,421 -- 7,853 -- 3,532 --
---------- ----------- ----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations................ 91,478 (131,136) 152,209 (352,745) (4,740) 366,896
---------- ----------- ----------- ----------- ----------- -----------
Distributions From:
Net Investment Income:
Class R1 Shares............................. (281) (374) -- -- -- --
Class R2 Shares............................. (1,191) (1,058) -- -- -- --
Institutional Class Shares.................. (49,831) (74,793) (85,785) (130,190) (135,733) (200,298)
Net Short-Term Gains:
Class R1 Shares............................. (54) (49) -- -- -- --
Class R2 Shares............................. (202) (144) -- -- -- --
Institutional Class Shares.................. (9,668) (9,156) -- -- -- --
Net Long-Term Gains:
Class R1 Shares............................. (1,571) (1,235) -- -- -- --
Class R2 Shares............................. (5,836) (3,653) -- -- -- --
Institutional Class Shares.................. (279,118) (233,022) (487,348) (427,115) (160,152) (49,469)
---------- ----------- ----------- ----------- ----------- -----------
Total Distributions....................... (347,752) (323,484) (573,133) (557,305) (295,885) (249,767)
---------- ----------- ----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued................................ 1,193,991 2,861,668 1,811,886 2,562,626 2,209,508 4,137,187
Shares Issued in Lieu of Cash
Distributions............................... 323,417 306,474 514,241 501,839 283,130 236,854
Shares Redeemed.............................. (712,994) (1,140,962) (1,121,705) (1,986,459) (1,567,127) (1,996,226)
---------- ----------- ----------- ----------- ----------- -----------
Net Increase (Decrease) from Capital
Share Transactions....................... 804,414 2,027,180 1,204,422 1,078,006 925,511 2,377,815
---------- ----------- ----------- ----------- ----------- -----------
Total Increase (Decrease) in Net
Assets................................... 548,140 1,572,560 783,498 167,956 624,886 2,494,944
Net Assets
Beginning of Period.......................... 7,163,467 5,590,907 11,680,262 11,512,306 13,275,774 10,780,830
---------- ----------- ----------- ----------- ----------- -----------
End of Period................................ $7,711,607 $ 7,163,467 $12,463,760 $11,680,262 $13,900,660 $13,275,774
========== =========== =========== =========== =========== ===========
(1) Shares Issued and Redeemed:
Shares Issued................................ 61,626 127,780 61,708 73,971 131,198 230,659
Shares Issued in Lieu of Cash
Distributions............................... 16,185 14,559 16,670 15,227 16,459 13,516
Shares Redeemed.............................. (36,136) (51,364) (37,394) (57,511) (93,368) (111,260)
---------- ----------- ----------- ----------- ----------- -----------
Net Increase (Decrease) from Shares
Issued and Redeemed...................... 41,675 90,975 40,984 31,688 54,289 132,915
========== =========== =========== =========== =========== ===========
Undistributed Net Investment Income
(Distributions in Excess of Net
Investment Income)............................ $ 4,275 $ 8,044 $ (15,311) $ 6,188 $ 15,501 $ 21,625
See accompanying Notes to Financial Statements.
101
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
--------------------------- --------------------------- ------------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2016 2015 2016 2015 2016 2015
----------- ----------- ----------- ---------- ----------- -----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)............ $ 146,354 $ 239,037 $ 31,266 $ 54,509 $ 68,049 $ 112,326
Net Realized Gain (Loss) on:
Investment Securities Sold............. 31,128 305,920 41,600 127,309 159,673 532,485
Futures................................ 4,534 1,793 1,179 (811) 3,279 --
In-Kind Redemptions.................... -- -- -- -- -- 28,254
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities.................. (208,977) (307,072) (90,441) (193,154) (207,290) (457,527)
Futures................................ 3,968 -- 913 -- 5,064 --
----------- ----------- ---------- ---------- ----------- -----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.......................... (22,993) 239,678 (15,483) (12,147) 28,775 215,538
----------- ----------- ---------- ---------- ----------- -----------
Distributions From:
Net Investment Income:
Institutional Class Shares............. (152,072) (228,075) (32,088) (51,799) (71,234) (105,110)
Net Short-Term Gains:
Institutional Class Shares............. -- -- -- -- (1,951) --
Net Long-Term Gains:
Institutional Class Shares............. (296,061) (89,857) (119,588) (109,045) (503,176) (268,312)
----------- ----------- ---------- ---------- ----------- -----------
Total Distributions.................. (448,133) (317,932) (151,676) (160,844) (576,361) (373,422)
----------- ----------- ---------- ---------- ----------- -----------
Capital Share Transactions (1):
Shares Issued........................... 2,140,378 4,082,819 499,449 848,464 2,232,612 2,815,856
Shares Issued in Lieu of Cash
Distributions.......................... 442,025 313,194 150,672 159,804 542,920 351,264
Shares Redeemed......................... (1,525,208) (2,036,371) (436,346) (685,067) (966,043) (1,640,410)
----------- ----------- ---------- ---------- ----------- -----------
Net Increase (Decrease) from
Capital Share Transactions.......... 1,057,195 2,359,642 213,775 323,201 1,809,489 1,526,710
----------- ----------- ---------- ---------- ----------- -----------
Total Increase (Decrease) in Net
Assets.............................. 586,069 2,281,388 46,616 150,210 1,261,903 1,368,826
Net Assets
Beginning of Period..................... 15,200,564 12,919,176 3,651,529 3,501,319 10,616,542 9,247,716
----------- ----------- ---------- ---------- ----------- -----------
End of Period........................... $15,786,633 $15,200,564 $3,698,145 $3,651,529 $11,878,445 $10,616,542
=========== =========== ========== ========== =========== ===========
(1) Shares Issued and Redeemed:
Shares Issued........................... 134,290 234,298 33,888 51,015 79,363 90,041
Shares Issued in Lieu of Cash
Distributions.......................... 26,988 18,413 9,872 10,033 18,896 11,800
Shares Redeemed......................... (95,136) (116,908) (29,409) (41,495) (34,064) (52,277)
----------- ----------- ---------- ---------- ----------- -----------
Net Increase (Decrease) from
Shares Issued and
Redeemed............................ 66,142 135,803 14,351 19,553 64,195 49,563
=========== =========== ========== ========== =========== ===========
Undistributed Net Investment Income
(Distributions in Excess of Net
Investment Income)....................... $ 19,716 $ 25,434 $ 3,632 $ 4,454 $ 4,582 $ 7,767
See accompanying Notes to Financial Statements.
102
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
DFA Real Estate Securities Large Cap International
U.S. Micro Cap Portfolio Portfolio Portfolio
---------------------- ------------------------- ----------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2016 2015 2016 2015 2016 2015
----------- ---------- ----------- ----------- ----------- ----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................ $ 23,349 $ 41,868 $ 164,368 $ 187,615 $ 44,106 $ 86,418
Net Realized Gain (Loss) on:
Investment Securities Sold................. 154,845 283,555 11,374 119,527 (13,530) (50,887)
Futures.................................... (1,164) (2,258) 2,614 -- 1,001 769
Foreign Currency Transactions.............. -- -- -- -- 152 (528)
In-Kind Redemptions........................ -- 12,861 -- 258,319 -- 33,199
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.................................. (191,278) (281,159) 150,494 (219,248) (94,577) (155,643)
Futures.................................... 2,178 -- 1,535 -- 742 --
Translation of Foreign Currency
Denominated Amounts....................... -- -- -- -- 536 142
---------- ---------- ---------- ----------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.............................. (12,070) 54,867 330,385 346,213 (61,570) (86,530)
---------- ---------- ---------- ----------- ---------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares................. (27,839) (39,933) (136,053) (220,092) (35,640) (85,101)
Net Long-Term Gains:
Institutional Class Shares................. (267,818) (278,652) -- -- -- --
---------- ---------- ---------- ----------- ---------- ----------
Total Distributions...................... (295,657) (318,585) (136,053) (220,092) (35,640) (85,101)
---------- ---------- ---------- ----------- ---------- ----------
Capital Share Transactions (1):
Shares Issued............................... 448,101 657,708 573,816 1,268,079 632,296 1,019,845
Shares Issued in Lieu of Cash
Distributions.............................. 274,006 296,069 132,798 216,090 31,591 76,483
Shares Redeemed............................. (478,857) (711,995) (507,751) (1,664,857) (448,106) (902,210)
---------- ---------- ---------- ----------- ---------- ----------
Net Increase (Decrease) from Capital
Share Transactions...................... 243,250 241,782 198,863 (180,688) 215,781 194,118
---------- ---------- ---------- ----------- ---------- ----------
Total Increase (Decrease) in Net
Assets.................................. (64,477) (21,936) 393,195 (54,567) 118,571 22,487
Net Assets
Beginning of Period......................... 5,007,091 5,029,027 6,553,192 6,607,759 3,150,334 3,127,847
---------- ---------- ---------- ----------- ---------- ----------
End of Period............................... $4,942,614 $5,007,091 $6,946,387 $ 6,553,192 $3,268,905 $3,150,334
========== ========== ========== =========== ========== ==========
(1) Shares Issued and Redeemed:
Shares Issued............................... 26,503 33,975 17,478 38,538 33,489 48,288
Shares Issued in Lieu of Cash
Distributions.............................. 15,457 16,153 3,962 6,758 1,638 3,639
Shares Redeemed............................. (28,044) (36,869) (15,438) (51,930) (23,479) (42,081)
---------- ---------- ---------- ----------- ---------- ----------
Net Increase (Decrease) from Shares
Issued and Redeemed..................... 13,916 13,259 6,002 (6,634) 11,648 9,846
========== ========== ========== =========== ========== ==========
Undistributed Net Investment Income
(Distributions in Excess of Net
Investment Income)........................... $ (1,645) $ 2,845 $ 28,195 $ (120) $ 17,008 $ 8,542
See accompanying Notes to Financial Statements.
103
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
------------------------ ----------------------- ---------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2016 2015 2016 2015 2016 2015
----------- ----------- ----------- ----------- ----------- ---------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)............ $ 199,233 $ 354,330 $ 116,465 $ 208,124 $ 3,941 $ 6,024
Net Realized Gain (Loss) on:
Investment Securities Sold............. (54,465) 4,776 73,364 376,613 4,562 12,888
Futures................................ 10,009 -- 6,570 (4,583) -- --
Foreign Currency Transactions.......... (646) (2,904) 68 (2,876) 11 (355)
In-Kind Redemptions.................... -- 163,544 -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.............................. (124,486) (679,030) 85,173 (293,604) (6,674) 20,984
Futures................................ 1,194 -- 3,496 (22) 1 --
Translation of Foreign Currency
Denominated Amounts................... 2,802 330 1,762 344 283 68
----------- ----------- ---------- ----------- -------- ---------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.......................... 33,641 (158,954) 286,898 283,996 2,124 39,609
----------- ----------- ---------- ----------- -------- ---------
Distributions From:
Net Investment Income:
Institutional Class Shares............. (123,398) (367,607) (152,110) (208,535) (6,534) (7,758)
Net Short-Term Gains:
Institutional Class Shares............. -- -- -- (27,069) -- --
Net Long-Term Gains:
Institutional Class Shares............. -- -- (207,859) (250,320) -- --
----------- ----------- ---------- ----------- -------- ---------
Total Distributions.................. (123,398) (367,607) (359,969) (485,924) (6,534) (7,758)
----------- ----------- ---------- ----------- -------- ---------
Capital Share Transactions (1):
Shares Issued........................... 3,391,637 5,383,645 921,008 1,961,417 15,541 20,159
Shares Issued in Lieu of Cash
Distributions.......................... 116,649 349,000 347,693 472,853 6,058 7,251
Shares Redeemed......................... (2,071,801) (3,080,058) (885,943) (1,753,367) (54,542) (103,454)
----------- ----------- ---------- ----------- -------- ---------
Net Increase (Decrease) from
Capital Share Transactions.......... 1,436,485 2,652,587 382,758 680,903 (32,943) (76,044)
----------- ----------- ---------- ----------- -------- ---------
Total Increase (Decrease) in Net
Assets.............................. 1,346,728 2,126,026 309,687 478,975 (37,353) (44,193)
Net Assets
Beginning of Period..................... 14,420,568 12,294,542 9,323,492 8,844,517 463,997 508,190
----------- ----------- ---------- ----------- -------- ---------
End of Period........................... $15,767,296 $14,420,568 $9,633,179 $ 9,323,492 $426,644 $ 463,997
=========== =========== ========== =========== ======== =========
(1) Shares Issued and Redeemed:
Shares Issued........................... 309,216 449,331 55,466 110,551 771 1,017
Shares Issued in Lieu of Cash
Distributions.......................... 10,363 29,177 20,392 28,178 298 406
Shares Redeemed......................... (188,568) (256,979) (53,153) (99,058) (2,730) (5,278)
----------- ----------- ---------- ----------- -------- ---------
Net Increase (Decrease) from
Shares Issued and Redeemed.......... 131,011 221,528 22,705 39,671 (1,661) (3,855)
=========== =========== ========== =========== ======== =========
Undistributed Net Investment Income
(Distributions in Excess of Net
Investment Income)....................... $ 93,136 $ 17,301 $ (997) $ 34,648 $ (1,096) $ 1,497
See accompanying Notes to Financial Statements.
104
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
------------------------- ------------------- ------------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2016 2015 2016 2015 2016 2015
----------- --------- ----------- -------- ----------- --------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................. $ 3,037 $ 9,355 $ 714 $ 1,058 $ 2,816 $ 4,880
Net Realized Gain (Loss) on:
Investment Securities Sold*................. (4,251) (2,042) 1,509 2,661 824 7,314
Futures..................................... -- -- -- -- 50 (267)
Foreign Currency Transactions............... 82 (202) (6) 3 (7) (64)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency................................... 20,913 (43,082) (4,013) (569) 8,945 7,186
Futures..................................... -- -- -- -- 2 3
Translation of Foreign Currency
Denominated Amounts........................ 2 (3) 3 1 14 (4)
-------- --------- ------- ------- -------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations................ 19,783 (35,974) (1,793) 3,154 12,644 19,048
-------- --------- ------- ------- -------- --------
Distributions From:
Net Investment Income:
Institutional Class Shares.................. (7,760) (16,487) (977) (1,011) (1,158) (4,771)
Net Short-Term Gains:
Institutional Class Shares.................. -- -- -- (57) -- --
Net Long-Term Gains:
Institutional Class Shares.................. -- -- (1,632) (2,151) -- --
-------- --------- ------- ------- -------- --------
Total Distributions....................... (7,760) (16,487) (2,609) (3,219) (1,158) (4,771)
-------- --------- ------- ------- -------- --------
Capital Share Transactions (1):
Shares Issued................................ 17,508 13,081 1,285 4,028 30,396 112,313
Shares Issued in Lieu of Cash
Distributions............................... 6,990 15,524 2,125 2,521 877 4,167
Shares Redeemed.............................. (7,860) (139,991) (4,153) (5,897) (9,003) (21,694)
-------- --------- ------- ------- -------- --------
Net Increase (Decrease) from Capital
Share Transactions....................... 16,638 (111,386) (743) 652 22,270 94,786
-------- --------- ------- ------- -------- --------
Total Increase (Decrease) in Net
Assets................................... 28,661 (163,847) (5,145) 587 33,756 109,063
Net Assets
Beginning of Period.......................... 200,270 364,117 35,637 35,050 278,024 168,961
-------- --------- ------- ------- -------- --------
End of Period................................ $228,931 $ 200,270 $30,492 $35,637 $311,780 $278,024
======== ========= ======= ======= ======== ========
(1) Shares Issued and Redeemed:
Shares Issued................................ 976 643 40 117 1,505 5,532
Shares Issued in Lieu of Cash
Distributions............................... 387 792 65 78 42 199
Shares Redeemed.............................. (422) (6,841) (132) (167) (443) (1,061)
-------- --------- ------- ------- -------- --------
Net Increase (Decrease) from Shares
Issued and Redeemed...................... 941 (5,406) (27) 28 1,104 4,670
======== ========= ======= ======= ======== ========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income)....................................... $ (4,640) $ 83 $ (55) $ 207 $ 1,906 $ 248
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
105
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
-------------------------- ---------------------- ------------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2016 2015 2016 2015 2016 2015
----------- ---------- ----------- ---------- ----------- -----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)............ $ 68,275 $ 119,980 $ 83,607 $ 154,237 $ 147,968 $ 239,388
Net Realized Gain (Loss) on:
Investment Securities Sold............. (300) (17,379) 2,003 (1,163) 300,489 203,049
Affiliated Investment Companies
Shares Sold........................... -- -- (524) -- -- --
Futures................................ 1,792 -- -- -- 14,562 (5,555)
Foreign Currency Transactions.......... 215 (1,791) 6 -- 4,711 (4,926)
In-Kind Redemptions.................... -- -- -- -- -- 193,547
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.............................. 215,380 (116,739) 30,278 (35,941) (287,797) (244,703)
Affiliated Investment Companies
Shares................................ -- -- 135,571 -- -- --
Futures................................ 659 -- -- -- 5,700 --
Translation of Foreign Currency
Denominated Amounts................... 464 284 -- -- 2,392 1,015
---------- ---------- ---------- ---------- ----------- -----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.......................... 286,485 (15,645) 250,941 117,133 188,025 381,815
---------- ---------- ---------- ---------- ----------- -----------
Distributions From:
Net Investment Income:
Institutional Class Shares............. (60,576) (182,724) (97,767) (124,281) (210,523) (224,376)
Net Long-Term Gains:
Institutional Class Shares............. -- -- -- -- (182,540) (207,080)
---------- ---------- ---------- ---------- ----------- -----------
Total Distributions.................. (60,576) (182,724) (97,767) (124,281) (393,063) (431,456)
---------- ---------- ---------- ---------- ----------- -----------
Capital Share Transactions (1):
Shares Issued........................... 428,823 886,775 591,784 1,347,820 1,184,366 2,629,814
Shares Issued in Lieu of Cash
Distributions.......................... 60,055 181,249 93,708 121,908 355,562 392,052
Shares Redeemed......................... (246,365) (417,939) (423,155) (708,136) (1,068,123) (2,079,421)
---------- ---------- ---------- ---------- ----------- -----------
Net Increase (Decrease) from
Capital Share Transactions.......... 242,513 650,085 262,337 761,592 471,805 942,445
---------- ---------- ---------- ---------- ----------- -----------
Total Increase (Decrease) in Net
Assets.............................. 468,422 451,716 415,511 754,444 266,767 892,804
Net Assets
Beginning of Period..................... 3,540,092 3,088,376 4,059,916 3,305,472 12,577,575 11,684,771
---------- ---------- ---------- ---------- ----------- -----------
End of Period........................... $4,008,514 $3,540,092 $4,475,427 $4,059,916 $12,844,342 $12,577,575
========== ========== ========== ========== =========== ===========
(1) Shares Issued and Redeemed:
Shares Issued........................... 85,359 166,717 57,372 127,842 66,117 135,446
Shares Issued in Lieu of Cash
Distributions.......................... 12,306 34,991 9,151 11,884 19,385 21,362
Shares Redeemed......................... (48,881) (79,211) (41,141) (67,340) (59,324) (107,415)
---------- ---------- ---------- ---------- ----------- -----------
Net Increase (Decrease) from
Shares Issued and Redeemed.......... 48,784 122,497 25,382 72,386 26,178 49,393
========== ========== ========== ========== =========== ===========
Undistributed Net Investment Income
(Distributions in Excess of Net
Investment Income)....................... $ (213,899) $ (221,598) $ 36,367 $ 50,527 $ (17,792) $ 44,763
See accompanying Notes to Financial Statements.
106
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
-------------------------- -------------------- ---------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2016 2015 2016 2015 2016 2015
----------- ---------- ----------- -------- ----------- ---------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)......................... $ 21,937 $ 37,987 $ 2,148 $ 3,484 $ 2,425 $ 3,960
Capital Gain Distributions Received from Affiliated
Investment Companies................................ -- -- 256 169 -- 1,932
Net Realized Gain (Loss) on:
Investment Securities Sold*......................... 3,292 5,992 -- -- 894 (356)
Affiliated Investment Companies Shares
Sold............................................... -- -- (3,128) 1,061 -- (13,958)
Futures............................................. 182 -- 68 -- -- (347)
Foreign Currency Transactions....................... 5 (490) 33 (65) 5 (169)
In-Kind Redemptions................................. -- 10,623 -- -- -- --
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign Currency.......... (4,913) (79,483) 7,295 (16,458) 3,450 8,649
Affiliated Investment Companies Shares.............. -- -- (6,409) -- -- (6,911)
Futures............................................. -- -- 18 -- -- --
Translation of Foreign Currency Denominated
Amounts............................................ 329 54 24 7 37 (2)
---------- ---------- -------- -------- --------- ---------
Net Increase (Decrease) in Net Assets
Resulting from Operations......................... 20,832 (25,317) 305 (11,802) 6,811 (7,202)
---------- ---------- -------- -------- --------- ---------
Distributions From:
Net Investment Income:
Institutional Class Shares.......................... (15,568) (36,861) (1,987) (3,283) (1,413) (3,896)
Net Short-Term Gains:
Institutional Class Shares.......................... -- (1,236) -- -- -- --
Net Long-Term Gains:
Institutional Class Shares.......................... (5,716) (10,949) -- -- -- (408)
---------- ---------- -------- -------- --------- ---------
Total Distributions................................ (21,284) (49,046) (1,987) (3,283) (1,413) (4,304)
---------- ---------- -------- -------- --------- ---------
Capital Share Transactions (1):
Shares Issued........................................ 492,438 757,055 43,610 65,656 120,103 204,717
Shares Issued in Lieu of Cash Distributions.......... 21,106 48,618 1,985 3,281 1,411 4,301
Shares Redeemed...................................... (346,725) (441,949) (14,903) (12,502) (106,707) (120,877)
---------- ---------- -------- -------- --------- ---------
Net Increase (Decrease) from Capital Share
Transactions...................................... 166,819 363,724 30,692 56,435 14,807 88,141
---------- ---------- -------- -------- --------- ---------
Total Increase (Decrease) in Net Assets............ 166,367 289,361 29,010 41,350 20,205 76,635
Net Assets
Beginning of Period.................................. 1,594,914 1,305,553 155,301 113,951 227,731 151,096
---------- ---------- -------- -------- --------- ---------
End of Period........................................ $1,761,281 $1,594,914 $184,311 $155,301 $ 247,936 $ 227,731
========== ========== ======== ======== ========= =========
(1) Shares Issued and Redeemed:
Shares Issued........................................ 49,424 68,272 4,713 6,010 11,384 17,665
Shares Issued in Lieu of Cash Distributions.......... 2,045 4,463 205 303 126 377
Shares Redeemed...................................... (34,852) (40,404) (1,580) (1,167) (10,291) (10,646)
---------- ---------- -------- -------- --------- ---------
Net Increase (Decrease) from Shares Issued
and Redeemed...................................... 16,617 32,331 3,338 5,146 1,219 7,396
========== ========== ======== ======== ========= =========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income)............................................... $ 10,258 $ 3,889 $ 678 $ 517 $ 1,022 $ 10
----------
See page 1 for the Definitions of Abbreviations and Footnotes.
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $1 and $0,
respectively.
See accompanying Notes to Financial Statements.
107
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
------------------------ -------------------------- ------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, APRIL 30, OCT. 31, APRIL 30, OCT. 31,
2016 2015 2016 2015 2016 2015
----------- ---------- ----------- -------- ----------- --------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET
ASSETS
Operations:
Net Investment Income (Loss)...... $ 15,471 $ 19,993 $ 1,995 $ 2,788 $ 2,279 $ 3,745
Capital Gain Distributions
Received from Affiliated
Investment Companies............. -- -- 1,313 171 2,164 469
Net Realized Gain (Loss) on:
Investment Securities Sold*...... (1,582) 534 -- -- (2) --
Affiliated Investment
Companies Shares Sold........... -- (9,894) (2,462) (905) (827) (251)
Futures.......................... (629) 171 -- -- 457 (402)
Foreign Currency
Transactions.................... 12 (238) -- -- (1,889) 3,159
Change in Unrealized
Appreciation (Depreciation) of:
Investment Securities and
Foreign Currency................ 10,477 (56,453) -- (4,000) -- --
Affiliated Investment
Companies Shares................ -- 2,100 (4) -- (1,585) (9,320)
Futures.......................... -- -- -- -- (401) 701
Translation of Foreign
Currency Denominated
Amounts......................... 203 (13) -- -- (1,539) (530)
---------- ---------- -------- -------- -------- --------
Net Increase (Decrease) in
Net Assets Resulting from
Operations..................... 23,952 (43,800) 842 (1,946) (1,343) (2,429)
---------- ---------- -------- -------- -------- --------
Distributions From:
Net Investment Income:
Institutional Class Shares....... (10,922) (15,824) (2,130) (2,667) (6,333) (4,603)
Net Short-Term Gains:
Institutional Class Shares....... -- -- -- (12) (115) (365)
Net Long-Term Gains:
Institutional Class Shares....... -- -- (132) (232) (620) (1,915)
---------- ---------- -------- -------- -------- --------
Total Distributions............. (10,922) (15,824) (2,262) (2,911) (7,068) (6,883)
---------- ---------- -------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued..................... 493,082 946,814 54,396 143,661 61,211 130,229
Shares Issued in Lieu of Cash
Distributions.................... 10,680 15,654 2,151 2,860 7,066 6,883
Shares Redeemed................... (216,089) (138,664) (24,952) (14,716) (29,112) (29,970)
---------- ---------- -------- -------- -------- --------
Net Increase (Decrease)
from Capital Share
Transactions................... 287,673 823,804 31,595 131,805 39,165 107,142
---------- ---------- -------- -------- -------- --------
Total Increase (Decrease) in
Net Assets..................... 300,703 764,180 30,175 126,948 30,754 97,830
NET ASSETS
Beginning of Period............... 1,170,828 406,648 202,655 75,707 245,106 147,276
---------- ---------- -------- -------- -------- --------
End of Period..................... $1,471,531 $1,170,828 $232,830 $202,655 $275,860 $245,106
========== ========== ======== ======== ======== ========
(1) SHARES ISSUED AND
REDEEMED:
Shares Issued..................... 54,344 92,639 4,407 10,926 4,897 9,466
Shares Issued in Lieu of Cash
Distributions.................... 1,124 1,533 170 220 552 532
Shares Redeemed................... (23,439) (13,850) (2,067) (1,167) (2,281) (2,213)
---------- ---------- -------- -------- -------- --------
Net Increase (Decrease)
from Shares Issued and
Redeemed....................... 32,029 80,322 2,510 9,979 3,168 7,785
========== ========== ======== ======== ======== ========
UNDISTRIBUTED NET INVESTMENT
INCOME (DISTRIBUTIONS IN
EXCESS OF NET INVESTMENT
INCOME)............................ $ 8,000 $ 3,451 $ (14) $ 121 $ 1,004 $ 5,058
EMERGING MARKETS PORTFOLIO
-------------------------
SIX MONTHS YEAR
ENDED ENDED
APRIL 30, OCT. 31,
2016 2015
----------- -----------
(UNAUDITED)
INCREASE (DECREASE) IN NET
ASSETS
Operations:
Net Investment Income (Loss)...... $ 27,441 $ 82,136
Capital Gain Distributions
Received from Affiliated
Investment Companies............. -- --
Net Realized Gain (Loss) on:
Investment Securities Sold*...... (77,243) (98,317)
Affiliated Investment
Companies Shares Sold........... -- --
Futures.......................... 841 2,417
Foreign Currency
Transactions.................... 857 (2,155)
Change in Unrealized
Appreciation (Depreciation) of:
Investment Securities and
Foreign Currency................ 127,702 (669,787)
Affiliated Investment
Companies Shares................ -- --
Futures.......................... 1,109 4
Translation of Foreign
Currency Denominated
Amounts......................... 189 (93)
---------- -----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations..................... 80,896 (685,795)
---------- -----------
Distributions From:
Net Investment Income:
Institutional Class Shares....... (42,898) (73,891)
Net Short-Term Gains:
Institutional Class Shares....... -- --
Net Long-Term Gains:
Institutional Class Shares....... -- --
---------- -----------
Total Distributions............. (42,898) (73,891)
---------- -----------
Capital Share Transactions (1):
Shares Issued..................... 1,018,927 2,348,904
Shares Issued in Lieu of Cash
Distributions.................... 40,120 68,708
Shares Redeemed................... (953,516) (1,410,094)
---------- -----------
Net Increase (Decrease)
from Capital Share
Transactions................... 105,531 1,007,518
---------- -----------
Total Increase (Decrease) in
Net Assets..................... 143,529 247,832
NET ASSETS
Beginning of Period............... 4,321,530 4,073,698
---------- -----------
End of Period..................... $4,465,059 $ 4,321,530
========== ===========
(1) SHARES ISSUED AND
REDEEMED:
Shares Issued..................... 49,803 98,569
Shares Issued in Lieu of Cash
Distributions.................... 1,892 3,055
Shares Redeemed................... (46,556) (59,625)
---------- -----------
Net Increase (Decrease)
from Shares Issued and
Redeemed....................... 5,139 41,999
========== ===========
UNDISTRIBUTED NET INVESTMENT
INCOME (DISTRIBUTIONS IN
EXCESS OF NET INVESTMENT
INCOME)............................ $ (9,695) $ 5,762
----------
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.
108
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
---------------------- ------------------------ ------------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2016 2015 2016 2015 2016 2015
----------- ---------- ----------- ----------- ----------- -----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)............ $ 42,797 $ 109,144 $ 89,976 $ 362,517 $ 107,023 $ 324,860
Net Realized Gain (Loss) on:
Investment Securities Sold*............ 111,354 46,152 (154,950) (409,296) (229,453) (327,586)
Futures................................ 2,692 -- 3,540 -- 10,672 --
Foreign Currency Transactions.......... 488 (4,493) 385 (7,810) (1,273) (8,472)
In-Kind Redemptions.................... -- -- -- -- -- 29,647
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.............................. 59,663 (681,504) 693,722 (3,279,764) 621,227 (2,517,402)
Futures................................ 737 -- 1,999 -- 6,522 --
Translation of Foreign Currency
Denominated Amounts................... 573 (237) 144 107 744 (300)
---------- ---------- ----------- ----------- ----------- -----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.......................... 218,304 (530,938) 634,816 (3,334,246) 515,462 (2,499,253)
---------- ---------- ----------- ----------- ----------- -----------
Distributions From:
Net Investment Income:
Class R2 Shares........................ -- -- (1,372) (1,822) -- --
Institutional Class Shares............. (76,615) (99,603) (238,505) (349,391) (143,500) (304,141)
Net Short-Term Gains:
Institutional Class Shares............. -- (3,364) -- -- -- --
Net Long-Term Gains:
Institutional Class Shares............. (36,697) (88,636) -- -- -- --
---------- ---------- ----------- ----------- ----------- -----------
Total Distributions.................. (113,312) (191,603) (239,877) (351,213) (143,500) (304,141)
---------- ---------- ----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued........................... 500,081 1,309,981 1,870,181 3,635,785 4,166,557 6,175,578
Shares Issued in Lieu of Cash
Distributions.......................... 106,334 180,085 227,709 332,144 134,498 282,610
Shares Redeemed......................... (477,728) (782,954) (1,839,741) (4,119,848) (3,131,185) (4,525,463)
---------- ---------- ----------- ----------- ----------- -----------
Net Increase (Decrease) from
Capital Share Transactions.......... 128,687 707,112 258,149 (151,919) 1,169,870 1,932,725
---------- ---------- ----------- ----------- ----------- -----------
Total Increase (Decrease) in Net
Assets.............................. 233,679 (15,429) 653,088 (3,837,378) 1,541,832 (870,669)
Net Assets
Beginning of Period..................... 4,845,174 4,860,603 14,908,964 18,746,342 14,856,878 15,727,547
---------- ---------- ----------- ----------- ----------- -----------
End of Period........................... $5,078,853 $4,845,174 $15,562,052 $14,908,964 $16,398,710 $14,856,878
========== ========== =========== =========== =========== ===========
(1) Shares Issued and Redeemed:
Shares Issued........................... 28,574 65,569 91,031 147,429 269,452 339,318
Shares Issued in Lieu of Cash
Distributions.......................... 6,119 9,583 11,047 14,339 8,430 16,465
Shares Redeemed......................... (27,555) (40,423) (89,381) (164,669) (200,135) (255,411)
---------- ---------- ----------- ----------- ----------- -----------
Net Increase (Decrease) from
Shares Issued and
Redeemed............................ 7,138 34,729 12,697 (2,901) 77,747 100,372
========== ========== =========== =========== =========== ===========
Undistributed Net Investment Income
(Distributions in Excess of Net
Investment Income)....................... $ (19,674) $ 14,068 $ (125,399) $ 24,502 $ (18,725) $ 17,752
----------
* Net of foreign capital gain taxes withheld of $68, $0, $144, $0, $53 and $0,
respectively.
See accompanying Notes to Financial Statements.
109
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Enhanced U.S. Large Company Portfolio
-----------------------------------------------------
Six Months Year Year Year Year
Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012
-------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.............................. $ 12.54 $ 13.65 $ 11.70 $ 9.29 $ 8.15
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................ 0.04 0.07 0.07 0.07 0.07
Net Gains (Losses) on Securities (Realized and Unrealized)...... 0.04 0.53 1.94 2.42 1.20
-------- -------- -------- -------- --------
Total from Investment Operations............................... 0.08 0.60 2.01 2.49 1.27
-------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................................... (0.04) (0.05) (0.06) (0.08) (0.13)
Net Realized Gains.............................................. (0.79) (1.66) -- -- --
-------- -------- -------- -------- --------
Total Distributions............................................ (0.83) (1.71) (0.06) (0.08) (0.13)
-------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.................................... $ 11.79 $ 12.54 $ 13.65 $ 11.70 $ 9.29
================================================================== =========== ======== ======== ======== ========
Total Return...................................................... 0.71%(D) 5.25% 17.18% 26.99% 15.84%
-------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)............................. $201,403 $203,641 $216,719 $212,840 $190,011
Ratio of Expenses to Average Net Assets........................... 0.23%(E) 0.24% 0.23% 0.24% 0.25%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived),
(Expenses Reimbursed), and/or Previously Waived Fees Recovered
by Advisor and Fees Paid Indirectly)............................. 0.23%(E) 0.24% 0.23% 0.24% 0.25%
Ratio of Net Investment Income to Average Net Assets.............. 0.75%(E) 0.53% 0.55% 0.63% 0.80%
Portfolio Turnover Rate........................................... 76%(D) 223% 202% 139% 76%
-------------------------------------------------------------------------------------------------------------------------
U.S. Large Cap Equity Portfolio
--------- --------------------------------------------
Period
Year Six Months Year Year June 25,
Ended Ended Ended Ended 2013(a) to
Oct. 31, April 30, Oct. 31, Oct. 31, Oct. 31,
2011 2016 2015 2014 2013
--------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.............................. $ 7.53 $ 12.86 $ 12.65 $ 11.07 $ 10.00
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................ 0.07 0.13 0.23 0.21 0.06
Net Gains (Losses) on Securities (Realized and Unrealized)...... 0.56 (0.18) 0.21 1.57 1.04
-------- -------- -------- -------- --------
Total from Investment Operations............................... 0.63 (0.05) 0.44 1.78 1.10
--------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................................... (0.01) (0.13) (0.21) (0.20) (0.03)
Net Realized Gains.............................................. -- -- (0.02) -- --
-------- -------- -------- -------- --------
Total Distributions............................................ (0.01) (0.13) (0.23) (0.20) (0.03)
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.................................... $ 8.15 $ 12.68 $ 12.86 $ 12.65 $ 11.07
================================================================== ======== =========== ======== ======== ==========
Total Return...................................................... 8.41% (0.35)%(D) 3.49% 16.19% 11.01%(D)
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)............................. $171,128 $755,130 $699,144 $274,955 $135,407
Ratio of Expenses to Average Net Assets........................... 0.26% 0.18%(E) 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)............................. 0.26% 0.17%(E) 0.19% 0.20% 0.25%(C)(E)
Ratio of Net Investment Income to Average Net Assets.............. 0.86% 2.06%(E) 1.77% 1.75% 1.58%(C)(E)
Portfolio Turnover Rate........................................... 140% 8%(D) 12% 1% 0%(D)
--------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
110
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. LARGE CAP VALUE PORTFOLIO
------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012 2011
------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period.... $ 33.27 $ 33.75 $ 29.72 $ 22.34 $ 19.29 $ 18.58
----------- ----------- ----------- ----------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)....... 0.37 0.69 0.56 0.47 0.41 0.33
Net Gains (Losses) on Securities
(Realized and Unrealized)............ (0.41) (0.32) 4.02 7.38 3.04 0.70
----------- ----------- ----------- ----------- ---------- ----------
Total from Investment Operations..... (0.04) 0.37 4.58 7.85 3.45 1.03
------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................. (0.37) (0.66) (0.55) (0.47) (0.40) (0.32)
Net Realized Gains..................... (1.35) (0.19) -- -- -- --
----------- ----------- ----------- ----------- ---------- ----------
Total Distributions.................. (1.72) (0.85) (0.55) (0.47) (0.40) (0.32)
------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 31.51 $ 33.27 $ 33.75 $ 29.72 $ 22.34 $ 19.29
======================================= =========== =========== =========== =========== ========== ==========
Total Return............................ (0.02)%(D) 1.16% 15.49% 35.52% 18.14% 5.53%
------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $16,420,370 $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% (E) 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)......... 0.37%(E) 0.30% 0.27% 0.27% 0.27% 0.28%
Ratio of Net Investment Income to
Average Net Assets..................... 2.42%(E) 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.
111
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Targeted Value Portfolio-Class R1 Shares
----------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012 2011
--------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period......................... $ 21.58 $ 23.19 $ 22.63 $17.28 $ 15.32 $ 14.75
------- ------- ------- ------ ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.13 0.26 0.18 0.27 0.15 0.10
Net Gains (Losses) on Securities (Realized and Unrealized). (0.04) (0.61) 1.86 6.28 2.06 0.60
------- ------- ------- ------ ------- -------
Total from Investment Operations.......................... 0.09 (0.35) 2.04 6.55 2.21 0.70
--------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.16) (0.25) (0.16) (0.22) (0.13) (0.10)
Net Realized Gains......................................... (0.89) (1.01) (1.32) (0.98) (0.12) (0.03)
------- ------- ------- ------ ------- -------
Total Distributions....................................... (1.05) (1.26) (1.48) (1.20) (0.25) (0.13)
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............................... $ 20.62 $ 21.58 $ 23.19 $22.63 $ 17.28 $ 15.32
============================================================= =========== ======== ======== ======== ======== ========
Total Return................................................. 0.57%(D) (1.33)% 9.47% 40.39% 14.67% 4.69%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)........................ $33,422 $40,159 $16,971 $9,470 $49,423 $45,132
Ratio of Expenses to Average Net Assets...................... 0.47%(E) 0.47% 0.47% 0.47% 0.48% 0.48%
Ratio of Net Investment Income to Average Net Assets......... 1.29%(E) 1.15% 0.79% 1.42% 0.93% 0.61%
Portfolio Turnover Rate...................................... 8%(D) 15% 10% 16% 20% 23%
--------------------------------------------------------------------------------------------------------------------------
U.S. Targeted Value Portfolio-Class R2 Shares
-----------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012 2011
--------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period......................... $ 21.51 $ 23.12 $ 22.57 $ 17.26 $ 15.31 $ 14.76
-------- -------- ------- ------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.11 0.23 0.15 0.19 0.13 0.07
Net Gains (Losses) on Securities (Realized and Unrealized). (0.03) (0.61) 1.84 6.31 2.05 0.60
-------- -------- ------- ------- ------- -------
Total from Investment Operations.......................... 0.08 (0.38) 1.99 6.50 2.18 0.67
--------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.17) (0.22) (0.12) (0.21) (0.11) (0.09)
Net Realized Gains......................................... (0.89) (1.01) (1.32) (0.98) (0.12) (0.03)
-------- -------- ------- ------- ------- -------
Total Distributions....................................... (1.06) (1.23) (1.44) (1.19) (0.23) (0.12)
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............................... $ 20.53 $ 21.51 $ 23.12 $ 22.57 $ 17.26 $ 15.31
============================================================= =========== ======== ======== ======== ======== ========
Total Return................................................. 0.51%(D) (1.49)% 9.30% 40.10% 14.46% 4.50%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)........................ $151,938 $135,412 $82,977 $23,305 $12,754 $10,918
Ratio of Expenses to Average Net Assets...................... 0.62%(E) 0.63% 0.62% 0.62% 0.63% 0.63%
Ratio of Net Investment Income to Average Net Assets......... 1.11%(E) 1.02% 0.64% 0.95% 0.78% 0.42%
Portfolio Turnover Rate...................................... 8%(D) 15% 10% 16% 20% 23%
--------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
112
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Targeted Value Portfolio-Institutional Class Shares
-------------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012 2011
--------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.......... $ 21.56 $ 23.16 $ 22.60 $ 17.28 $ 15.32 $ 14.76
---------- ----------- ----------- ----------- ----------- -----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............ 0.13 0.29 0.21 0.24 0.17 0.12
Net Gains (Losses) on Securities (Realized
and Unrealized)............................ (0.03) (0.61) 1.85 6.31 2.06 0.59
---------- ----------- ----------- ----------- ----------- -----------
Total from Investment Operations........... 0.10 (0.32) 2.06 6.55 2.23 0.71
--------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income....................... (0.15) (0.27) (0.18) (0.25) (0.15) (0.12)
Net Realized Gains.......................... (0.89) (1.01) (1.32) (0.98) (0.12) (0.03)
---------- ----------- ----------- ----------- ----------- -----------
Total Distributions........................ (1.04) (1.28) (1.50) (1.23) (0.27) (0.15)
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period................ $ 20.62 $ 21.56 $ 23.16 $ 22.60 $ 17.28 $ 15.32
============================================== =========== =========== =========== =========== =========== ===========
Total Return.................................. 0.60%(D) (1.20)% 9.58% 40.40% 14.78% 4.76%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)......... $7,526,247 $ 6,987,896 $ 5,490,959 $ 4,180,974 $ 2,989,632 $ 2,487,929
Ratio of Expenses to Average Net Assets....... 0.37%(E) 0.37% 0.37% 0.37% 0.38% 0.38%
Ratio of Net Investment Income to Average Net
Assets....................................... 1.36%(E) 1.28% 0.90% 1.25% 1.03% 0.71%
Portfolio Turnover Rate....................... 8%(D) 15% 10% 16% 20% 23%
--------------------------------------------------------------------------------------------------------------------------------
U.S. Small Cap Value Portfolio
-----------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012 2011
-----------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.......... $ 33.08 $ 35.82 $ 34.48 $ 26.57 $ 23.50 $ 22.49
----------- ----------- ----------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............ 0.17 0.41 0.23 0.39 0.20 0.16
Net Gains (Losses) on Securities (Realized
and Unrealized)............................ (0.01) (1.44) 2.93 9.41 3.38 1.00
----------- ----------- ----------- ---------- ---------- ----------
Total from Investment Operations........... 0.16 (1.03) 3.16 9.80 3.58 1.16
-----------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income....................... (0.23) (0.38) (0.22) (0.37) (0.18) (0.15)
Net Realized Gains.......................... (1.38) (1.33) (1.60) (1.52) (0.33) --
----------- ----------- ----------- ---------- ---------- ----------
Total Distributions........................ (1.61) (1.71) (1.82) (1.89) (0.51) (0.15)
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period................ $ 31.63 $ 33.08 $ 35.82 $ 34.48 $ 26.57 $ 23.50
============================================== =========== =========== =========== ========== ========== ==========
Total Return.................................. 0.62%(D) (2.83)% 9.49% 39.35% 15.60% 5.13%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)......... $12,463,760 $11,680,262 $11,512,306 $9,526,981 $7,088,470 $6,540,863
Ratio of Expenses to Average Net Assets....... 0.52%(E) 0.52% 0.52% 0.52% 0.52% 0.52%
Ratio of Net Investment Income to Average Net
Assets....................................... 1.13%(E) 1.18% 0.66% 1.28% 0.78% 0.62%
Portfolio Turnover Rate....................... 7%(D) 17% 9% 14% 15% 14%
-----------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
113
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Core Equity 1 Portfolio
---------------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012 2011
------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period............................. $ 17.90 $ 17.71 $ 15.74 $ 12.11 $ 10.78 $ 10.18
----------- ------------ ------------ ----------- ----------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income
(Loss) (A)....................... 0.17 0.31 0.27 0.25 0.21 0.17
Net Gains (Losses) on Securities
(Realized and Unrealized)........ (0.21) 0.26 2.02 3.62 1.32 0.59
----------- ------------ ------------ ----------- ----------- ----------
Total from Investment
Operations...................... (0.04) 0.57 2.29 3.87 1.53 0.76
------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............. (0.18) (0.30) (0.25) (0.24) (0.20) (0.16)
Net Realized Gains................ (0.21) (0.08) (0.07) -- -- --
----------- ------------ ------------ ----------- ----------- ----------
Total Distributions.............. (0.39) (0.38) (0.32) (0.24) (0.20) (0.16)
------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period...... $ 17.47 $ 17.90 $ 17.71 $ 15.74 $ 12.11 $ 10.78
=================================== =========== ============ ============ =========== =========== ==========
Total Return........................ (0.19)%(D) 3.26% 14.72% 32.32% 14.29% 7.47%
------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)........................ $13,900,660 $ 13,275,774 $ 10,780,830 $ 7,566,179 $ 4,876,973 $3,731,411
Ratio of Expenses to Average Net
Assets............................. 0.19%(E) 0.19% 0.19% 0.19% 0.19% 0.20%
Ratio of Net Investment Income to
Average Net Assets................. 1.99%(E) 1.71% 1.61% 1.79% 1.79% 1.49%
Portfolio Turnover Rate............. 1%(D) 4% 5% 1% 3% 5%
------------------------------------------------------------------------------------------------------------------------
U.S. Core Equity 2 Portfolio
----------------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012 2011
------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period............................. $ 17.26 $ 17.34 $ 15.62 $ 11.99 $ 10.61 $ 10.06
----------- ------------ ------------ ----------- ----------- -----------
Income from Investment Operations
---------------------------------
Net Investment Income
(Loss) (A)....................... 0.16 0.30 0.26 0.24 0.20 0.16
Net Gains (Losses) on Securities
(Realized and Unrealized)........ (0.25) 0.02 1.86 3.73 1.36 0.54
----------- ------------ ------------ ----------- ----------- -----------
Total from Investment
Operations...................... (0.09) 0.32 2.12 3.97 1.56 0.70
------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............. (0.17) (0.28) (0.24) (0.24) (0.18) (0.15)
Net Realized Gains................ (0.33) (0.12) (0.16) (0.10) -- --
----------- ------------ ------------ ----------- ----------- -----------
Total Distributions.............. (0.50) (0.40) (0.40) (0.34) (0.18) (0.15)
------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period...... $ 16.67 $ 17.26 $ 17.34 $ 15.62 $ 11.99 $ 10.61
=================================== =========== ============ ============ =========== =========== ===========
Total Return........................ (0.45)%(D) 1.92% 13.78% 33.66% 14.81% 6.98%
------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)........................ $15,786,633 $ 15,200,564 $ 12,919,176 $ 9,989,564 $ 6,923,984 $ 5,819,906
Ratio of Expenses to Average Net
Assets............................. 0.22%(E) 0.22% 0.22% 0.22% 0.22% 0.22%
Ratio of Net Investment Income to
Average Net Assets................. 1.98%(E) 1.68% 1.55% 1.74% 1.74% 1.42%
Portfolio Turnover Rate............. 2%(D) 5% 6% 3% 5% 9%
------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
114
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. VECTOR EQUITY PORTFOLIO
---------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012 2011
---------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period.... $ 16.22 $ 17.04 $ 15.62 $ 11.61 $ 10.28 $ 9.82
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)....... 0.13 0.25 0.21 0.20 0.16 0.12
Net Gains (Losses) on Securities
(Realized and Unrealized)............ (0.23) (0.30) 1.62 4.03 1.32 0.46
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations..... (0.10) (0.05) 1.83 4.23 1.48 0.58
---------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................. (0.14) (0.24) (0.19) (0.20) (0.15) (0.12)
Net Realized Gains..................... (0.53) (0.53) (0.22) (0.02) -- --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.................. (0.67) (0.77) (0.41) (0.22) (0.15) (0.12)
---------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 15.45 $ 16.22 $ 17.04 $ 15.62 $ 11.61 $ 10.28
======================================= =========== ========== ========== ========== ========== ==========
Total Return............................ (0.56)%(D) (0.18)% 11.91% 36.80% 14.55% 5.86%
---------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $3,698,145 $3,651,529 $3,501,319 $2,893,842 $2,009,177 $1,851,895
Ratio of Expenses to Average Net Assets. 0.32%(E) 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%(E) 0.32% 0.32% 0.32% 0.32% 0.33%
Ratio of Net Investment Income to
Average Net Assets..................... 1.79%(E) 1.50% 1.26% 1.50% 1.45% 1.11%
Portfolio Turnover Rate................. 4%(D) 10% 10% 3% 9% 10%
---------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
115
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Small Cap Portfolio
----------------------------------------------------------------------------- ---------------
Six Months Year Year Year Year Year Six Months
Ended Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, April 30,
2016 2015 2014 2013 2012 2011 2016
-------------------------------------------------------------------------------------------------------------------------------
(Unaudited) (Unaudited)
Net Asset Value, Beginning of
Period........................ $ 30.84 $ 31.38 $ 30.03 $ 23.11 $ 20.55 $ 19.06 $ 19.00
----------- ------------ ---------- ---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A).................. 0.18 0.35 0.26 0.35 0.25 0.18 0.09
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. (0.29) 0.33 2.27 8.13 2.53 1.49 (0.15)
----------- ------------ ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations................. (0.11) 0.68 2.53 8.48 2.78 1.67 (0.06)
-------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........ (0.19) (0.33) (0.24) (0.36) (0.22) (0.18) (0.10)
Net Realized Gains........... (1.46) (0.89) (0.94) (1.20) -- -- (1.02)
----------- ------------ ---------- ---------- ---------- ---------- ----------
Total Distributions......... (1.65) (1.22) (1.18) (1.56) (0.22) (0.18) (1.12)
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period........................ $ 29.08 $ 30.84 $ 31.38 $ 30.03 $ 23.11 $ 20.55 $ 17.82
=============================== =========== ============ ========== ========== ========== ========== ===========
Total Return................... (0.27)%(D) 2.34% 8.67% 39.03% 13.61% 8.76% (0.26)%(D)
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $11,878,445 $ 10,616,542 $9,247,716 $7,446,827 $4,563,345 $3,770,323 $4,942,614
Ratio of Expenses to Average
Net Assets.................... 0.37%(E) 0.37% 0.37% 0.37% 0.37% 0.37% 0.52%(E)
Ratio of Net Investment Income
to Average Net Assets......... 1.28%(E) 1.10% 0.86% 1.33% 1.14% 0.84% 0.98%(E)
Portfolio Turnover Rate........ 4%(D) 11% 9% 10% 16% 23% 8%(D)
-------------------------------------------------------------------------------------------------------------------------------
U.S. Micro Cap Portfolio
-------------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011
---------------------------------------------------------------------------------------------
Net Asset Value, Beginning of
Period........................ $ 20.10 $ 19.64 $ 14.84 $ 13.24 $ 12.25
----------- ----------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A).................. 0.16 0.14 0.19 0.14 0.09
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. 0.02 1.35 5.57 1.59 0.99
----------- ----------- ---------- ---------- ----------
Total from Investment
Operations................. 0.18 1.49 5.76 1.73 1.08
---------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........ (0.16) (0.13) (0.20) (0.13) (0.09)
Net Realized Gains........... (1.12) (0.90) (0.76) -- --
----------- ----------- ---------- ---------- ----------
Total Distributions......... (1.28) (1.03) (0.96) (0.13) (0.09)
---------------------------------------------------------------------------------------------
Net Asset Value, End of
Period........................ $ 19.00 $ 20.10 $ 19.64 $ 14.84 $ 13.24
=============================== =========== =========== ========== ========== ==========
Total Return................... 1.11% 7.88% 41.34% 13.13% 8.85%
---------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $ 5,007,091 $ 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% 0.52%
Ratio of Net Investment Income
to Average Net Assets......... 0.82% 0.69% 1.16% 0.99% 0.69%
Portfolio Turnover Rate........ 14% 12% 11% 15% 14%
---------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
116
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
DFA Real Estate Securities Portfolio
------------------------------------------------------------------------- ---------------
Six Months Year Year Year Year Year Six Months
Ended Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, April 30,
2016 2015 2014 2013 2012 2011 2016
--------------------------------------------------------------------------------------------------------------------------------
(Unaudited) (Unaudited)
Net Asset Value, Beginning of
Period............................. $ 33.04 $ 32.24 $ 27.77 $ 25.83 $ 23.25 $ 21.24 $ 20.36
---------- ---------- ---------- ---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)....................... 0.82 0.90 0.72 0.67 0.57 0.40 0.27
Net Gains (Losses) on Securities
(Realized and Unrealized)........ 0.81 0.95 4.62 1.95 2.74 1.93 (0.76)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations...................... 1.63 1.85 5.34 2.62 3.31 2.33 (0.49)
--------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............. (0.68) (1.05) (0.87) (0.68) (0.73) (0.32) (0.22)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.............. (0.68) (1.05) (0.87) (0.68) (0.73) (0.32) (0.22)
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period...... $ 33.99 $ 33.04 $ 32.24 $ 27.77 $ 25.83 $ 23.25 $ 19.65
=================================== =========== ========== ========== ========== ========== ========== ===========
Total Return........................ 4.96%(D) 5.89% 19.80% 10.28% 14.45% 11.09% (2.37)%(D)
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)........................ $6,946,387 $6,553,192 $6,607,759 $4,677,418 $3,716,389 $3,098,647 $3,268,905
Ratio of Expenses to Average Net
Assets............................. 0.18%(E) 0.18% 0.18% 0.18% 0.22% 0.32% 0.28%(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)........................ 0.19%(E) 0.19% 0.19% 0.19% 0.23% 0.32% 0.28%(E)
Ratio of Net Investment Income to
Average Net Assets................. 5.00%(E) 2.75% 2.48% 2.42% 2.29% 1.76% 2.89%(E)
Portfolio Turnover Rate............. 1%(D) 4% 0% 1% 0% 3% 3%(D)
--------------------------------------------------------------------------------------------------------------------------------
Large Cap International Portfolio
------------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011
--------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of
Period............................. $ 21.59 $ 22.20 $ 18.33 $ 17.91 $ 19.42
---------- ---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)....................... 0.58 0.75 0.58 0.60 0.63
Net Gains (Losses) on Securities
(Realized and Unrealized)........ (1.24) (0.62) 3.90 0.40 (1.53)
---------- ---------- ---------- ---------- ----------
Total from Investment
Operations...................... (0.66) 0.13 4.48 1.00 (0.90)
--------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............. (0.57) (0.74) (0.61) (0.58) (0.61)
---------- ---------- ---------- ---------- ----------
Total Distributions.............. (0.57) (0.74) (0.61) (0.58) (0.61)
--------------------------------------------------------------------------------------------------
Net Asset Value, End of Period...... $ 20.36 $ 21.59 $ 22.20 $ 18.33 $ 17.91
=================================== ========== ========== ========== ========== ==========
Total Return........................ (3.10)% 0.47% 24.85% 5.89% (4.86)%
--------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)........................ $3,150,334 $3,127,847 $2,755,114 $2,055,759 $1,704,149
Ratio of Expenses to Average Net
Assets............................. 0.29% 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)........................ 0.29% 0.28% 0.29% 0.30% 0.30%
Ratio of Net Investment Income to
Average Net Assets................. 2.71% 3.35% 2.90% 3.38% 3.19%
Portfolio Turnover Rate............. 10% 4% 5% 4% 3%
--------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
117
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
INTERNATIONAL CORE EQUITY PORTFOLIO
-------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012 2011
--------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period.... $ 11.69 $ 12.15 $ 12.57 $ 10.10 $ 9.89 $ 10.78
----------- ----------- ----------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)....... 0.15 0.32 0.38 0.31 0.31 0.33
Net Gains (Losses) on Securities
(Realized and Unrealized)............ (0.18) (0.45) (0.43) 2.47 0.20 (0.89)
----------- ----------- ----------- ---------- ---------- ----------
Total from Investment Operations..... (0.03) (0.13) (0.05) 2.78 0.51 (0.56)
--------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................... (0.10) (0.33) (0.37) (0.31) (0.30) (0.33)
----------- ----------- ----------- ---------- ---------- ----------
Total Distributions.................. (0.10) (0.33) (0.37) (0.31) (0.30) (0.33)
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 11.56 $ 11.69 $ 12.15 $ 12.57 $ 10.10 $ 9.89
======================================= =========== =========== =========== ========== ========== ==========
Total Return............................ (0.28)%(D) (1.10)% (0.55)% 27.98% 5.49% (5.49)%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $15,767,296 $14,420,568 $12,294,542 $9,508,466 $6,482,738 $5,395,884
Ratio of Expenses to Average Net Assets. 0.38%(E) 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%(E) 0.38% 0.38% 0.39% 0.40% 0.40%
Ratio of Net Investment Income to
Average Net Assets..................... 2.80%(E) 2.63% 3.01% 2.80% 3.18% 2.96%
Portfolio Turnover Rate................. 1%(D) 4% 7% 3% 5% 3%
--------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
118
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
International Small Company Portfolio
--------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012 2011
------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period...... $ 17.78 $ 18.24 $ 19.40 $ 15.28 $ 15.21 $ 16.14
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........ 0.22 0.41 0.42 0.42 0.38 0.40
Net Gains (Losses) on Securities
(Realized and Unrealized).............. 0.29 0.12 (0.62) 4.16 0.39 (0.83)
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations....... 0.51 0.53 (0.20) 4.58 0.77 (0.43)
------------------------------------------------------------------------------------------------------------------------
Less Distributions........................
Net Investment Income................... (0.29) (0.42) (0.42) (0.37) (0.42) (0.50)
Net Realized Gains...................... (0.40) (0.57) (0.54) (0.09) (0.28) --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.................... (0.69) (0.99) (0.96) (0.46) (0.70) (0.50)
------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............ $ 17.60 $ 17.78 $ 18.24 $ 19.40 $ 15.28 $ 15.21
========================================== =========== ========== ========== ========== ========== ==========
Total Return.............................. 2.97%(D) 3.30% (1.09)% 30.66% 5.63% (2.92)%
------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..... $9,633,179 $9,323,492 $8,844,517 $8,520,717 $6,423,160 $5,834,015
Ratio of Expenses to Average Net
Assets (B)............................... 0.53%(E) 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)........... 0.53%(E) 0.54% 0.53% 0.54% 0.56% 0.55%
Ratio of Net Investment Income to Average
Net Assets............................... 2.58%(E) 2.30% 2.15% 2.47% 2.58% 2.37%
------------------------------------------------------------------------------------------------------------------------
Japanese Small Company Portfolio
--------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012 2011
----------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period...... $ 20.46 $ 19.15 $ 19.33 $ 14.99 $ 15.24 $ 14.13
-------- -------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........ 0.18 0.25 0.24 0.26 0.29 0.27
Net Gains (Losses) on Securities
(Realized and Unrealized).............. (0.06) 1.36 0.13 4.21 (0.26) 1.08
-------- -------- -------- -------- -------- --------
Total from Investment Operations....... 0.12 1.61 0.37 4.47 0.03 1.35
----------------------------------------------------------------------------------------------------------
Less Distributions........................
Net Investment Income................... (0.28) (0.30) (0.55) (0.13) (0.28) (0.24)
Net Realized Gains...................... -- -- -- -- -- --
-------- -------- -------- -------- -------- --------
Total Distributions.................... (0.28) (0.30) (0.55) (0.13) (0.28) (0.24)
----------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............ $ 20.30 $ 20.46 $ 19.15 $ 19.33 $ 14.99 $ 15.24
========================================== =========== ======== ======== ======== ======== ========
Total Return.............................. 0.61%(D) 8.62% 2.00% 30.06% 0.20% 9.57%
----------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..... $426,644 $463,997 $508,190 $414,132 $293,968 $163,120
Ratio of Expenses to Average Net
Assets (B)............................... 0.54%(E) 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)........... 0.64%(E) 0.57% 0.55% 0.56% 0.57% 0.56%
Ratio of Net Investment Income to Average
Net Assets............................... 1.83%(E) 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.
119
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Asia Pacific Small Company Portfolio
----------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012 2011
-----------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period............... $ 19.06 $ 22.88 $ 24.82 $ 23.22 $ 23.04 $ 25.64
-------- -------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................. 0.27 0.75 0.83 1.01 0.87 0.85
Net Gains (Losses) on Securities (Realized and
Unrealized)..................................... 1.40 (3.51) (1.81) 1.37 0.58 (2.16)
-------- -------- -------- -------- -------- --------
Total from Investment Operations................ 1.67 (2.76) (0.98) 2.38 1.45 (1.31)
-----------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................ (0.74) (1.06) (0.96) (0.78) (1.27) (1.29)
Net Realized Gains............................... -- -- -- -- -- --
-------- -------- -------- -------- -------- --------
Total Distributions............................. (0.74) (1.06) (0.96) (0.78) (1.27) (1.29)
-----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period..................... $ 19.99 $ 19.06 $ 22.88 $ 24.82 $ 23.22 $ 23.04
=================================================== =========== ======== ======== ======== ======== ========
Total Return....................................... 9.19%(D) (12.19)% (3.84)% 10.46% 7.09% (5.59)%
-----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).............. $228,931 $200,270 $364,117 $331,166 $238,191 $139,262
Ratio of Expenses to Average Net Assets (B)........ 0.55%(E) 0.55% 0.55% 0.57% 0.59% 0.60%
Ratio of Expenses to Average Net Assets (Excluding
Fees (Waived), (Expenses Reimbursed), and/or
Previously Waived Fees Recovered by Advisor) (B).. 0.65%(E) 0.57% 0.55% 0.57% 0.59% 0.60%
Ratio of Net Investment Income to Average Net
Assets............................................ 2.94%(E) 3.67% 3.53% 4.26% 3.91% 3.34%
-----------------------------------------------------------------------------------------------------------------------
United Kingdom Small Company Portfolio
----------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012 2011
----------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period............... $ 35.50 $ 35.92 $ 36.96 $ 27.81 $ 23.44 $ 24.24
------- ------- ------- ------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................. 0.70 1.06 0.95 0.88 0.69 0.82
Net Gains (Losses) on Securities (Realized and
Unrealized)..................................... (2.39) 1.95 (0.65) 9.17 4.47 (0.85)
------- ------- ------- ------- ------- -------
Total from Investment Operations................ (1.69) 3.01 0.30 10.05 5.16 (0.03)
----------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................ (0.97) (1.05) (0.93) (0.90) (0.79) (0.77)
Net Realized Gains............................... (1.63) (2.38) (0.41) -- -- --
------- ------- ------- ------- ------- -------
Total Distributions............................. (2.60) (3.43) (1.34) (0.90) (0.79) (0.77)
----------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period..................... $ 31.21 $ 35.50 $ 35.92 $ 36.96 $ 27.81 $ 23.44
=================================================== =========== ======== ======== ======== ======== ========
Total Return....................................... (5.00)%(D) 9.43% 0.73% 36.81% 22.82% (0.28)%
----------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).............. $30,492 $35,637 $35,050 $37,096 $31,316 $33,869
Ratio of Expenses to Average Net Assets (B)........ 0.59%(E) 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).. 0.69%(E) 0.62% 0.62% 0.63% 0.63% 0.62%
Ratio of Net Investment Income to Average Net
Assets............................................ 4.43%(E) 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.
120
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Continental Small Company Portfolio
-----------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012 2011
-----------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period....................... $ 20.74 $ 19.34 $ 20.26 $ 14.51 $ 14.66 $ 16.93
-------- -------- -------- -------- -------- --------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)................. 0.20 0.43 0.42 0.37 0.39 0.39
Net Gains (Losses) on
Securities (Realized and
Unrealized)................ 0.63 1.38 (0.90) 5.78 (0.17) (2.20)
-------- -------- -------- -------- -------- --------
Total from Investment
Operations................ 0.83 1.81 (0.48) 6.15 0.22 (1.81)
-----------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income....... (0.08) (0.41) (0.44) (0.40) (0.37) (0.46)
-------- -------- -------- -------- -------- --------
Total Distributions........ (0.08) (0.41) (0.44) (0.40) (0.37) (0.46)
-----------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period....................... $ 21.49 $ 20.74 $ 19.34 $ 20.26 $ 14.51 $ 14.66
============================== =========== ======== ======== ======== ======== ========
Total Return.................. 4.02%(D) 9.37% (2.68)% 42.99% 1.85% (11.09)%
-----------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands).................. $311,780 $278,024 $168,961 $170,806 $106,316 $117,452
Ratio of Expenses to Average
Net Assets................... 0.54%(B)(E) 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)........ 0.64%(B)(E) 0.58%(B) 0.56%(B) 0.58%(B) 0.59%(B) 0.58%(B)
Ratio of Net Investment
Income to Average Net
Assets....................... 1.97%(E) 2.09% 1.97% 2.16% 2.78% 2.25%
Portfolio Turnover Rate....... N/A(D) N/A N/A N/A N/A N/A
-----------------------------------------------------------------------------------------------------------------
DFA International Real Estate Securities Portfolio
--------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012 2011
-----------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period....................... $ 5.27 $ 5.63 $ 5.48 $ 5.67 $ 4.90 $ 5.58
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)................. 0.10 0.19 0.22 0.22 0.27 0.30
Net Gains (Losses) on
Securities (Realized and
Unrealized)................ 0.29 (0.22) 0.19 0.25 0.75 (0.33)
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations................ 0.39 (0.03) 0.41 0.47 1.02 (0.03)
-----------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income....... (0.09) (0.33) (0.26) (0.66) (0.25) (0.65)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions........ (0.09) (0.33) (0.26) (0.66) (0.25) (0.65)
-----------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period....................... $ 5.57 $ 5.27 $ 5.63 $ 5.48 $ 5.67 $ 4.90
============================== =========== ========== ========== ========== ========== ==========
Total Return.................. 7.61%(D) (0.37)% 8.21% 9.24% 22.34% (0.43)%
-----------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands).................. $4,008,514 $3,540,092 $3,088,376 $2,158,977 $1,531,708 $1,060,156
Ratio of Expenses to Average
Net Assets................... 0.28%(E) 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)........ 0.28%(E) 0.32% 0.38% 0.39% 0.41% 0.42%
Ratio of Net Investment
Income to Average Net
Assets....................... 3.85%(E) 3.64% 4.14% 4.07% 5.45% 5.73%
Portfolio Turnover Rate....... 0%(D) 2% 1% 5% 3% 7%
-----------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
121
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
DFA Global Real Estate Securities Portfolio
--------------------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012 2011
---------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period........................ $ 10.59 $ 10.63 $ 9.59 $ 9.33 $ 8.21 $ 8.28
---------- ---------- ---------- ---------- ---------- --------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)................... 0.21 0.44 0.31 0.49 0.29 0.41
Net Gains (Losses) on
Securities (Realized and
Unrealized).................. 0.40 (0.09) 1.05 0.37 1.07 0.06
---------- ---------- ---------- ---------- ---------- --------
Total from Investment
Operations................. 0.61 0.35 1.36 0.86 1.36 0.47
---------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income......... (0.25) (0.39) (0.32) (0.60) (0.24) (0.54)
Net Realized Gains............ -- -- -- -- -- --
---------- ---------- ---------- ---------- ---------- --------
Total Distributions......... (0.25) (0.39) (0.32) (0.60) (0.24) (0.54)
---------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period........................ $ 10.95 $ 10.59 $ 10.63 $ 9.59 $ 9.33 $ 8.21
=============================== =========== ========== ========== ========== ========== ========
Total Return................... 5.94%(D) 3.44% 14.98% 9.74% 17.33% 6.17%
---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $4,475,427 $4,059,916 $3,305,472 $2,082,707 $1,315,547 $869,348
Ratio of Expenses to Average
Net Assets.................... 0.24%(B)(E) 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)......... 0.38%(B)(E) 0.45%(B) 0.55%(B) 0.55%(B) 0.60%(B) 0.73%(B)
Ratio of Net Investment Income
to Average Net Assets......... 4.08%(E) 4.16% 3.21% 5.18% 3.38% 5.01%
Portfolio Turnover Rate........ 1%(D) 1% N/A N/A N/A N/A
---------------------------------------------------------------------------------------------------------------------------
DFA International Small Cap Value Portfolio
-----------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012 2011
---------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period........................ $ 19.44 $ 19.55 $ 20.17 $ 15.16 $ 14.85 $ 16.16
----------- ----------- ----------- ----------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)................... 0.22 0.38 0.37 0.37 0.34 0.34
Net Gains (Losses) on
Securities (Realized and
Unrealized).................. 0.02 0.22 (0.34) 5.21 0.61 (0.98)
----------- ----------- ----------- ----------- ---------- ----------
Total from Investment
Operations................. 0.24 0.60 0.03 5.58 0.95 (0.64)
---------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income......... (0.32) (0.37) (0.35) (0.36) (0.36) (0.38)
Net Realized Gains............ (0.28) (0.34) (0.30) (0.21) (0.28) (0.29)
----------- ----------- ----------- ----------- ---------- ----------
Total Distributions......... (0.60) (0.71) (0.65) (0.57) (0.64) (0.67)
---------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period........................ $ 19.08 $ 19.44 $ 19.55 $ 20.17 $ 15.16 $ 14.85
=============================== =========== =========== =========== =========== ========== ==========
Total Return................... 1.39%(D) 3.31% 0.13% 37.79% 6.92% (4.39)%
---------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $12,844,342 $12,577,575 $11,684,771 $11,148,899 $8,266,610 $7,459,144
Ratio of Expenses to Average
Net Assets.................... 0.68%(E) 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)......... 0.68%(E) 0.69% 0.68% 0.69% 0.71% 0.70%
Ratio of Net Investment Income
to Average Net Assets......... 2.47%(E) 1.94% 1.78% 2.16% 2.30% 2.05%
Portfolio Turnover Rate........ 10%(D) 18% 8% 9% 18% 16%
---------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
122
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
International Vector Equity Portfolio
----------------------------------------------------------------------- ----------------
Six Months Year Year Year Year Year Six Months
Ended Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, April 30,
2016 2015 2014 2013 2012 2011 2016
---------------------------------------------------------------------------------------------------------------------------
(Unaudited) (Unaudited)
Net Asset Value, Beginning of
Period........................ $ 10.76 $ 11.26 $ 11.75 $ 9.33 $ 9.34 $ 10.28 $ 10.28
---------- ---------- ---------- ---------- -------- -------- --------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A).................. 0.14 0.28 0.32 0.26 0.27 0.29 0.13
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. (0.08) (0.41) (0.43) 2.44 0.14 (0.87) (0.30)
---------- ---------- ---------- ---------- -------- -------- --------
Total from Investment
Operations................. 0.06 (0.13) (0.11) 2.70 0.41 (0.58) (0.17)
---------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........ (0.10) (0.27) (0.30) (0.25) (0.27) (0.29) (0.12)
Net Realized Gains........... (0.04) (0.10) (0.08) (0.03) (0.15) (0.07) --
---------- ---------- ---------- ---------- -------- -------- --------
Total Distributions......... (0.14) (0.37) (0.38) (0.28) (0.42) (0.36) (0.12)
---------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period........................ $ 10.68 $ 10.76 $ 11.26 $ 11.75 $ 9.33 $ 9.34 $ 9.99
=============================== =========== ========== ========== ========== ======== ======== ===========
Total Return................... 0.58%(D) (1.14)% (1.05)% 29.52% 4.90% (5.99)% (1.58)%(D)
---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $1,761,281 $1,594,914 $1,305,553 $1,090,774 $561,399 $410,580 $184,311
Ratio of Expenses to Average
Net Assets.................... 0.49%(E) 0.50% 0.49% 0.51% 0.54% 0.54% 0.53%(B)(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)......... 0.49%(E) 0.50% 0.49% 0.51% 0.54% 0.54% 0.76%(B)(E)
Ratio of Net Investment Income
to Average Net Assets......... 2.72%(E) 2.50% 2.64% 2.51% 2.94% 2.73% 2.78%(E)
Portfolio Turnover Rate........ 2%(D) 8% 8% 2% 5% 10% N/A(D)
---------------------------------------------------------------------------------------------------------------------------
World ex U.S. 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........................ $ 11.43 $ 11.93 $ 9.94 $ 9.96 $ 11.35
-------- -------- -------- ------- -------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A).................. 0.30 0.42 0.29 0.29 0.30
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. (1.18) (0.50) 2.02 (0.05) (1.35)
-------- -------- -------- ------- -------
Total from Investment
Operations................. (0.88) (0.08) 2.31 0.24 (1.05)
----------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........ (0.27) (0.42) (0.32) (0.26) (0.26)
Net Realized Gains........... -- -- -- -- (0.08)
-------- -------- -------- ------- -------
Total Distributions......... (0.27) (0.42) (0.32) (0.26) (0.34)
----------------------------------------------------------------------------------------------
Net Asset Value, End of
Period........................ $ 10.28 $ 11.43 $ 11.93 $ 9.94 $ 9.96
=============================== ======== ======== ======== ======== ========
Total Return................... (7.77)% (0.81)% 23.61% 2.70% (9.59)%
----------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $155,301 $113,951 $117,587 $57,197 $47,165
Ratio of Expenses to Average
Net Assets.................... 0.53%(B) 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)......... 0.75%(B) 0.76%(B) 0.76%(B) 0.84%(B) 0.91%(B)
Ratio of Net Investment Income
to Average Net Assets......... 2.69% 3.54% 2.61% 2.97% 2.64%
Portfolio Turnover Rate........ N/A N/A N/A N/A N/A
----------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
123
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
World ex U.S. Targeted Value Portfolio
-------------------------------------------
Period
Six Months Year Year Nov. 1,
Ended Ended Ended 2012(a) to
April 30, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013
------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.............. $ 11.44 $ 12.08 $ 12.46 $ 10.00
-------- -------- -------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................. 0.12 0.23 0.23 0.20
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... 0.25 (0.58) (0.22) 2.46
-------- -------- -------- -------
Total from Investment Operations............... 0.37 (0.35) 0.01 2.66
------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................ (0.07) (0.26) (0.24) (0.20)
Net Realized Gains............................... -- (0.03) (0.15) --
-------- -------- -------- -------
Total Distributions............................ (0.07) (0.29) (0.39) (0.20)
------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.................... $ 11.74 $ 11.44 $ 12.08 $12.46$
================================================= =========== ======== ======== ==========
Total Return...................................... 3.25%(D) (2.88)% 0.06% 26.90%(D)
------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)............. $247,936 $227,731 $151,096 $96,010
Ratio of Expenses to Average Net Assets (B)....... 0.73%(E) 0.65% 0.69% 0.79%(C)(E)
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses Reimbursed),
and/or Previously Waived Fees Recovered by
Advisor) (B)..................................... 0.73%(E) 1.06% 1.17% 1.27%(C)(E)
Ratio of Net Investment Income to Average Net
Assets........................................... 2.21%(E) 1.95% 1.84% 1.78%(C)(E)
Portfolio Turnover Rate........................... 19%(D) 1% N/A N/A
------------------------------------------------------------------------------------------------------
World ex U.S. Core Equity Portfolio
-------------------------------------------------
Period
Six Months Year Year April 9,
Ended Ended Ended 2013(a) to
April 30, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013
-----------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.............. $ 9.83 $ 10.49 $ 10.77 $ 10.00
---------- ---------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................. 0.11 0.26 0.28 0.18
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... (0.12) (0.72) (0.27) 0.77
---------- ---------- -------- --------
Total from Investment Operations............... (0.01) (0.46) 0.01 0.95
-----------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................ (0.08) (0.20) (0.28) (0.18)
Net Realized Gains............................... -- -- (0.01) --
---------- ---------- -------- --------
Total Distributions............................ (0.08) (0.20) (0.29) (0.18)
-----------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.................... $ 9.74 $ 9.83 $ 10.49 $ 10.77
================================================= =========== ========== ======== ==========
Total Return...................................... (0.06)%(D) (4.50)% (0.04)% 9.62%(D)
-----------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)............. $1,471,531 $1,170,828 $406,648 $129,720
Ratio of Expenses to Average Net Assets (B)....... 0.47%(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)..................................... 0.46%(E) 0.52% 0.88% 0.97%(C)(E)
Ratio of Net Investment Income to Average Net
Assets........................................... 2.47%(E) 2.54% 2.59% 3.12%(C)(E)
Portfolio Turnover Rate........................... 1%(D) 1% N/A N/A
-----------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
124
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
World Core Equity Portfolio
---------------------------------------------------
Period
Six Months Year Year Year March 7,
Ended Ended Ended Ended 2012(a) to
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012
------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.............................. $ 12.94 $ 13.33 $ 12.71 $10.24 $10.00
-------- -------- ------- ------ ------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................ 0.12 0.26 0.17 0.23 0.16
Net Gains (Losses) on Securities (Realized and Unrealized)...... (0.12) (0.35) 0.87 2.47 0.19
-------- -------- ------- ------ ------
Total from Investment Operations............................... -- (0.09) 1.04 2.70 0.35
------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................................... (0.12) (0.26) (0.24) (0.23) (0.11)
Net Realized Gains.............................................. (0.01) (0.04) (0.18) -- (0.00)
-------- -------- ------- ------ ------
Total Distributions............................................ (0.13) (0.30) (0.42) (0.23) (0.11)
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.................................... $ 12.81 $ 12.94 $ 13.33 $12.71 $10.24
================================================================== =========== ======== ======== ======== ==========
Total Return...................................................... 0.03%(D) (0.61)% 8.36% 26.77% 3.54%(D)
------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)............................. $232,830 $202,655 $75,707 $1,728 $ 191
Ratio of Expenses to Average Net Assets (B)....................... 0.35%(E) 0.35% 0.35% 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).................................................. 0.63%(E) 0.65% 0.97% 5.71% 52.27%(C)(E)
Ratio of Net Investment Income to Average Net Assets.............. 1.92%(E) 1.95% 1.27% 2.01% 2.40%(C)(E)
------------------------------------------------------------------------------------------------------------------------------
Selectively Hedged Global Equity Portfolio
-----------------------------------------------------
Period
Six Months Year Year Year Nov. 14,
Ended Ended Ended Ended 2011(a) to
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012
-------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.............................. $ 13.50 $ 14.20 $ 13.63 $ 10.87 $ 10.00
-------- -------- -------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................ 0.12 0.27 0.27 0.24 0.22
Net Gains (Losses) on Securities (Realized and Unrealized)...... (0.29) (0.34) 0.76 2.65 0.87
-------- -------- -------- ------- -------
Total from Investment Operations............................... (0.17) (0.07) 1.03 2.89 1.09
-------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................................... (0.35) (0.42) (0.32) (0.10) (0.22)
Net Realized Gains.............................................. (0.04) (0.21) (0.14) (0.03) --
-------- -------- -------- ------- -------
Total Distributions............................................ (0.39) (0.63) (0.46) (0.13) (0.22)
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.................................... $ 12.94 $ 13.50 $ 14.20 $ 13.63 $ 10.87
================================================================== =========== ======== ======== ======== ==========
Total Return...................................................... (1.25)%(D) (0.34)% 7.83% 26.86% 11.11%(D)
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)............................. $275,860 $245,106 $147,276 $91,348 $34,950
Ratio of Expenses to Average Net Assets (B)....................... 0.34%(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).................................................. 0.64%(E) 0.66% 0.69% 0.72% 1.00%(C)(E)
Ratio of Net Investment Income to Average Net Assets.............. 1.85%(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.
125
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Emerging Markets Portfolio
-------------------------------------------------------------------------- --------------
Six Months Year Year Year Year Year Six Months
Ended Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, April 30,
2016 2015 2014 2013 2012 2011 2016
---------------------------------------------------------------------------------------------------------------------------------
(Unaudited) (Unaudited)
Net Asset Value, Beginning of
Period............................. $ 22.17 $ 26.64 $ 26.97 $ 26.06 $ 26.68 $ 30.90 $ 18.51
---------- ---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income
(Loss) (A)....................... 0.14 0.49 0.56 0.52 0.55 0.61 0.16
Net Gains (Losses) on Securities
(Realized and Unrealized)........ 0.23 (4.54) (0.20) 1.17 0.37 (2.53) 0.65
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations...................... 0.37 (4.05) 0.36 1.69 0.92 (1.92) 0.81
---------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............. (0.22) (0.42) (0.53) (0.50) (0.50) (0.53) (0.29)
Net Realized Gains................ -- -- (0.16) (0.28) (1.04) (1.77) (0.14)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.............. (0.22) (0.42) (0.69) (0.78) (1.54) (2.30) (0.43)
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period...... $ 22.32 $ 22.17 $ 26.64 $ 26.97 $ 26.06 $ 26.68 $ 18.89
=================================== =========== ========== ========== ========== ========== ========== ===========
Total Return........................ 1.70%(D) (15.24)% 1.33% 6.58% 4.08% (6.82)% 4.59%(D)
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)........................ $4,465,059 $4,321,530 $4,073,698 $3,655,740 $2,797,177 $2,313,035 $5,078,853
Ratio of Expenses to Average Net
Assets (B)......................... 0.57%(E) 0.57% 0.56% 0.57% 0.61% 0.61% 0.73%(E)
Ratio of Expenses to Average Net
Assets (Excluding Fees (Waived),
(Expenses Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor) (B).......... 0.67%(E) 0.60% 0.56% 0.57% 0.61% 0.61% 0.93%(E)
Ratio of Net Investment Income to
Average Net Assets................. 1.32%(E) 1.97% 2.11% 1.97% 2.14% 2.07% 1.84%(E)
---------------------------------------------------------------------------------------------------------------------------------
Emerging Markets Small Cap Portfolio
------------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011
--------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of
Period............................. $ 21.42 $ 21.10 $ 20.33 $ 19.85 $ 24.26
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income
(Loss) (A)....................... 0.43 0.43 0.40 0.40 0.42
Net Gains (Losses) on Securities
(Realized and Unrealized)........ (2.53) 0.62 1.37 0.83 (3.67)
---------- ---------- ---------- ---------- ----------
Total from Investment
Operations...................... (2.10) 1.05 1.77 1.23 (3.25)
--------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............. (0.41) (0.40) (0.39) (0.35) (0.40)
Net Realized Gains................ (0.40) (0.33) (0.61) (0.40) (0.76)
---------- ---------- ---------- ---------- ----------
Total Distributions.............. (0.81) (0.73) (1.00) (0.75) (1.16)
--------------------------------------------------------------------------------------------------
Net Asset Value, End of Period...... $ 18.51 $ 21.42 $ 21.10 $ 20.33 $ 19.85
=================================== ========== ========== ========== ========== ==========
Total Return........................ (9.88)% 5.12% 8.92% 6.71% (14.03)%
--------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)........................ $4,845,174 $4,860,603 $4,041,863 $2,907,673 $1,832,745
Ratio of Expenses to Average Net
Assets (B)......................... 0.73% 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).......... 0.78% 0.72% 0.75% 0.82% 0.79%
Ratio of Net Investment Income to
Average Net Assets................. 2.16% 2.02% 1.91% 2.01% 1.86%
--------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
126
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Emerging Markets Value Portfolio-Class R2 Shares
------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012 2011
--------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.... $ 22.18 $ 27.79 $ 29.27 $ 28.21 $ 29.02 $ 36.35
------- ------- ------- -------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)...... 0.11 0.49 0.59 0.47 0.50 0.20
Net Gains (Losses) on Securities
(Realized and Unrealized)............ 0.76 (5.61) (1.10) 1.68 (0.45) (5.45)
------- ------- ------- -------- ------- -------
Total from Investment
Operations.......................... 0.87 (5.12) (0.51) 2.15 0.05 (5.25)
--------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................. (0.41) (0.49) (0.55) (0.50) (0.47) (0.45)
Net Realized Gains.................... -- -- (0.42) (0.59) (0.39) (1.63)
------- ------- ------- -------- ------- -------
Total Distributions.................. (0.41) (0.49) (0.97) (1.09) (0.86) (2.08)
--------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 22.64 $ 22.18 $ 27.79 $ 29.27 $ 28.21 $ 29.02
======================================== =========== ======== ======== ======== ======== ========
Total Return............................ 4.12%(D) (18.49)% (1.75)% 7.75% 0.43% (15.24)%
--------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $80,491 $74,076 $99,066 $106,070 $99,111 $78,157
Ratio of Expenses to Average Net
Assets (B)............................. 0.82%(E) 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).......... 0.92%(E) 0.84% 0.80% 0.82% 0.86% 0.86%
Ratio of Net Investment Income to
Average Net Assets..................... 1.05%(E) 1.93% 2.09% 1.65% 1.78% 1.56%
--------------------------------------------------------------------------------------------------------
Emerging Markets Value Portfolio-Institutional Class Shares
---------------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012 2011
----------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.... $ 22.22 $ 27.81 $ 29.28 $ 28.22 $ 29.02 $ 36.27
----------- ----------- ----------- ----------- ----------- -----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)...... 0.13 0.54 0.66 0.55 0.57 0.64
Net Gains (Losses) on Securities
(Realized and Unrealized)............ 0.77 (5.60) (1.10) 1.67 (0.44) (5.72)
----------- ----------- ----------- ----------- ----------- -----------
Total from Investment
Operations.......................... 0.90 (5.06) (0.44) 2.22 0.13 (5.08)
----------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................. (0.36) (0.53) (0.61) (0.57) (0.54) (0.54)
Net Realized Gains.................... -- -- (0.42) (0.59) (0.39) (1.63)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions.................. (0.36) (0.53) (1.03) (1.16) (0.93) (2.17)
----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 22.76 $ 22.22 $ 27.81 $ 29.28 $ 28.22 $ 29.02
======================================== =========== =========== =========== =========== =========== ===========
Total Return............................ 4.23%(D) (18.27)% (1.51)% 8.01% 0.70% (14.84)%
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $15,481,561 $14,834,888 $18,647,276 $19,162,837 $16,589,619 $13,730,213
Ratio of Expenses to Average Net
Assets (B)............................. 0.57%(E) 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).......... 0.67%(E) 0.59% 0.55% 0.57% 0.61% 0.61%
Ratio of Net Investment Income to
Average Net Assets..................... 1.30%(E) 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.
127
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Emerging Markets Core Equity Portfolio
-------------------------------------------------------------------
Six Months Year Year Year Year
Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012
---------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period........................ $ 16.81 $ 20.08 $ 20.09 $ 19.00 $ 18.73
----------- ----------- ----------- ----------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.12 0.39 0.42 0.39 0.41
Net Gains (Losses) on Securities (Realized and Unrealized). 0.28 (3.29) (0.03) 1.07 0.23
----------- ----------- ----------- ----------- ----------
Total from Investment Operations......................... 0.40 (2.90) 0.39 1.46 0.64
---------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.16) (0.37) (0.40) (0.37) (0.37)
----------- ----------- ----------- ----------- ----------
Total Distributions...................................... (0.16) (0.37) (0.40) (0.37) (0.37)
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.............................. $ 17.05 $ 16.81 $ 20.08 $ 20.09 $ 19.00
=========================================================== =========== =========== =========== =========== ==========
Total Return................................................ 2.45%(D) (14.49)% 1.89% 7.75% 3.55%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)....................... $16,398,710 $14,856,878 $15,727,547 $13,020,962 $8,594,707
Ratio of Expenses to Average Net Assets..................... 0.61%(E) 0.62% 0.61% 0.63% 0.68%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor and Fees Paid Indirectly)........ 0.61%(E) 0.62% 0.61% 0.63% 0.68%
Ratio of Net Investment Income to Average Net Assets........ 1.49%(E) 2.06% 2.10% 1.97% 2.18%
Portfolio Turnover Rate..................................... 2%(D) 5% 2% 1% 1%
---------------------------------------------------------------------------------------------------------------------------------
-----------
Year
Ended
Oct. 31,
2011
-------------------------------------------------------------------------
Net Asset Value, Beginning of Period........................ $ 21.31
----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.43
Net Gains (Losses) on Securities (Realized and Unrealized). (2.65)
----------
Total from Investment Operations......................... (2.22)
-------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.36)
----------
Total Distributions...................................... (0.36)
-------------------------------------------------------------------------
Net Asset Value, End of Period.............................. $ 18.73
=========================================================== ==========
Total Return................................................ (10.59)%
-------------------------------------------------------------------------
Net Assets, End of Period (thousands)....................... $5,367,473
Ratio of Expenses to Average Net Assets..................... 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)........ 0.68%
Ratio of Net Investment Income to Average Net Assets........ 2.04%
Portfolio Turnover Rate..................................... 1%
-------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
128
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of ninety-five
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 directly in
securities. 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 04/30/16
------------ ------------ -----------
U.S. Large Cap Value Portfolio The U.S. Large Cap Value Series 84%
Japanese Small Company Portfolio The Japanese Small Company Series 16%
Asia Pacific Small Company Portfolio The Asia Pacific Small Company Series 17%
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 84%
The United Kingdom Small Company Series 97%
The Asia Pacific Small Company Series 83%
The Canadian Small Company Series 97%
DFA Global Real Estate Securities Portfolio** DFA Real Estate Securities Portfolio 24%
DFA International Real Estate Securities Portfolio 40%
World ex U.S. Value Portfolio Dimensional Emerging Markets Value Fund --*
DFA International Small Cap Value Portfolio --*
The DFA International Value Series 1%
World Core Equity Portfolio U.S. Core Equity 1 Portfolio 1%
International Core Equity Portfolio --*
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 Master Funds as
indicated and securities listed on its Summary Schedule of Investments.
129
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. Each Feeder Fund and Fund of Funds also
invest in short-term temporary cash investments and futures. In addition, each
international Fund of Funds may engage in 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 of the day. 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 within the range 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 of the Fund. 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 of the Portfolio is calculated. When fair value pricing is
used, the prices of securities used by the Domestic Equity Portfolios and the
International Equity Portfolios may differ from the quoted or published prices
for the same securities on their primary markets or exchanges. These securities
are generally categorized as Level 2 in the hierarchy.
130
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 of
the Fund has determined that movements in relevant indices or other appropriate
market indicators, after the close of the Tokyo Stock Exchange or the London
Stock Exchange, demonstrate that market quotations may be unreliable. Fair
valuation of portfolio securities may occur on a daily basis. The fair value
pricing by the International Equity Portfolios utilizes data furnished by an
independent pricing service (and that data draws upon, among other information,
the market values of foreign investments). When 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 the 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 that 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
of the Fund. 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 Portfolios in other investment companies (such as the
Master Funds) are valued at their respective daily net asset values as reported
by their administrator. The Feeder Funds', International Small Company
Portfolio's and World ex U.S. Value Portfolio's investments in Series of DFAITC
or DEM reflect their proportionate interest in the net assets of such
corresponding Master Fund. These valuations are classified as Level 1 in the
hierarchy.
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 Summary
Schedule of Portfolio Holdings/Schedule of Investments (except for the Feeder
Funds). 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
Portfolios recognize transfers between the levels as of the end of the period.
As of April 30, 2016, DFA International Real Estate Securities Portfolio had
significant transfers of securities with a total value of $46,664 (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. As of April 30, 2016, World ex U.S. Targeted Value Portfolio,
World ex U.S. Core Equity Portfolio, and Emerging Markets Core Equity Portfolio
had significant transfers of securities with a total value of $3,022, $23,883
and $1,135,269 (in thousands), respectively, that transferred from Level 2 to
Level 1 because fair value procedures were no longer applied.
131
2. Foreign Currency Translation: Securities and other assets and
liabilities of the 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 Portfolios 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
Enhanced U.S. Large Company 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, Enhanced U.S. Large Company 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 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 may defer payment of all or a portion of their total fees earned as a
Director. 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' Fees &
Expenses.
Each Director 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 shall have the right in a notice of election (the
"Notice") to defer the receipt of the Director's deferred compensation until a
date specified by such Director 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 ceases to be a member of the Board of Directors of the
Fund; and (ii) five years following the effective date of the Director's first
deferral election. If a Director who elects to defer fees fails to designate in
the Notice a time or date as of which payment of the Director'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 ceases to be a
member of the Board (unless the Director files an amended Notice selecting a
different distribution date). As of April 30, 2016, none of the Directors 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 accounted
for on the basis of identified cost. Dividend income and distributions to
shareholders are recorded on the ex-dividend date. Distributions received on
securities and from the investment in affiliated investment companies that
represent a return of capital or capital gains are recorded as a reduction of
cost of investments or as a realized gain, respectively. The Portfolios
estimate the character of distributions received that may be considered return
of capital distributions. Interest income is recorded on an accrual basis.
Discount and premium on debt securities purchased are amortized over the lives
of the respective securities, utilizing the effective interest method. Expenses
directly attributable to a Portfolio are directly charged. Common expenses of
the Fund or the Portfolios are allocated using methods approved by the Board,
generally based on average net assets.
132
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.
The Feeder Funds, International Small Company 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, World ex U.S. Core 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 management
services to all Portfolios.
For the six months ended April 30, 2016, the Portfolios' investment
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. Large Cap Value Portfolio..................... 0.25%
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%
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%
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%
DFA International Real Estate Securities Portfolio. 0.25%
DFA Global Real Estate Securities Portfolio........ 0.20%
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%
133
World ex U.S. Core Equity Portfolio........ 0.40%
World Core Equity Portfolio................ 0.30%
Selectively Hedged Global Equity Portfolio. 0.30%
Emerging Markets Portfolio................. 0.50%
Emerging Markets Small Cap Portfolio....... 0.65%
Emerging Markets Value Portfolio........... 0.50%
Emerging Markets Core Equity Portfolio..... 0.55%
Pursuant to an Amended and Restated Fee Waiver and/or Expense Assumption
Agreement (the "Fee Waiver Agreement"), the Advisor has contractually agreed to
waive certain fees, and in certain instances, assume certain expenses of the
Portfolios, as described in the notes below. The Fee 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, 2017, 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 six months ended April 30, 2016, 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% $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% -- 1,698
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% 1 23
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% -- 17,801
International Vector Equity Portfolio (1).............. 0.60% -- --
World ex U.S. Value Portfolio (8)...................... 0.60% -- 820
World ex U.S. Targeted Value Portfolio (9)............. 0.80% -- 1,677
World ex U.S. Core Equity Portfolio (10)............... 0.47% 79 1,478
World Core Equity Portfolio (11)....................... 0.35% 5 844
Selectively Hedged Global Equity Portfolio (12)........ 0.40% -- 1,385
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% -- --
134
Previously
Recovery Waived Fees/
Expense of Previously Expenses Assumed
Limitation Waived Fees/ Subject to Future
Class R1 Shares Amount Expenses Assumed Recovery
--------------- ---------- ---------------- -----------------
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 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 thirty-six 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 thirty-six 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 thirty-six 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 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 retained the right to seek reimbursement for any fees previously waived
and/or expenses previously assumed to the extent that the amount of such
reimbursement was within thirty-six 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
135
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 thirty-six 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 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 beared 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 thirty-six 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 thirty-six 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 thirty-six 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
136
"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 thirty-six 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 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 thirty-six
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 thirty-six 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 thirty-six 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.
137
(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 thirty-six 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.
(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 thirty-six 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 thirty-six months before the date of such
reimbursement.
Earned Income Credit:
In addition, 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. During the six months ended April 30, 2016, expenses
reduced were as follows (amounts in thousands):
Fees Paid
Indirectly
----------
Enhanced U.S. Large Company Portfolio. $ 1
Large Cap International Portfolio..... 10
International Core Equity Portfolio... 45
138
Fees Paid
Indirectly
----------
DFA International Real Estate Securities Portfolio. $11
DFA International Small Cap Value Portfolio........ 11
International Vector Equity Portfolio.............. 6
World ex U.S. Targeted Value Portfolio............. --
World ex U.S. Core Equity Portfolio................ 7
Emerging Markets Core Equity Portfolio............. 61
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the six months ended April 30, 2016, the total related amounts paid by the
Fund to the CCO were $144 (in thousands). The total related amounts paid by
each of the Portfolios are included in Other Expenses on the Statement of
Operations.
D. Deferred Compensation:
At April 30, 2016, the total liability for deferred compensation to
Directors 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.............. $ 9
U.S. Large Cap Equity Portfolio.................... 3
U.S. Large Cap Value Portfolio..................... 364
U.S. Targeted Value Portfolio...................... 113
U.S. Small Cap Value Portfolio..................... 325
U.S. Core Equity 1 Portfolio....................... 183
U.S. Core Equity 2 Portfolio....................... 267
U.S. Vector Equity Portfolio....................... 78
U.S. Small Cap Portfolio........................... 188
U.S. Micro Cap Portfolio........................... 159
DFA Real Estate Securities Portfolio............... 136
Large Cap International Portfolio.................. 82
International Core Equity Portfolio................ 251
International Small Company Portfolio.............. 247
Japanese Small Company Portfolio................... 10
Asia Pacific Small Company Portfolio............... 7
United Kingdom Small Company Portfolio............. 1
Continental Small Company Portfolio................ 6
DFA International Real Estate Securities Portfolio. 54
DFA Global Real Estate Securities Portfolio........ 44
DFA International Small Cap Value Portfolio........ 360
International Vector Equity Portfolio.............. 22
World ex U.S. Value Portfolio...................... 2
World ex U.S. Targeted Value Portfolio............. 1
World ex U.S. Core Equity Portfolio................ 4
World Core Equity Portfolio........................ 1
Selectively Hedged Global Equity Portfolio......... 2
Emerging Markets Portfolio......................... 112
Emerging Markets Small Cap Portfolio............... 91
Emerging Markets Value Portfolio................... 475
Emerging Markets Core Equity Portfolio............. 255
139
E. Purchases and Sales of Securities:
For the six months ended April 30, 2016, 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.............. $102,091 $127,307 $ 51,613 $ 26,539
U.S. Large Cap Equity Portfolio.................... -- -- 122,342 54,265
U.S. Targeted Value Portfolio...................... -- -- 1,198,132 546,616
U.S. Small Cap Value Portfolio..................... -- -- 1,772,008 769,744
U.S. Core Equity 1 Portfolio....................... -- -- 994,462 190,965
U.S. Core Equity 2 Portfolio....................... -- -- 1,065,015 250,166
U.S. Vector Equity Portfolio....................... -- -- 277,927 131,146
U.S. Small Cap Portfolio........................... -- -- 1,931,754 439,539
U.S. Micro Cap Portfolio........................... -- -- 442,691 365,878
DFA Real Estate Securities Portfolio............... -- -- 262,984 35,853
Large Cap International Portfolio.................. -- -- 311,408 100,977
International Core Equity Portfolio................ -- -- 1,481,725 106,662
DFA International Real Estate Securities Portfolio. -- -- 235,779 12,493
DFA Global Real Estate Securities Portfolio........ -- -- 201,622 7,214
DFA International Small Cap Value Portfolio........ -- -- 1,538,019 1,208,784
International Vector Equity Portfolio.............. -- -- 213,086 32,606
World ex U.S. Targeted Value Portfolio............. -- -- 73,202 65,342
World ex U.S. Core Equity Portfolio................ -- -- 297,019 8,151
Emerging Markets Core Equity Portfolio............. -- -- 1,370,173 299,549
For the six months ended April 30, 2016, 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 10/31/2015 4/30/2016 Purchases Sales Income Realized Gains
------------------------------- ---------- ---------- --------- ------- -------- ----------------
DFA Real Estate Securities
Portfolio....................... $1,574,619 $1,632,482 $ 32,220 $19,500 $ 32,220 $ --
DFA International Real Estate
Securities Portfolio............ 1,448,338 1,602,658 74,916 10,500 24,916 --
---------- ---------- -------- ------- -------- --------
Total............................. $3,022,957 $3,235,140 $107,136 $30,000 $ 57,136 $ --
========== ========== ======== ======= ======== ========
World ex U.S. Value Portfolio
-----------------------------------------------------------------
Balance at Balance at Dividend Distributions of
Affiliated Investment Companies 10/31/2015 4/30/2016 Purchases Sales Income Realized Gains
------------------------------- ---------- ---------- --------- ------- -------- ----------------
DFA International Small Cap Value
Portfolio....................... $ 16,637 $ 21,386 $ 5,745 $ 935 $305,487 $255,697
---------- ---------- -------- ------- -------- --------
Total............................. $ 16,637 $ 21,386 $ 5,745 $ 935 $305,487 $255,697
========== ========== ======== ======= ======== ========
140
World Core Equity Portfolio
-----------------------------------------------------------------
Balance at Balance at Dividend Distributions of
Affiliated Investment Companies 10/31/2015 4/30/2016 Purchases Sales Income Realized Gains
------------------------------- ---------- ---------- --------- ------- -------- ----------------
U.S. Core Equity 1 Portfolio........ $105,442 $119,868 $25,503 $ 8,676 $1,133 $1,313
International Core Equity Portfolio. 76,621 88,551 18,111 5,640 690 --
Emerging Markets Core Equity
Portfolio......................... 20,320 24,209 5,223 1,810 216 --
-------- -------- ------- ------- ------ ------
Total............................... $202,383 $232,628 $48,837 $16,126 $2,039 $1,313
======== ======== ======= ======= ====== ======
Selectively Hedged Global Equity Portfolio
-----------------------------------------------------------------
Balance at Balance at Dividend Distributions of
Affiliated Investment Companies 10/31/2015 4/30/2016 Purchases Sales Income Realized Gains
------------------------------- ---------- ---------- --------- ------- -------- ----------------
U.S. Core Equity 2 Portfolio........ $110,935 $121,087 $14,369 $ 982 $1,140 $2,164
International Core Equity Portfolio. 87,007 99,789 15,969 3,011 773 --
Emerging Markets Core Equity
Portfolio......................... 36,717 43,413 6,687 991 378 --
-------- -------- ------- ------- ------ ------
Total............................... $234,659 $264,289 $37,025 $ 4,984 $2,291 $2,164
======== ======== ======= ======= ====== ======
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)
Large Cap International Portfolio..... 32,450 (358) (32,092)
International Core Equity Portfolio... 170,340 (10,135) (160,205)
141
Increase Increase
(Decrease) (Decrease)
Increase Undistributed Accumulated
(Decrease) Net Investment Net Realized
Paid-In Capital Income Gains (Losses)
--------------- -------------- --------------
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
U.S. Vector Equity Portfolio
2014.................................. 39,201 38,966 78,167
2015.................................. 51,799 109,045 160,844
142
Net Investment
Income and
Short-Term Long-Term
Capital Gains Capital Gains Total
-------------- ------------- --------
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
World ex U.S. Targeted Value Portfolio
2014............................................... 2,537 1,141 3,678
2015............................................... 3,902 402 4,304
143
Net Investment
Income and
Short-Term Long-Term
Capital Gains Capital Gains Total
-------------- ------------- --------
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
Short-Term Long-Term
Capital Gains Capital 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
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
144
Net Investment
Income and
Short-Term Long-Term
Capital Gains Capital Gains Total
-------------- ------------- -------
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)
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)
145
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 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......................... -- -- -- -- -- --
146
Expires on October 31,
------------------------
2016 2017 2018 2019 Unlimited Total
------ ------- ---- ---- --------- --------
Emerging Markets Value Portfolio. -- -- -- -- $948,015 $948,015
Emerging Markets Core Equity
Portfolio...................... $7,080 $26,444 -- -- 456,344 489,868
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 April 30, 2016, 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.............. $ 201,038 $ 420 $ (39) $ 381
U.S. Large Cap Equity Portfolio.................... 754,104 66,722 (33,616) 33,106
U.S. Large Cap Value Portfolio..................... 12,160,631 4,263,801 -- 4,263,801
U.S. Targeted Value Portfolio...................... 7,924,875 1,433,699 (650,474) 783,225
U.S. Small Cap Value Portfolio..................... 12,236,584 3,147,530 (1,126,117) 2,021,413
U.S. Core Equity 1 Portfolio....................... 12,154,053 3,633,629 (527,830) 3,105,799
U.S. Core Equity 2 Portfolio....................... 13,623,645 4,571,134 (733,278) 3,837,856
U.S. Vector Equity Portfolio....................... 3,314,855 1,109,783 (268,893) 840,890
U.S. Small Cap Portfolio........................... 12,312,007 2,704,405 (854,165) 1,850,240
U.S. Micro Cap Portfolio........................... 4,511,348 1,640,528 (460,739) 1,179,789
DFA Real Estate Securities Portfolio............... 5,137,242 2,155,309 (136,261) 2,019,048
Large Cap International Portfolio.................. 3,257,992 622,467 (345,320) 277,147
International Core Equity Portfolio................ 16,792,596 2,413,138 (2,070,813) 342,325
International Small Company Portfolio.............. 8,784,390 1,041,451 (290,390) 751,061
Japanese Small Company Portfolio................... 403,788 22,827 -- 22,827
Asia Pacific Small Company Portfolio............... 253,534 (6,917) (17,610) (24,527)
United Kingdom Small Company Portfolio............. 24,121 6,372 -- 6,372
Continental Small Company Portfolio................ 272,653 39,190 -- 39,190
DFA International Real Estate Securities Portfolio. 3,937,641 292,959 (127,613) 165,346
DFA Global Real Estate Securities Portfolio........ 3,738,565 790,560 (26,143) 764,417
DFA International Small Cap Value Portfolio........ 13,042,270 2,690,430 (1,780,703) 909,727
International Vector Equity Portfolio.............. 1,871,359 287,763 (218,661) 69,102
World ex U.S. Value Portfolio...................... 191,216 1,479 (8,388) (6,909)
World ex U.S. Targeted Value Portfolio............. 239,322 26,468 (14,551) 11,917
World ex U.S. Core Equity Portfolio................ 1,633,022 101,272 (147,434) (46,162)
World Core Equity Portfolio........................ 240,525 -- (7,480) (7,480)
Selectively Hedged Global Equity Portfolio......... 259,557 8,454 (3,723) 4,731
Emerging Markets Portfolio......................... 3,881,440 584,430 -- 584,430
Emerging Markets Small Cap Portfolio............... 5,274,686 (47,518) (145,067) (192,585)
Emerging Markets Value Portfolio................... 18,120,622 (169,390) (2,347,291) (2,516,681)
Emerging Markets Core Equity Portfolio............. 17,913,808 2,427,192 (3,030,582) (603,390)
147
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.
G. Capital Share Transactions:
The capital share transactions by class were as follows (amounts in
thousands):
Six Months Ended Year Ended
April 30, 2016 Oct. 31, 2015
-------------------- ---------------------
(Unaudited)
Amount Shares Amount Shares
----------- ------- ----------- --------
U.S. Targeted Value Portfolio
Class R1 Shares
Shares Issued........................................ $ 4,631 237 $ 32,126 1,408
Shares Issued in Lieu of Cash Distributions.......... 1,907 95 1,658 78
Shares Redeemed...................................... (11,180) (572) (7,954) (357)
----------- ------- ----------- --------
Net Increase (Decrease) -- Class R1 Shares............ $ (4,642) (240) $ 25,830 1,129
=========== ======= =========== ========
Class R2 Shares
Shares Issued........................................ $ 37,348 1,816 $ 91,125 4,038
Shares Issued in Lieu of Cash Distributions.......... 7,229 363 4,855 231
Shares Redeemed...................................... (21,257) (1,072) (35,030) (1,563)
----------- ------- ----------- --------
Net Increase (Decrease) -- Class R2 Shares............ $ 23,320 1,107 $ 60,950 2,706
=========== ======= =========== ========
Institutional Class Shares
Shares Issued........................................ $ 1,152,012 59,573 $ 2,738,417 122,334
Shares Issued in Lieu of Cash Distributions.......... 314,281 15,727 299,961 14,250
Shares Redeemed...................................... (680,557) (34,492) (1,098,528) (49,444)
----------- ------- ----------- --------
Net Increase (Decrease) -- Institutional Class Shares. $ 785,736 40,808 $ 1,939,850 87,140
=========== ======= =========== ========
Emerging Markets Value Portfolio
Class R2 Shares
Shares Issued........................................ $ 12,755 614 $ 30,224 1,180
Shares Issued in Lieu of Cash Distributions.......... 1,372 66 1,822 79
Shares Redeemed...................................... (9,399) (464) (36,071) (1,484)
----------- ------- ----------- --------
Net Increase (Decrease) -- Class R2 Shares............ $ 4,728 216 $ (4,025) (225)
=========== ======= =========== ========
Institutional Class Shares
Shares Issued........................................ $ 1,857,426 90,417 $ 3,605,561 146,249
Shares Issued in Lieu of Cash Distributions.......... 226,337 10,981 330,322 14,260
Shares Redeemed...................................... (1,830,342) (88,917) (4,083,777) (163,185)
----------- ------- ----------- --------
Net Increase (Decrease) -- Institutional Class Shares. $ 253,421 12,481 $ (147,894) (2,676)
=========== ======= =========== ========
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
148
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
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 acquire and sell 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
April 30, 2016, the following Portfolios had entered into the following
contracts and the net unrealized foreign exchange gain (loss) is reflected in
the accompanying financial statements (amounts in thousands):
DFA International Real Estate Securities Portfolio*
Unrealized
Foreign
Settlement Currency Contract Value at Exchange
Date Amount** Currency Counterparty Amount April 30, 2016 Gain (Loss)
---------- -------- ------------------ -------------- -------- -------------- -----------
05/03/16 430 Mexican Peso Citibank, N.A. $ 25 $ 25 --
05/03/16 112 New Zealand Dollar Citibank, N.A. 78 78 --
---- ---- ----
$103 $103 --
==== ==== ====
* During the six months ended April 30, 2016, the Portfolio's average contract
amount of forward currency contracts was $17 (in thousands).
**Positive Currency Amount represents a purchase contract and a Currency Amount
in parentheses represents a sale contract.
149
DFA International Small Cap Value Portfolio*
Unrealized
Foreign
Settlement Currency Contract Value at Exchange
Date Amount** Currency Counterparty Amount April 30, 2016 Gain (Loss)
---------- -------- ------------------ --------------------------- -------- -------------- -----------
05/03/16 3,367 Australian Dollar Citibank, N.A. $2,560 $2,559 $(1)
05/02/16 13 Canadian Dollar Citibank, N.A. 10 10 --
05/03/16 1,356 Canadian Dollar State Street Bank and Trust 1,081 1,081 --
05/03/16 2,122 Hong Kong Dollar Citibank, N.A. 274 274 --
05/04/16 2,892 Hong Kong Dollar Citibank, N.A. 373 373 --
05/03/16 91 New Zealand Dollar Citibank, N.A. 64 64 --
------ ------ ---
$4,362 $4,361 $(1)
====== ====== ===
* During the six months ended April 30, 2016, the Portfolio's average contract
amount of forward currency contracts was $731 (in thousands).
**Positive Currency Amount represents a purchase contract and a Currency Amount
in parentheses represents a sale contract.
World ex U.S. Targeted Value Portfolio*
Unrealized
Foreign
Settlement Currency Contract Value at Exchange
Date Amount** Currency Counterparty Amount April 30, 2016 Gain (Loss)
---------- -------- ---------------- -------------- -------- -------------- -----------
05/03/16 14 Canadian Dollar Citibank, N.A. $11 $11 --
05/04/16 323 Hong Kong Dollar Citibank, N.A. 42 42 --
--- --- ----
$53 $53 --
=== === ====
* During the six months ended April 30, 2016, the Portfolio's average contract
amount of forward currency contracts was $9 (in thousands).
**Positive Currency Amount represents a purchase contract and a Currency Amount
in parentheses represents a sale contract.
World ex U.S. Core Equity Portfolio*
Unrealized
Foreign
Settlement Currency Contract Value at Exchange
Date Amount** Currency Counterparty Amount April 30, 2016 Gain (Loss)
---------- -------- ---------------- -------------- -------- -------------- -----------
05/03/16 24 Canadian Dollar Citibank, N.A. $ 19 $ 19 --
05/03/16 4,233 Hong Kong Dollar Citibank, N.A. 546 546 --
05/04/16 1,954 Hong Kong Dollar Citibank, N.A. 252 252 --
05/03/16 805 Mexican Peso Citibank, N.A. 47 47 --
---- ---- ----
$864 $864 --
==== ==== ====
* During the six months ended April 30, 2016, the Portfolio's average contract
amount of forward currency contracts was $144 (in thousands).
**Positive Currency Amount represents a purchase contract and a Currency Amount
in parentheses represents a sale contract.
Selectively Hedged Global Equity Portfolio*
Unrealized
Foreign
Settlement Currency Contract Value at Exchange
Date Amount** Currency Counterparty Amount April 30, 2016 Gain (Loss)
---------- ---------- ---------------- ---------------------------- -------- -------------- -----------
05/09/16 (11,889) Denmark Krone Citibank, N.A. $ (1,789) $ (1,829) $ (40)
05/12/16 (20,740) Euro UBS AG (23,638) (23,754) (116)
05/10/16 (57,232) Hong Kong Dollar State Street Bank and Trust (7,380) (7,379) 1
05/11/16 (2,185,496) Japanese Yen JP Morgan (19,504) (20,542) (1,038)
05/23/16 (22,578) Swedish Krona UBS AG (2,797) (2,814) (17)
150
Unrealized
Foreign
Settlement Currency Contract Value at Exchange
Date Amount** Currency Counterparty Amount April 30, 2016 Gain (Loss)
---------- -------- ----------------- ------------ -------- -------------- -----------
05/06/16 (5,861) Swiss Franc $ (6,088) $ (6,110) $ (22)
05/23/16 (10,622) UK Pound Sterling JP Morgan (15,323) (15,522) (199)
-------- -------- -------
$(76,519) $(77,950) $(1,431)
======== ======== =======
* During the six months ended April 30, 2016, the Portfolio's average contract
amount of forward currency contracts was $108,092 (in thousands).
**Positive Currency Amount represents a purchase contract and a Currency Amount
in parentheses represents a sale contract.
Emerging Markets Core Equity Portfolio*
Unrealized
Foreign
Settlement Currency Contract Value at Exchange
Date Amount** Currency Counterparty Amount April 30, 2016 Gain (Loss)
---------- -------- ---------------- -------------- -------- -------------- -----------
05/03/16 17,967 Hong Kong Dollar Citibank, N.A. $2,316 $2,316 --
05/04/16 33,687 Hong Kong Dollar Citibank, N.A. 4,342 4,343 $ 1
05/03/16 7,110 Mexican Peso Citibank, N.A. 413 413 --
------ ------ ---
$7,071 $7,072 $ 1
====== ====== ===
* During the six months ended April 30, 2016, the Portfolio's average contract
amount of forward currency contracts was $1,179 (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: The Portfolios may purchase or sell futures
contracts and options on futures contracts for equity securities and indices to
adjust market exposure based on actual or expected cash inflows to or outflows
from the Portfolios. The Portfolios, however, do not intend to sell futures
contracts to establish short positions in individual securities. Additionally,
Enhanced U.S. Large Company Portfolio may also use futures contracts and
options thereon to hedge against securities prices or as part of its overall
investment strategy. 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 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.
151
At April 30, 2016, the following Portfolios had the following 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) 06/16/16 391 $201,277 $18,023 --
-------- ------- ----
$201,277 $18,023 --
======== ======= ====
* During the six months ended April 30, 2016, Portfolio's average notional
contract amount of outstanding futures contracts was $199,058 (amount in
thousands).
Expiration Number of Contract Unrealized Cash
Description Date Contracts* Value Gain (Loss) Collateral
------------------- ---------- ---------- -------- ----------- ----------
U.S. Targeted Value
Portfolio......... S&P 500 Emini Index(R) 06/17/16 610 $62,803 $2,421 $2,745
------- ------ ------
$62,803 $2,421 $2,745
======= ====== ======
* During the six months ended April 30, 2016, Portfolio's average notional
contract amount of outstanding futures contracts was $39,506 (amount in
thousands).
Expiration Number of Contract Unrealized Cash
Description Date Contracts* Value Gain (Loss) Collateral
------------------- ---------- ---------- -------- ----------- ----------
U.S. Small Cap Value
Portfolio.......... Russell 2000 Index(R) 06/17/16 353 $ 39,804 $2,085 $1,954
U.S. Small Cap Value
Portfolio.......... S&P 500 Emini Index(R) 06/17/16 1,453 149,594 5,768 7,346
-------- ------ ------
$189,398 $7,853 $9,300
======== ====== ======
* During the six months ended April 30, 2016, Portfolio's average notional
contract amount of outstanding futures contracts was $193,773 (amount in
thousands).
Expiration Number of Contract Unrealized Cash
Description Date Contracts* Value Gain (Loss) Collateral
------------------- ---------- ---------- -------- ----------- ----------
U.S. Core Equity 1 Portfolio. S&P 500 Emini Index(R) 06/17/16 890 $91,630 $3,532 $4,005
------- ------ ------
$91,630 $3,532 $4,005
======= ====== ======
* During the six months ended April 30, 2016, Portfolio's average notional
contract amount of outstanding futures contracts was $57,536 (amount in
thousands).
Expiration Number of Contract Unrealized Cash
Description Date Contracts* Value Gain (Loss) Collateral
------------------- ---------- ---------- -------- ----------- ----------
U.S. Core Equity 2
Portfolio........ S&P 500 Emini Index(R) 06/17/16 1,000 $102,955 $3,968 $4,500
-------- ------ ------
$102,955 $3,968 $4,500
======== ====== ======
* During the six months ended April 30, 2016, Portfolio's average notional
contract amount of outstanding futures contracts was $64,632 (amount in
thousands).
Expiration Number of Contract Unrealized Cash
Description Date Contracts* Value Gain (Loss) Collateral
------------------- ---------- ---------- -------- ----------- ----------
U.S. Vector Equity Portfolio. S&P 500 Emini Index(R) 06/17/16 230 $23,680 $913 $1,035
------- ---- ------
$23,680 $913 $1,035
======= ==== ======
* During the six months ended April 30, 2016, Portfolio's average notional
contract amount of outstanding futures contracts was $14,927 (amount in
thousands).
152
Expiration Number of Contract Unrealized Cash
Description Date Contracts* Value Gain (Loss) Collateral
------------------- ---------- ---------- -------- ----------- ----------
U.S. Small Cap Portfolio. Russell 2000 Index(R) 06/17/16 632 $ 71,264 $3,731 $1,609
U.S. Small Cap Portfolio. S&P 500 Emini Index(R) 06/17/16 336 34,593 1,333 3,316
-------- ------ ------
$105,857 $5,064 $4,925
======== ====== ======
* During the six months ended April 30, 2016, Portfolio's average notional
contract amount of outstanding futures contracts was $71,847 (amount in
thousands).
Expiration Number of Contract Unrealized Cash
Description Date Contracts* Value Gain (Loss) Collateral
------------------ ---------- ---------- -------- ----------- ----------
U.S. Micro Cap Portfolio. Russell 2000 Index(R) 06/17/16 370 $41,721 $2,178 $1,998
------- ------ ------
$41,721 $2,178 $1,998
======= ====== ======
* During the six months ended April 30, 2016, Portfolio's average notional
contract amount of outstanding futures contracts was $38,777 (amount in
thousands).
Expiration Number of Contract Unrealized Cash
Description Date Contracts* Value Gain (Loss) Collateral
------------------- ---------- ---------- -------- ----------- ----------
DFA Real Estate Securities
Portfolio................ S&P 500 Emini Index(R) 06/17/16 645 $66,406 $1,535 $2,903
------- ------ ------
$66,406 $1,535 $2,903
======= ====== ======
* During the six months ended April 30, 2016, Portfolio's average notional
contract amount of outstanding futures contracts was $36,282 (amount in
thousands).
Expiration Number of Contract Unrealized Cash
Description Date Contracts* Value Gain (Loss) Collateral
-------------------- ---------- ---------- -------- ----------- ----------
Large Cap International
Portfolio............. Mini MSCI EAFE Index(R) 06/17/16 148 $12,298 $408 $ 531
Large Cap International
Portfolio............. S&P 500 Emini Index(R) 06/17/16 115 11,840 334 512
------- ---- ------
$24,138 $742 $1,043
======= ==== ======
* During the six months ended April 30, 2016, Portfolio's average notional
contract amount of outstanding futures contracts was $15,929 (amount in
thousands).
Expiration Number of Contract Unrealized Cash
Description Date Contracts* Value Gain (Loss) Collateral
------------------- ---------- ---------- -------- ----------- ----------
International Core Equity
Portfolio............... S&P 500 Emini Index(R) 06/17/16 1,269 $130,650 $1,194 $5,711
-------- ------ ------
$130,650 $1,194 $5,711
======== ====== ======
* During the six months ended April 30, 2016, Portfolio's average notional
contract amount of outstanding futures contracts was $76,825 (amount in
thousands).
Expiration Number of Contract Unrealized Cash
Description Date Contracts* Value Gain (Loss) Collateral
------------------ ---------- ---------- -------- ----------- ----------
International Small Company
Portfolio................. Russell 2000 Index(R) 06/17/16 700 $78,932 $3,478 $3,780
------- ------ ------
$78,932 $3,478 $3,780
======= ====== ======
* During the six months ended April 30, 2016, Portfolio's average notional
contract amount of outstanding futures contracts was $42,641 (amount in
thousands).
153
Expiration Number of Contract Unrealized Cash
Description Date Contracts* Value Gain (Loss) Collateral
------------------- ---------- ---------- -------- ----------- ----------
DFA International Real Estate
Securities Portfolio........ S&P 500 Emini Index(R) 06/17/16 270 $27,798 $659 $1,215
------- ---- ------
$27,798 $659 $1,215
======= ==== ======
* During the six months ended April 30, 2016, Portfolio's average notional
contract amount of outstanding futures contracts was $16,905 (amount in
thousands).
Expiration Number of Contract Unrealized Cash
Description Date Contracts* Value Gain (Loss) Collateral
------------------- ---------- ---------- -------- ----------- ----------
DFA International Small Cap
Value Portfolio........... Russell 2000 Index(R) 06/17/16 1,002 $112,986 $5,334 $5,354
DFA International Small Cap
Value Portfolio........... S&P 500 Emini Index(R) 06/17/16 150 15,443 366 732
-------- ------ ------
$128,429 $5,700 $6,086
======== ====== ======
* During the six months ended April 30, 2016, Portfolio's average notional
contract amount of outstanding futures contracts was $85,704 (amount in
thousands).
Expiration Number of Contract Unrealized Cash
Description Date Contracts* Value Gain (Loss) Collateral
------------------- ---------- ---------- -------- ----------- ----------
Selectively Hedged Global
Equity Portfolio........ S&P 500 Emini Index(R) 06/17/16 114 $11,737 $351 $545
------- ---- ----
$11,737 $351 $545
======= ==== ====
* During the six months ended April 30, 2016, Portfolio's average notional
contract amount of outstanding futures contracts was $22,265 (amount in
thousands).
Expiration Number of Contract Unrealized Cash
Description Date Contracts* Value Gain (Loss) Collateral
------------------- ---------- ---------- -------- ----------- ----------
Emerging Markets Core Mini MSCI Emerging
Equity Portfolio.... Markets Index(R) 06/17/16 2,779 $116,496 $6,278 $3,896
Emerging Markets Core
Equity Portfolio.... S&P 500 Emini Index(R) 06/17/16 572 58,890 244 1,970
-------- ------ ------
$175,386 $6,522 $5,866
======== ====== ======
* During the six months ended April 30, 2016, Portfolio's average notional
contract amount of outstanding futures contracts was $94,325 (amount in
thousands).
Securities have been segregated as collateral for open futures contracts.
The following is a summary of the location of derivatives on the Portfolios'
Statements of Assets and Liabilities as of April 30, 2016:
Location on the Statements of Assets and
Liabilities
---------------------------------------------------
Derivative Type Asset Derivatives Liability Derivatives
--------------- ------------------------ ------------------------
Foreign exchange Unrealized Gain on Unrealized Loss on
contracts Forward Currency Forward Currency
Contracts Contracts
Equity contracts Payables: Futures Margin
Variation
154
The following is a summary of the Portfolios' derivative instrument holdings
categorized by primary risk exposure as of April 30, 2016 (amounts in
thousands):
ASSET DERIVATIVES VALUE
---------------------------------
TOTAL VALUE FOREIGN
AT EXCHANGE EQUITY
APRIL 30, 2016 CONTRACTS CONTRACTS
-------------- --------- ---------
Enhanced U.S. Large Company Portfolio.............. $18,023 -- $18,023*
U.S. Targeted Value Portfolio...................... 2,421 -- 2,421*
U.S. Small Cap Value Portfolio..................... 7,853 -- 7,853*
U.S. Core Equity 1 Portfolio....................... 3,532 -- 3,532*
U.S. Core Equity 2 Portfolio....................... 3,968 -- 3,968*
U.S. Vector Equity Portfolio....................... 913 -- 913*
U.S. Small Cap Portfolio........................... 5,064 -- 5,064*
U.S. Micro Cap Portfolio........................... 2,178 -- 2,178*
DFA Real Estate Securities Portfolio............... 1,535 -- 1,535*
Large Cap International Portfolio.................. 742 -- 742*
International Core Equity Portfolio................ 1,194 -- 1,194*
International Small Company Portfolio.............. 3,478 -- 3,478*
DFA International Real Estate Securities Portfolio. 659 -- 659*
DFA International Small Cap Value Portfolio........ 5,700 -- 5,700*
Selectively Hedged Global Equity Portfolio......... 352 $ 1 351*
Emerging Markets Core Equity Portfolio............. 6,523 1 6,522*
LIABILITY DERIVATIVES VALUE
---------------------------------
TOTAL VALUE FOREIGN
AT EXCHANGE EQUITY
APRIL 30, 2016 CONTRACTS CONTRACTS
-------------- --------- ---------
DFA International Small Cap Value Portfolio........ $ (1) $ (1) --
Selectively Hedged Global Equity Portfolio......... (1,432) (1,432) --
* 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 on the Portfolios' Statements of
Operations of realized and change in unrealized gains and losses from the
Portfolios' derivative instrument holdings through the six months ended
April 30, 2016:
DERIVATIVE TYPE LOCATION OF GAIN (LOSS) ON DERIVATIVES
--------------- --------------------------------------
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 six months ended April 30, 2016 (amounts in
thousands):
REALIZED GAIN (LOSS) ON DERIVATIVES
----------------------------------
FOREIGN
EXCHANGE EQUITY
TOTAL CONTRACTS CONTRACTS
-------- --------- ---------
Enhanced U.S. Large Company Portfolio. $(17,276) -- $(17,276)
U.S. Targeted Value Portfolio......... 1,705 -- 1,705
155
REALIZED GAIN (LOSS) ON DERIVATIVES
----------------------------------
FOREIGN
EXCHANGE EQUITY
TOTAL CONTRACTS CONTRACTS
------- --------- ---------
U.S. Small Cap Value Portfolio..................... $22,223 -- $22,223
U.S. Core Equity 1 Portfolio....................... 3,994 -- 3,994
U.S. Core Equity 2 Portfolio....................... 4,534 -- 4,534
U.S. Vector Equity Portfolio....................... 1,179 -- 1,179
U.S. Small Cap Portfolio........................... 3,279 -- 3,279
U.S. Micro Cap Portfolio........................... (1,164) -- (1,164)
DFA Real Estate Securities Portfolio............... 2,614 -- 2,614
Large Cap International Portfolio.................. 1,001 -- 1,001
International Core Equity Portfolio................ 10,009 -- 10,009
International Small Company Portfolio.............. 5,936 -- 5,936
DFA International Real Estate Securities Portfolio. 1,792 -- 1,792
DFA International Small Cap Value Portfolio........ 14,562 -- 14,562
International Vector Equity Portfolio*............. 182 -- 182
World ex U.S. Targeted Value Portfolio............. 1 $ 1 --
World ex U.S. Core Equity Portfolio*............... (629) -- (629)
Selectively Hedged Global Equity Portfolio......... (1,432) (1,889) 457
Emerging Markets Core Equity Portfolio............. 10,674 2 10,672
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON DERIVATIVES
--------------------------------
FOREIGN
EXCHANGE EQUITY
TOTAL CONTRACTS CONTRACTS
------- --------- ---------
Enhanced U.S. Large Company Portfolio.............. $17,228 -- $17,228
U.S. Targeted Value Portfolio...................... 2,421 -- 2,421
U.S. Small Cap Value Portfolio..................... 7,853 -- 7,853
U.S. Core Equity 1 Portfolio....................... 3,532 -- 3,532
U.S. Core Equity 2 Portfolio....................... 3,968 -- 3,968
U.S. Vector Equity Portfolio....................... 913 -- 913
U.S. Small Cap Portfolio........................... 5,064 -- 5,064
U.S. Micro Cap Portfolio........................... 2,178 -- 2,178
DFA Real Estate Securities Portfolio............... 1,535 -- 1,535
Large Cap International Portfolio.................. 742 -- 742
International Core Equity Portfolio................ 1,194 -- 1,194
International Small Company Portfolio.............. 3,478 -- 3,478
DFA International Real Estate Securities Portfolio. 659 -- 659
DFA International Small Cap Value Portfolio........ 5,699 $ (1) 5,700
Selectively Hedged Global Equity Portfolio......... (1,832) (1,431) (401)
Emerging Markets Core Equity Portfolio............. 6,522 -- 6,522
* As of April 30, 2016, there were no futures contracts outstanding. During the
six months ended April 30, 2016, the Portfolios had limited activity in
futures contracts.
156
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 April 30, 2016
(Amounts in thousands):
GROSS AMOUNTS NOT GROSS AMOUNTS NOT
OFFSET IN THE OFFSET IN THE
STATEMENTS OF ASSETS STATEMENTS OF ASSETS
GROSS AND LIABILITIES GROSS AND LIABILITIES
AMOUNTS OF ---------------------- AMOUNTS OF ----------------------
RECOGNIZED FINANCIAL CASH NET RECOGNIZED FINANCIAL CASH
ASSETS INSTRUMENTS COLLATERAL AMOUNT LIABILITIES INSTRUMENTS COLLATERAL
DESCRIPTION (A) (B) RECEIVED (C) (A) (D) PLEDGED
----------- ---------- ----------- ---------- ------ ----------- ----------- ----------
ASSETS LIABILITIES
---------------------------------------- ----------------------------------
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
Forward Currency Contracts......................... -- -- -- -- -- -- --
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
Forward Currency Contracts......................... -- -- -- -- $ 1 -- --
WORLD EX U.S. TARGETED VALUE PORTFOLIO
Forward Currency Contracts......................... -- -- -- -- -- -- --
WORLD EX U.S. CORE EQUITY PORTFOLIO
Forward Currency Contracts......................... -- -- -- -- -- -- --
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO
Forward Currency Contracts......................... $ 1 $(1) -- -- 1,432 $(1) --
EMERGING MARKETS CORE EQUITY PORTFOLIO
Forward Currency Contracts......................... 1 -- -- $ 1 -- -- --
NET
AMOUNT
DESCRIPTION (E)
----------- ------
-------
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
Forward Currency Contracts......................... --
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
Forward Currency Contracts......................... $ 1
WORLD EX U.S. TARGETED VALUE PORTFOLIO
Forward Currency Contracts......................... --
WORLD EX U.S. CORE EQUITY PORTFOLIO
Forward Currency Contracts......................... --
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO
Forward Currency Contracts......................... 1,431
EMERGING MARKETS CORE EQUITY PORTFOLIO
Forward Currency Contracts......................... --
(a)No amounts have been netted against the gross amounts recognized in the
Statements of Assets and Liabilities.
(b)Represents the amount of assets that could be offset by liabilities with the
same counterparty under master netting or similar agreements that management
elects not to offset on the Statements of Assets and Liabilities.
(c)Represents the net amount due from counterparties in the event of default.
(d)Represents the amount of liabilities that could be offset by assets with the
same counterparty under master netting or similar agreements that management
elects not to offset on the Statements of Assets and Liabilities.
(e)Represents the net amount due to counterparties in the event of default.
Note K 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 March 30, 2016, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 29, 2016. 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 29, 2017.
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 8, 2016. A line of credit with
similar terms was in effect through January 7, 2016. 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 7, 2017.
157
For the six months ended April 30, 2016, borrowings by the Portfolios under
the lines of credit were as follows (amounts in thousands, except percentages
and days):
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING
INTEREST RATE LOAN BALANCE OUTSTANDING* INCURRED THE PERIOD
------------- ------------ ------------ -------- ---------------
U.S. Large Cap Equity Portfolio........ 1.01% $ 2,730 23 $ 2 $ 8,804
U.S. Targeted Value Portfolio.......... 0.89% 11,611 2 1 19,633
U.S. Vector Equity Portfolio........... 0.87% 1,177 3 -- 1,177
Large Cap International Portfolio...... 1.11% 1,307 2 -- 1,627
International Core Equity Portfolio.... 1.10% 32,535 13 13 55,150
International Small Company Portfolio.. 1.00% 3,790 13 1 18,387
DFA International Small Cap Value
Portfolio............................ 1.04% 31,688 8 7 61,254
International Vector Equity Portfolio.. 1.11% 3,727 26 3 8,719
World ex U.S. Value Portfolio.......... 1.04% 396 36 -- 3,180
World ex U.S. Targeted Value Portfolio. 1.09% 2,834 45 4 7,642
World ex U.S. Core Equity Portfolio.... 0.94% 2,673 10 1 5,264
World Core Equity Portfolio............ 1.07% 1,199 14 1 4,841
Emerging Markets Core Equity Portfolio. 0.94% 36,977 28 26 121,214
* Number of Days Outstanding represents the total of single or consecutive days
during the six months ended April 30, 2016, that each Portfolio's available
line of credit was utilized.
There were no outstanding borrowings by the Portfolios under the lines of
credit as of April 30, 2016.
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 six
months ended April 30, 2016.
J. AFFILIATED TRADES:
Cross trades for the six months ended April 30, 2016, 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 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 six months ended April 30, 2016, cross trades by the Portfolios
under Rule 17a-7 were as follows (amounts in thousands):
REALIZED
PORTFOLIO PURCHASES SALES GAIN (LOSS)
--------- --------- -------- -----------
U.S. Large Cap Equity Portfolio. $10,314 $ 13,457 (1,828)
U.S. Targeted Value Portfolio... 82,653 103,104 17,335
U.S. Small Cap Value Portfolio.. 22,074 152,687 1,187
158
REALIZED
PORTFOLIO PURCHASES SALES GAIN (LOSS)
--------- --------- ------- -----------
U.S. Core Equity 1 Portfolio................ $ 75,402 $25,488 (4,204)
U.S. Core Equity 2 Portfolio................ 71,763 24,273 (2,224)
U.S. Vector Equity Portfolio................ 11,468 13,038 3,752
U.S. Small Cap Portfolio.................... 103,725 15,714 5,298
U.S. Micro Cap Portfolio.................... 34,604 43,609 27,161
DFA Real Estate Securities Portfolio........ 3,382 -- --
Large Cap International Portfolio........... 90 -- --
International Core Equity Portfolio......... -- 204 110
DFA International Small Cap Value Portfolio. 2,273 441 (8,736)
International Vector Equity Portfolio....... -- 66 (1)
World ex U.S. Core Equity Portfolio......... 19 -- --
K. SECURITIES LENDING:
As of April 30, 2016, 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 as follows (amounts in
thousands):
MARKET
VALUE
--------
U.S. Large Cap Equity Portfolio.................... $ 6,350
U.S. Targeted Value Portfolio...................... 329,340
U.S. Small Cap Value Portfolio..................... 227,480
U.S. Core Equity 1 Portfolio....................... 630,249
U.S. Core Equity 2 Portfolio....................... 638,254
U.S. Vector Equity Portfolio....................... 142,993
U.S. Small Cap Portfolio........................... 278,111
U.S. Micro Cap Portfolio........................... 87,962
DFA Real Estate Securities Portfolio............... 151,829
Large Cap International Portfolio.................. 2,284
International Core Equity Portfolio................ 29,808
DFA International Real Estate Securities Portfolio. 1,378
DFA International Small Cap Value Portfolio........ 16,899
International Vector Equity Portfolio.............. 3,256
World ex U.S. Targeted Value Portfolio............. 1,068
World ex U.S. Core Equity Portfolio................ 8,217
Emerging Markets Core Equity Portfolio............. 714,268
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 in an amount (i) equal to at least 100% of the current market value
of the loaned securities with respect to securities of the U.S. government or
its agencies, (ii) generally equal to 102% of the current market value of the
loaned securities with respect to U.S. securities, and (iii) generally equal to
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.
159
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.
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of April 30, 2016:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF APRIL 30, 2016
------------------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
-------------- -------- ------------ -------- --------------
SECURITIES LENDING TRANSACTIONS
U.S. LARGE CAP EQUITY PORTFOLIO
Bonds................................ $ 29,903,001 -- -- -- $ 29,903,001
U.S. TARGETED VALUE PORTFOLIO
Bonds................................ 974,413,712 -- -- -- 974,413,712
U.S. SMALL CAP VALUE PORTFOLIO
Bonds................................ 1,781,663,404 -- -- -- 1,781,663,404
U.S. CORE EQUITY 1 PORTFOLIO
Bonds................................ 1,364,243,558 -- -- -- 1,364,243,558
U.S. CORE EQUITY 2 PORTFOLIO
Bonds................................ 1,671,016,782 -- -- -- 1,671,016,782
U.S. VECTOR EQUITY PORTFOLIO
Bonds................................ 454,852,818 -- -- -- 454,852,818
U.S. SMALL CAP PORTFOLIO
Bonds................................ 2,251,360,585 -- -- -- 2,251,360,585
U.S. MICRO CAP PORTFOLIO
Bonds................................ 745,832,439 -- -- -- 745,832,439
DFA REAL ESTATE SECURITIES PORTFOLIO
Bonds................................ 214,476,243 -- -- -- 214,476,243
LARGE CAP INTERNATIONAL PORTFOLIO
Bonds................................ 300,949,208 -- -- -- 300,949,208
INTERNATIONAL CORE EQUITY PORTFOLIO
Bonds................................ 1,619,594,557 -- -- -- 1,619,594,557
DFA INTERNATIONAL REAL ESTATE
SECURITIES PORTFOLIO
Bonds................................ 150,502,338 -- -- -- 150,502,338
DFA GLOBAL REAL ESTATE SECURITIES
PORTFOLIO
Bonds................................ 36,322,371 -- -- -- 36,322,371
DFA INTERNATIONAL SMALL CAP VALUE
PORTFOLIO
Bonds................................ 1,329,579,905 -- -- -- 1,329,579,905
INTERNATIONAL VECTOR EQUITY PORTFOLIO
Bonds................................ 193,164,090 -- -- -- 193,164,090
160
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF APRIL 30, 2016
--------------------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
--------------- -------- ------------ -------- ---------------
WORLD EX U.S. TARGETED VALUE
PORTFOLIO
Bonds.............................. $ 5,601,103 -- -- -- $ 5,601,103
WORLD EX U.S. CORE EQUITY PORTFOLIO
Bonds.............................. 126,578,247 -- -- -- 126,578,247
EMERGING MARKETS CORE EQUITY
PORTFOLIO
Bonds.............................. 1,167,917,912 -- -- -- 1,167,917,912
--------------- -- -- -- ---------------
Total Borrowings.................... $14,417,972,273 -- -- -- $14,417,972,273
--------------- -- -- -- ---------------
Gross amount of recognized liabilities for securities lending transactions......... $14,417,972,273
===============
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 that 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. OTHER:
At April 30, 2016, 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 76%
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 86%
U.S. Targeted Value Portfolio -- Class R2 Shares.............. 6 76%
U.S. Targeted Value Portfolio -- Institutional Class Shares... 3 58%
U.S. Small Cap Value Portfolio -- Institutional Class Shares.. 3 56%
U.S. Core Equity 1 Portfolio -- Institutional Class Shares.... 6 82%
U.S. Core Equity 2 Portfolio -- Institutional Class Shares.... 6 85%
U.S. Vector Equity Portfolio -- Institutional Class Shares.... 4 87%
U.S. Small Cap Portfolio -- Institutional Class Shares........ 3 50%
U.S. Micro Cap Portfolio -- Institutional Class Shares........ 5 78%
DFA Real Estate Securities Portfolio -- Institutional Class
Shares...................................................... 4 81%
161
162
creditor plaintiffs' claims are preempted by the Bankruptcy Code's safe harbor
for securities transactions. The individual creditor plaintiffs have petitioned
the Second Circuit for rehearing of the appeal, and that petition is pending.
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 respective 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 respective net asset value of The
U.S. Large Cap Value Series 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.
O. 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.
163
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Table below illustrates your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2016
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/15 04/30/16 Ratio* Period*
--------- --------- ---------- --------
DFA Commodity Strategy Portfolio
--------------------------------
Actual Fund Return............... $1,000.00 $ 989.60 0.33% $1.63
Hypothetical 5% Annual Return.... $1,000.00 $1,023.22 0.33% $1.66
----------
* DFA Commodity Strategy Portfolio wholly owns Dimensional Cayman Commodity
Fund I, LTD. The expenses shown reflect the combined expenses of Dimensional
Cayman Commodity Fund I, LTD. and DFA Commodity Strategy Portfolio. Expenses
are equal to the fund's annualized expense ratio for the six-month period,
multiplied by the average account value over the period, multiplied by the
number of days in the most recent six-month period (182), then divided by the
number of days in the year (366) to reflect the six-month period.
164
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on March 31, 2016. 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.................................... 41.9%
Foreign Corporate............................ 14.8%
Foreign Government........................... 6.3%
Government................................... 36.6%
Supranational................................ 0.4%
-----
100.0%
165
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED SCHEDULE OF INVESTMENTS
APRIL 30, 2016
(UNAUDITED)
FACE
AMOUNT^ VALUE+
------- ------
(000)
BONDS -- (63.3%)
AUSTRALIA -- (2.5%)
Australia & New Zealand Banking Group, Ltd.
1.250%, 06/13/17............................. $ 8,000 $ 8,003,232
BHP Billiton Finance USA, Ltd.
1.625%, 02/24/17............................. 5,000 5,018,945
5.400%, 03/29/17............................. 1,000 1,036,318
Commonwealth Bank of Australia
1.900%, 09/18/17............................. 7,000 7,053,060
Macquarie Group, Ltd.
## 3.000%, 12/03/18............................. 3,000 3,078,552
Westpac Banking Corp.
2.000%, 08/14/17............................. 3,000 3,029,892
2.250%, 07/30/18............................. 3,200 3,253,072
-----------
TOTAL AUSTRALIA.................................. 30,473,071
-----------
CANADA -- (4.1%)
Bank of Montreal
2.375%, 01/25/19............................. 1,550 1,582,117
Canadian National Railway Co.
1.450%, 12/15/16............................. 1,000 1,003,658
Ontario, Province of Canada
1.100%, 10/25/17............................. 10,000 10,014,400
1.200%, 02/14/18............................. 15,000 15,004,920
Royal Bank of Canada
1.500%, 01/16/18............................. 6,180 6,209,349
Thomson Reuters Corp.
1.650%, 09/29/17............................. 5,092 5,099,974
6.500%, 07/15/18............................. 1,000 1,100,363
Toronto-Dominion Bank (The)
1.400%, 04/30/18............................. 10,000 10,027,310
-----------
TOTAL CANADA............................................. 50,042,091
-----------
FINLAND -- (1.2%)
Municipality Finance P.L.C.
2.375%, 05/16/16............................. 15,000 15,010,005
-----------
FRANCE -- (1.7%)
BNP Paribas SA
2.375%, 09/14/17............................. 6,140 6,215,338
BPCE SA
1.625%, 01/26/18............................. 1,950 1,952,554
Orange SA
2.750%, 09/14/16............................. 4,000 4,025,192
Societe Generale SA
2.750%, 10/12/17............................. 7,000 7,127,400
Total Capital International SA
1.550%, 06/28/17............................. 1,040 1,045,035
-----------
TOTAL FRANCE............................................. 20,365,519
-----------
GERMANY -- (0.4%)
Deutsche Bank AG
6.000%, 09/01/17............................. 4,300 4,522,611
-----------
FACE
AMOUNT^ VALUE+
------- ------
(000)
ITALY -- (0.1%)
Intesa Sanpaolo SpA
3.875%, 01/16/18............................. $ 1,500 $ 1,538,696
-----------
JAPAN -- (2.6%)
Japan Bank for International Cooperation
1.125%, 07/19/17............................. 15,000 15,003,375
Japan Finance Organization for Municipalities
1.500%, 09/12/17............................. 8,000 8,014,416
Mizuho Bank, Ltd.
## 1.550%, 10/17/17............................. 7,700 7,687,980
Nomura Holdings, Inc.
2.000%, 09/13/16............................. 1,000 1,003,265
-----------
TOTAL JAPAN.............................................. 31,709,036
-----------
NETHERLANDS -- (2.9%)
Bank Nederlandse Gemeenten NV
1.375%, 09/27/17............................. 10,000 10,061,280
Cooperatieve Centrale Raiffeisen- Boerenleenbank
BA
1.700%, 03/19/18............................. 2,800 2,819,768
Cooperatieve Rabobank UA
2.250%, 01/14/19............................. 4,530 4,611,091
Enel Finance International NV
## 6.250%, 09/15/17............................. 4,300 4,566,901
Heineken NV
## 1.400%, 10/01/17............................. 2,500 2,509,660
Koninklijke Philips NV
5.750%, 03/11/18............................. 6,725 7,216,033
Shell International Finance BV
1.900%, 08/10/18............................. 4,000 4,053,788
-----------
TOTAL NETHERLANDS........................................ 35,838,521
-----------
NORWAY -- (0.1%)
Statoil ASA
1.950%, 11/08/18............................. 1,035 1,046,855
-----------
SPAIN -- (0.6%)
Telefonica Emisiones SAU
6.221%, 07/03/17............................. 2,000 2,109,322
3.192%, 04/27/18............................. 4,800 4,942,334
-----------
TOTAL SPAIN.............................................. 7,051,656
-----------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (0.4%)
European Bank for Reconstruction & Development
0.750%, 09/01/17............................. 5,000 4,998,755
-----------
166
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
SWEDEN -- (0.9%)
Kommuninvest I Sverige AB
1.625%, 02/13/17............................. $4,500 $ 4,525,133
Svenska Handelsbanken AB
3.125%, 07/12/16............................. 1,141 1,146,433
1.625%, 03/21/18............................. 5,000 5,022,335
-----------
TOTAL SWEDEN............................................. 10,693,901
-----------
SWITZERLAND -- (1.0%)
Credit Suisse AG New York
1.375%, 05/26/17............................. 4,000 4,000,476
Credit Suisse New York
1.700%, 04/27/18............................. 2,000 1,998,716
UBS AG
1.800%, 03/26/18............................. 6,900 6,926,855
-----------
TOTAL SWITZERLAND........................................ 12,926,047
-----------
UNITED KINGDOM -- (3.0%)
AstraZeneca P.L.C.
1.750%, 11/16/18............................. 6,958 7,048,899
Barclays Bank P.L.C.
5.000%, 09/22/16............................. 700 711,024
BP Capital Markets P.L.C.
2.248%, 11/01/16............................. 5,000 5,033,995
British Telecommunications P.L.C.
1.250%, 02/14/17............................. 1,200 1,200,191
Diageo Capital P.L.C.
5.500%, 09/30/16............................. 2,000 2,037,360
1.500%, 05/11/17............................. 5,500 5,531,157
GlaxoSmithKline Capital P.L.C.
1.500%, 05/08/17............................. 5,000 5,033,145
Lloyds Bank P.L.C.
1.750%, 03/16/18............................. 3,015 3,012,305
Vodafone Group P.L.C.
1.625%, 03/20/17............................. 4,951 4,969,730
1.625%, 03/20/17............................. 1,000 1,003,783
1.250%, 09/26/17............................. 750 748,451
-----------
TOTAL UNITED KINGDOM............................. 36,330,040
-----------
UNITED STATES -- (41.8%)
Actavis, Inc.
1.875%, 10/01/17............................. $7,500 7,521,405
Air Products & Chemicals, Inc.
2.000%, 08/02/16............................. 3,000 3,009,420
1.200%, 10/15/17............................. 5,000 5,019,930
American Express Co.
7.000%, 03/19/18............................. 6,799 7,463,881
American Honda Finance Corp.
1.550%, 12/11/17............................. 7,605 7,655,596
Amgen, Inc.
2.125%, 05/15/17............................. 2,500 2,526,005
Anadarko Petroleum Corp.
5.950%, 09/15/16............................. 2,533 2,582,155
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Anheuser-Busch Cos., LLC
5.600%, 03/01/17............................. $5,000 $5,192,335
Anheuser-Busch InBev Worldwide, Inc.
1.375%, 07/15/17............................. 1,000 1,004,358
Anthem, Inc.
5.875%, 06/15/17............................. 3,100 3,254,873
Apple, Inc.
1.000%, 05/03/18............................. 5,000 4,999,105
Assurant, Inc.
2.500%, 03/15/18............................. 203 203,208
AT&T, Inc.
2.400%, 03/15/17............................. 5,044 5,095,958
1.400%, 12/01/17............................. 3,400 3,400,354
Autodesk, Inc.
1.950%, 12/15/17............................. 5,650 5,621,128
AutoZone, Inc.
6.950%, 06/15/16............................. 2,500 2,516,943
Bank of America Corp.
3.750%, 07/12/16............................. 1,200 1,206,551
3.875%, 03/22/17............................. 3,600 3,679,690
2.000%, 01/11/18............................. 1,000 1,004,666
Bank of New York Mellon Corp. (The)
2.100%, 01/15/19............................. 1,000 1,018,397
BB&T Corp.
1.450%, 01/12/18............................. 1,250 1,251,193
Becton Dickinson and Co.
1.750%, 11/08/16............................. 1,500 1,504,736
1.450%, 05/15/17............................. 2,000 2,003,700
1.800%, 12/15/17............................. 6,340 6,373,710
Berkshire Hathaway, Inc.
1.550%, 02/09/18............................. 2,500 2,525,393
Branch Banking & Trust Co.
1.000%, 04/03/17............................. 2,600 2,600,962
2.300%, 10/15/18............................. 2,000 2,039,620
Cardinal Health, Inc.
1.900%, 06/15/17............................. 5,000 5,034,385
1.700%, 03/15/18............................. 5,239 5,258,651
Caterpillar Financial Services Corp.
7.050%, 10/01/18............................. 5,000 5,671,115
CenterPoint Energy Resources Corp.
6.150%, 05/01/16............................. 1,883 1,883,000
CF Industries, Inc.
6.875%, 05/01/18............................. 2,634 2,870,220
Chevron Corp.
1.718%, 06/24/18............................. 1,425 1,439,452
Citigroup, Inc.
1.350%, 03/10/17............................. 2,000 2,002,642
2.050%, 12/07/18............................. 4,995 5,022,592
Comcast Corp.
4.950%, 06/15/16............................. 1,700 1,708,503
167
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
Face
Amount^ Value+
------- ------
(000)
UNITED STATES -- (Continued)
ConAgra Foods, Inc.
5.819%, 06/15/17............................. $ 7,147 $ 7,485,418
1.900%, 01/25/18............................. 2,594 2,608,586
ConocoPhillips Co.
1.050%, 12/15/17............................. 3,000 2,975,781
1.500%, 05/15/18............................. 6,500 6,465,693
Coventry Health Care, Inc.
5.950%, 03/15/17............................. 1,159 1,206,871
5.950%, 03/15/17............................. 3,150 3,280,164
CSX Corp.
6.250%, 03/15/18............................. 5,731 6,221,992
CVS Health Corp.
5.750%, 06/01/17............................. 3,000 3,150,996
Daimler Finance North America LLC
## 1.650%, 03/02/18............................. 7,860 7,871,256
Danaher Corp.
1.650%, 09/15/18............................. 2,000 2,029,394
Duke Energy Corp.
1.625%, 08/15/17............................. 1,019 1,021,504
Eastman Chemical Co.
2.400%, 06/01/17............................. 3,000 3,030,129
eBay, Inc.
1.350%, 07/15/17............................. 8,000 7,995,792
EI du Pont de Nemours & Co.
6.000%, 07/15/18............................. 7,599 8,359,318
EMC Corp.
1.875%, 06/01/18............................. 9,065 8,965,122
Enterprise Products Operating LLC
1.650%, 05/07/18............................. 2,000 2,001,412
Exxon Mobil Corp.
1.305%, 03/06/18............................. 25,430 25,587,691
Fifth Third Bank
1.450%, 02/28/18............................. 7,000 6,991,425
Ford Motor Credit Co. LLC
1.500%, 01/17/17............................. 4,500 4,508,325
5.000%, 05/15/18............................. 1,500 1,594,260
General Mills, Inc.
5.700%, 02/15/17............................. 5,200 5,394,688
Gilead Sciences, Inc.
1.850%, 09/04/18............................. 8,531 8,676,351
GlaxoSmithKline Capital, Inc.
5.650%, 05/15/18............................. 1,028 1,122,004
Goldman Sachs Group, Inc. (The)
6.250%, 09/01/17............................. 3,000 3,185,538
5.950%, 01/18/18............................. 2,000 2,139,936
2.900%, 07/19/18............................. 1,000 1,024,229
7.500%, 02/15/19............................. 1,950 2,237,994
Harris Corp.
1.999%, 04/27/18............................. 8,500 8,493,761
Hershey Co. (The)
1.600%, 08/21/18............................. 2,300 2,331,482
Face
Amount^ Value+
------- ------
(000)
UNITED STATES -- (Continued)
Hess Corp.
1.300%, 06/15/17............................. $3,900 $3,865,403
HSBC USA, Inc.
1.625%, 01/16/18............................. 7,675 7,673,319
Intel Corp.
1.350%, 12/15/17............................. 4,825 4,857,511
Jefferies Group LLC
5.125%, 04/13/18............................. 1,000 1,039,468
John Deere Capital Corp.
1.200%, 10/10/17............................. 398 399,190
Johnson Controls, Inc.
2.600%, 12/01/16............................. 3,475 3,507,092
JPMorgan Chase & Co.
2.000%, 08/15/17............................. 8,750 8,834,647
Kellogg Co.
1.875%, 11/17/16............................. 1,000 1,005,933
1.750%, 05/17/17............................. 3,000 3,030,036
KeyBank NA
1.100%, 11/25/16............................. 2,000 2,001,754
Kraft Foods Group, Inc.
2.250%, 06/05/17............................. 4,177 4,219,050
Laboratory Corp. of America Holdings
2.200%, 08/23/17............................. 6,000 6,038,460
Marsh & McLennan Cos., Inc.
2.300%, 04/01/17............................. 680 686,352
Mattel, Inc.
1.700%, 03/15/18............................. 7,000 6,982,528
McDonald's Corp.
5.800%, 10/15/17............................. 900 960,245
5.350%, 03/01/18............................. 2,000 2,151,712
2.100%, 12/07/18............................. 2,000 2,042,156
McKesson Corp.
1.400%, 03/15/18............................. 6,000 6,003,144
Medtronic, Inc.
1.375%, 04/01/18............................. 300 301,923
MetLife, Inc.
6.817%, 08/15/18............................. 2,000 2,242,574
7.717%, 02/15/19............................. 1,389 1,608,733
Morgan Stanley
4.750%, 03/22/17............................. 2,430 2,504,990
Mylan, Inc.
1.350%, 11/29/16............................. 7,038 7,025,212
NetApp, Inc.
2.000%, 12/15/17............................. 6,200 6,199,547
Nordstrom, Inc.
6.250%, 01/15/18............................. 5,000 5,386,045
Nucor Corp.
5.750%, 12/01/17............................. 3,019 3,203,793
NYSE Euronext
2.000%, 10/05/17............................. 6,730 6,790,166
Occidental Petroleum Corp.
1.750%, 02/15/17............................. 1,722 1,736,534
ONEOK Partners L.P.
2.000%, 10/01/17............................. 2,220 2,208,769
168
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
Face
Amount^ Value+
------- ------
(000)
UNITED STATES -- (Continued)
Oracle Corp.
1.200%, 10/15/17............................. $3,500 $3,512,701
PACCAR Financial Corp.
1.750%, 08/14/18............................. 1,900 1,909,308
Pfizer, Inc.
1.500%, 06/15/18............................. 1,000 1,011,955
Philip Morris International, Inc.
5.650%, 05/16/18............................. 6,500 7,094,711
Phillips 66
2.950%, 05/01/17............................. 5,000 5,093,500
PNC Bank NA
1.500%, 02/23/18............................. 8,560 8,593,042
Provident Cos., Inc.
7.000%, 07/15/18............................. 3,298 3,635,626
Prudential Financial, Inc.
6.000%, 12/01/17............................. 2,700 2,887,213
QUALCOMM, Inc.
1.400%, 05/18/18............................. 8,000 8,046,504
Reynolds American, Inc.
3.500%, 08/04/16............................. 4,000 4,027,104
Roper Technologies, Inc.
2.050%, 10/01/18............................. 1,500 1,518,084
Santander Bank NA
2.000%, 01/12/18............................. 4,500 4,482,013
Scripps Networks Interactive, Inc.
2.700%, 12/15/16............................. 5,000 5,034,775
Southern Co. (The)
1.300%, 08/15/17............................. 3,000 2,998,251
2.450%, 09/01/18............................. 2,700 2,754,011
Stryker Corp.
# 2.000%, 03/08/19............................. 5,000 5,066,075
Symantec Corp.
2.750%, 06/15/17............................. 7,278 7,351,799
Thermo Fisher Scientific, Inc.
2.400%, 02/01/19............................. 1,000 1,013,592
Time Warner Cable, Inc.
5.850%, 05/01/17............................. 2,047 2,134,593
8.750%, 02/14/19............................. 790 932,311
Total System Services, Inc.
2.375%, 06/01/18............................. 6,500 6,503,484
Toyota Motor Credit Corp.
2.000%, 10/24/18............................. 4,149 4,225,786
UnitedHealth Group, Inc.
1.400%, 12/15/17............................. 7,500 7,539,330
US Bancorp
1.650%, 05/15/17............................. 2,800 2,817,819
Verizon Communications, Inc.
3.650%, 09/14/18............................. 5,000 5,265,430
Viacom, Inc.
3.500%, 04/01/17............................. 1,000 1,016,537
Walt Disney Co. (The)
1.125%, 02/15/17............................. 1,000 1,003,088
1.500%, 09/17/18............................. 5,000 5,060,555
Face
Amount^ Value+
------- ------
(000)
UNITED STATES -- (Continued)
Wells Fargo & Co.
2.625%, 12/15/16............................. $ 6,000 $ 6,065,412
1.500%, 01/16/18............................. 700 702,905
Western Union Co. (The)
5.930%, 10/01/16............................. 2,348 2,394,617
Whirlpool Corp.
1.350%, 03/01/17............................. 2,000 2,006,674
Whirpool Corp.
1.650%, 11/01/17............................. 7,000 7,019,138
Zoetis, Inc.
1.875%, 02/01/18............................. 6,564 6,557,278
--------------
TOTAL UNITED STATES......................................... 512,904,451
--------------
TOTAL BONDS................................................. 775,451,255
--------------
AGENCY OBLIGATIONS -- (0.8%)
Federal Home Loan Bank
2.250%, 09/08/17............................. 10,000 10,198,640
--------------
U.S. TREASURY OBLIGATIONS -- (35.9%)
U.S. Treasury Notes
0.875%, 02/28/17............................. 138,000 138,328,854
^^++ 1.375%, 06/30/18............................. 154,000 155,900,976
1.250%, 12/15/18............................. 144,000 145,395,072
--------------
TOTAL U.S. TREASURY OBLIGATIONS.................... 439,624,902
--------------
TOTAL INVESTMENT SECURITIES........................ 1,225,274,797
--------------
Shares
------
SECURITIES LENDING COLLATERAL -- (--%)
(S)@ DFA Short Term Investment Fund............... 90 1,040
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,220,887,107)..................................... $1,225,275,837
==============
169
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2016, 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.............................. -- $ 30,473,071 -- $ 30,473,071
Canada................................. -- 50,042,091 -- 50,042,091
Finland................................ -- 15,010,005 -- 15,010,005
France................................. -- 20,365,519 -- 20,365,519
Germany................................ -- 4,522,611 -- 4,522,611
Italy.................................. -- 1,538,696 -- 1,538,696
Japan.................................. -- 31,709,036 -- 31,709,036
Netherlands............................ -- 35,838,521 -- 35,838,521
Norway................................. -- 1,046,855 -- 1,046,855
Spain.................................. -- 7,051,656 -- 7,051,656
Supranational Organization Obligations. -- 4,998,755 -- 4,998,755
Sweden................................. -- 10,693,901 -- 10,693,901
Switzerland............................ -- 12,926,047 -- 12,926,047
United Kingdom......................... -- 36,330,040 -- 36,330,040
United States.......................... -- 512,904,451 -- 512,904,451
Agency Obligations....................... -- 10,198,640 -- 10,198,640
U.S. Treasury Obligations................ -- 439,624,902 -- 439,624,902
Securities Lending Collateral............ -- 1,040 -- 1,040
Swap Agreements**........................ -- 18,294,800 -- 18,294,800
Futures Contracts**...................... $3,043,005 -- -- 3,043,005
---------- -------------- -- --------------
TOTAL.................................... $3,043,005 $1,243,570,637 -- $1,246,613,642
========== ============== == ==============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
170
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2016
(Unaudited)
(Amounts in thousands, except share and per share amounts)
ASSETS:
Investments at Value (including $1 of securities on loan).............................. $ 1,225,275
Collateral from Securities on Loan Invested in Affiliate at Value & Cost............... 1
Cash................................................................................... 157,477
Receivables:
Investment Securities Sold........................................................... 498
Interest............................................................................. 6,689
Fund Shares Sold..................................................................... 2,197
Futures Margin Variation............................................................. 264
Unrealized Gain on Swap Contracts...................................................... 18,504
Prepaid Expenses and Other Assets...................................................... 69
------------
Total Assets...................................................................... 1,410,974
------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned..................................................... 1
Fund Shares Redeemed................................................................. 1,332
Due to Advisor....................................................................... 325
Unrealized Loss on Swap Contracts...................................................... 209
Accrued Expenses and Other Liabilities................................................. 71
------------
Total Liabilities................................................................. 1,938
------------
NET ASSETS............................................................................. $ 1,409,036
============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)................................................ 240,808,743
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............................... $ 5.85
============
Investments at Cost.................................................................... $ 1,220,886
============
NET ASSETS CONSIST OF:
Paid-In Capital........................................................................ $ 1,400,789
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). 2,057
Accumulated Net Realized Gain (Loss)................................................... (19,531)
Net Unrealized Appreciation (Depreciation)............................................. 25,721
------------
NET ASSETS............................................................................. $ 1,409,036
============
(1) NUMBER OF SHARES AUTHORIZED........................................................ 800,000,000
============
See accompanying Notes to Financial Statements.
171
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2016
(Unaudited)
(Amounts in thousands)
Investment Income
Interest.......................................................................................... $ 7,360
Income from Securities Lending.................................................................... 15
--------
Total Investment Income........................................................................ 7,375
--------
Expenses
Investment Management Fees........................................................................ 2,070
Accounting & Transfer Agent Fees.................................................................. 34
Custodian Fees.................................................................................... 23
Filing Fees....................................................................................... 57
Shareholders' Reports............................................................................. 36
Directors'/Trustees' Fees & Expenses.............................................................. 5
Professional Fees................................................................................. 14
Other............................................................................................. 18
--------
Total Expenses................................................................................. 2,257
--------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note D). (372)
Fees Paid Indirectly (Note C)..................................................................... (4)
--------
Net Expenses...................................................................................... 1,881
--------
Net Investment Income (Loss)...................................................................... 5,494
--------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold...................................................................... (878)
Futures......................................................................................... 4,904
Swap Contracts.................................................................................. (23,557)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency...................................................... 4,609
Futures......................................................................................... 4,176
Swap Contracts.................................................................................. 19,659
--------
Net Realized and Unrealized Gain (Loss)........................................................... 8,913
--------
Net Increase (Decrease) in Net Assets Resulting from Operations..................................... $ 14,407
========
See accompanying Notes to Financial Statements.
172
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
DFA Commodity Strategy
Portfolio
----------------------
Six Months Year
Ended Ended
April 30, Oct. 31,
2016 2015
----------- ----------
(Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)......................................................... $ 5,494 $ 9,267
Net Realized Gain (Loss) on:
Investment Securities Sold......................................................... (878) (8,732)
Futures............................................................................ 4,904 (17,337)
Swap Contracts..................................................................... (23,557) (339,100)
Foreign Currency Transactions...................................................... -- 5,799
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency......................................... 4,609 4,896
Futures............................................................................ 4,176 84
Swap Contracts..................................................................... 19,659 11,136
Translation of Foreign Currency Denominated Amounts................................ -- (1,816)
---------- ----------
Net Increase (Decrease) in Net Assets Resulting from Operations................... 14,407 (335,803)
---------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares......................................................... (3,335) (9,071)
Net Short-Term Gains:
Institutional Class Shares......................................................... -- (14)
Net Long-Term Gains:
Institutional Class Shares......................................................... (155) (889)
---------- ----------
Total Distributions............................................................... (3,490) (9,974)
---------- ----------
Capital Share Transactions (1):
Shares Issued........................................................................ 611,658 1,078,341
Shares Issued in Lieu of Cash Distributions.......................................... 3,397 9,738
Shares Redeemed...................................................................... (424,007) (729,422)
---------- ----------
Net Increase (Decrease) from Capital Share Transactions........................... 191,048 358,657
---------- ----------
Total Increase (Decrease) in Net Assets........................................... 201,965 12,880
Net Assets
Beginning of Period.................................................................. 1,207,071 1,194,191
---------- ----------
End of Period........................................................................ $1,409,036 $1,207,071
========== ==========
(1) Shares Issued and Redeemed:
Shares Issued........................................................................ 115,468 159,948
Shares Issued in Lieu of Cash Distributions.......................................... 637 1,339
Shares Redeemed...................................................................... (78,719) (107,182)
---------- ----------
Net Increase (Decrease) from Shares Issued and Redeemed........................... 37,386 54,105
========== ==========
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). $ 2,057 $ (102)
See accompanying Notes to Financial Statements.
173
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA COMMODITY STRATEGY PORTFOLIO
---------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
-------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period.............. $ 5.93 $ 8.00 $ 8.30 $ 9.40 $ 9.77
---------- ---------- ---------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................. 0.03 0.05 0.06 0.06 0.07
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... (0.09) (2.05) (0.31) (1.10) (0.37)
---------- ---------- ---------- -------- --------
Total from Investment Operations............... (0.06) (2.00) (0.25) (1.04) (0.30)
-------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................ (0.02) (0.06) (0.04) (0.04) (0.06)
Net Realized Gains............................... -- (0.01) (0.01) (0.02) (0.01)
---------- ---------- ---------- -------- --------
Total Distributions............................ (0.02) (0.07) (0.05) (0.06) (0.07)
-------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.................... $ 5.85 $ 5.93 $ 8.00 $ 8.30 $ 9.40
================================================= =========== ========== ========== ======== ========
Total Return...................................... (1.04)%(D) (25.16)% (3.08)% (11.15)% (3.08)%
-------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)............. $1,409,036 $1,207,071 $1,194,191 $786,314 $458,079
Ratio of Expenses to Average Net Assets........... 0.33%(E) 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%(E) 0.40% 0.39% 0.40% 0.41%
Ratio of Net Investment Income to Average Net
Assets........................................... 0.97%(E) 0.77% 0.65% 0.66% 0.79%
Portfolio Turnover Rate........................... 72%(D) 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.
174
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, as
amended (the "1940 Act"), whose shares are generally offered, without a sales
charge, to institutional investors, retirement plans and clients of registered
investment advisors. The Fund consists of ninety-five 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 that 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
of the Fund. 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 of
the Portfolio 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 not available from an independent
third-party pricing service or source, the swap agreement will be valued in good
175
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 Schedule
of Investments. The inputs or methodology used for valuing securities are not
necessarily an indication of the risk associated with investing in those
securities.
For the six months ended April 30, 2016, 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 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 may defer payment of all or a portion of their total fees earned as a
Director. 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' Fees &
Expenses.
Each Director 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 shall have the right in a notice of election (the
"Notice") to defer the receipt of the Director's deferred compensation until a
date specified by such Director 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 ceases to be a member of the Board of Directors of the
Fund; and (ii) five years following the effective date of the Director's first
deferral election. If a Director who elects to defer fees fails to designate in
the Notice a time or date as of which payment of the Director'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 ceases to be a
member of the Board (unless the Director files an amended Notice selecting a
different distribution date). As of April 30, 2016, none of the Directors 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 accounted for 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 the Portfolios
are allocated using methods approved by the Board, generally based on average
net assets.
C. BASIS FOR CONSOLIDATION:
The Subsidiary commenced operations on November 9, 2010. The Portfolio
commenced reporting on a consolidated basis as of such commencement date in
accordance with the accounting principles relating to reporting of a
wholly-owned subsidiary. The Portfolio will seek to gain exposure to
commodities, commodities-related instruments, derivatives and other investments
by directly investing in those instruments or through investments in the
Subsidiary. The Subsidiary participates in the same investment goal as the
Portfolio. The Subsidiary pursues its investment goal by investing in
commodities, commodities-related instruments, derivatives and other
investments. The Subsidiary (unlike the Portfolio) may invest without
limitation in these instruments. However, the Subsidiary is otherwise subject
to the same fundamental, non-fundamental and certain other
176
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 April 30, 2016, the Portfolio held a $318,419,034 investment in the
Subsidiary, representing 22.57% 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 management
services to the Portfolio. For the six months ended April 30, 2016, the
investment 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 thirty-six 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
thirty-six months before the date of such reimbursement. The Fee Waiver
Agreement for the Portfolio will remain in effect through February 28, 2017,
and may only be terminated by the Fund's Board of Directors prior to that date.
The Fee Waiver Agreement will continue in effect from year to year thereafter
unless terminated by the Fund or the Advisor. At April 30, 2016, 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.
For the six months ended April 30, 2016, approximately $372 (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
177
generally less than one basis point of the Portfolio's net assets. During the
six months ended April 30, 2016, expenses reduced were as follows (amounts in
thousands):
Fees Paid
Indirectly
----------
DFA Commodity Strategy Portfolio. $4
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the six months ended April 30, 2016, the total related amounts paid by the
Fund to the CCO were $144 (in thousands). The total related amounts paid by the
Portfolio are included in Other Expenses on the Statement of Operations.
E. Deferred Compensation:
At April 30, 2016, 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. $12
F. Purchases and Sales of Securities:
For the six months ended April 30, 2016, the Portfolio made the following
purchases and sales of investment securities, other than short-term securities
(amounts in thousands):
U.S. Government Other Investment
Securities Securities
------------------ ------------------
Purchases Sales Purchases Sales
--------- -------- --------- --------
DFA Commodity Strategy Portfolio. $683,661 $554,032 $112,807 $648,086
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 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
178
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 April 30, 2016, the total cost and aggregate gross unrealized
appreciation (depreciation) of securities for federal income tax purposes were
different from amounts reported for financial reporting purposes, as follows
(amounts in thousands):
Net
Unrealized
Federal Unrealized Unrealized Appreciation
Tax Cost Appreciation Depreciation (Depreciation)
---------- ------------ ------------ --------------
DFA Commodity Strategy Portfolio. $1,220,887 $4,772 $(384) $4,388
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.
179
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 acquire and sell 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, the Portfolio may enter into swap
agreements with respect to foreign currencies.
The Portfolio may enter into swap transactions for any legal purpose
consistent with its investment objective and policies, such as for the purpose
of attempting to obtain or preserve a particular return or spread at a lower
cost than obtaining a return or spread through purchases and/or sales of
instruments in other markets, to seek to increase total return (speculation),
to protect against currency fluctuations, as a duration management technique,
to protect against any increase in the price of securities the Portfolio
anticipates purchasing at a later date, or to gain exposure to certain markets
in the most economical way possible.
A swap agreement may be negotiated bilaterally and traded over-the-counter
between the two parties (for an uncleared swap), 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
180
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.
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
181
(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 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.
182
At April 30, 2016, 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.... 07/29/16 72 $ 3,462 $ 28
CBT Wheat Futures.......... 07/14/16 47 1,148 18
Coffee 'C' Futures......... 07/19/16 17 775 (22)
Copper Futures............. 07/27/16 48 2,740 149
Corn Futures............... 07/14/16 137 2,683 191
Cotton No.2 Futures........ 07/07/16 16 510 33
Gasoline RBOB Futures...... 06/30/16 25 1,689 202
Gold 100 oz Futures........ 08/29/16 34 4,395 (7)
KCB Wheat Futures.......... 07/14/16 17 407 (3)
LME Nickel Futures......... 05/16/16 83 4,690 436
LME Nickel Futures......... 07/18/16 51 2,889 300
LME Nickel Futures......... 07/18/16 (36) (2,040) (59)
LME Nickel Futures......... 05/16/16 (83) (4,690) (514)
LME Prime Aluminum Futures. 05/18/16 225 9,416 772
LME Prime Aluminum Futures. 07/18/16 141 5,928 554
LME Prime Aluminum Futures. 07/18/16 (100) (4,204) (113)
LME Prime Aluminum Futures. 05/18/16 (225) (9,415) (884)
LME Zinc Futures........... 05/16/16 119 5,754 708
LME Zinc Futures........... 07/18/16 75 3,636 223
LME Zinc Futures........... 07/18/16 (53) (2,569) (79)
LME Zinc Futures........... 05/16/16 (119) (5,754) (544)
Lean Hogs Futures.......... 07/15/16 28 916 9
Live Cattle Futures........ 08/31/16 22 989 (5)
NY Harbor ULSD Futures..... 06/30/16 27 1,581 253
Natural Gas Futures........ 06/28/16 122 2,833 152
Silver Futures............. 07/27/16 20 1,782 247
Soybean Futures............ 07/14/16 44 2,265 221
Soybean Meal Futures....... 07/14/16 35 1,172 197
Soybean Oil Futures........ 07/14/16 52 1,034 (51)
Sugar #11 Futures.......... 06/30/16 74 1,353 111
WTI Crude Futures.......... 06/21/16 70 3,268 520
------- ------
$38,643 $3,043
======= ======
The Subsidiary's securities have been segregated as collateral for open
futures contracts.
* During the six months ended April 30, 2016 the Subsidiary's average notional
contract amount of outstanding futures contracts was $78,920 (in thousands).
At April 30, 2016, 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** 07/05/16 USD (146,848) $2,041
Bank of America Corp.. Index** 07/05/16 USD (97,507) 1,231
Bank of America Corp.. Index** 07/06/16 USD (40,000) 569
Citibank, N.A......... Index** 07/05/16 USD (148,217) 2,060
Citibank, N.A......... Index** 07/05/16 USD (98,416) 1,242
183
UNREALIZED
COMMODITY EXPIRATION NOTIONAL APPRECIATION
COUNTERPARTY EXPOSURE DATE CURRENCY AMOUNT* (DEPRECIATION)
------------ --------- ---------- -------- ----------- --------------
Credit Suisse................... Index** 05/31/16 USD $ (130,639) $ 1,858
Credit Suisse................... Index** 06/03/16 USD (130,066) 1,689
Deutsche Bank AG, London Branch. Index** 05/31/16 USD (130,309) 1,855
Deutsche Bank AG, London Branch. Index** 06/03/16 USD (129,739) 1,683
UBS AG.......................... Index** 08/03/16 USD (198,978) 2,832
UBS AG.......................... Index** 08/03/16 USD (95,000) 1,235
----------- -------
$(1,345,719) $18,295
=========== =======
* During the six months ended April 30, 2016 the Subsidiary's average notional
value of outstanding swap contracts was $1,003,468 (in thousands).
**Swap is exposed to the 22 commodities in the 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 April 30, 2016:
LOCATION ON THE STATEMENT OF ASSETS AND LIABILITIES
---------------------------------------------------
DERIVATIVE TYPE ASSET DERIVATIVES LIABILITY DERIVATIVES
--------------- ------------------------ ------------------------
Commodity Futures Receivables: Futures
Contracts Margin Variation
Commodity Swap Contracts Unrealized Gain on Swap
Contracts
The following is a summary of the Portfolio's derivative instrument holdings
categorized by primary risk exposure as of April 30, 2016 (amounts in
thousands):
ASSET DERIVATIVES VALUE
----------------------------------
TOTAL VALUE
AT COMMODITY SWAP
APRIL 30, 2016 CONTRACTS CONTRACTS
- -------------- --------- ---------
Dimensional Cayman Commodity Fund I, LTD. $23,829 $ 5,325* 18,504
LIABILITY DERIVATIVES VALUE
----------------------------------
TOTAL VALUE
AT COMMODITY SWAP
APRIL 30, 2016 CONTRACTS CONTRACTS
- -------------- --------- ---------
Dimensional Cayman Commodity Fund I, LTD. $(2,491) $(2,282)* $ (209)
*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 on the Portfolio's Statement of
Operations of realized and change in unrealized gains and losses from the
Portfolio's derivative instrument holdings for the six months ended April 30,
2016:
DERIVATIVE TYPE LOCATION OF GAIN (LOSS) ON DERIVATIVES
--------------- --------------------------------------
Commodity Futures Contracts Net Realized Gain (Loss) on: Futures Change in Unrealized
Appreciation (Depreciation) of: Futures
Swap Contracts Net Realized Gain (Loss) on: Swap Contracts Change in
Unrealized Appreciation (Depreciation) of: Swap Contracts
184
The following is a summary of the realized and change in unrealized gains
and losses from the Portfolio's derivative instrument holdings categorized by
primary risk exposure through the six months ended April 30, 2016 (amounts in
thousands):
REALIZED GAIN (LOSS) ON DERIVATIVES
----------------------------------
COMMODITY SWAP
TOTAL CONTRACTS CONTRACTS
-------- --------- ---------
Dimensional Cayman Commodity Fund I, LTD. $(18,653) $4,904 $(23,557)
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION)
ON DERIVATIVES
----------------------------------
COMMODITY SWAP
TOTAL CONTRACTS CONTRACTS
-------- --------- ---------
Dimensional Cayman Commodity Fund I, LTD. $ 23,835 $4,176 $ 19,659
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 Portfolios as of April 30, 2016
(Amounts in thousands):
GROSS AMOUNTS NOT GROSS AMOUNTS NOT
OFFSET IN THE OFFSET IN THE
STATEMENTS OF ASSETS STATEMENTS OF ASSETS
GROSS AND LIABILITIES GROSS AND LIABILITIES
- AMOUNTS OF ---------------------- AMOUNTS OF ----------------------
RECOGNIZED FINANCIAL CASH NET RECOGNIZED FINANCIAL CASH NET
ASSETS INSTRUMENTS COLLATERAL AMOUNT LIABILITIES INSTRUMENTS COLLATERAL AMOUNT
DESCRIPTION (A) (B) RECEIVED (C) (A) (D) PLEDGED (E)
----------- ---------- ----------- ---------- ------- ----------- ----------- ---------- ------
ASSETS LIABILITIES
----------------------------------------- -----------------------------------------
DFA COMMODITY STRATEGY PORTFOLIO
Swap Contracts................... $18,504 -- -- $18,504 $209 -- -- $209
(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.
Note J 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 March 30, 2016, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 29, 2016. 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 29, 2017.
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 8, 2016. A line of credit with
similar terms was in effect through January 7, 2016. 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
185
$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 7, 2017.
There were no borrowings by the Portfolio under the lines of credit during
the six months ended April 30, 2016.
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 six months ended April 30, 2016.
J. SECURITIES LENDING:
As of April 30, 2016, the Portfolio had a security on loan to a
broker/dealer, for which the Portfolio received cash collateral.
The Portfolio invests the cash collateral, as described below, and records a
liability for the return of the collateral, during the period the securities
are on loan. Loans of securities are expected at all times to be secured by
collateral in an amount (i) equal to at least 100% of the current market value
of the loaned securities with respect to securities of the U.S. government or
its agencies, (ii) generally equal to 102% of the current market value of the
loaned securities with respect to U.S. securities, and (iii) generally equal to
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.
Subject to its stated investment policy, 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.
186
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of April 30, 2016:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF APRIL 30, 2016
---------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
------------- -------- ------------ -------- ------
SECURITIES LENDING TRANSACTIONS
DFA COMMODITY STRATEGY PORTFOLIO
Bonds................................................ $1,040 -- -- -- $1,040
------ -- -- -- ------
Total Borrowings...................................... $1,040 -- -- -- $1,040
------ -- -- -- ------
Gross amount of recognized liabilities for securities
lending transactions................................ $1,040
======
K. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
L. OTHER:
At April 30, 2016, 3 shareholders held 71% 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.
M. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the
Portfolio and has determined that there are no subsequent events requiring
recognition or disclosure in the financial statements.
187
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2016
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/15 04/30/16 Ratio* Period*
--------- --------- ---------- --------
DFA International Value Portfolio**
-----------------------------------
Actual Fund Return
Class R2 Shares.................... $1,000.00 $ 959.30 0.68% $3.31
Institutional Class Shares......... $1,000.00 $ 961.10 0.43% $2.10
Hypothetical 5% Annual Return
Class R2 Shares.................... $1,000.00 $1,021.48 0.68% $3.42
Institutional Class Shares......... $1,000.00 $1,022.73 0.43% $2.16
188
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/15 04/30/16 RATIO* PERIOD*
--------- --------- ---------- --------
U.S. LARGE COMPANY PORTFOLIO
----------------------------
Actual Fund Return............ $1,000.00 $1,004.60 0.08% $0.40
Hypothetical 5% Annual Return. $1,000.00 $1,024.47 0.08% $0.40
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (182), then divided
by the number of days in the year (366) 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 Feeder Fund's portion of the expenses of
its Master Fund (Affiliated Investment Company).
189
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on March 31, 2016. 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
regulations 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....................... 13.0%
Consumer Staples............................. 10.2%
Energy....................................... 7.3%
Financials................................... 13.2%
Health Care.................................. 14.6%
Industrials.................................. 10.2%
Information Technology....................... 19.6%
Materials.................................... 3.0%
Real Estate Investment Trusts................ 2.9%
Telecommunication Services................... 2.7%
Utilities.................................... 3.3%
-----
100.0%
190
DFA INTERNATIONAL VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2016
(Unaudited)
Value+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The DFA International Value Series of The DFA
Investment Trust Company.................................. $6,731,660,448
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$6,928,294,655)........................................ $6,731,660,448
==============
Summary of the Portfolio's Master Fund's investments as of April 30, 2016,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
191
U.S. LARGE COMPANY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2016
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (94.9%)
Consumer Discretionary -- (12.3%)
* Amazon.com, Inc................... 129,439 $ 85,376,670 1.4%
Comcast Corp. Class A............. 815,661 49,559,562 0.8%
Home Depot, Inc. (The)............ 425,064 56,911,819 0.9%
McDonald's Corp................... 302,269 38,234,006 0.6%
Starbucks Corp.................... 495,541 27,864,270 0.5%
Walt Disney Co. (The)............. 503,234 51,963,943 0.9%
Other Securities.................. 476,959,456 7.9%
------------ -----
Total Consumer Discretionary.......... 786,869,726 13.0%
------------ -----
Consumer Staples -- (9.7%)
Altria Group, Inc................. 656,408 41,163,346 0.7%
Coca-Cola Co. (The)............... 1,306,340 58,524,032 1.0%
CVS Health Corp................... 368,275 37,011,637 0.6%
PepsiCo, Inc...................... 484,583 49,892,666 0.8%
Philip Morris International, Inc.. 519,427 50,966,177 0.8%
Procter & Gamble Co. (The)........ 889,288 71,249,755 1.2%
Wal-Mart Stores, Inc.............. 525,992 35,173,085 0.6%
Other Securities.................. 273,016,435 4.5%
------------ -----
Total Consumer Staples................ 616,997,133 10.2%
------------ -----
Energy -- (6.9%)
Chevron Corp...................... 631,339 64,510,219 1.1%
Exxon Mobil Corp.................. 1,392,235 123,073,574 2.0%
Schlumberger, Ltd................. 466,142 37,449,848 0.6%
Other Securities.................. 216,438,511 3.6%
------------ -----
Total Energy.......................... 441,472,152 7.3%
------------ -----
Financials -- (12.5%)
Bank of America Corp.............. 3,461,725 50,402,716 0.8%
* Berkshire Hathaway, Inc. Class B.. 628,118 91,378,607 1.5%
Citigroup, Inc.................... 988,374 45,741,949 0.8%
JPMorgan Chase & Co............... 1,230,477 77,766,146 1.3%
Wells Fargo & Co.................. 1,548,816 77,409,824 1.3%
Other Securities.................. 453,965,538 7.5%
------------ -----
Total Financials...................... 796,664,780 13.2%
------------ -----
Health Care -- (13.9%)
AbbVie, Inc....................... 540,177 32,950,797 0.5%
* Allergan P.L.C.................... 132,321 28,655,436 0.5%
Amgen, Inc........................ 252,143 39,914,237 0.7%
Bristol-Myers Squibb Co........... 559,695 40,398,785 0.7%
* Celgene Corp...................... 262,058 27,099,418 0.5%
Gilead Sciences, Inc.............. 458,243 40,421,615 0.7%
Johnson & Johnson................. 925,090 103,684,087 1.7%
Medtronic P.L.C................... 471,422 37,313,051 0.6%
Merck & Co., Inc.................. 930,421 51,024,288 0.8%
Pfizer, Inc....................... 2,027,673 66,325,184 1.1%
UnitedHealth Group, Inc........... 318,719 41,968,918 0.7%
Other Securities.................. 372,853,700 6.1%
------------ -----
Total Health Care..................... 882,609,516 14.6%
------------ -----
192
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Percentage
of Net
Shares Value+ Assets**
------ ------ ----------
Industrials -- (9.7%)
3M Co.............................................. 202,842 $ 33,951,694 0.6%
# Boeing Co. (The)................................... 208,782 28,143,814 0.5%
General Electric Co................................ 3,128,138 96,190,243 1.6%
Honeywell International, Inc....................... 257,920 29,472,518 0.5%
United Technologies Corp........................... 260,789 27,218,548 0.4%
Other Securities................................... 400,128,006 6.6%
-------------- ------
Total Industrials........................................ 615,104,823 10.2%
-------------- ------
Information Technology -- (18.6%)
* Alphabet, Inc. Class A............................. 98,089 69,435,241 1.1%
* Alphabet, Inc. Class C............................. 99,626 69,041,814 1.1%
Apple, Inc......................................... 1,858,852 174,248,786 2.9%
Cisco Systems, Inc................................. 1,687,047 46,376,922 0.8%
* Facebook, Inc. Class A............................. 769,391 90,464,994 1.5%
Intel Corp......................................... 1,583,747 47,955,859 0.8%
International Business Machines Corp............... 296,369 43,252,092 0.7%
MasterCard, Inc. Class A........................... 328,729 31,883,426 0.5%
Microsoft Corp..................................... 2,651,638 132,237,187 2.2%
Oracle Corp........................................ 1,056,362 42,106,589 0.7%
# Visa, Inc. Class A................................. 643,399 49,696,139 0.8%
Other Securities................................... 388,972,551 6.5%
-------------- ------
Total Information Technology............................. 1,185,671,600 19.6%
-------------- ------
Materials -- (2.8%)
Other Securities................................... 178,675,969 3.0%
-------------- ------
Real Estate Investment Trusts -- (2.8%)
Other Securities................................... 175,967,228 2.9%
-------------- ------
Telecommunication Services -- (2.5%)
AT&T, Inc.......................................... 2,062,227 80,055,652 1.3%
Verizon Communications, Inc........................ 1,365,778 69,572,731 1.2%
Other Securities................................... 12,889,997 0.2%
-------------- ------
Total Telecommunication Services......................... 162,518,380 2.7%
-------------- ------
Utilities -- (3.2%)
Other Securities................................... 202,359,209 3.4%
-------------- ------
TOTAL COMMON STOCKS...................................... 6,044,910,516 100.1%
-------------- ------
TEMPORARY CASH INVESTMENTS -- (0.2%)
State Street Institutional Liquid Reserves, 0.455%. 12,865,737 12,865,737 0.2%
-------------- ------
SECURITIES LENDING COLLATERAL -- (4.9%)
(S)@ DFA Short Term Investment Fund..................... 26,874,784 310,941,247 5.2%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,466,520,104)................................ $6,368,717,500 105.5%
============== ======
193
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2016, 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........ $ 786,869,726 -- -- $ 786,869,726
Consumer Staples.............. 616,997,133 -- -- 616,997,133
Energy........................ 441,472,152 -- -- 441,472,152
Financials.................... 796,664,780 -- -- 796,664,780
Health Care................... 882,609,516 -- -- 882,609,516
Industrials................... 615,104,823 -- -- 615,104,823
Information Technology........ 1,185,671,600 -- -- 1,185,671,600
Materials..................... 178,675,969 -- -- 178,675,969
Real Estate Investment Trusts. 175,967,228 -- -- 175,967,228
Telecommunication Services.... 162,518,380 -- -- 162,518,380
Utilities..................... 202,359,209 -- -- 202,359,209
Temporary Cash Investments...... 12,865,737 -- -- 12,865,737
Securities Lending Collateral... -- $310,941,247 -- 310,941,247
-------------- ------------ -- --------------
TOTAL........................... $6,057,776,253 $310,941,247 -- $6,368,717,500
============== ============ == ==============
See accompanying Notes to Financial Statements.
194
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2016
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA U.S. LARGE
INTERNATIONAL COMPANY
VALUE PORTFOLIO PORTFOLIO *
--------------- ------------
ASSETS:
Investments in Affiliated Investment Company at Value..................................... $ 6,731,660 --
Investments at Value (including $0 and $591,268 of securities on loan, respectively)...... -- $ 6,044,911
Temporary Cash Investments at Value & Cost................................................ -- 12,866
Collateral from Securities on Loan Invested in Affiliate at Value & Cost.................. -- 310,941
Segregated Cash for Futures Contracts..................................................... -- 797
Receivables:
Dividends, Interest and Tax Reclaims.................................................... -- 6,341
Securities Lending Income............................................................... -- 73
Fund Shares Sold........................................................................ 6,390 8,228
Prepaid Expenses and Other Assets......................................................... 105 65
-------------- ------------
Total Assets......................................................................... 6,738,155 6,384,222
-------------- ------------
LIABILITIES:
Payables:
Due to Custodian........................................................................ -- 208
Upon Return of Securities Loaned........................................................ -- 310,941
Fund Shares Redeemed.................................................................... 5,718 33,042
Due to Advisor.......................................................................... 1,081 259
Futures Margin Variation................................................................ -- 122
Accrued Expenses and Other Liabilities.................................................... 346 583
Total Liabilities.................................................................... 7,145 345,155
-------------- ------------
NET ASSETS................................................................................ $ 6,731,010 $ 6,039,067
============== ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Class R2 Shares -- based on net assets of $10,741 and $0 and shares outstanding of
672,221 and 0, respectively.............................................................. $ 15.98 N/A
============== ============
NUMBER OF SHARES AUTHORIZED............................................................... 100,000,000 N/A
============== ============
Institutional Class Shares -- based on net assets of $6,720,269 and $6,039,067 and shares
outstanding of 418,694,255 and 373,939,160, respectively................................. $ 16.05 $ 16.15
============== ============
NUMBER OF SHARES AUTHORIZED............................................................... 1,500,000,000 900,000,000
============== ============
Investments in Affiliated Investment Companies at Cost.................................... $ 6,928,295 $ --
-------------- ------------
Investments at Cost....................................................................... $ -- $ 3,142,713
============== ============
NET ASSETS CONSIST OF:
Paid-In Capital........................................................................... $ 7,345,226 $ 3,316,733
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).... 42,474 1,672
Accumulated Net Realized Gain (Loss)...................................................... (461,173) (181,536)
Net Unrealized Foreign Exchange Gain (Loss)............................................... 1,118 --
Net Unrealized Appreciation (Depreciation)................................................ (196,635) 2,902,198
-------------- ------------
NET ASSETS................................................................................ $ 6,731,010 $ 6,039,067
============== ============
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
195
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2016
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
DFA
INTERNATIONAL U.S. LARGE
VALUE COMPANY
PORTFOLIO* PORTFOLIO
------------- ----------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment Companies:
Dividends (Net of Foreign Taxes Withheld of $9,609 and $0, respectively)...... $ 108,949 --
Income from Securities Lending................................................ 3,845 --
Expenses Allocated from Affiliated Investment Company......................... (7,014) --
--------- -------
Total Net Investment Income Received from Affiliated Investment Companies.... 105,780 --
--------- -------
FUND INVESTMENT INCOME
Dividends....................................................................... -- $67,739
Income from Securities Lending.................................................. -- 458
--------- -------
Total Investment Income...................................................... -- 68,197
--------- -------
EXPENSES
Investment Management Fees...................................................... 12,716 1,742
Accounting & Transfer Agent Fees................................................ 22 164
S&P 500(R) Fees................................................................. -- 51
Custodian Fees.................................................................. -- 42
Shareholder Servicing Fees --
Class R2 Shares............................................................... 12 --
Filing Fees..................................................................... 77 49
Shareholders' Reports........................................................... 124 60
Directors'/Trustees' Fees & Expenses............................................ 27 24
Professional Fees............................................................... 8 183
Other........................................................................... 26 124
--------- -------
Total Expenses............................................................... 13,012 2,439
--------- -------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor (Note C).................................................. (6,358) (101)
--------- -------
Net Expenses.................................................................... 6,654 2,338
--------- -------
NET INVESTMENT INCOME (LOSS).................................................... 99,126 65,859
--------- -------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**.................................................. (161,239) (3,559)
Futures....................................................................... 3,280 (5,798)
Foreign Currency Transactions................................................. 1,775 --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................................... (179,422) 10,544
Futures....................................................................... 897 (258)
Translation of Foreign Currency Denominated Amounts........................... 1,311 --
--------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS)......................................... (333,398) 929
--------- -------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................... $(234,272) $66,788
========= =======
----------
* 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.
196
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA INTERNATIONAL VALUE U.S. LARGE COMPANY
PORTFOLIO PORTFOLIO
------------------------ -----------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, APRIL 30, OCT. 31,
2016 2015 2016 2015
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................. $ 99,126 $ 218,094 $ 65,859 $ 116,432
Net Realized Gain (Loss) on:
Investment Securities Sold*.................................. (161,239) 185,379 (3,559) 174,452
Futures...................................................... 3,280 -- (5,798) 2,961
Foreign Currency Transactions................................ 1,775 (4,394) -- --
In-Kind Redemptions.......................................... -- -- -- 70,875
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................... (179,422) (768,572) 10,544 (67,093)
Futures...................................................... 897 -- (258) (2,353)
Translation of Foreign Currency Denominated Amounts.......... 1,311 490 -- --
----------- ----------- ---------- -----------
Net Increase (Decrease) in Net Assets Resulting from
Operations................................................ (234,272) (369,003) 66,788 295,274
----------- ----------- ---------- -----------
Distributions From:
Net Investment Income:
Class R2 Shares.............................................. (149) (293) -- --
Institutional Class Shares................................... (84,429) (210,745) (74,830) (110,940)
Net Long-Term Gains:
Institutional Class Shares................................... -- -- (47,852) --
----------- ----------- ---------- -----------
Total Distributions........................................ (84,578) (211,038) (122,682) (110,940)
----------- ----------- ---------- -----------
Capital Share Transactions (1):
Shares Issued................................................. 1,332,117 1,877,719 975,352 1,080,396
Shares Issued in Lieu of Cash Distributions................... 82,182 204,539 106,494 95,812
Shares Redeemed............................................... (1,170,324) (1,698,746) (797,628) (1,218,173)
----------- ----------- ---------- -----------
Net Increase (Decrease) from Capital Share Transactions.... 243,975 383,512 284,218 (41,965)
----------- ----------- ---------- -----------
Total Increase (Decrease) in Net Assets.................... (74,875) (196,529) 228,324 142,369
NET ASSETS
Beginning of Period........................................... 6,805,885 7,002,414 5,810,743 5,668,374
----------- ----------- ---------- -----------
End of Period................................................. $ 6,731,010 $ 6,805,885 $6,039,067 $ 5,810,743
=========== =========== ========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................. 88,020 105,639 63,770 66,846
Shares Issued in Lieu of Cash Distributions................... 5,209 11,317 6,651 6,038
Shares Redeemed............................................... (76,002) (93,840) (50,290) (74,737)
----------- ----------- ---------- -----------
Net Increase (Decrease) from Shares Issued and Redeemed.... 17,227 23,116 20,131 (1,853)
=========== =========== ========== ===========
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF
NET INVESTMENT INCOME)......................................... $ 42,474 $ 27,926 $ 1,672 $ 10,643
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
197
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
DFA International Value Portfolio-Class R2 Shares
------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012 2011
--------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.......... $ 16.93 $ 18.48 $ 19.46 $15.72 $15.83 $17.82
------- ------- ------- ------ ------ ------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............ 0.22 0.51 0.74 0.49 0.51 0.53
Net Gains (Losses) on Securities (Realized
and Unrealized)............................ (0.93) (1.55) (0.93) 3.77 (0.13) (2.00)
------- ------- ------- ------ ------ ------
Total from Investment Operations........... (0.71) (1.04) (0.19) 4.26 0.38 (1.47)
--------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income....................... (0.24) (0.51) (0.79) (0.52) (0.49) (0.52)
------- ------- ------- ------ ------ ------
Total Distributions........................ (0.24) (0.51) (0.79) (0.52) (0.49) (0.52)
--------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period................ $ 15.98 $ 16.93 $ 18.48 $19.46 $15.72 $15.83
============================================== =========== ======== ======== ======== ======== ========
Total Return.................................. (4.07)%(D) (5.78)% (1.21)% 27.61% 2.70% (8.53)%
--------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)......... $10,741 $10,404 $11,200 $5,517 $6,407 $6,102
Ratio of Expenses to Average Net Assets(B).... 0.68%(E) 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 and fees paid
indirectly).................................. 0.88%(E) 0.73% 0.68% 0.69% 0.71% 0.71%
Ratio of Net Investment Income to Average Net
Assets....................................... 2.86%(E) 2.81% 3.79% 2.84% 3.33% 2.97%
--------------------------------------------------------------------------------------------------------------
DFA International Value Portfolio-Institutional Class Shares
----------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012 2011
-----------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.......... $ 16.92 $ 18.47 $ 19.45 $ 15.72 $ 15.83 $ 17.81
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............ 0.24 0.56 0.84 0.52 0.54 0.58
Net Gains (Losses) on Securities (Realized
and Unrealized)............................ (0.90) (1.56) (0.98) 3.78 (0.12) (1.99)
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations........... (0.66) (1.00) (0.14) 4.30 0.42 (1.41)
-----------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income....................... (0.21) (0.55) (0.84) (0.57) (0.53) (0.57)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions........................ (0.21) (0.55) (0.84) (0.57) (0.53) (0.57)
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period................ $ 16.05 $ 16.92 $ 18.47 $ 19.45 $ 15.72 $ 15.83
============================================== =========== ========== ========== ========== ========== ==========
Total Return.................................. (3.89)%(D) (5.58)% (0.97)% 27.90% 2.98% (8.26)%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)......... $6,720,269 $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%(E) 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 and fees paid
indirectly).................................. 0.63%(E) 0.49% 0.43% 0.43% 0.45% 0.45%
Ratio of Net Investment Income to Average Net
Assets....................................... 3.12%(E) 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.
198
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Large Company Portfolio
--------------------------------------------------------------
Six Months Year Year Year Year
Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012
----------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period........................ $ 16.42 $ 15.94 $ 13.87 $ 11.15 $ 9.90
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.18 0.33 0.29 0.27 0.22
Net Gains (Losses) on Securities (Realized and Unrealized). (0.10) 0.47 2.07 2.71 1.25
---------- ---------- ---------- ---------- ----------
Total from Investment Operations......................... 0.08 0.80 2.36 2.98 1.47
----------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.21) (0.32) (0.29) (0.26) (0.22)
Net Realized Gains......................................... (0.14) -- -- -- --
---------- ---------- ---------- ---------- ----------
Total Distributions...................................... (0.35) (0.32) (0.29) (0.26) (0.22)
----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.............................. $ 16.15 $ 16.42 $ 15.94 $ 13.87 $ 11.15
=========================================================== =========== ========== ========== ========== ==========
Total Return................................................ 0.46%(D) 5.09% 17.17% 27.10% 15.02%
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)....................... $6,039,067 $5,810,743 $5,668,374 $4,917,336 $4,037,336
Ratio of Expenses to Average Net Assets..................... 0.08%(E) 0.08% 0.08% 0.09% 0.10%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor)................................. 0.08%(E) 0.09% 0.08% 0.10% 0.10%
Ratio of Net Investment Income to Average Net Assets........ 2.27%(E) 2.05% 1.95% 2.13% 2.10%
Portfolio Turnover Rate..................................... 6%(D) 2% 3% 3% 4%
----------------------------------------------------------------------------------------------------------------------------
-----------
Year
Ended
Oct. 31,
2011
------------------------------------------------------------------------
Net Asset Value, Beginning of Period........................ $ 9.34
----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.19
Net Gains (Losses) on Securities (Realized and Unrealized). 0.56
----------
Total from Investment Operations......................... 0.75
------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.19)
Net Realized Gains......................................... --
----------
Total Distributions...................................... (0.19)
------------------------------------------------------------------------
Net Asset Value, End of Period.............................. $ 9.90
=========================================================== ==========
Total Return................................................ 8.09%
------------------------------------------------------------------------
Net Assets, End of Period (thousands)....................... $3,762,013
Ratio of Expenses to Average Net Assets..................... 0.10%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor)................................. 0.10%
Ratio of Net Investment Income to Average Net Assets........ 1.95%
Portfolio Turnover Rate..................................... 4%
------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
199
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of fifteen
portfolios, two of which, DFA International Value Portfolio and U.S. Large
Company Portfolio (the "Portfolios"), are presented in this section of the
report. The remaining operational portfolios are presented in separate reports.
DFA International Value Portfolio (the "Feeder Fund") primarily invests its
assets in The DFA International Value Series (the "Series"), a corresponding
series of The DFA Investment Trust Company. At April 30, 2016, 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 of the day. 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 within the range 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 of the Fund. 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 of the Portfolio is calculated. When fair value pricing is
used, the prices of securities
200
used by the Portfolio may differ from the quoted or published prices for the
same securities on their primary markets or exchanges. These securities are
generally categorized as Level 2 in the hierarchy.
Futures contracts held by U.S. Large Company Portfolio are valued using the
settlement price established each day on the exchange on which they are traded.
These valuations are generally categorized as Level 1 in the hierarchy.
A summary of the inputs used to value the Portfolios' investments by each
major security type, industry and/or country is disclosed previously in this
note. A valuation hierarchy table has been included at the end of the Summary
Schedule of Portfolio Holdings/Schedule of Investments. The inputs or
methodology used for valuing securities are not necessarily an indication of
the risk associated with investing in those securities.
For the six months ended April 30, 2016, 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 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 may defer payment of all or a portion of their total fees earned as a
Director. 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' Fees &
Expenses.
Each Director 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 shall have the right in a notice of election (the
"Notice") to defer the receipt of the Director's deferred compensation until a
date specified by such Director 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 ceases to be a member of the Board of Directors of the
Fund; and (ii) five years following the effective date of the Director's first
deferral election. If a Director who elects to defer fees fails to designate in
the Notice a time or date as of which payment of the Director'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 ceases to be a
member of the Board (unless the Director files an amended Notice selecting a
different distribution date). As of April 30, 2016, none of the Directors 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 the Portfolios are allocated
using methods approved by the Board of Directors, 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 management
services to the Portfolio. For the six months ended April 30, 2016, the U.S.
Large Company Portfolio's and the Feeder Fund's investment management fees were
accrued daily and paid monthly to the Advisor based on an effective annual rate
of 0.06% and 0.40%, respectively, of average daily net assets.
201
Pursuant to an Amended and Restated Fee Waiver and/or Expense Assumption
Agreement (the "Fee Waiver Agreement"), the Advisor has contractually agreed to
waive certain fees, and in certain instances, assume certain expenses of the
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, 2017, 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 six months
ended April 30, 2016, the Portfolios had expense limits based on a percentage
of average net assets on an annualized basis, and the Advisor recovered
previously waived fees and/or expenses assumed as listed below (amounts in
thousands). The Portfolios are not obligated to reimburse the Advisor for fees
previously waived or expenses previously assumed by the Advisor more than
thirty-six months before the date of recovery.
Previously
Recovery Waived Fees/
Expense of Previously Expenses Assumed
Limitation Waived Fees/ Subject to Future
Institutional Class Shares Amount Expenses Assumed Recovery
-------------------------- ---------- ---------------- -----------------
DFA International Value Portfolio (1). 0.40% -- --
U.S. Large Company Portfolio (2)...... 0.08% -- $977
Class R2 Shares
---------------
DFA International Value Portfolio (1). 0.79% -- --
(1) Effective July 21, 2015, the Advisor has contractually agreed to
permanently waive all or a portion of the management fee of the DFA
International Value 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 Class R2 shares of the Portfolio (excluding
management fees and custodian fees), to the extent necessary to limit the
annualized expenses of Class R2 shares of the Portfolio (excluding the expenses
the Portfolio incurs indirectly through investment in other investment
companies) to the rate listed above (the "Annualized Expense Ratio"). At any
time that the annualized expenses of Class R2 shares of the Portfolio are less
than the Annualized Expense Ratio identified 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 Class R2 shares of the Portfolio to exceed the Annualized
Expense Ratio identified above. Except, the Portfolio is not obligated to
reimburse the Advisor for fees waived in connection with the Permanent Fee
Waiver.
(2) 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 U.S. Large Company
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 "Annualized Expense Ratio"). At any time that the annualized Portfolio
Expenses of the Portfolio are less than the Annualized Expense Ratio identified
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 will not cause the annualized Portfolio Expenses of the Portfolio to
exceed the applicable Annualized Expense Ratio identified above.
Prior to August 1, 2013, the Advisor contractually agreed to waive all or a
portion of its administration fee to the extent necessary to reduce the
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
thirty-six months and did not cause the Portfolio's annualized Portfolio
Expenses to exceed the Previous Expense Limitation Amount.
202
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the six months ended April 30, 2016, the total related amounts paid by the
Fund to the CCO were $15 (in thousands). The total related amounts paid by each
Portfolio are included in Other Expenses on the Statement of Operations.
D. DEFERRED COMPENSATION:
At April 30, 2016, the total liability for deferred compensation to
Directors is included in Accrued Expenses and Other Liabilities on the
Statement of Assets and Liabilities as follows (amounts in thousands):
DFA International Value Portfolio. $228
U.S. Large Company Portfolio...... 279
E. PURCHASES AND SALES OF SECURITIES:
For the six months ended April 30, 2016, 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. $664,149 $376,387
There were no purchases or sales of long-term U.S. government securities.
F. FEDERAL INCOME TAXES:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to its shareholders. Accordingly, no
provision has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income, accumulated net realized gains or losses, or unrealized
appreciation, as appropriate, in the period that the differences arise.
Accordingly, the following permanent differences as of October 31, 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)
203
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
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
204
At April 30, 2016, the total cost and aggregate gross unrealized
appreciation (depreciation) of securities for federal income tax purposes were
different from amounts reported for financial reporting purposes, as follows
(amounts in thousands):
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION
TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
---------- ------------ ------------ --------------
DFA International Value Portfolio. $6,936,263 -- $(204,603) $ (204,603)
U.S. Large Company Portfolio...... 3,638,439 $2,822,229 (91,950) 2,730,279
The difference between book-basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales and investments in passive foreign investment companies.
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed the Portfolios'
tax positions and has concluded that no additional provision for income tax is
required in the Portfolios' financial statements. The Portfolios are not aware
of any tax positions for which it is more likely than not that the total
amounts of unrecognized tax benefits will significantly change in the next
twelve months. The Portfolios' federal tax returns for the prior three fiscal
years remain subject to examination by the Internal Revenue Service.
G. CAPITAL SHARE TRANSACTIONS:
The capital share transactions by class were as follows (amounts in
thousands):
SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2016 OCT. 31, 2015
-------------------- --------------------
(UNAUDITED)
AMOUNT SHARES AMOUNT SHARES
----------- ------- ----------- -------
DFA INTERNATIONAL VALUE PORTFOLIO
Class R2 Shares
Shares Issued........................................ $ 1,729 113 $ 3,876 214
Shares Issued in Lieu of Cash Distributions.......... 149 10 293 16
Shares Redeemed...................................... (1,014) (66) (4,082) (221)
----------- ------- ----------- -------
Net Increase (Decrease) -- Class R2 Shares............ $ 864 57 $ 87 9
=========== ======= =========== =======
Institutional Class Shares
Shares Issued........................................ $ 1,330,388 87,907 $ 1,873,843 105,425
Shares Issued in Lieu of Cash Distributions.......... 82,033 5,199 204,246 11,301
Shares Redeemed...................................... (1,169,310) (75,936) (1,694,664) (93,619)
----------- ------- ----------- -------
Net Increase (Decrease) -- Institutional Class Shares. $ 243,111 17,170 $ 383,425 23,107
=========== ======= =========== =======
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 purchase or sell futures
contracts and options on futures contracts for equity securities and indices to
adjust market exposure based on actual or expected cash inflows to or outflows
from the Portfolios. The Portfolios, however, do not intend to sell futures
contracts to establish short positions in
205
individual securities. 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.
The following is a summary of the location of realized and change in
unrealized gains and losses on the U.S. Large Company Portfolio's Statement of
Operations for the Portfolio's derivative instrument holdings for the six
months ended April 30, 2016:
DERIVATIVE TYPE LOCATION OF GAIN (LOSS) ON DERIVATIVES
--------------- --------------------------------------
Equity contracts Net Realized Gain (Loss) on: Futures Change in Unrealized
Appreciation (Depreciation) of:
Futures
The following is a summary of the realized and change in unrealized gains
and losses from the U.S. Large Company Portfolio's direct investment in
derivative instrument holdings categorized by primary risk exposure through the
six months ended April 30, 2016 (amounts in thousands):
REALIZED GAIN (LOSS) ON DERIVATIVES
----------------------------------
EQUITY
TOTAL CONTRACTS
------- ---------
U.S. Large Company Portfolio*. $(5,798) $(5,798)
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION)
ON DERIVATIVES
----------------------------------
EQUITY
TOTAL CONTRACTS
------- ---------
U.S. Large Company Portfolio*. $ (258) $ (258)
* During the six months ended April 30, 2016, U.S. Large Company Portfolio's
average notional contract amount of outstanding futures contracts was $25,696
(in thousands).
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 March 30, 2016, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 29, 2016. 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 29, 2017.
206
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 8, 2016. A line of credit with
similar terms was in effect through January 7, 2016. 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 7, 2017.
For the six months ended April 30, 2016, borrowings by the the Portfolios
under the lines of credit were as follows (amounts in thousands, except
percentages and days):
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING
INTEREST RATE LOAN BALANCE OUTSTANDING* INCURRED THE PERIOD
------------- ------------ ------------ -------- ---------------
U.S. Large Company Portfolio. 1.06% $44,297 22 $30 $162,576
* Number of Days Outstanding represents the total of single or consecutive days
during the six months ended April 30, 2016, 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 April 30, 2016.
Pursuant to an exemptive order issued by the SEC (the "Order"), the U.S.
Large Company 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 U.S. Large Company Portfolio did not
utilize the interfund lending program during the six months ended April 30,
2016.
J. SECURITIES LENDING:
As of April 30, 2016, 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 $290,135 (amounts 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 in an amount
(i) equal to at least 100% of the current market value of the loaned securities
with respect to securities of the U.S. government or its agencies,
(ii) generally equal to 102% of the current market value of the loaned
securities with respect to U.S. securities, and (iii) generally equal to 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.
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
207
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.
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of April 30, 2016:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF APRIL 30, 2016
---------------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
------------- -------- ------------ -------- ------------
SECURITIES LENDING TRANSACTIONS
U.S. LARGE COMPANY PORTFOLIO
Bonds.......................... $310,941,247 -- -- -- $310,941,247
------------ -- -- -- ------------
Total Borrowings................ $310,941,247 -- -- -- $310,941,247
------------ -- -- -- ------------
Gross amount of recognized liabilities for securities lending transactions... $310,941,247
============
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 that provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
M. OTHER:
At April 30, 2016, 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
NUMBER OF OF OUTSTANDING
SHAREHOLDERS SHARES
------------ --------------
DFA International Value Portfolio -- Class R2 Shares............ 3 92%
DFA International Value Portfolio -- Institutional Class Shares. 3 71%
U.S. Large Company Portfolio.................................... 4 76%
N. 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.
208
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2016
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/15 04/30/16 Ratio* Period*
--------- --------- ---------- --------
The U.S. Large Cap Value Series
-------------------------------
Actual Fund Return $1,000.00 $1,000.60 0.11% $0.55
Hypothetical 5% Annual Return...... $1,000.00 $1,024.32 0.11% $0.55
The DFA International Value Series
----------------------------------
Actual Fund Return................. $1,000.00 $ 961.80 0.22% $1.07
Hypothetical 5% Annual Return...... $1,000.00 $1,023.77 0.22% $1.11
209
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/15 04/30/16 Ratio* Period*
--------- --------- ---------- --------
The Japanese Small Company Series
---------------------------------
Actual Fund Return...................... $1,000.00 $1,008.10 0.13% $0.65
Hypothetical 5% Annual Return........... $1,000.00 $1,024.22 0.13% $0.65
The Asia Pacific Small Company Series
-------------------------------------
Actual Fund Return...................... $1,000.00 $1,094.70 0.13% $0.68
Hypothetical 5% Annual Return........... $1,000.00 $1,024.22 0.13% $0.65
The United Kingdom Small Company Series
---------------------------------------
Actual Fund Return...................... $1,000.00 $ 952.10 0.12% $0.58
Hypothetical 5% Annual Return........... $1,000.00 $1,024.27 0.12% $0.60
The Continental Small Company Series
------------------------------------
Actual Fund Return...................... $1,000.00 $1,042.40 0.13% $0.66
Hypothetical 5% Annual Return........... $1,000.00 $1,024.22 0.13% $0.65
The Canadian Small Company Series
---------------------------------
Actual Fund Return...................... $1,000.00 $1,202.90 0.12% $0.66
Hypothetical 5% Annual Return........... $1,000.00 $1,024.27 0.12% $0.60
The Emerging Markets Series
---------------------------
Actual Fund Return...................... $1,000.00 $1,018.90 0.16% $0.80
Hypothetical 5% Annual Return........... $1,000.00 $1,024.07 0.16% $0.81
The Emerging Markets Small Cap Series
-------------------------------------
Actual Fund Return...................... $1,000.00 $1,048.20 0.27% $1.37
Hypothetical 5% Annual Return........... $1,000.00 $1,023.52 0.27% $1.36
----------
* 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 (182), then divided
by the number of days in the year (366) to reflect the six-month period.
210
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. The DFA Investment Trust Company filed its most recent Form
N-Q with the SEC on March 31, 2016. 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
regulations 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....................... 13.3%
Consumer Staples............................. 6.1%
Energy....................................... 15.4%
Financials................................... 21.0%
Health Care.................................. 10.2%
Industrials.................................. 12.8%
Information Technology....................... 11.9%
Materials.................................... 4.0%
Telecommunication Services................... 5.0%
Utilities.................................... 0.3%
-----
100.0%
THE DFA INTERNATIONAL VALUE SERIES
Consumer Discretionary....................... 11.9%
Consumer Staples............................. 3.5%
Energy....................................... 17.5%
Financials................................... 30.9%
Health Care.................................. 1.4%
Industrials.................................. 10.7%
Information Technology....................... 3.3%
Materials.................................... 12.8%
Telecommunication Services................... 5.4%
Utilities.................................... 2.6%
-----
100.0%
THE JAPANESE SMALL COMPANY SERIES
Consumer Discretionary....................... 20.5%
Consumer Staples............................. 10.3%
Energy....................................... 1.0%
Financials................................... 11.0%
Health Care.................................. 4.7%
Industrials.................................. 28.4%
Information Technology....................... 11.8%
Materials.................................... 11.7%
Utilities.................................... 0.6%
-----
100.0%
211
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
The Asia Pacific Small Company Series
Consumer Discretionary....................... 27.0%
Consumer Staples............................. 5.6%
Energy....................................... 2.5%
Financials................................... 16.3%
Health Care.................................. 7.8%
Industrials.................................. 15.0%
Information Technology....................... 5.4%
Materials.................................... 13.5%
Telecommunication Services................... 3.6%
Utilities.................................... 3.3%
-----
100.0%
The United Kingdom Small Company Series
Consumer Discretionary....................... 23.6%
Consumer Staples............................. 5.8%
Energy....................................... 4.6%
Financials................................... 15.7%
Health Care.................................. 3.0%
Industrials.................................. 25.8%
Information Technology....................... 9.7%
Materials.................................... 7.9%
Telecommunication Services................... 1.9%
Utilities.................................... 2.0%
-----
100.0%
The Continental Small Company Series
Consumer Discretionary....................... 13.1%
Consumer Staples............................. 6.0%
Energy....................................... 2.7%
Financials................................... 18.2%
Health Care.................................. 9.5%
Industrials.................................. 26.9%
Information Technology....................... 8.9%
Materials.................................... 10.4%
Telecommunication Services................... 1.9%
Utilities.................................... 2.4%
-----
100.0%
The Canadian Small Company Series
Consumer Discretionary....................... 9.3%
Consumer Staples............................. 4.2%
Energy....................................... 21.0%
Financials................................... 8.8%
Health Care.................................. 1.6%
Industrials.................................. 12.7%
Information Technology....................... 4.2%
Materials.................................... 30.0%
Real Estate Investment Trusts................ 0.1%
Telecommunication Services................... 0.6%
Utilities.................................... 7.5%
-----
100.0%
The Emerging Markets Series
Consumer Discretionary....................... 10.1%
Consumer Staples............................. 9.9%
Energy....................................... 7.3%
Financials................................... 25.4%
Health Care.................................. 3.1%
Industrials.................................. 7.9%
Information Technology....................... 18.0%
Materials.................................... 8.4%
Telecommunication Services................... 6.3%
Utilities.................................... 3.6%
-----
100.0%
The Emerging Markets Small Cap Series
Consumer Discretionary....................... 17.0%
Consumer Staples............................. 8.5%
Energy....................................... 1.5%
Financials................................... 16.2%
Health Care.................................. 6.4%
Industrials.................................. 15.7%
Information Technology....................... 14.5%
Materials.................................... 13.9%
Telecommunication Services................... 1.0%
Utilities.................................... 5.3%
-----
100.0%
212
THE U.S. LARGE CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2016
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (95.7%)
Consumer Discretionary -- (12.7%)
Comcast Corp. Class A.................... 11,245,897 $ 683,300,702 3.5%
# Ford Motor Co............................ 14,411,800 195,424,008 1.0%
General Motors Co........................ 5,492,031 174,646,586 0.9%
# Time Warner Cable, Inc................... 1,876,119 397,943,601 2.0%
Time Warner, Inc......................... 3,948,043 296,655,951 1.5%
Other Securities......................... 830,443,954 4.3%
-------------- -----
Total Consumer Discretionary................. 2,578,414,802 13.2%
-------------- -----
Consumer Staples -- (5.8%)
CVS Health Corp.......................... 3,613,015 363,108,008 1.9%
Mondelez International, Inc. Class A..... 4,768,026 204,834,397 1.0%
# Tyson Foods, Inc. Class A................ 1,957,913 128,869,834 0.7%
Other Securities......................... 478,054,799 2.4%
-------------- -----
Total Consumer Staples....................... 1,174,867,038 6.0%
-------------- -----
Energy -- (14.8%)
Chevron Corp............................. 5,339,517 545,591,847 2.8%
ConocoPhillips........................... 3,250,805 155,355,971 0.8%
EOG Resources, Inc....................... 1,869,703 154,474,862 0.8%
Exxon Mobil Corp......................... 8,661,008 765,633,107 3.9%
Occidental Petroleum Corp................ 1,857,300 142,362,045 0.7%
Phillips 66.............................. 2,055,820 168,803,380 0.9%
Valero Energy Corp....................... 2,806,975 165,246,618 0.8%
Other Securities......................... 895,330,434 4.6%
-------------- -----
Total Energy................................. 2,992,798,264 15.3%
-------------- -----
Financials -- (20.0%)
American International Group, Inc........ 2,735,967 152,721,678 0.8%
Bank of America Corp..................... 14,959,787 217,814,499 1.1%
Bank of New York Mellon Corp. (The)...... 2,942,428 118,403,303 0.6%
Capital One Financial Corp............... 2,036,842 147,446,992 0.8%
Citigroup, Inc........................... 7,910,186 366,083,408 1.9%
Goldman Sachs Group, Inc. (The).......... 1,354,171 222,233,003 1.1%
JPMorgan Chase & Co...................... 10,611,645 670,655,964 3.4%
PNC Financial Services Group, Inc. (The). 1,273,146 111,756,756 0.6%
Travelers Cos., Inc. (The)............... 1,130,153 124,203,815 0.6%
Wells Fargo & Co......................... 5,447,057 272,243,909 1.4%
Other Securities......................... 1,662,121,065 8.4%
-------------- -----
Total Financials............................. 4,065,684,392 20.7%
-------------- -----
Health Care -- (9.8%)
Aetna, Inc............................... 1,902,630 213,608,270 1.1%
* Allergan P.L.C........................... 496,938 107,616,893 0.6%
Anthem, Inc.............................. 1,445,532 203,487,540 1.0%
* Express Scripts Holding Co............... 2,739,577 201,989,012 1.0%
Humana, Inc.............................. 707,042 125,195,927 0.6%
Medtronic P.L.C.......................... 1,549,586 122,649,732 0.6%
Pfizer, Inc.............................. 17,361,541 567,896,006 2.9%
Thermo Fisher Scientific, Inc............ 1,016,359 146,609,786 0.8%
Other Securities......................... 298,418,415 1.5%
-------------- -----
Total Health Care............................ 1,987,471,581 10.1%
-------------- -----
213
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (12.3%)
# Caterpillar, Inc................................... 1,458,164 $ 113,328,506 0.6%
CSX Corp........................................... 5,234,843 142,754,169 0.7%
FedEx Corp......................................... 852,287 140,721,107 0.7%
# General Electric Co................................ 12,660,433 389,308,315 2.0%
Norfolk Southern Corp.............................. 1,569,304 141,409,983 0.7%
Northrop Grumman Corp.............................. 554,629 114,397,778 0.6%
Southwest Airlines Co.............................. 3,733,160 166,536,268 0.9%
Stanley Black & Decker, Inc........................ 1,095,910 122,654,247 0.6%
Union Pacific Corp................................. 3,312,084 288,913,087 1.5%
Other Securities................................... 872,978,108 4.4%
--------------- ------
Total Industrials........................................ 2,493,001,568 12.7%
--------------- ------
Information Technology -- (11.4%)
Cisco Systems, Inc................................. 16,047,576 441,147,864 2.3%
EMC Corp........................................... 6,310,731 164,773,187 0.8%
Hewlett Packard Enterprise Co...................... 9,162,273 152,643,468 0.8%
HP, Inc............................................ 9,619,949 118,036,774 0.6%
Intel Corp......................................... 14,779,066 447,510,119 2.3%
QUALCOMM, Inc...................................... 2,443,395 123,440,316 0.6%
Other Securities................................... 861,826,136 4.4%
--------------- ------
Total Information Technology............................. 2,309,377,864 11.8%
--------------- ------
Materials -- (3.8%)
Newmont Mining Corp................................ 3,239,227 113,275,768 0.6%
Other Securities................................... 661,460,194 3.4%
--------------- ------
Total Materials.......................................... 774,735,962 4.0%
--------------- ------
Telecommunication Services -- (4.8%)
AT&T, Inc.......................................... 20,155,917 782,452,698 4.0%
Other Securities................................... 185,180,731 0.9%
--------------- ------
Total Telecommunication Services......................... 967,633,429 4.9%
--------------- ------
Utilities -- (0.3%)
Other Securities................................... 66,106,762 0.3%
--------------- ------
TOTAL COMMON STOCKS...................................... 19,410,091,662 99.0%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities................................... 208,566 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES.............................. 19,410,300,228
---------------
TEMPORARY CASH INVESTMENTS -- (1.0%)
State Street Institutional Liquid Reserves, 0.455%. 195,967,517 195,967,517 1.0%
--------------- ------
SECURITIES LENDING COLLATERAL -- (3.3%)
(S)@ DFA Short Term Investment Fund..................... 58,875,895 681,194,103 3.5%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $14,944,368,617)............................... $20,287,461,848 103.5%
=============== ======
214
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2016, 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...... $ 2,578,414,802 -- -- $ 2,578,414,802
Consumer Staples............ 1,174,867,038 -- -- 1,174,867,038
Energy...................... 2,992,798,264 -- -- 2,992,798,264
Financials.................. 4,065,684,392 -- -- 4,065,684,392
Health Care................. 1,987,471,581 -- -- 1,987,471,581
Industrials................. 2,493,001,568 -- -- 2,493,001,568
Information Technology...... 2,309,377,864 -- -- 2,309,377,864
Materials................... 774,735,962 -- -- 774,735,962
Telecommunication Services.. 967,633,429 -- -- 967,633,429
Utilities................... 66,106,762 -- -- 66,106,762
Rights/Warrants............... -- $ 208,566 -- 208,566
Temporary Cash Investments.... 195,967,517 -- -- 195,967,517
Securities Lending Collateral. -- 681,194,103 -- 681,194,103
Futures Contracts**........... 3,800,351 -- -- 3,800,351
--------------- ------------ -- ---------------
TOTAL......................... $19,609,859,530 $681,402,669 -- $20,291,262,199
=============== ============ == ===============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note G)
See accompanying Notes to Financial Statements.
215
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2016
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (92.3%)
AUSTRALIA -- (6.1%)
# Australia & New Zealand Banking Group, Ltd.. 3,590,931 $ 65,821,487 0.7%
BHP Billiton, Ltd........................... 5,172,675 80,781,349 0.9%
Woodside Petroleum, Ltd..................... 3,159,294 67,640,474 0.7%
Other Securities............................ 385,127,473 4.2%
------------ ----
TOTAL AUSTRALIA................................. 599,370,783 6.5%
------------ ----
AUSTRIA -- (0.1%)
Other Securities............................ 8,597,516 0.1%
------------ ----
BELGIUM -- (1.4%)
Other Securities............................ 135,894,454 1.5%
------------ ----
CANADA -- (8.0%)
Bank of Montreal............................ 1,531,755 99,809,156 1.1%
Canadian Natural Resources, Ltd.(136385101). 1,624,266 48,760,465 0.5%
Canadian Natural Resources, Ltd.(2171573)... 1,849,320 55,537,083 0.6%
Manulife Financial Corp..................... 3,287,435 48,471,784 0.5%
Suncor Energy, Inc.......................... 3,920,306 115,075,227 1.3%
Other Securities............................ 411,534,370 4.5%
------------ ----
TOTAL CANADA.................................... 779,188,085 8.5%
------------ ----
DENMARK -- (1.6%)
Vestas Wind Systems A.S..................... 766,236 54,848,737 0.6%
Other Securities............................ 103,831,510 1.1%
------------ ----
TOTAL DENMARK................................... 158,680,247 1.7%
------------ ----
FINLAND -- (0.6%)
Other Securities............................ 59,849,749 0.7%
------------ ----
FRANCE -- (8.5%)
# AXA SA...................................... 2,111,384 53,311,602 0.6%
BNP Paribas SA.............................. 1,037,040 54,920,536 0.6%
Cie de Saint-Gobain......................... 1,789,605 82,004,233 0.9%
# Engie SA.................................... 3,727,183 61,474,073 0.7%
Orange SA................................... 4,969,645 82,565,290 0.9%
Renault SA.................................. 637,211 61,483,066 0.7%
Societe Generale SA......................... 1,935,625 76,161,346 0.8%
Total SA.................................... 3,839,334 194,043,000 2.1%
Other Securities............................ 164,835,925 1.7%
------------ ----
TOTAL FRANCE.................................... 830,799,071 9.0%
------------ ----
GERMANY -- (7.1%)
Allianz SE.................................. 730,758 124,322,294 1.3%
Bayerische Motoren Werke AG................. 972,382 89,958,516 1.0%
Daimler AG.................................. 2,326,914 162,131,549 1.8%
E.ON SE..................................... 7,340,371 76,076,858 0.8%
Other Securities............................ 236,901,880 2.6%
------------ ----
TOTAL GERMANY................................... 689,391,097 7.5%
------------ ----
HONG KONG -- (2.2%)
Other Securities............................ 216,550,227 2.4%
------------ ----
IRELAND -- (0.3%)
Other Securities............................ 25,545,280 0.3%
------------ ----
216
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
ISRAEL -- (0.3%)
Other Securities...................... $ 33,961,734 0.4%
-------------- -----
ITALY -- (1.3%)
Eni SpA............................... 3,275,027 53,503,894 0.6%
Other Securities...................... 69,169,755 0.7%
-------------- -----
TOTAL ITALY............................... 122,673,649 1.3%
-------------- -----
JAPAN -- (19.1%)
Hitachi, Ltd.......................... 10,760,000 49,304,745 0.5%
Honda Motor Co., Ltd.................. 3,658,600 98,730,134 1.1%
Mitsubishi UFJ Financial Group, Inc... 21,459,506 99,031,588 1.1%
Mizuho Financial Group, Inc........... 53,298,800 79,890,176 0.9%
Nissan Motor Co., Ltd................. 6,015,000 53,377,246 0.6%
Sumitomo Mitsui Financial Group, Inc.. 2,794,500 84,091,227 0.9%
Other Securities...................... 1,393,125,849 15.1%
-------------- -----
TOTAL JAPAN............................... 1,857,550,965 20.2%
-------------- -----
NETHERLANDS -- (3.0%)
ING Groep NV.......................... 6,261,830 76,728,813 0.8%
Koninklijke Philips NV................ 2,397,124 65,869,543 0.7%
Other Securities...................... 154,682,641 1.7%
-------------- -----
TOTAL NETHERLANDS......................... 297,280,997 3.2%
-------------- -----
NEW ZEALAND -- (0.1%)
Other Securities...................... 7,903,963 0.1%
-------------- -----
NORWAY -- (0.8%)
Other Securities...................... 75,977,193 0.8%
-------------- -----
PORTUGAL -- (0.0%)
Other Securities...................... 4,218,526 0.0%
-------------- -----
SINGAPORE -- (0.9%)
Other Securities...................... 90,271,550 1.0%
-------------- -----
SPAIN -- (2.9%)
Banco Santander SA.................... 30,476,654 154,770,173 1.7%
Iberdrola SA.......................... 7,788,549 55,444,651 0.6%
Other Securities...................... 68,990,044 0.7%
-------------- -----
TOTAL SPAIN 279,204,868 3.0%
-------------- -----
SWEDEN -- (2.7%)
Svenska Cellulosa AB SCA Class B...... 2,105,645 66,436,504 0.7%
Other Securities...................... 194,561,306 2.1%
-------------- -----
TOTAL SWEDEN.............................. 260,997,810 2.8%
-------------- -----
SWITZERLAND -- (8.0%)
ABB, Ltd.............................. 4,800,878 101,635,858 1.1%
Cie Financiere Richemont SA........... 1,271,917 84,811,693 0.9%
Novartis AG........................... 1,144,421 87,092,965 0.9%
Swiss Re AG........................... 1,037,390 92,201,704 1.0%
UBS Group AG.......................... 3,448,485 59,781,035 0.7%
Zurich Insurance Group AG............. 343,651 77,109,860 0.8%
Other Securities...................... 276,633,468 3.1%
-------------- -----
TOTAL SWITZERLAND......................... 779,266,583 8.5%
-------------- -----
217
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
UNITED KINGDOM -- (17.3%)
Barclays P.L.C. Sponsored ADR................... 5,022,571 $ 50,476,839 0.6%
BP P.L.C. Sponsored ADR......................... 10,320,587 346,565,316 3.8%
Glencore P.L.C.................................. 22,997,045 54,961,059 0.6%
HSBC Holdings P.L.C............................. 22,027,686 145,974,714 1.6%
HSBC Holdings P.L.C. Sponsored ADR.............. 2,977,884 99,252,873 1.1%
Royal Dutch Shell P.L.C. Class A................ 2,118,295 55,484,923 0.6%
Royal Dutch Shell P.L.C. Sponsored ADR, Class A. 2,631,838 139,197,892 1.5%
Royal Dutch Shell P.L.C. Sponsored ADR, Class B. 3,699,017 197,342,557 2.1%
Vodafone Group P.L.C............................ 58,351,986 188,000,632 2.0%
Vodafone Group P.L.C. Sponsored ADR............. 4,011,201 131,326,730 1.4%
Other Securities................................ 273,961,873 3.0%
-------------- ------
TOTAL UNITED KINGDOM.................................. 1,682,545,408 18.3%
-------------- ------
TOTAL COMMON STOCKS................................... 8,995,719,755 97.8%
-------------- ------
PREFERRED STOCKS -- (0.8%)
GERMANY -- (0.8%)
Volkswagen AG................................... 396,506 57,518,392 0.6%
Other Securities................................ 17,068,834 0.2%
-------------- ------
TOTAL GERMANY......................................... 74,587,226 0.8%
-------------- ------
TOTAL PREFERRED STOCKS................................ 74,587,226 0.8%
-------------- ------
TOTAL INVESTMENT SECURITIES........................... 9,070,306,981
--------------
Value+
------
SECURITIES LENDING COLLATERAL -- (6.9%)
(S)@ DFA Short Term Investment Fund.................. 58,516,332 677,033,964 7.4%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $9,969,346,327)............................. $9,747,340,945 106.0%
============== ======
218
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2016, 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................... $ 48,124,863 $ 551,245,920 -- $ 599,370,783
Austria..................... -- 8,597,516 -- 8,597,516
Belgium..................... 5,539,688 130,354,766 -- 135,894,454
Canada...................... 779,096,158 91,927 -- 779,188,085
Denmark..................... -- 158,680,247 -- 158,680,247
Finland..................... 2,128,174 57,721,575 -- 59,849,749
France...................... 350,061 830,449,010 -- 830,799,071
Germany..................... 62,545,620 626,845,477 -- 689,391,097
Hong Kong................... -- 216,550,227 -- 216,550,227
Ireland..................... 6,264,938 19,280,342 -- 25,545,280
Israel...................... -- 33,961,734 -- 33,961,734
Italy....................... 18,026,740 104,646,909 -- 122,673,649
Japan....................... 54,948,538 1,802,602,427 -- 1,857,550,965
Netherlands................. 36,396,819 260,884,178 -- 297,280,997
New Zealand................. -- 7,903,963 -- 7,903,963
Norway...................... 14,333,018 61,644,175 -- 75,977,193
Portugal.................... -- 4,218,526 -- 4,218,526
Singapore................... -- 90,271,550 -- 90,271,550
Spain....................... 4,462,466 274,742,402 -- 279,204,868
Sweden...................... 6,751,752 254,246,058 -- 260,997,810
Switzerland................. 30,008,198 749,258,385 -- 779,266,583
United Kingdom.............. 994,615,953 687,929,455 -- 1,682,545,408
Preferred Stocks
Germany..................... -- 74,587,226 -- 74,587,226
Securities Lending Collateral. -- 677,033,964 -- 677,033,964
Futures Contracts**........... 1,200,017 -- -- 1,200,017
Forward Currency Contracts**.. -- 2,196 -- 2,196
-------------- -------------- -- --------------
TOTAL......................... $2,064,793,003 $7,683,750,155 -- $9,748,543,158
============== ============== == ==============
**Not reflected in the Summary Schedule of Portfolio Holdings, valued at the
unrealized appreciation/(depreciation) on the investment. (Note G)
See accompanying Notes to Financial Statements.
219
THE JAPANESE SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2016
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (89.6%)
Consumer Discretionary -- (18.4%)
Aoyama Trading Co., Ltd..................... 304,000 $ 11,334,508 0.4%
# Autobacs Seven Co., Ltd..................... 398,500 6,875,441 0.3%
Calsonic Kansei Corp........................ 1,015,000 6,932,572 0.3%
# Daiichikosho Co., Ltd....................... 189,100 7,927,406 0.3%
# Nifco, Inc.................................. 287,200 13,709,068 0.5%
Seria Co., Ltd.............................. 118,300 6,954,448 0.3%
Shimachu Co., Ltd........................... 297,200 6,916,991 0.3%
# Wacoal Holdings Corp........................ 675,000 8,138,686 0.3%
Zensho Holdings Co., Ltd.................... 604,300 7,683,585 0.3%
Other Securities............................ 453,974,021 17.3%
------------ -----
Total Consumer Discretionary.................... 530,446,726 20.3%
------------ -----
Consumer Staples -- (9.2%)
Nichirei Corp............................... 1,501,000 13,065,011 0.5%
Nippon Suisan Kaisha, Ltd................... 1,480,200 8,181,294 0.3%
# Sapporo Holdings, Ltd....................... 1,981,000 10,696,831 0.4%
Takara Holdings, Inc........................ 980,300 8,342,244 0.3%
UNY Group Holdings Co., Ltd................. 1,468,300 10,715,245 0.4%
Other Securities............................ 214,258,606 8.2%
------------ -----
Total Consumer Staples.......................... 265,259,231 10.1%
------------ -----
Energy -- (0.9%)
Other Securities............................ 25,049,413 1.0%
------------ -----
Financials -- (9.9%)
Daishi Bank, Ltd. (The)..................... 2,003,000 6,943,108 0.3%
Leopalace21 Corp............................ 1,960,700 11,765,227 0.5%
Nihon M&A Center, Inc....................... 198,100 11,408,571 0.4%
Relo Holdings, Inc.......................... 62,900 8,042,680 0.3%
Other Securities............................ 246,208,107 9.4%
------------ -----
Total Financials................................ 284,367,693 10.9%
------------ -----
Health Care -- (4.2%)
Rohto Pharmaceutical Co., Ltd............... 499,200 8,497,111 0.3%
Ship Healthcare Holdings, Inc............... 279,700 6,902,548 0.3%
# Toho Holdings Co., Ltd...................... 321,000 7,426,341 0.3%
Tsumura & Co................................ 348,700 8,973,039 0.3%
Other Securities............................ 89,493,095 3.4%
------------ -----
Total Health Care............................... 121,292,134 4.6%
------------ -----
Industrials -- (25.4%)
Aica Kogyo Co., Ltd......................... 314,300 7,013,767 0.3%
Daifuku Co., Ltd............................ 579,400 10,362,482 0.4%
Fujikura, Ltd............................... 1,935,000 9,379,448 0.4%
Furukawa Electric Co., Ltd.................. 4,628,000 11,330,847 0.4%
Glory, Ltd.................................. 268,900 8,806,815 0.3%
Japan Steel Works, Ltd. (The)............... 1,992,000 7,717,303 0.3%
Kokuyo Co., Ltd............................. 525,125 6,879,869 0.3%
Maeda Road Construction Co., Ltd............ 387,000 7,050,484 0.3%
# Mitsui Engineering & Shipbuilding Co., Ltd.. 5,109,000 7,889,678 0.3%
Nishi-Nippon Railroad Co., Ltd.............. 1,196,000 7,294,877 0.3%
Nishimatsu Construction Co., Ltd............ 1,794,000 7,834,166 0.3%
Nisshinbo Holdings, Inc..................... 870,500 9,478,429 0.4%
220
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
Industrials -- (Continued)
# OSG Corp........................... 444,300 $ 8,256,700 0.3%
# Penta-Ocean Construction Co., Ltd.. 1,684,400 7,585,378 0.3%
Pilot Corp......................... 188,800 7,483,444 0.3%
Sankyu, Inc........................ 1,540,000 7,157,381 0.3%
Sanwa Holdings Corp................ 1,232,600 9,563,641 0.4%
Other Securities................... 592,637,548 22.5%
-------------- ------
Total Industrials........................ 733,722,257 28.1%
-------------- ------
Information Technology -- (10.5%)
Ai Holdings Corp................... 247,200 7,063,817 0.3%
# Horiba, Ltd........................ 212,650 8,026,275 0.3%
# IT Holdings Corp................... 505,101 11,936,378 0.5%
SCREEN Holdings Co., Ltd........... 1,006,000 7,761,522 0.3%
Ulvac, Inc......................... 252,600 7,745,140 0.3%
Other Securities................... 261,438,937 9.9%
-------------- ------
Total Information Technology............. 303,972,069 11.6%
-------------- ------
Materials -- (10.5%)
ADEKA Corp......................... 523,000 7,334,470 0.3%
Denka Co., Ltd..................... 1,753,000 7,379,361 0.3%
# Nisshin Steel Co., Ltd............. 582,592 7,799,338 0.3%
Sumitomo Osaka Cement Co., Ltd..... 2,493,000 10,748,116 0.4%
Toyobo Co., Ltd.................... 5,688,000 9,665,934 0.4%
Ube Industries, Ltd................ 5,257,000 9,984,558 0.4%
Other Securities................... 249,896,427 9.5%
-------------- ------
Total Materials.......................... 302,808,204 11.6%
-------------- ------
Telecommunication Services -- (0.0%).....
Other Securities................... 1,224,066 0.0%
-------------- ------
Utilities -- (0.6%)
Other Securities................... 16,040,716 0.6%
-------------- ------
TOTAL COMMON STOCKS...................... 2,584,182,509 98.8%
-------------- ------
SECURITIES LENDING COLLATERAL -- (10.4%)
(S)@ DFA Short Term Investment Fund..... 25,960,482 300,362,781 11.5%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,713,498,459)................ $2,884,545,290 110.3%
============== ======
221
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2016, 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...... -- $ 530,446,726 -- $ 530,446,726
Consumer Staples............ $6,743,646 258,515,585 -- 265,259,231
Energy...................... -- 25,049,413 -- 25,049,413
Financials.................. 1,313,887 283,053,806 -- 284,367,693
Health Care................. -- 121,292,134 -- 121,292,134
Industrials................. -- 733,722,257 -- 733,722,257
Information Technology...... -- 303,972,069 -- 303,972,069
Materials................... -- 302,808,204 -- 302,808,204
Telecommunication Services.. -- 1,224,066 -- 1,224,066
Utilities................... -- 16,040,716 -- 16,040,716
Securities Lending Collateral. -- 300,362,781 -- 300,362,781
---------- -------------- -- --------------
TOTAL......................... $8,057,533 $2,876,487,757 -- $2,884,545,290
========== ============== == ==============
See accompanying Notes to Financial Statements.
222
THE ASIA PACIFIC SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2016
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (82.6%)
AUSTRALIA -- (44.3%)
Adelaide Brighton, Ltd............... 3,668,074 $ 14,349,269 1.0%
# Alumina, Ltd......................... 8,122,355 9,171,857 0.7%
Ansell, Ltd.......................... 542,529 8,188,517 0.6%
Beach Energy, Ltd.................... 13,448,071 7,468,464 0.5%
# Blackmores, Ltd...................... 81,784 9,959,777 0.7%
BlueScope Steel, Ltd................. 2,315,186 11,303,541 0.8%
Boral, Ltd........................... 2,013,642 9,800,669 0.7%
# carsales.com, Ltd.................... 1,702,940 15,168,334 1.1%
Challenger, Ltd...................... 1,370,457 9,270,307 0.7%
CSR, Ltd............................. 3,350,138 8,649,885 0.6%
# Domino's Pizza Enterprises, Ltd...... 286,872 13,436,083 1.0%
Downer EDI, Ltd...................... 2,910,872 8,172,322 0.6%
DuluxGroup, Ltd...................... 3,101,823 15,022,680 1.1%
Fairfax Media, Ltd................... 14,257,034 8,569,306 0.6%
# GrainCorp, Ltd. Class A.............. 1,251,687 7,758,802 0.6%
Healthscope, Ltd..................... 3,182,159 6,553,638 0.5%
# InvoCare, Ltd........................ 901,024 8,364,885 0.6%
# IOOF Holdings, Ltd................... 1,900,338 12,851,732 0.9%
# IRESS, Ltd........................... 1,073,207 9,450,773 0.7%
# JB Hi-Fi, Ltd........................ 836,109 13,909,715 1.0%
Magellan Financial Group, Ltd........ 466,192 7,562,455 0.6%
# Mineral Resources, Ltd............... 1,168,088 6,539,330 0.5%
nib holdings, Ltd.................... 2,713,689 9,384,435 0.7%
# Northern Star Resources, Ltd......... 4,806,957 14,297,307 1.0%
OZ Minerals, Ltd..................... 2,198,276 9,759,508 0.7%
# Perpetual, Ltd....................... 356,426 11,523,064 0.8%
Premier Investments, Ltd............. 556,867 6,692,242 0.5%
# Primary Health Care, Ltd............. 3,292,878 8,645,585 0.6%
# Sims Metal Management, Ltd........... 1,382,214 9,884,710 0.7%
Sirtex Medical, Ltd.................. 412,322 9,275,003 0.7%
# Spark Infrastructure Group........... 11,913,246 18,677,981 1.4%
Star Entertainment Grp, Ltd. (The)... 4,207,608 17,966,372 1.3%
# Super Retail Group, Ltd.............. 1,280,749 8,192,260 0.6%
Tabcorp Holdings, Ltd................ 3,586,818 12,030,842 0.9%
Treasury Wine Estates, Ltd........... 1,165,441 8,206,160 0.6%
# Vocus Communications, Ltd............ 3,781,701 24,698,629 1.8%
Other Securities..................... 348,162,660 25.0%
------------ -----
TOTAL AUSTRALIA.......................... 738,919,099 53.4%
------------ -----
CHINA -- (0.1%)
Other Securities..................... 1,460,263 0.1%
------------ -----
HONG KONG -- (20.6%)
Dah Sing Financial Holdings, Ltd..... 1,184,544 8,094,912 0.6%
#* Esprit Holdings, Ltd................. 13,802,950 12,075,796 0.9%
Hopewell Holdings, Ltd............... 2,920,000 9,835,186 0.7%
Man Wah Holdings, Ltd................ 5,694,800 6,641,226 0.5%
Vitasoy International Holdings, Ltd.. 4,703,000 8,792,048 0.6%
Xinyi Glass Holdings, Ltd............ 16,280,000 11,047,781 0.8%
Other Securities..................... 285,766,613 20.6%
------------ -----
TOTAL HONG KONG.......................... 342,253,562 24.7%
------------ -----
223
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
NEW ZEALAND -- (9.1%)
# Contact Energy, Ltd.................... 1,951,396 $ 6,923,739 0.5%
# Fisher & Paykel Healthcare Corp., Ltd.. 4,200,605 26,808,812 1.9%
Infratil, Ltd.......................... 3,201,309 7,237,302 0.5%
# Port of Tauranga, Ltd.................. 515,305 6,732,318 0.5%
# Ryman Healthcare, Ltd.................. 2,338,582 14,577,975 1.1%
# SKY Network Television, Ltd............ 2,080,268 7,721,597 0.6%
# SKYCITY Entertainment Group, Ltd....... 4,581,664 15,630,966 1.1%
Other Securities....................... 66,361,528 4.8%
-------------- ------
TOTAL NEW ZEALAND............................ 151,994,237 11.0%
-------------- ------
SINGAPORE -- (8.5%)
Venture Corp., Ltd..................... 1,654,300 10,287,442 0.8%
Other Securities....................... 131,809,961 9.5%
-------------- ------
TOTAL SINGAPORE.............................. 142,097,403 10.3%
-------------- ------
TOTAL COMMON STOCKS.......................... 1,376,724,564 99.5%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities....................... 927 0.0%
-------------- ------
HONG KONG -- (0.0%)
Other Securities....................... 40,204 0.0%
-------------- ------
SINGAPORE -- (0.0%)
Other Securities....................... 121,910 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS........................ 163,041 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES.................. 1,376,887,605
--------------
Value+
------
SECURITIES LENDING COLLATERAL -- (17.4%)
(S)@ DFA Short Term Investment Fund......... 25,081,467 290,192,573 21.0%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,765,062,043).................... $1,667,080,178 120.5%
============== ======
Summary of the Series' investments as of April 30, 2016, 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................... $ 63 $ 738,919,036 -- $ 738,919,099
China....................... -- 1,460,263 -- 1,460,263
Hong Kong................... 872,561 341,381,001 -- 342,253,562
New Zealand................. -- 151,994,237 -- 151,994,237
Singapore................... -- 142,097,403 -- 142,097,403
Rights/Warrants
Australia................... -- 927 -- 927
Hong Kong................... -- 40,204 -- 40,204
Singapore................... -- 121,910 -- 121,910
Securities Lending Collateral. -- 290,192,573 -- 290,192,573
Forward Currency Contracts**.. -- (415) -- (415)
-------- -------------- -- --------------
TOTAL......................... $872,624 $1,666,207,139 -- $1,667,079,763
======== ============== == ==============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note G)
See accompanying Notes to Financial Statements.
224
THE UNITED KINGDOM SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2016
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (97.2%)
Consumer Discretionary -- (23.0%)
Bellway P.L.C..................... 634,613 $ 22,723,742 1.3%
Berkeley Group Holdings P.L.C..... 350,391 15,354,310 0.9%
Daily Mail & General Trust P.L.C.. 1,271,481 12,991,119 0.7%
Domino's Pizza Group P.L.C........ 845,611 11,368,947 0.6%
Greene King P.L.C................. 1,786,209 21,377,373 1.2%
Inchcape P.L.C.................... 2,190,976 21,732,306 1.2%
Informa P.L.C..................... 3,309,192 31,703,441 1.8%
Paddy Power Betfair P.L.C......... 87,973 11,770,611 0.7%
UBM P.L.C......................... 2,115,221 17,623,332 1.0%
WH Smith P.L.C.................... 680,498 16,670,851 0.9%
William Hill P.L.C................ 4,105,574 18,796,616 1.0%
Other Securities.................. 219,385,728 12.1%
------------ -----
Total Consumer Discretionary.......... 421,498,376 23.4%
------------ -----
Consumer Staples -- (5.6%)
Booker Group P.L.C................ 7,505,064 17,796,981 1.0%
Britvic P.L.C..................... 1,120,971 11,548,616 0.6%
Tate & Lyle P.L.C................. 2,291,490 19,728,657 1.1%
Other Securities.................. 53,907,264 3.0%
------------ -----
Total Consumer Staples................ 102,981,518 5.7%
------------ -----
Energy -- (4.5%)
Amec Foster Wheeler P.L.C......... 1,933,881 14,013,409 0.8%
John Wood Group P.L.C............. 1,820,460 16,653,701 0.9%
Petrofac, Ltd..................... 1,141,776 14,146,026 0.8%
Other Securities.................. 37,373,223 2.1%
------------ -----
Total Energy.......................... 82,186,359 4.6%
------------ -----
Financials -- (15.2%)
Beazley P.L.C..................... 2,740,810 13,063,536 0.7%
Close Brothers Group P.L.C........ 722,784 12,818,372 0.7%
Henderson Group P.L.C............. 5,474,341 20,493,952 1.1%
Hiscox, Ltd....................... 1,480,745 19,517,311 1.1%
ICAP P.L.C........................ 2,606,844 17,871,842 1.0%
IG Group Holdings P.L.C........... 1,792,534 20,280,929 1.1%
Jupiter Fund Management P.L.C..... 1,855,025 11,435,970 0.6%
Man Group P.L.C................... 7,936,721 17,166,966 1.0%
Phoenix Group Holdings............ 1,073,440 13,506,771 0.8%
UNITE Group P.L.C. (The).......... 1,189,599 11,000,266 0.6%
Other Securities.................. 122,241,003 6.8%
------------ -----
Total Financials...................... 279,396,918 15.5%
------------ -----
Health Care -- (2.9%)
#* BTG P.L.C......................... 1,430,962 12,406,159 0.7%
Other Securities.................. 40,798,641 2.3%
------------ -----
Total Health Care..................... 53,204,800 3.0%
------------ -----
Industrials -- (25.0%)
* Balfour Beatty P.L.C.............. 3,549,781 12,403,455 0.7%
BBA Aviation P.L.C................ 5,623,297 16,465,969 0.9%
Berendsen P.L.C................... 823,219 14,223,318 0.8%
225
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
Industrials -- (Continued)
Cobham P.L.C........................... 5,276,532 $ 11,904,933 0.7%
DCC P.L.C.............................. 151,417 13,429,949 0.7%
Hays P.L.C............................. 6,566,676 12,320,222 0.7%
Howden Joinery Group P.L.C............. 3,165,528 22,898,154 1.3%
IMI P.L.C.............................. 973,182 13,317,848 0.7%
Regus P.L.C............................ 3,349,423 14,331,210 0.8%
Rentokil Initial P.L.C................. 8,861,710 22,836,352 1.3%
Spirax-Sarco Engineering P.L.C......... 355,118 17,742,816 1.0%
Other Securities....................... 287,372,868 15.9%
-------------- ------
Total Industrials............................ 459,247,094 25.5%
-------------- ------
Information Technology -- (9.5%)
Halma P.L.C............................ 1,951,180 25,464,562 1.4%
Micro Focus International P.L.C........ 637,349 14,255,898 0.8%
Playtech P.L.C......................... 960,141 11,306,981 0.6%
Rightmove P.L.C........................ 477,301 26,974,776 1.5%
Spectris P.L.C......................... 573,376 15,297,327 0.9%
Other Securities....................... 80,531,285 4.5%
-------------- ------
Total Information Technology................. 173,830,829 9.7%
-------------- ------
Materials -- (7.7%)
Croda International P.L.C.............. 335,389 14,774,736 0.8%
DS Smith P.L.C......................... 4,938,232 27,541,954 1.5%
Essentra P.L.C......................... 1,251,793 14,887,331 0.8%
RPC Group P.L.C........................ 1,506,799 16,079,536 0.9%
Other Securities....................... 68,297,373 3.9%
-------------- ------
Total Materials.............................. 141,580,930 7.9%
-------------- ------
Telecommunication Services -- (1.9%)
Cable & Wireless Communications P.L.C.. 17,713,479 19,097,936 1.0%
Other Securities....................... 14,840,495 0.9%
-------------- ------
Total Telecommunication Services............. 33,938,431 1.9%
-------------- ------
Utilities -- (1.9%)
Pennon Group P.L.C..................... 1,817,348 21,597,022 1.2%
Other Securities....................... 13,364,107 0.8%
-------------- ------
Total Utilities.............................. 34,961,129 2.0%
-------------- ------
TOTAL COMMON STOCKS.......................... 1,782,826,384 99.2%
-------------- ------
PREFERRED STOCKS -- (0.0%)
Other Securities....................... 15,091 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES.................. 1,782,841,475
--------------
SECURITIES LENDING COLLATERAL -- (2.8%)
(S)@ DFA Short Term Investment Fund......... 4,423,370 51,178,392 2.8%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,541,981,444).................... $1,834,019,867 102.0%
============== ======
226
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2016, 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...... -- $ 421,498,376 -- $ 421,498,376
Consumer Staples............ -- 102,981,518 -- 102,981,518
Energy...................... -- 82,186,359 -- 82,186,359
Financials.................. -- 279,396,918 -- 279,396,918
Health Care................. -- 53,204,800 -- 53,204,800
Industrials................. -- 459,247,094 -- 459,247,094
Information Technology...... -- 173,830,829 -- 173,830,829
Materials................... -- 141,580,930 -- 141,580,930
Telecommunication Services.. -- 33,938,431 -- 33,938,431
Utilities................... $233,991 34,727,138 -- 34,961,129
Preferred Stocks.............. -- 15,091 -- 15,091
Securities Lending Collateral. -- 51,178,392 -- 51,178,392
-------- -------------- -- --------------
TOTAL......................... $233,991 $1,833,785,876 -- $1,834,019,867
======== ============== == ==============
See accompanying Notes to Financial Statements.
227
THE CONTINENTAL SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2016
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (86.7%)
AUSTRIA -- (2.8%)
Other Securities.......... $127,101,646 3.1%
------------ -----
BELGIUM -- (3.8%)
Ackermans & van Haaren NV. 134,383 17,517,650 0.4%
# Umicore SA................ 434,045 21,667,333 0.5%
Other Securities.......... 134,210,715 3.4%
------------ -----
TOTAL BELGIUM................. 173,395,698 4.3%
------------ -----
DENMARK -- (4.3%)
#* Genmab A.S................ 217,338 32,246,608 0.8%
GN Store Nord A.S......... 826,732 16,268,578 0.4%
Other Securities.......... 150,945,700 3.7%
------------ -----
TOTAL DENMARK................. 199,460,886 4.9%
------------ -----
FINLAND -- (5.6%)
Amer Sports Oyj........... 641,324 18,985,674 0.5%
Elisa Oyj................. 734,075 27,448,502 0.7%
# Huhtamaki Oyj............. 467,536 18,390,549 0.5%
Nokian Renkaat Oyj........ 623,433 23,027,091 0.6%
Orion Oyj Class B......... 420,544 14,687,385 0.4%
Other Securities.......... 155,329,331 3.7%
------------ -----
TOTAL FINLAND................. 257,868,532 6.4%
------------ -----
FRANCE -- (11.5%)
Arkema SA................. 300,862 24,013,744 0.6%
# Edenred................... 843,271 16,634,039 0.4%
Eiffage SA................ 229,296 18,241,039 0.5%
Eurofins Scientific SE.... 47,119 17,482,363 0.4%
Lagardere SCA............. 619,304 16,434,996 0.4%
Rexel SA.................. 1,044,821 15,842,176 0.4%
Rubis SCA................. 195,671 15,285,650 0.4%
Teleperformance........... 348,982 31,346,308 0.8%
* UBISOFT Entertainment..... 521,852 15,146,787 0.4%
Other Securities.......... 357,174,028 8.8%
------------ -----
TOTAL FRANCE.................. 527,601,130 13.1%
------------ -----
GERMANY -- (14.3%)
Aareal Bank AG............ 409,233 14,568,747 0.4%
DMG Mori AG............... 308,295 14,779,471 0.4%
# Freenet AG................ 652,809 19,983,370 0.5%
Gerresheimer AG........... 201,267 15,010,802 0.4%
# K+S AG.................... 636,597 15,889,634 0.4%
Lanxess AG................ 467,967 24,507,252 0.6%
LEG Immobilien AG......... 289,571 26,861,807 0.7%
# MTU Aero Engines AG....... 247,538 23,403,930 0.6%
Osram Licht AG............ 343,036 17,912,967 0.5%
* QIAGEN NV................. 780,158 17,546,244 0.4%
Rheinmetall AG............ 223,411 17,503,624 0.4%
Other Securities.......... 448,923,800 11.0%
------------ -----
TOTAL GERMANY................. 656,891,648 16.3%
------------ -----
228
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
GREECE -- (0.0%)
Other Securities............................... $ 773 0.0%
-------------- -----
IRELAND -- (1.7%)
Kingspan Group P.L.C........................... 580,389 15,295,504 0.4%
Paddy Power Betfair P.L.C...................... 142,584 19,162,586 0.5%
Smurfit Kappa Group P.L.C...................... 546,377 14,502,738 0.4%
Other Securities............................... 27,191,613 0.6%
-------------- -----
TOTAL IRELAND...................................... 76,152,441 1.9%
-------------- -----
ISRAEL -- (1.6%)
Other Securities............................... 73,060,433 1.8%
-------------- -----
ITALY -- (8.5%)
Azimut Holding SpA............................. 573,550 14,477,174 0.4%
Banca Popolare dell'Emilia Romagna SC.......... 2,548,728 14,944,638 0.4%
Banca Popolare di Milano Scarl................. 22,383,595 17,034,516 0.4%
Mediaset SpA................................... 3,479,950 15,721,235 0.4%
Prysmian SpA................................... 991,595 23,459,993 0.6%
Other Securities............................... 307,349,867 7.5%
-------------- -----
TOTAL ITALY........................................ 392,987,423 9.7%
-------------- -----
NETHERLANDS -- (4.8%)
Aalberts Industries NV......................... 558,677 19,172,991 0.5%
* TNT Express NV................................. 2,218,089 20,135,316 0.5%
Other Securities............................... 181,804,137 4.5%
-------------- -----
TOTAL NETHERLANDS.................................. 221,112,444 5.5%
-------------- -----
NORWAY -- (1.9%)
Other Securities............................... 88,120,415 2.2%
-------------- -----
PORTUGAL -- (1.2%)
Other Securities............................... 54,741,828 1.4%
-------------- -----
SPAIN -- (5.1%)
# Distribuidora Internacional de Alimentacion SA. 2,594,077 14,434,384 0.4%
Gamesa Corp. Tecnologica SA.................... 1,266,922 25,019,115 0.6%
Other Securities............................... 194,048,795 4.8%
-------------- -----
TOTAL SPAIN........................................ 233,502,294 5.8%
-------------- -----
SWEDEN -- (7.9%)
Other Securities............................... 365,190,099 9.0%
-------------- -----
SWITZERLAND -- (11.7%)
Baloise Holding AG............................. 183,625 22,761,500 0.6%
Clariant AG.................................... 849,328 16,091,854 0.4%
Flughafen Zuerich AG........................... 22,078 20,282,315 0.5%
Georg Fischer AG............................... 22,511 18,301,967 0.5%
Helvetia Holding AG............................ 36,269 19,534,116 0.5%
PSP Swiss Property AG.......................... 201,709 19,453,682 0.5%
Straumann Holding AG........................... 55,594 19,301,424 0.5%
Swiss Prime Site AG............................ 222,234 19,482,424 0.5%
Temenos Group AG............................... 318,043 16,504,548 0.4%
Other Securities............................... 369,168,248 9.0%
-------------- -----
TOTAL SWITZERLAND.................................. 540,882,078 13.4%
-------------- -----
TOTAL COMMON STOCKS................................ 3,988,069,768 98.8%
-------------- -----
229
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
PREFERRED STOCKS -- (0.6%)
GERMANY -- (0.6%)
Other Securities................ $ 28,544,902 0.7%
-------------- ------
TOTAL PREFERRED STOCKS.................. 28,544,902 0.7%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
AUSTRIA -- (0.0%)
Other Securities................ -- 0.0%
-------------- ------
FRANCE -- (0.0%)
Other Securities................ 8,841 0.0%
-------------- ------
GERMANY -- (0.0%)
Other Securities................ 19,318 0.0%
-------------- ------
NORWAY -- (0.0%)
Other Securities................ -- 0.0%
-------------- ------
SWEDEN -- (0.0%)
Other Securities................ 236,018 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS................... 264,177 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES............. 4,016,878,847
--------------
Value+
------
SECURITIES LENDING COLLATERAL -- (12.7%)
(S)@ DFA Short Term Investment Fund.. 50,602,726 585,473,541 14.5%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,924,188,407)............... $4,602,352,388 114.0%
============== ======
230
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2016, 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..................... -- $ 127,101,646 -- $ 127,101,646
Belgium..................... -- 173,395,698 -- 173,395,698
Denmark..................... $ 671,067 198,789,819 -- 199,460,886
Finland..................... -- 257,868,532 -- 257,868,532
France...................... 13,601 527,587,529 -- 527,601,130
Germany..................... -- 656,891,648 -- 656,891,648
Greece...................... -- 773 -- 773
Ireland..................... -- 76,152,441 -- 76,152,441
Israel...................... -- 73,060,433 -- 73,060,433
Italy....................... -- 392,987,423 -- 392,987,423
Netherlands................. -- 221,112,444 -- 221,112,444
Norway...................... 357,420 87,762,995 -- 88,120,415
Portugal.................... -- 54,741,828 -- 54,741,828
Spain....................... 39,781 233,462,513 -- 233,502,294
Sweden...................... 1,140,473 364,049,626 -- 365,190,099
Switzerland................. 7,433,467 533,448,611 -- 540,882,078
Preferred Stocks
Germany..................... -- 28,544,902 -- 28,544,902
Rights/Warrants
Austria..................... -- -- -- --
France...................... -- 8,841 -- 8,841
Germany..................... -- 19,318 -- 19,318
Norway...................... -- -- -- --
Sweden...................... -- 236,018 -- 236,018
Securities Lending Collateral. -- 585,473,541 -- 585,473,541
---------- -------------- -- --------------
TOTAL......................... $9,655,809 $4,592,696,579 -- $4,602,352,388
========== ============== == ==============
See accompanying Notes to Financial Statements.
231
THE CANADIAN SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2016
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (80.9%)
Consumer Discretionary -- (7.5%)
Cineplex, Inc....................... 169,535 $ 6,700,598 0.9%
# EnerCare, Inc....................... 438,600 5,558,094 0.7%
#* IMAX Corp........................... 259,917 8,317,344 1.1%
RONA, Inc........................... 676,245 12,870,591 1.7%
Other Securities.................... 37,465,014 4.8%
------------ -----
Total Consumer Discretionary............ 70,911,641 9.2%
------------ -----
Consumer Staples -- (3.4%)
Cott Corp........................... 509,721 6,755,926 0.9%
North West Co., Inc. (The).......... 242,310 5,386,169 0.7%
Other Securities.................... 20,020,385 2.6%
------------ -----
Total Consumer Staples.................. 32,162,480 4.2%
------------ -----
Energy -- (17.0%)
* Advantage Oil & Gas, Ltd............ 1,100,531 6,306,542 0.8%
# Enbridge Income Fund Holdings, Inc.. 251,755 5,816,831 0.8%
# Gibson Energy, Inc.................. 411,174 6,111,736 0.8%
# Mullen Group, Ltd................... 536,825 6,250,907 0.8%
* Parex Resources, Inc................ 586,904 5,879,799 0.8%
Parkland Fuel Corp.................. 414,677 7,908,839 1.0%
Pason Systems, Inc.................. 356,252 5,178,956 0.7%
# Precision Drilling Corp............. 1,736,481 9,009,716 1.2%
ShawCor, Ltd........................ 233,800 6,316,904 0.8%
# Whitecap Resources, Inc............. 966,741 7,250,365 1.0%
Other Securities.................... 94,837,364 12.3%
------------ -----
Total Energy............................ 160,867,959 21.0%
------------ -----
Financials -- (7.1%)
# Canadian Western Bank............... 436,532 9,630,354 1.3%
Colliers International Group, Inc... 161,848 6,694,757 0.9%
FirstService Corp................... 150,648 6,769,374 0.9%
# Home Capital Group, Inc............. 213,780 6,404,710 0.8%
Laurentian Bank of Canada........... 191,320 7,590,587 1.0%
Other Securities.................... 29,914,592 3.8%
------------ -----
Total Financials........................ 67,004,374 8.7%
------------ -----
Health Care -- (1.3%)
Other Securities.................... 12,218,223 1.6%
------------ -----
Industrials -- (10.3%)
Aecon Group, Inc.................... 408,101 5,441,563 0.7%
New Flyer Industries, Inc........... 254,471 7,498,042 1.0%
# Russel Metals, Inc.................. 350,655 6,243,431 0.8%
# Stantec, Inc........................ 281,329 7,210,919 0.9%
Toromont Industries, Ltd............ 376,225 11,277,455 1.5%
Transcontinental, Inc. Class A...... 359,276 5,646,707 0.7%
TransForce, Inc..................... 432,009 8,153,322 1.1%
Other Securities.................... 45,632,980 5.9%
------------ -----
Total Industrials....................... 97,104,419 12.6%
------------ -----
Information Technology -- (3.4%)
Other Securities.................... 32,101,774 4.2%
------------ -----
232
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
Materials -- (24.3%)
Alamos Gold, Inc. Class A......... 1,545,462 $ 11,147,233 1.5%
#* B2Gold Corp....................... 5,268,073 11,714,293 1.5%
Centerra Gold, Inc................ 999,634 5,529,178 0.7%
* Detour Gold Corp.................. 291,290 6,247,401 0.8%
Dominion Diamond Corp............. 487,201 5,595,414 0.7%
#* First Majestic Silver Corp........ 652,877 6,951,813 0.9%
* Fortuna Silver Mines, Inc......... 876,406 5,608,942 0.7%
HudBay Minerals, Inc.............. 1,398,004 6,974,978 0.9%
* IAMGOLD Corp...................... 2,443,241 8,314,847 1.1%
Intertape Polymer Group, Inc...... 324,227 5,098,429 0.7%
* New Gold, Inc..................... 2,304,655 10,837,224 1.4%
OceanaGold Corp................... 2,038,216 7,293,847 1.0%
Pan American Silver Corp.......... 990,673 15,530,834 2.0%
* SEMAFO, Inc....................... 1,595,446 7,108,108 0.9%
#* Silver Standard Resources, Inc.... 571,298 5,363,745 0.7%
Stella-Jones, Inc................. 187,800 7,180,016 0.9%
Tahoe Resources, Inc.............. 504,323 7,122,506 0.9%
Other Securities.................. 95,912,658 12.6%
------------ ------
Total Materials......................... 229,531,466 29.9%
------------ ------
Real Estate Investment Trusts -- (0.1%)
Other Securities.................. 513,979 0.1%
------------ ------
Telecommunication Services -- (0.5%)
Other Securities.................. 4,845,172 0.6%
------------ ------
Utilities -- (6.0%)
Algonquin Power & Utilities Corp.. 1,054,815 9,213,973 1.2%
Capital Power Corp................ 523,509 7,414,326 1.0%
# Innergex Renewable Energy, Inc.... 512,927 5,661,942 0.7%
# Northland Power, Inc.............. 536,896 8,904,763 1.1%
# Superior Plus Corp................ 689,743 6,003,023 0.8%
Other Securities.................. 20,046,403 2.7%
------------ ------
Total Utilities......................... 57,244,430 7.5%
------------ ------
TOTAL COMMON STOCKS..................... 764,505,917 99.6%
------------ ------
SECURITIES LENDING COLLATERAL -- (19.1%)
(S)@ DFA Short Term Investment Fund.... 15,623,575 180,764,765 23.5%
------------ ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,175,753,730)............... $945,270,682 123.1%
============ ======
233
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2016, 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........ $ 70,911,641 -- -- $ 70,911,641
Consumer Staples.............. 32,162,480 -- -- 32,162,480
Energy........................ 160,779,904 $ 88,055 -- 160,867,959
Financials.................... 67,004,374 -- -- 67,004,374
Health Care................... 12,211,004 7,219 -- 12,218,223
Industrials................... 97,104,419 -- -- 97,104,419
Information Technology........ 32,101,774 -- -- 32,101,774
Materials..................... 229,529,994 1,472 -- 229,531,466
Real Estate Investment Trusts. 513,979 -- -- 513,979
Telecommunication Services.... 4,845,172 -- -- 4,845,172
Utilities..................... 57,244,430 -- -- 57,244,430
Securities Lending Collateral... -- 180,764,765 -- 180,764,765
Forward Currency Contracts**.... -- (115) -- (115)
------------ ------------ -- ------------
TOTAL........................... $764,409,171 $180,861,396 -- $945,270,567
============ ============ == ============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note G)
See accompanying Notes to Financial Statements.
234
THE EMERGING MARKETS SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2016
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (93.1%)
BRAZIL -- (5.2%)
AMBEV SA ADR........................................ 5,984,451 $ 33,453,081 0.7%
Cielo SA............................................ 1,506,864 14,677,606 0.3%
Other Securities.................................... 197,554,532 4.4%
------------ -----
TOTAL BRAZIL............................................ 245,685,219 5.4%
------------ -----
CHILE -- (1.5%)
Other Securities.................................... 71,689,780 1.6%
------------ -----
CHINA -- (13.6%)
Bank of China, Ltd. Class H......................... 63,274,181 25,619,359 0.6%
China Construction Bank Corp. Class H............... 69,620,590 44,217,920 1.0%
China Mobile, Ltd. Sponsored ADR.................... 918,178 52,813,599 1.2%
CNOOC, Ltd. Sponsored ADR........................... 127,716 15,763,986 0.4%
Industrial & Commercial Bank of China, Ltd. Class H. 71,229,185 38,136,168 0.8%
Ping An Insurance Group Co. of China, Ltd. Class H.. 4,622,500 21,693,760 0.5%
Tencent Holdings, Ltd............................... 4,351,400 88,543,644 2.0%
Other Securities.................................... 351,497,229 7.5%
------------ -----
TOTAL CHINA............................................. 638,285,665 14.0%
------------ -----
COLOMBIA -- (0.6%)
Other Securities.................................... 27,480,378 0.6%
------------ -----
CZECH REPUBLIC -- (0.2%)
Other Securities.................................... 8,877,220 0.2%
------------ -----
EGYPT -- (0.1%)
Other Securities.................................... 5,765,624 0.1%
------------ -----
GREECE -- (0.3%)
Other Securities.................................... 12,625,172 0.3%
------------ -----
HUNGARY -- (0.3%)
Other Securities.................................... 16,647,353 0.4%
------------ -----
INDIA -- (11.7%)
Axis Bank, Ltd...................................... 2,058,467 14,584,815 0.3%
HDFC Bank, Ltd...................................... 1,530,953 25,879,410 0.6%
Hindustan Unilever, Ltd............................. 1,148,145 15,033,549 0.3%
Infosys, Ltd........................................ 1,886,232 34,259,997 0.8%
Infosys, Ltd. Sponsored ADR......................... 847,888 15,940,294 0.4%
ITC, Ltd............................................ 3,264,295 16,012,953 0.4%
Reliance Industries, Ltd............................ 1,625,226 23,982,462 0.5%
Sun Pharmaceutical Industries, Ltd.................. 1,259,691 15,406,140 0.3%
Tata Consultancy Services, Ltd...................... 720,066 27,544,405 0.6%
Other Securities.................................... 360,415,109 7.9%
------------ -----
TOTAL INDIA............................................. 549,059,134 12.1%
------------ -----
INDONESIA -- (3.1%)
Bank Central Asia Tbk PT............................ 15,447,700 15,245,332 0.3%
Other Securities.................................... 129,329,351 2.9%
------------ -----
TOTAL INDONESIA......................................... 144,574,683 3.2%
------------ -----
235
THE EMERGING MARKETS SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
MALAYSIA -- (4.2%)
Public Bank Bhd................................. 3,537,614 $ 16,921,955 0.4%
Tenaga Nasional Bhd............................. 4,375,250 16,072,346 0.4%
Other Securities................................ 163,027,493 3.5%
------------ -----
TOTAL MALAYSIA...................................... 196,021,794 4.3%
------------ -----
MEXICO -- (5.7%)
Alfa S.A.B. de C.V. Class A..................... 8,197,783 15,419,102 0.3%
America Movil S.A.B. de C.V. Series L........... 46,329,297 32,798,740 0.7%
Fomento Economico Mexicano S.A.B. de C.V........ 1,793,669 16,720,400 0.4%
Grupo Financiero Banorte S.A.B. de C.V. Class O. 4,709,628 26,777,401 0.6%
Grupo Mexico S.A.B. de C.V. Series B............ 6,024,993 15,324,560 0.3%
Grupo Televisa S.A.B. Series CPO................ 3,292,769 19,196,248 0.4%
Wal-Mart de Mexico S.A.B. de C.V................ 7,054,235 17,434,012 0.4%
Other Securities................................ 122,877,443 2.7%
------------ -----
TOTAL MEXICO........................................ 266,547,906 5.8%
------------ -----
PERU -- (0.3%)
Other Securities................................ 13,030,701 0.3%
------------ -----
PHILIPPINES -- (1.8%)
Other Securities................................ 84,216,211 1.8%
------------ -----
POLAND -- (1.6%)
Other Securities................................ 76,086,626 1.7%
------------ -----
RUSSIA -- (1.9%)
Gazprom PAO Sponsored ADR....................... 5,279,647 27,432,935 0.6%
Sberbank of Russia PJSC Sponsored ADR........... 1,818,206 14,618,609 0.3%
Other Securities................................ 47,261,890 1.1%
------------ -----
TOTAL RUSSIA........................................ 89,313,434 2.0%
------------ -----
SOUTH AFRICA -- (8.5%)
* AngloGold Ashanti, Ltd. Sponsored ADR........... 1,637,102 26,930,328 0.6%
Bidvest Group, Ltd. (The)....................... 778,465 19,778,039 0.4%
FirstRand, Ltd.................................. 4,730,180 15,203,319 0.3%
MTN Group, Ltd.................................. 2,516,919 26,348,362 0.6%
Naspers, Ltd. Class N........................... 370,571 50,994,756 1.1%
Sasol, Ltd. Sponsored ADR....................... 778,314 25,520,916 0.6%
Standard Bank Group, Ltd........................ 1,835,594 16,484,257 0.4%
Steinhoff International Holdings NV............. 3,126,745 19,559,450 0.4%
Other Securities................................ 199,582,578 4.4%
------------ -----
TOTAL SOUTH AFRICA.................................. 400,402,005 8.8%
------------ -----
SOUTH KOREA -- (14.2%)
Hyundai Motor Co................................ 175,874 22,067,187 0.5%
KT&G Corp....................................... 132,438 14,268,223 0.3%
NAVER Corp...................................... 33,801 20,032,066 0.4%
Samsung Electronics Co., Ltd.................... 97,289 106,028,534 2.3%
Samsung Electronics Co., Ltd. GDR............... 52,509 28,672,951 0.6%
SK Hynix, Inc................................... 705,494 17,304,220 0.4%
Other Securities................................ 460,012,485 10.2%
------------ -----
TOTAL SOUTH KOREA................................... 668,385,666 14.7%
------------ -----
236
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
TAIWAN -- (13.6%)
Hon Hai Precision Industry Co., Ltd.......... 15,697,867 $ 37,393,311 0.8%
Taiwan Semiconductor Manufacturing Co., Ltd.. 25,188,808 115,726,652 2.6%
Taiwan Semiconductor Manufacturing Co., Ltd.
Sponsored ADR............................... 1,672,158 39,446,207 0.9%
Other Securities............................. 447,889,847 9.8%
-------------- ------
TOTAL TAIWAN....................................... 640,456,017 14.1%
-------------- ------
THAILAND -- (2.7%)
PTT PCL...................................... 1,634,600 14,226,121 0.3%
Other Securities............................. 111,439,249 2.5%
-------------- ------
TOTAL THAILAND..................................... 125,665,370 2.8%
-------------- ------
TURKEY -- (1.9%)
Other Securities............................. 91,908,213 2.0%
-------------- ------
UNITED KINGDOM -- (0.1%)
Other Securities............................. 6,708,540 0.1%
-------------- ------
TOTAL COMMON STOCKS................................ 4,379,432,711 96.3%
-------------- ------
PREFERRED STOCKS -- (2.4%)
BRAZIL -- (2.3%)
Banco Bradesco SA............................ 2,270,614 17,099,339 0.4%
Itau Unibanco Holding SA..................... 3,924,570 37,508,357 0.8%
Other Securities............................. 51,121,450 1.2%
-------------- ------
TOTAL BRAZIL....................................... 105,729,146 2.4%
-------------- ------
CHILE -- (0.0%)
Other Securities............................. 386,855 0.0%
-------------- ------
COLOMBIA -- (0.1%)
Other Securities............................. 5,509,843 0.1%
-------------- ------
TOTAL PREFERRED STOCKS............................. 111,625,844 2.5%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
BRAZIL -- (0.0%)
Other Securities............................. 311 0.0%
-------------- ------
THAILAND -- (0.0%)
Other Securities............................. 448,421 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS.............................. 448,732 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES........................ 4,491,507,287
--------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (4.5%)
(S)@ DFA Short Term Investment Fund............... 18,338,278 212,173,878 4.7%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,038,294,827).......................... $4,703,681,165 103.5%
============== ======
237
THE EMERGING MARKETS SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2016, 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...................... $ 245,685,219 -- -- $ 245,685,219
Chile....................... 33,993,926 $ 37,695,854 -- 71,689,780
China....................... 110,692,586 527,593,079 -- 638,285,665
Colombia.................... 27,466,666 13,712 -- 27,480,378
Czech Republic.............. -- 8,877,220 -- 8,877,220
Egypt....................... -- 5,765,624 -- 5,765,624
Greece...................... -- 12,625,172 -- 12,625,172
Hungary..................... -- 16,647,353 -- 16,647,353
India....................... 32,908,215 516,150,919 -- 549,059,134
Indonesia................... 5,255,573 139,319,110 -- 144,574,683
Malaysia.................... -- 196,021,794 -- 196,021,794
Mexico...................... 266,540,055 7,851 -- 266,547,906
Peru........................ 13,030,701 -- -- 13,030,701
Philippines................. 1,846,587 82,369,624 -- 84,216,211
Poland...................... -- 76,086,626 -- 76,086,626
Russia...................... -- 89,313,434 -- 89,313,434
South Africa................ 64,869,481 335,532,524 -- 400,402,005
South Korea................. 22,618,822 645,766,844 -- 668,385,666
Taiwan...................... 48,932,991 591,523,026 -- 640,456,017
Thailand.................... 125,665,370 -- -- 125,665,370
Turkey...................... 797,450 91,110,763 -- 91,908,213
United Kingdom.............. 6,708,540 -- -- 6,708,540
Preferred Stocks
Brazil...................... 105,725,500 3,646 -- 105,729,146
Chile....................... -- 386,855 -- 386,855
Colombia.................... 5,509,843 -- -- 5,509,843
Rights/Warrants
Brazil...................... -- 311 -- 311
Thailand.................... -- 448,421 -- 448,421
Securities Lending Collateral. -- 212,173,878 -- 212,173,878
Futures Contracts**........... 1,130,445 -- -- 1,130,445
Forward Currency Contracts**.. -- 258 -- 258
-------------- -------------- -- --------------
TOTAL......................... $1,119,377,970 $3,585,433,898 -- $4,704,811,868
============== ============== == ==============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note G)
See accompanying Notes to Financial Statements.
238
THE EMERGING MARKETS SMALL CAP SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2016
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (86.2%)
BELGIUM -- (0.0%)
Other Securities........................................ $ 61,671 0.0%
------------ -----
BRAZIL -- (7.2%)
BR Malls Participacoes SA............................... 5,634,717 27,737,373 0.6%
CETIP SA -- Mercados Organizados........................ 945,300 11,604,439 0.2%
Cia Siderurgica Nacional SA............................. 6,531,808 24,955,428 0.5%
Cyrela Brazil Realty SA Empreendimentos e Participacoes. 3,156,434 9,425,479 0.2%
Duratex SA.............................................. 4,137,733 9,420,208 0.2%
EDP -- Energias do Brasil SA............................ 2,848,595 10,601,735 0.2%
Equatorial Energia SA................................... 2,371,958 29,338,691 0.6%
Estacio Participacoes SA................................ 3,477,890 12,003,360 0.2%
Localiza Rent a Car SA.................................. 1,730,775 16,606,985 0.3%
* Marfrig Global Foods SA................................. 4,834,229 9,122,380 0.2%
MRV Engenharia e Participacoes SA....................... 4,019,180 14,046,825 0.3%
Multiplan Empreendimentos Imobiliarios SA............... 592,100 10,148,810 0.2%
Odontoprev SA........................................... 3,036,496 9,235,080 0.2%
Qualicorp SA............................................ 2,859,505 12,388,348 0.3%
Sao Martinho SA......................................... 734,862 9,557,426 0.2%
Sul America SA.......................................... 2,958,965 14,410,891 0.3%
Totvs SA................................................ 1,433,226 11,751,684 0.2%
Transmissora Alianca de Energia Eletrica SA............. 1,918,518 10,911,161 0.2%
Other Securities........................................ 163,687,806 3.0%
------------ -----
TOTAL BRAZIL................................................ 416,954,109 8.1%
------------ -----
CHILE -- (1.5%)
E.CL SA................................................. 5,691,360 9,896,384 0.2%
Parque Arauco SA........................................ 7,790,869 15,148,663 0.3%
Vina Concha y Toro SA................................... 5,560,304 9,325,135 0.2%
Other Securities........................................ 50,647,449 1.0%
------------ -----
TOTAL CHILE................................................. 85,017,631 1.7%
------------ -----
CHINA -- (12.1%)
# GCL-Poly Energy Holdings, Ltd........................... 71,822,000 10,703,162 0.2%
Minth Group, Ltd........................................ 3,475,000 9,110,644 0.2%
Shenzhen International Holdings, Ltd.................... 6,618,751 10,783,923 0.2%
# Sunny Optical Technology Group Co., Ltd................. 3,644,000 11,239,024 0.2%
Other Securities........................................ 661,478,729 12.9%
------------ -----
TOTAL CHINA................................................. 703,315,482 13.7%
------------ -----
COLOMBIA -- (0.2%)
Other Securities........................................ 10,674,737 0.2%
------------ -----
GREECE -- (0.3%)
Other Securities........................................ 19,037,207 0.4%
------------ -----
HONG KONG -- (0.0%)
Other Securities........................................ 404,787 0.0%
------------ -----
HUNGARY -- (0.0%)
Other Securities........................................ 72,448 0.0%
------------ -----
239
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
INDIA -- (12.0%)
Havells India, Ltd...................................... 1,992,064 $ 9,959,435 0.2%
Reliance Infrastructure, Ltd............................ 1,132,160 9,163,539 0.2%
TVS Motor Co., Ltd...................................... 2,128,314 10,230,508 0.2%
Other Securities........................................ 665,169,455 12.9%
------------ -----
TOTAL INDIA................................................. 694,522,937 13.5%
------------ -----
INDONESIA -- (2.7%)
Other Securities........................................ 157,862,832 3.1%
------------ -----
MALAYSIA -- (4.5%)
Other Securities........................................ 258,085,894 5.0%
------------ -----
MEXICO -- (3.8%)
# Alsea S.A.B. de C.V..................................... 6,247,966 23,950,116 0.5%
# Banregio Grupo Financiero S.A.B. de C.V................. 2,323,229 13,949,110 0.3%
Gentera S.A.B. de C.V................................... 7,403,631 14,691,375 0.3%
Grupo Aeroportuario del Centro Norte S.A.B. de C.V...... 2,374,699 13,769,532 0.3%
Grupo Aeroportuario del Pacifico S.A.B. de C.V. Class B. 1,192,976 11,264,336 0.2%
#* Industrias CH S.A.B. de C.V. Series B................... 2,230,124 9,288,808 0.2%
Other Securities........................................ 132,933,459 2.5%
------------ -----
TOTAL MEXICO................................................ 219,846,736 4.3%
------------ -----
PHILIPPINES -- (1.5%)
Security Bank Corp...................................... 2,789,318 10,101,741 0.2%
Other Securities........................................ 78,828,533 1.5%
------------ -----
TOTAL PHILIPPINES........................................... 88,930,274 1.7%
------------ -----
POLAND -- (1.9%)
Asseco Poland SA........................................ 683,476 10,372,944 0.2%
Other Securities........................................ 102,109,544 2.0%
------------ -----
TOTAL POLAND................................................ 112,482,488 2.2%
------------ -----
SOUTH AFRICA -- (6.8%)
AVI, Ltd................................................ 3,423,460 21,240,907 0.4%
Barloworld, Ltd......................................... 2,216,736 12,796,839 0.3%
Clicks Group, Ltd....................................... 2,666,173 19,456,493 0.4%
# Coronation Fund Managers, Ltd........................... 1,818,975 9,450,577 0.2%
EOH Holdings, Ltd....................................... 1,117,136 10,876,007 0.2%
Foschini Group, Ltd. (The).............................. 1,415,093 15,201,788 0.3%
#* Harmony Gold Mining Co., Ltd. Sponsored ADR............. 2,632,188 9,633,808 0.2%
JSE, Ltd................................................ 892,197 10,351,796 0.2%
#* Northam Platinum, Ltd................................... 3,640,843 12,413,254 0.2%
# Pick n Pay Stores, Ltd.................................. 2,069,376 10,735,334 0.2%
* Sappi, Ltd.............................................. 4,082,585 17,706,447 0.4%
Sibanye Gold, Ltd....................................... 3,727,720 14,268,550 0.3%
Spar Group, Ltd. (The).................................. 1,156,299 17,281,868 0.3%
* Super Group, Ltd........................................ 3,477,779 10,055,717 0.2%
Other Securities........................................ 203,743,323 3.9%
------------ -----
TOTAL SOUTH AFRICA.......................................... 395,212,708 7.7%
------------ -----
SOUTH KOREA -- (13.3%)
Other Securities........................................ 768,519,148 15.0%
------------ -----
240
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
TAIWAN -- (12.9%)
Other Securities................ $ 747,646,613 14.6%
-------------- ------
THAILAND -- (3.2%)
Other Securities................ 184,035,711 3.6%
-------------- ------
TURKEY -- (2.3%)
Other Securities................ 134,492,743 2.6%
-------------- ------
TOTAL COMMON STOCKS..................... 4,997,176,156 97.4%
-------------- ------
PREFERRED STOCKS -- (1.3%)
BRAZIL -- (1.2%)
Other Securities................ 70,236,378 1.4%
-------------- ------
CHILE -- (0.1%)
Other Securities................ 2,434,179 0.1%
-------------- ------
COLOMBIA -- (0.0%)
Other Securities................ 1,934,885 0.0%
-------------- ------
TOTAL PREFERRED STOCKS.................. 74,605,442 1.5%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
BRAZIL -- (0.0%)
Other Securities................ 107,231 0.0%
-------------- ------
MALAYSIA -- (0.0%)
Other Securities................ 61,285 0.0%
-------------- ------
POLAND -- (0.0%)
Other Securities................ -- 0.0%
-------------- ------
SOUTH KOREA -- (0.0%)
Other Securities................ 298,781 0.0%
-------------- ------
THAILAND -- (0.0%)
Other Securities................ 9,567 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS................... 476,864 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES............. 5,072,258,462
--------------
Value+
------
SECURITIES LENDING COLLATERAL -- (12.5%)
(S)@ DFA Short Term Investment Fund.. 62,563,032 723,854,282 14.1%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $5,944,983,831)............... $5,796,112,744 113.0%
============== ======
241
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2016, 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
Belgium..................... -- $ 61,671 -- $ 61,671
Brazil...................... $416,954,109 -- -- 416,954,109
Chile....................... 1,934,719 83,082,912 -- 85,017,631
China....................... 3,662,817 699,652,665 -- 703,315,482
Colombia.................... 10,671,549 3,188 -- 10,674,737
Greece...................... -- 19,037,207 -- 19,037,207
Hong Kong................... -- 404,787 -- 404,787
Hungary..................... -- 72,448 -- 72,448
India....................... 129,111 694,393,826 -- 694,522,937
Indonesia................... 910,480 156,952,352 -- 157,862,832
Malaysia.................... -- 258,085,894 -- 258,085,894
Mexico...................... 218,982,457 864,279 -- 219,846,736
Philippines................. -- 88,930,274 -- 88,930,274
Poland...................... -- 112,482,488 -- 112,482,488
South Africa................ 11,348,321 383,864,387 -- 395,212,708
South Korea................. 804,734 767,714,414 -- 768,519,148
Taiwan...................... -- 747,646,613 -- 747,646,613
Thailand.................... 183,264,033 771,678 -- 184,035,711
Turkey...................... -- 134,492,743 -- 134,492,743
Preferred Stocks
Brazil...................... 70,236,378 -- -- 70,236,378
Chile....................... -- 2,434,179 -- 2,434,179
Colombia.................... 1,934,885 -- -- 1,934,885
Rights/Warrants
Brazil...................... -- 107,231 -- 107,231
Malaysia.................... -- 61,285 -- 61,285
Poland...................... -- -- -- --
South Korea................. -- 298,781 -- 298,781
Thailand.................... -- 9,567 -- 9,567
Securities Lending Collateral. -- 723,854,282 -- 723,854,282
Futures Contracts**........... 743,658 -- -- 743,658
------------ -------------- -- --------------
TOTAL......................... $921,577,251 $4,875,279,151 -- $5,796,856,402
============ ============== == ==============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note G)
See accompanying Notes to Financial Statements.
242
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2016
(Unaudited)
(Amounts in thousands)
The Japanese The Asia
The U.S. Large The DFA Small Pacific Small
Cap Value International Company Company
Series* Value Series* Series* Series*
-------------- ------------- ------------ -------------
ASSETS:
Investments at Value (including $1,307,178, $648,436,
$289,787 and $295,754 of securities on loan,
respectively).............................................. $19,410,300 $9,070,307 $2,584,183 $1,376,887
Temporary Cash Investments at Value & Cost.................. 195,968 -- -- --
Collateral from Securities on Loan Invested in Affiliate at
Value & Cost............................................... 681,194 677,034 300,363 290,193
Segregated Cash for Futures Contracts....................... 5,760 2,392 -- --
Foreign Currencies at Value................................. -- 49,325 2,419 3,950
Cash........................................................ -- 1 2,061 3,413
Receivables:
Investment Securities Sold................................ 33,856 32,802 666 252
Dividends, Interest and Tax Reclaims...................... 23,979 41,783 27,402 1,464
Securities Lending Income................................. 238 1,620 442 394
Unrealized Gain on Forward Currency Contracts............... -- 2 -- --
Unrealized Gain on Foreign Currency Contracts............... -- 2 -- --
Prepaid Expenses and Other Assets........................... 19 5 2 1
----------- ---------- ---------- ----------
Total Assets........................................... 20,351,314 9,875,273 2,917,538 1,676,554
----------- ---------- ---------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......................... 681,194 677,034 300,363 290,193
Investment Securities Purchased........................... 71,184 -- 1,205 3,079
Due to Advisor............................................ 1,580 1,474 214 112
Line of Credit............................................ -- 529 -- --
Futures Margin Variation.................................. 851 316 -- --
Unrealized Loss on Foreign Currency Contracts............... -- 1 -- --
Accrued Expenses and Other Liabilities...................... 842 632 228 128
----------- ---------- ---------- ----------
Total Liabilities...................................... 755,651 679,986 302,010 293,512
----------- ---------- ---------- ----------
NET ASSETS.................................................. $19,595,663 $9,195,287 $2,615,528 $1,383,042
=========== ========== ========== ==========
Investments at Cost......................................... $14,067,207 $9,292,312 $2,413,136 $1,474,869
=========== ========== ========== ==========
Foreign Currencies at Cost.................................. $ -- $ 48,728 $ 2,348 $ 3,964
=========== ========== ========== ==========
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
243
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2016
(Unaudited)
(Amounts in thousands)
The
The United Continental The Canadian
Kingdom Small Small Small The Emerging
Company Company Company The Emerging Markets Small
Series Series* Series* Markets Series* Cap Series*
------------- ----------- ------------ --------------- -------------
ASSETS:
Investments at Value (including $48,413,
$543,798, $174,750, $324,032 and
$1,032,206 of securities on loan,
respectively).............................. $1,782,842 $4,016,878 $764,506 $4,491,507 $5,072,259
Collateral from Securities on Loan Invested
in Affiliate at Value & Cost............... 51,178 585,474 180,765 212,174 723,854
Segregated Cash for Futures Contracts....... -- -- -- 1,494 1,323
Foreign Currencies at Value................. 1,801 7,192 221 37,502 34,876
Cash........................................ 1,493 7,690 4,219 13,810 5,774
Receivables:
Investment Securities Sold................ 2,011 2,904 256 -- 5,308
Dividends, Interest and Tax Reclaims...... 12,875 8,889 538 3,812 10,302
Securities Lending Income................. 202 1,957 271 619 3,434
Unrealized Gain on Foreign Currency
Contracts.................................. -- 4 -- -- --
Prepaid Expenses and Other Assets........... 2 6 -- 2 2
---------- ---------- -------- ---------- ----------
Total Assets........................... 1,852,404 4,630,994 950,776 4,760,920 5,857,132
---------- ---------- -------- ---------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......... 51,178 585,474 180,765 212,174 723,854
Investment Securities Purchased........... 2,275 6,086 2,225 1,695 574
Due to Advisor............................ 145 325 57 370 830
Futures Margin Variation.................. -- -- -- 120 107
Accrued Expenses and Other Liabilities...... 104 279 46 830 935
---------- ---------- -------- ---------- ----------
Total Liabilities...................... 53,702 592,164 183,093 215,189 726,300
---------- ---------- -------- ---------- ----------
NET ASSETS.................................. $1,798,702 $4,038,830 $767,683 $4,545,731 $5,130,832
========== ========== ======== ========== ==========
Investments at Cost......................... $1,490,803 $3,338,715 $994,989 $3,826,121 $5,221,130
========== ========== ======== ========== ==========
Foreign Currencies at Cost.................. $ 1,806 $ 7,134 $ 221 $ 36,832 $ 33,977
========== ========== ======== ========== ==========
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
244
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2016
(Unaudited)
(Amounts in thousands)
The Japanese The Asia
The U.S. The DFA Small Pacific Small
Large Cap International Company Company
Value Series Value Series Series Series
------------ ------------- ------------ -------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $5, $13,081, $3,170
and $555, respectively)......................................... $ 242,607 $ 148,183 $ 28,598 $ 19,302
Income from Securities Lending................................... 2,235 5,233 2,467 2,531
--------- --------- -------- --------
Total Investment Income....................................... 244,842 153,416 31,065 21,833
--------- --------- -------- --------
Expenses
Investment Management Fees....................................... 9,096 8,649 1,280 628
Accounting & Transfer Agent Fees................................. 459 224 67 37
Custodian Fees................................................... 96 397 179 104
Shareholders' Reports............................................ 23 12 3 2
Directors'/Trustees' Fees & Expenses............................. 77 37 11 5
Professional Fees................................................ 166 83 23 11
Other............................................................ 256 164 52 26
--------- --------- -------- --------
Total Expenses................................................ 10,173 9,566 1,615 813
--------- --------- -------- --------
Fees Paid Indirectly (Note C).................................... -- (25) (1) (2)
--------- --------- -------- --------
Net Expenses..................................................... 10,173 9,541 1,614 811
--------- --------- -------- --------
Net Investment Income (Loss)..................................... 234,669 143,875 29,451 21,022
--------- --------- -------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold..................................... 124,227 (220,143) 27,166 (22,804)
Futures........................................................ 9,023 4,471 -- --
Foreign Currency Transactions.................................. -- 2,418 92 490
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency..................... (304,230) (244,070) (38,511) 121,330
Futures........................................................ 3,800 1,200 -- --
Translation of Foreign Currency Denominated Amounts............ -- 1,789 1,720 15
--------- --------- -------- --------
Net Realized and Unrealized Gain (Loss).......................... (167,180) (454,335) (9,533) 99,031
--------- --------- -------- --------
Net Increase (Decrease) in Net Assets Resulting from
Operations........................................................ $ 67,489 $(310,460) $ 19,918 $120,053
========= ========= ======== ========
See accompanying Notes to Financial Statements.
245
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2016
(Unaudited)
(Amounts in thousands)
The United The
Kingdom Continental The Canadian The Emerging
Small Small Small The Emerging Markets
Company Company Company Markets Small Cap
Series Series Series Series Series
---------- ----------- ------------ ------------ ------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of
$0, $6,010, $1,224, $4,754 and $3,496,
respectively)............................... $ 45,227 $ 39,234 $ 7,423 $ 36,554 $ 41,866
Interest..................................... -- -- -- 9 1
Income from Securities Lending............... 1,055 7,301 1,356 3,497 18,462
--------- -------- -------- -------- --------
Total Investment Income................... 46,282 46,535 8,779 40,060 60,329
--------- -------- -------- -------- --------
Expenses
Investment Management Fees................... 924 1,863 298 2,122 4,700
Accounting & Transfer Agent Fees............. 49 99 15 112 124
Custodian Fees............................... 49 257 16 1,021 1,348
Shareholders' Reports........................ 3 4 1 5 6
Directors'/Trustees' Fees & Expenses......... 8 16 2 18 20
Professional Fees............................ 18 47 6 82 94
Other........................................ 40 69 13 98 99
--------- -------- -------- -------- --------
Total Expenses............................ 1,091 2,355 351 3,458 6,391
--------- -------- -------- -------- --------
Fees Paid Indirectly (Note C)................ -- (7) -- (12) (4)
--------- -------- -------- -------- --------
Net Expenses................................. 1,091 2,348 351 3,446 6,387
--------- -------- -------- -------- --------
Net Investment Income (Loss)................. 45,191 44,187 8,428 36,614 53,942
--------- -------- -------- -------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold*................ 63,365 24,453 (16,942) (77,753) 112,430
Futures.................................... -- 687 -- 855 2,718
Foreign Currency Transactions.............. (373) (94) 30 871 493
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.................................. (212,373) 101,043 136,912 128,466 62,725
Futures.................................... -- 19 -- 1,130 744
Translation of Foreign Currency
Denominated Amounts....................... 153 180 (2) 192 579
--------- -------- -------- -------- --------
Net Realized and Unrealized Gain (Loss)...... (149,228) 126,288 119,998 53,761 179,689
--------- -------- -------- -------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations..................... $(104,037) $170,475 $128,426 $ 90,375 $233,631
========= ======== ======== ======== ========
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0 and $68,
respectively.
See accompanying Notes to Financial Statements.
246
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The U.S. Large Cap The DFA International The Japanese Small
Value Series Value Series Company Series
------------------------ ----------------------- ----------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2016 2015 2016 2015 2016 2015
----------- ----------- ----------- ----------- ----------- ----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)........... $ 234,669 $ 413,724 $ 143,875 $ 313,826 $ 29,451 $ 43,264
Net Realized Gain (Loss) on:
Investment Securities Sold........... 124,227 858,150 (220,143) 244,684 27,166 69,828
Futures.............................. 9,023 (43) 4,471 -- -- --
Foreign Currency Transactions........ -- -- 2,418 (5,879) 92 (1,869)
In-Kind Redemptions.................. -- -- -- -- -- 27,130
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................ (304,230) (1,018,426) (244,070) (1,034,230) (38,511) 85,013
Futures.............................. 3,800 -- 1,200 -- -- --
Translation of Foreign Currency
Denominated Amounts................. -- -- 1,789 654 1,720 382
----------- ----------- ---------- ----------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations......................... 67,489 253,405 (310,460) (480,945) 19,918 223,748
----------- ----------- ---------- ----------- ---------- ----------
Transactions in Interest:
Contributions.......................... 1,111,084 1,769,181 731,108 1,070,207 44,061 102,092
Withdrawals............................ (676,967) (1,305,211) (453,266) (705,023) (80,139) (199,561)
----------- ----------- ---------- ----------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest........... 434,117 463,970 277,842 365,184 (36,078) (97,469)
----------- ----------- ---------- ----------- ---------- ----------
Total Increase (Decrease) in
Net Assets......................... 501,606 717,375 (32,618) (115,761) (16,160) 126,279
Net Assets
Beginning of Period.................... 19,094,057 18,376,682 9,227,905 9,343,666 2,631,688 2,505,409
----------- ----------- ---------- ----------- ---------- ----------
End of Period.......................... $19,595,663 $19,094,057 $9,195,287 $ 9,227,905 $2,615,528 $2,631,688
=========== =========== ========== =========== ========== ==========
See accompanying Notes to Financial Statements.
247
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The Asia Pacific Small The United Kingdom Small The Continental Small
Company Series Company Series Company Series
---------------------- ---------------------- ----------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2016 2015 2016 2015 2016 2015
----------- ---------- ----------- ---------- ----------- ----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)............ $ 21,022 $ 54,891 $ 45,191 $ 71,555 $ 44,187 $ 82,887
Net Realized Gain (Loss) on:
Investment Securities Sold............ (22,804) (15,143) 63,365 82,685 24,453 115,635
Futures............................... -- -- -- -- 687 (4,875)
Foreign Currency Transactions......... 490 (913) (373) 144 (94) (1,002)
In-Kind Redemptions................... -- 18,027 -- 42,293 -- 58,734
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................. 121,330 (224,570) (212,373) (104) 101,043 55,052
Futures............................... -- -- -- -- 19 (19)
Translation of Foreign Currency
Denominated Amounts.................. 15 (13) 153 86 180 (57)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.......................... 120,053 (167,721) (104,037) 196,659 170,475 306,355
---------- ---------- ---------- ---------- ---------- ----------
Transactions in Interest:
Contributions......................... 54,218 119,899 5,212 12,907 287,707 454,912
Withdrawals........................... (19,503) (177,690) (186,586) (121,351) (73,095) (259,801)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest............ 34,715 (57,791) (181,374) (108,444) 214,612 195,111
---------- ---------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in Net
Assets.............................. 154,768 (225,512) (285,411) 88,215 385,087 501,466
Net Assets
Beginning of Period..................... 1,228,274 1,453,786 2,084,113 1,995,898 3,653,743 3,152,277
---------- ---------- ---------- ---------- ---------- ----------
End of Period........................... $1,383,042 $1,228,274 $1,798,702 $2,084,113 $4,038,830 $3,653,743
========== ========== ========== ========== ========== ==========
See accompanying Notes to Financial Statements.
248
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The Canadian Small The Emerging Markets The Emerging Markets
Company Series Series Small Cap Series
--------------------- ---------------------- ----------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2016 2015 2016 2015 2016 2015
----------- --------- ----------- ---------- ----------- ----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)............ $ 8,428 $ 19,902 $ 36,614 $ 101,691 $ 53,942 $ 134,189
Net Realized Gain (Loss) on:
Investment Securities Sold*........... (16,942) (9,138) (77,753) (99,010) 112,430 49,962
Futures............................... -- -- 855 2,478 2,718 --
Foreign Currency Transactions......... 30 149 871 (2,204) 493 (4,548)
In-Kind Redemptions................... -- 8,042 -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................. 136,912 (228,267) 128,466 (686,412) 62,725 (693,734)
Futures............................... -- -- 1,130 -- 744 --
Translation of Foreign Currency
Denominated Amounts.................. (2) 11 192 (95) 579 (241)
-------- --------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.......................... 128,426 (209,301) 90,375 (683,552) 233,631 (514,372)
-------- --------- ---------- ---------- ---------- ----------
Transactions in Interest:
Contributions........................... 19,125 20,480 331,066 1,463,845 209,482 792,529
Withdrawals............................. (3,000) (37,476) (279,265) (562,189) (210,588) (301,288)
-------- --------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest............ 16,125 (16,996) 51,801 901,656 (1,106) 491,241
-------- --------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in Net
Assets.............................. 144,551 (226,297) 142,176 218,104 232,525 (23,131)
Net Assets
Beginning of Period..................... 623,132 849,429 4,403,555 4,185,451 4,898,307 4,921,438
-------- --------- ---------- ---------- ---------- ----------
End of Period........................... $767,683 $ 623,132 $4,545,731 $4,403,555 $5,130,832 $4,898,307
======== ========= ========== ========== ========== ==========
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $68 and $0,
respectively.
See accompanying Notes to Financial Statements.
249
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The U.S. Large Cap Value Series
------------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012 2011
-------------------------------------------------------------------------------
(Unaudited)
--------------------------------------------------------------------------------------------------------------------------
Total Return.............................. 0.06%(D) 1.32% 15.67% 35.68% 18.31% 5.69%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..... $19,595,663 $19,094,057 $18,376,682 $14,838,988 $10,589,152 $9,335,107
Ratio of Expenses to Average Net Assets... 0.11%(E) 0.11% 0.11% 0.11% 0.12% 0.12%
Ratio of Net Investment Income to Average
Net Assets............................... 2.58%(E) 2.20% 1.90% 1.98% 2.15% 1.79%
Portfolio Turnover Rate................... 9%(D) 16% 15% 15% 10% 14%
--------------------------------------------------------------------------------------------------------------------------
The DFA International Value Series
----------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012 2011
------------------------------------------------------------------------------
(Unaudited)
-------------------------------------------------------------------------------------------------------------------------
Total Return.............................. (3.82)%(D) (5.35)% (0.72)% 28.18% 3.17% (8.04)%
-------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..... $9,195,287 $9,227,905 $9,343,666 $8,792,130 $7,238,249 $6,955,907
Ratio of Expenses to Average Net Assets... 0.22%(E) 0.22% 0.22% 0.22% 0.24% 0.23%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)......... 0.22%(E) 0.22% 0.22% 0.22% 0.24% 0.23%
Ratio of Net Investment Income to Average
Net Assets............................... 3.33%(E) 3.31% 4.50% 3.20% 3.75% 3.47%
Portfolio Turnover Rate................... 9%(D) 21% 17% 15% 14% 9%
-------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
250
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The Japanese Small Company Series
-------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012 2011
--------------------------------------------------------------------------
(Unaudited)
------------------------------------------------------------------------------------------------------------------------------
Total Return....................................... 0.81%(D) 9.04% 2.46% 30.62% 0.54% 10.07%
------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).............. $2,615,528 $2,631,688 $2,505,409 $2,281,624 $1,686,731 $1,502,815
Ratio of Expenses to Average Net Assets............ 0.13%(E) 0.13% 0.13% 0.14% 0.15% 0.14%
Ratio of Expenses to Average Net Assets (Excluding
Fees Paid Indirectly)............................. 0.13%(E) 0.13% 0.13% 0.14% 0.15% 0.14%
Ratio of Net Investment Income to Average
Net Assets........................................ 2.30%(E) 1.69% 1.71% 1.87% 2.17% 2.07%
Portfolio Turnover Rate............................ 2%(D) 6% 9% 16% 7% 5%
------------------------------------------------------------------------------------------------------------------------------
The Asia Pacific Small Company Series
-------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012 2011
---------------------------------------------------------------------------
(Unaudited)
-------------------------------------------------------------------------------------------------------------------------------
Total Return....................................... 9.47%(D) (11.83)% (3.46)% 10.97% 7.48% (5.15)%
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).............. $1,383,042 $1,228,274 $1,453,786 $1,265,498 $1,003,860 $906,734
Ratio of Expenses to Average Net Assets............ 0.13%(E) 0.13% 0.13% 0.15% 0.16% 0.16%
Ratio of Expenses to Average Net Assets (Excluding
Fees Paid Indirectly)............................. 0.13%(E) 0.13% 0.13% 0.15% 0.16% 0.16%
Ratio of Net Investment Income to Average
Net Assets........................................ 3.35%(E) 4.17% 3.96% 4.64% 4.26% 3.78%
Portfolio Turnover Rate............................ 3%(D) 7% 7% 9% 18% 17%
-------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
251
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The United Kingdom Small Company Series
--------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012 2011
---------------------------------------------------------------------------
(Unaudited)
-------------------------------------------------------------------------------------------------------------------------------
Total Return....................................... (4.79)%(D) 9.95% 1.22% 37.42% 23.41% 0.20%
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).............. $1,798,702 $2,084,113 $1,995,898 $1,988,287 $1,464,838 $1,133,845
Ratio of Expenses to Average Net Assets............ 0.12%(E) 0.11% 0.11% 0.12% 0.13% 0.13%
Ratio of Expenses to Average Net Assets (Excluding
Fees Paid Indirectly)............................. 0.12%(E) 0.11% 0.11% 0.12% 0.13% 0.13%
Ratio of Net Investment Income to Average
Net Assets........................................ 4.89%(E) 3.44% 2.98% 3.29% 3.37% 3.76%
Portfolio Turnover Rate............................ 5%(D) 10% 8% 17% 6% 7%
-------------------------------------------------------------------------------------------------------------------------------
The Continental Small Company Series
--------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012 2011
----------------------------------------------------------------------------
(Unaudited)
--------------------------------------------------------------------------------------------------------------------------------
Total Return....................................... 4.24%(D) 9.81% (2.25)% 43.67% 2.29% (10.75)%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).............. $4,038,830 $3,653,743 $3,152,277 $3,217,766 $2,245,179 $2,001,763
Ratio of Expenses to Average Net Assets............ 0.13%(E) 0.13% 0.13% 0.14% 0.16% 0.15%
Ratio of Expenses to Average Net Assets (Excluding
Fees Paid Indirectly)............................. 0.13%(E) 0.13% 0.13% 0.14% 0.16% 0.15%
Ratio of Net Investment Income to Average
Net Assets........................................ 2.37%(E) 2.44% 2.40% 2.67% 3.15% 2.72%
Portfolio Turnover Rate............................ 1%(D) 14% 13% 13% 9% 10%
--------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
252
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The Canadian Small Company Series
-----------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012 2011
------------------------------------------------------------------
(Unaudited)
--------------------------------------------------------------------------------------------------------------------------------
Total Return................................................. 20.29%(D) (25.00)% (3.83)% 5.71% (2.51)% 0.27%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)........................ $767,683 $623,132 $849,429 $741,204 $689,086 $736,262
Ratio of Expenses to Average Net Assets...................... 0.12%(E) 0.12% 0.12% 0.13% 0.15% 0.14%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly)................................................. 0.12%(E) 0.12% 0.12% 0.13% 0.15% 0.14%
Ratio of Net Investment Income to Average Net Assets......... 2.82%(E) 2.73% 2.42% 2.99% 2.29% 1.72%
Portfolio Turnover Rate...................................... 3%(D) 18% 5% 14% 22% 24%
--------------------------------------------------------------------------------------------------------------------------------
The Emerging Markets Series
--------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012 2011
----------------------------------------------------------------------------
(Unaudited)
--------------------------------------------------------------------------------------------------------------------------------
Total Return....................................... 1.89%(D) (14.86)% 1.74% 6.99% 4.55% (6.44)%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).............. $4,545,731 $4,403,555 $4,185,451 $3,766,160 $2,913,307 $2,439,981
Ratio of Expenses to Average Net Assets............ 0.16%(E) 0.16% 0.15% 0.16% 0.20% 0.20%
Ratio of Expenses to Average Net Assets (Excluding
Fees Paid Indirectly)............................. 0.16%(E) 0.16% 0.15% 0.16% 0.20% 0.20%
Ratio of Net Investment Income to Average
Net Assets........................................ 1.73%(E) 2.39% 2.51% 2.38% 2.55% 2.48%
Portfolio Turnover Rate............................ 4%(D) 9% 5% 4% 5% 16%
--------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
253
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The Emerging Markets Small Cap Series
--------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012 2011
----------------------------------------------------------------------------
(Unaudited)
--------------------------------------------------------------------------------------------------------------------------------
Total Return....................................... 4.82%(D) (9.42)% 5.60% 9.41% 7.19% (12.94)%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).............. $5,130,832 $4,898,307 $4,921,438 $4,091,523 $2,953,350 $1,874,926
Ratio of Expenses to Average Net Assets............ 0.27%(E) 0.26% 0.26% 0.29% 0.36% 0.33%
Ratio of Expenses to Average Net Assets (Excluding
Fees Paid Indirectly)............................. 0.27%(E) 0.27% 0.26% 0.29% 0.36% 0.33%
Ratio of Net Investment Income to Average
Net Assets........................................ 2.29%(E) 2.62% 2.48% 2.37% 2.48% 2.32%
Portfolio Turnover Rate............................ 9%(D) 18% 9% 11% 13% 18%
--------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
254
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven portfolios, nine of which are included in this section
of the report (collectively, the "Series"). The remaining operational
portfolios are presented in separate reports.
Domestic Equity Portfolio International Equity Portfolios
------------------------- -------------------------------
The U.S. Large Cap Value Series The DFA International Value Series
The Japanese Small Company Series
The Asia Pacific Small Company Series
The United Kingdom Small Company Series
The Continental Small Company Series
The Canadian Small Company Series
The Emerging Markets Series
The Emerging Markets Small Cap Series
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. Security Valuation: The Series utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Domestic Equity Portfolio and the International
Equity Portfolios, including over-the-counter securities, are valued at the
last quoted sale price of the day. 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 within
the range 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.
255
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 Trustees of the Trust. 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 of the Series 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 Trustees of
the International Equity Portfolios has determined that movements in relevant
indices or other appropriate market indicators, after the close of the Tokyo
Stock Exchange or the London Stock Exchange, demonstrate that market quotations
may be unreliable. Fair valuation of portfolio securities may occur on a daily
basis. The fair value pricing by the International Equity Portfolios utilizes
data furnished by an independent pricing service (and that data draws upon,
among other information, the market values of foreign investments). When 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. 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 Series' investments by each major
security type, industry and/or country is disclosed previously in this note.
Valuation hierarchy tables have been included at the end of the Summary
Schedules of Portfolio Holdings. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
Transfers between investment levels may occur as the markets fluctuate
and/or the availability of data used in an investment's valuation changes. The
Series recognize transfers between the levels as of the end of the period. As
of April 30, 2016, Emerging Markets Portfolio and Emerging Markets Small Cap
Portfolio had significant transfers of securities with a total value of
$261,186 and $463,873 (in thousands), respectively, that transferred from Level
2 to Level 1 because fair value procedures were no longer applied.
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.
256
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 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 Trustees
may defer payment of all or a portion of their total fees earned as a Trustee.
These deferred amounts may be treated as though such amounts had been invested
in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core
Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio;
U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core
Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity
Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions
made under the Plan and the change in unrealized appreciation (depreciation)
and income are included in Trustees' Fees & Expenses.
Each Trustee has the option to receive their distribution of proceeds in one
of the following methods: lump sum; annual installments over a period of
agreed-upon years; or quarterly installments over a period of agreed-upon
years. Each Trustee shall have the right in a notice of election (the "Notice")
to defer the receipt of the Trustee's deferred compensation until a date
specified by such Trustee in the Notice, which date may not be sooner than the
earlier of: (i) the first business day of January following the year in which
such Trustee ceases to be a member of the Board of Trustees of the Trust; and
(ii) five years following the effective date of the Trustee's first deferral
election. If a Trustee who elects to defer fees fails to designate in the
Notice a time or date as of which payment of the Trustee's deferred fee account
shall commence, payment of such amount shall commence as of the first business
day of January following the year in which the Trustee ceases to be a member of
the Board (unless the Trustee files an amended Notice selecting a different
distribution date). As of April 30, 2016, none of the 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 accounted for 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 the Series are
allocated using methods approved by the Board of 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.
257
C. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Series. For the six months ended April 30, 2016, the Series'
investment 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 six months ended April 30, 2016, expenses reduced were as follows
(amounts in thousands):
Fees Paid
Indirectly
----------
The DFA International Value Series...... $25
The Japanese Small Company Series....... 1
The Asia Pacific Small Company Series... 2
The United Kingdom Small Company Series. --
The Continental Small Company Series.... 7
The Canadian Small Company Series....... --
The Emerging Markets Series............. 12
The Emerging Markets Small Cap Series... 4
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Trustees of the Advisor are also Officers and Trustees
of the Trust; however, such Officers and Trustees (with the exception of the
Chief Compliance Officer ("CCO")) receive no compensation from the Trust. For
the six months ended April 30, 2016, the total related amounts paid by the
Trust to the CCO were $42 (in thousands). The total related amounts paid by
each of the Series are included in Other Expenses on the Statement of
Operations.
D. Deferred Compensation:
At April 30, 2016, the total liability for deferred compensation to 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......... $459
The DFA International Value Series...... 313
The Japanese Small Company Series....... 72
The Asia Pacific Small Company Series... 37
The United Kingdom Small Company Series. 49
The Continental Small Company Series.... 91
The Canadian Small Company Series....... 22
The Emerging Markets Series............. 118
The Emerging Markets Small Cap Series... 92
258
E. Purchases and Sales of Securities:
For the six months ended April 30, 2016, the Series made the following
purchases and sales of investment securities, other than short-term securities
and U.S. government securities (amounts in thousands):
Purchases Sales
---------- ----------
The U.S. Large Cap Value Series......... $2,097,033 $1,576,121
The DFA International Value Series...... 1,118,820 781,486
The Japanese Small Company Series....... 58,052 78,213
The Asia Pacific Small Company Series... 94,178 38,087
The United Kingdom Small Company Series. 89,066 176,750
The Continental Small Company Series.... 322,984 47,543
The Canadian Small Company Series....... 45,394 21,228
The Emerging Markets Series............. 222,649 175,939
The Emerging Markets Small Cap Series... 447,075 431,885
There were no purchases or sales of long-term U.S. government securities.
F. Federal Income Taxes:
No provision for federal income taxes is required since the Series are
treated as partnerships for federal income tax purposes. Any net investment
income and realized and unrealized gains and losses have been deemed to have
been "passed down" to their respective partners.
At April 30, 2016, 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......... $14,944,735 $5,819,718 $ (476,991) $5,342,727
The DFA International Value Series...... 9,979,881 1,024,400 (1,256,940) (232,540)
The Japanese Small Company Series....... 2,739,847 503,536 (358,837) 144,699
The Asia Pacific Small Company Series... 1,793,938 287,814 (414,671) (126,857)
The United Kingdom Small Company Series. 1,556,744 485,141 (207,865) 277,276
The Continental Small Company Series.... 3,929,673 1,166,483 (493,804) 672,679
The Canadian Small Company Series....... 1,178,235 112,994 (345,958) (232,964)
The Emerging Markets Series............. 4,057,940 1,094,308 (448,567) 645,741
The Emerging Markets Small Cap Series... 5,993,234 881,867 (1,078,988) (197,121)
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.
259
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. Forward Currency Contracts: The International Equity Portfolios may
acquire and sell forward currency contracts to hedge against adverse changes in
the relationship of the U.S. dollar to foreign currencies (foreign exchange
rate risk). The decision to hedge a Series' currency exposure with respect to a
foreign market will be based primarily on the Series' existing exposure to a
given foreign currency. Each contract is valued daily and the change in value
is recorded by the Series 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 Series records a
realized gain or loss equal to the change in the value of the contract when it
was opened and the value at the time it was closed or offset. This is presented
in the Statements of Operations as a net realized gain or loss on foreign
currency transactions.
At April 30, 2016, the following Series had entered into the following
contracts and the net unrealized foreign exchange gain (loss) is reflected in
the accompanying financial statements (amounts in thousands):
The DFA International Value Series*
Unrealized
Foreign
Settlement Currency Contract Value at Exchange
Date Amount** Currency Counterparty Amount April 30, 2016 Gain (Loss)
---------- -------- ----------------- -------------- -------- -------------- -----------
05/03/16 (4,990) Australian Dollar Citibank, N.A. $(3,796) $(3,794) $2
------- ------- --
$(3,796) $(3,794) $2
======= ======= ==
* During the six months ended April 30, 2016, the Series' average contract
amount of forward currency contracts was $633 (in thousands).
**Positive Currency Amount represents a purchase contract and a Currency Amount
in parentheses represents a sale contract.
The Asia Pacific Small Company Series*
Unrealized
Foreign
Settlement Currency Contract Value at Exchange
Date Amount** Currency Counterparty Amount April 30, 2016 Gain (Loss)
---------- -------- ----------------- -------------- -------- -------------- -----------
05/03/16 1,121 Australian Dollar Citibank, N.A. $ 853 $ 853 $--
05/03/16 6,831 Hong Kong Dollar Citibank, N.A. 880 880 --
05/04/16. 4,298 Hong Kong Dollar Citibank, N.A. 554 554 --
------ ------ ---
$2,287 $2,287 $--
====== ====== ===
* During the six months ended April 30, 2016, the Series' average contract
amount of forward currency contracts was $381 (in thousands).
**Positive Currency Amount represents a purchase contract and a Currency Amount
in parentheses represents a sale contract.
260
THE CANADIAN SMALL COMPANY SERIES*
UNREALIZED
FOREIGN
SETTLEMENT CURRENCY CONTRACT VALUE AT EXCHANGE
DATE AMOUNT** CURRENCY COUNTERPARTY AMOUNT APRIL 30, 2016 GAIN (LOSS)
---------- -------- --------------- --------------------------- -------- -------------- -----------
05/02/16 991 Canadian Dollar HSBC Bank $ 789 $ 789 $--
05/03/16 415 Canadian Dollar State Street Bank and Trust 331 331 --
------ ------ ---
$1,120 $1,120 $--
====== ====== ===
* During the six months ended April 30, 2016, the Series' average contract
amount of forward currency contracts was $187 (in thousands).
**Positive Currency Amount represents a purchase contract and a Currency Amount
in parentheses represents a sale contract.
THE EMERGING MARKETS SERIES*
UNREALIZED
FOREIGN
SETTLEMENT CURRENCY CONTRACT VALUE AT EXCHANGE
DATE AMOUNT** CURRENCY COUNTERPARTY AMOUNT APRIL 30, 2016 GAIN (LOSS)
---------- -------- ---------------- -------------- -------- -------------- -----------
05/04/16 13,146 Hong Kong Dollar Citibank, N.A. $1,695 $1,695 $--
------ ------ ---
$1,695 $1,695 $--
====== ====== ===
* During the six months ended April 30, 2016, the Series' average contract
amount of forward currency contracts was $282 (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: The Series may purchase or sell futures contracts
and options on futures contracts for equity securities and indices to adjust
market exposure based on actual or expected cash inflows to or outflows from
the Series. The Series, however, do not intend to sell futures contracts to
establish short positions in individual securities. 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 April 30, 2016, the following Series had the following outstanding
futures contracts (dollar amounts in thousands):
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS* VALUE GAIN (LOSS) COLLATERAL
------------------- ---------- ---------- -------- ----------- ----------
The U.S. Large Cap Value
Series................. S&P 500 Emini Index(R) 06/17/16 1,280 $131,782 $3,800 $5,760
-------- ------ ------
$131,782 $3,800 $5,760
======== ====== ======
* During the six months ended April 30, 2016, The U.S. Large Cap Value Series'
average notional contract amount of outstanding futures contracts was $78,128
(amount in thousands).
261
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS* VALUE GAIN (LOSS) COLLATERAL
------------------------ ---------- ---------- -------- ----------- ----------
The DFA International Value
Series.................... Mini MSCI EAFE Index(R) 06/17/16 400 $33,238 $1,441 $1,162
The DFA International Value
Series.................... S&P 500 Emini Index(R) 06/17/16 342 35,211 (241) 1,230
------- ------ ------
$68,449 $1,200 $2,392
======= ====== ======
* During the six months ended April 30, 2016, The DFA International Value
Series' average notional contract amount of outstanding futures contracts was
$46,340 (amount in thousands).
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS* VALUE GAIN (LOSS) COLLATERAL
-------------------------------- ---------- ---------- -------- ----------- ----------
The Emerging
Markets Series. Mini MSCI Emerging Markets Index(R) 06/17/16 830 $34,794 $1,130 $1,494
------- ------ ------
$34,794 $1,130 $1,494
======= ====== ======
* During the six months ended April 30, 2016, The Emerging Markets Series'
average notional contract amount of outstanding futures contracts was $9,461
(amount in thousands).
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS* VALUE GAIN (LOSS) COLLATERAL
-------------------------------- ---------- ---------- -------- ----------- ----------
The Emerging Markets
Small Cap Series... Mini MSCI Emerging Markets Index(R) 06/17/16 735 $30,811 $744 $1,323
------- ---- ------
$30,811 $744 $1,323
======= ==== ======
* During the six months ended April 30, 2016, The Emerging Markets Small Cap
Series' average notional contract amount of outstanding futures contracts was
$13,742 (amount in thousands).
The following is a summary of the location of derivatives on the Series'
Statements of Assets and Liabilities as of April 30, 2016:
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 Payables: Futures Margin
Margin Variation Variation
The following is a summary of the Series' derivative instrument holdings
categorized by primary risk exposure as of April 30, 2016 (amounts in
thousands):
ASSET DERIVATIVES VALUE
--------------------------------
TOTAL VALUE FOREIGN
AT EXCHANGE EQUITY
APRIL 30, 2016 CONTRACTS CONTRACTS
- -------------- --------- ---------
The U.S. Large Cap Value Series....... 3,800 -- 3,800*
The DFA International Value Series.... 1,443 2 1,441*
The Emerging Markets Series........... 1,130 -- 1,130*
The Emerging Markets Small Cap Series. 744 -- 744*
LIABILITY DERIVATIVES VALUE
- --------------------------------
TOTAL VALUE FOREIGN
AT EXCHANGE EQUITY
APRIL 30, 2016 CONTRACTS CONTRACTS
- -------------- --------- ---------
The DFA International Value Series.... (241) -- (241)*
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statement of Assets and
Liabilities.
262
The following is a summary of the location and value of derivative
instrument holdings on the Series' Statements of Operations categorized by
primary risk exposure for the six months ended April 30, 2016:
DERIVATIVE TYPE LOCATION OF GAIN (LOSS) ON DERIVATIVES
--------------- --------------------------------------
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 Series' derivative instrument holdings categorized by
primary risk exposure through the six months ended April 30, 2016 (amounts in
thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
------------------------------
FOREIGN
EXCHANGE EQUITY
TOTAL CONTRACTS CONTRACTS
----- --------- ---------
The U.S. Large Cap Value Series....... 9,023 -- 9,023
The DFA International Value Series.... 4,655 184 4,471
The Continental Small Company Series.. 687 -- 687
The Emerging Markets Series........... 853 (2) 855
The Emerging Markets Small Cap Series. 2,718 -- 2,718
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES
------------------------------
FOREIGN
EXCHANGE EQUITY
TOTAL CONTRACTS CONTRACTS
----- --------- ---------
The U.S. Large Cap Value Series....... 3,800 -- 3,800
The DFA International Value Series.... 1,202 2 1,200
The Asia Pacific Small Company Series. (1) (1) --
The Continental Small Company Series.. 19 -- 19
The Emerging Markets Series........... 1,130 -- 1,130
The Emerging Markets Small Cap Series. 744 -- 744
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 March 30, 2016, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 29, 2016. 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 29, 2017.
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 8, 2016. A line of credit with
similar terms was in effect through January 7, 2016. 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
263
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 7, 2017.
For the six months ended April 30, 2016, 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....... 0.87% $53,510 3 $ 4 $56,418
The DFA International Value Series.... 0.93% 4,064 12 $ 1 10,760
The Japanese Small Company Series..... 1.06% 4,697 23 3 35,507
The Asia Pacific Small Company Series. 1.00% 87 6 -- 124
The United Kingdom Small Company
Series.............................. 1.02% 3,235 16 1 18,012
The Continental Small Company Series.. 1.06% 3,141 4 -- 4,054
The Emerging Markets Series........... 1.04% 13,399 27 10 27,055
The Emerging Markets Small Cap Series. 0.99% 5,435 17 3 12,660
* Number of Days Outstanding represents the total of single or consecutive days
during the six months ended April 30, 2016, that each Series' available line
of credit was utilized.
As of April 30, 2016, The DFA International Value Series had loans
outstanding in the amount of $529 (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.
lnterfund 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 six
months ended April 30, 2016.
I. AFFILIATED TRADES:
Cross trades for the six months ended April 30, 2016, if any, were executed
by the Series pursuant to procedures adopted by the Board of Trustees of the
Trust 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 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 six months ended April 30, 2016, cross trades by the Series under
Rule 17a-7 were as follows (amounts in thousands):
REALIZED
PORTFOLIO PURCHASES SALES GAIN (LOSS)
--------- --------- ------ -----------
The U.S. Large Cap Value Series....... 67,933 89,590 3,047
The DFA International Value Series.... 155 2,914 (210)
The Asia Pacific Small Company Series. 970 -- --
264
J. SECURITIES LENDING:
As of April 30, 2016, 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 as follows (amounts in thousands):
MARKET
VALUE
--------
The U.S. Large Cap Value Series....... $667,585
The DFA International Value Series.... 103
The Japanese Small Company Series..... 7,697
The Asia Pacific Small Company Series. 25,649
The Continental Small Company Series.. 273
The Canadian Small Company Series..... 4,143
The Emerging Markets Series........... 131,046
The Emerging Markets Small Cap Series. 380,131
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 in an amount (i) equal to at least 100% of the current market value
of the loaned securities with respect to securities of the U.S. government or
its agencies, (ii) generally equal to 102% of the current market value of the
loaned securities with respect to U.S. securities, and (iii) generally equal to
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.
265
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of April 30, 2016:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF APRIL 30, 2016
------------------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
-------------- -------- ------------ -------- --------------
SECURITIES LENDING TRANSACTIONS
THE U.S. LARGE CAP VALUE SERIES
Bonds..................................... $ 681,194,103 $-- $-- $-- $ 681,194,103
THE DFA INTERNATIONAL VALUE SERIES
Bonds..................................... $ 677,033,964 $-- $-- $-- $ 677,033,964
THE JAPANESE SMALL COMPANY SERIES
Bonds..................................... $ 300,362,781 $-- $-- $-- $ 300,362,781
THE ASIA PACIFIC SMALL COMPANY SERIES
Bonds..................................... $ 290,192,573 $-- $-- $-- $ 290,192,573
THE UNITED KINGDOM SMALL COMPANY
SERIES
Bonds..................................... $ 51,178,392 $-- $-- $-- $ 51,178,392
THE CONTINENTAL SMALL COMPANY SERIES
Bonds..................................... $ 585,473,541 $-- $-- $-- $ 585,473,541
THE CANADIAN SMALL COMPANY SERIES
Bonds..................................... $ 180,764,765 $-- $-- $-- $ 180,764,765
THE EMERGING MARKETS SERIES
Bonds..................................... $ 212,173,878 $-- $-- $-- $ 212,173,878
THE EMERGING MARKETS SMALL CAP SERIES
Bonds..................................... $ 723,854,282 $-- $-- $-- $ 723,854,282
-------------- --- --- --- --------------
Total Borrowings........................... $3,702,228,279 $-- $-- $-- $3,702,228,279
-------------- --- --- --- --------------
Gross amount of recognized liabilities for
securities lending transactions.......... $3,702,228,279
==============
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 that provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
L. OTHER:
The Series and the Trust are subject to claims and suits that arise from
time to time in the ordinary course of business. Although management currently
believes that resolving claims against us, individually or in aggregate, will
not have a material adverse impact on our financial position, our results of
operations, or our cash flows, these matters are subject to inherent
uncertainties and management's view of these matters may change in the future.
The 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
266
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 parties appealed the Court's dismissal
order to the Second Circuit, and, on March 29, 2016, the Second Circuit
affirmed the dismissal, albeit on the grounds that the individual creditor
plaintiffs' claims are preempted by the Bankruptcy Code's safe harbor for
securities transactions. The individual creditor plaintiffs have petitioned the
Second Circuit for rehearing of the appeal, and that petition is pending. 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 respective net asset values 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 respective net asset values of
The U.S. Large Cap Value Series 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 .
M. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the Series
and has determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
267
DIMENSIONAL EMERGING MARKETS VALUE FUND
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2016
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/15 04/30/16 Ratio* Period*
--------- --------- ---------- --------
Dimensional Emerging Markets Value Fund
---------------------------------------
Actual Fund Return $1,000.00 $1,044.90 0.16% $0.81
Hypothetical 5% Annual Return $1,000.00 $1,024.07 0.16% $0.81
----------
* 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 (182), then divided
by the number of days in the year (366) to reflect the six-month period.
268
DIMENSIONAL EMERGING MARKETS VALUE FUND
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For the
Dimensional Emerging Markets Value Fund, this would be for the fiscal quarters
ending January 31 and July 31. The Form N-Q filing must be made within 60 days
of the end of the quarter. Dimensional Emerging Markets Value Fund filed its
most recent Form N-Q with the SEC on March 31, 2016. 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
regulations 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....................... 9.6%
Consumer Staples............................. 4.7%
Energy....................................... 14.8%
Financials................................... 32.0%
Health Care.................................. 0.4%
Industrials.................................. 10.4%
Information Technology....................... 7.5%
Materials.................................... 16.5%
Telecommunication Services................... 1.9%
Utilities.................................... 2.2%
-----
100.0%
269
DIMENSIONAL EMERGING MARKETS VALUE FUND
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2016
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (89.8%)
BELGIUM -- (0.0%)
Other Securities.................................... $ 8,689 0.0%
-------------- -----
BRAZIL -- (5.6%)
Banco do Brasil SA.................................. 11,814,302 75,950,925 0.5%
BM&FBovespa SA -- Bolsa de Valores Mercadorias e
Futuros............................................ 29,361,462 146,668,581 0.9%
* Petroleo Brasileiro SA Sponsored ADR................ 22,735,012 175,286,943 1.1%
Vale SA Sponsored ADR............................... 18,793,165 106,557,246 0.7%
Other Securities.................................... 432,322,646 2.8%
-------------- -----
TOTAL BRAZIL............................................ 936,786,341 6.0%
-------------- -----
CHILE -- (1.5%)
Other Securities.................................... 255,557,151 1.6%
-------------- -----
CHINA -- (12.8%)
Agricultural Bank of China, Ltd. Class H............ 188,329,000 67,970,383 0.4%
Bank of China, Ltd. Class H......................... 535,573,817 216,850,814 1.4%
China Construction Bank Corp. Class H............... 655,229,101 416,153,725 2.7%
China Petroleum & Chemical Corp. ADR................ 1,123,431 79,505,198 0.5%
China Unicom Hong Kong, Ltd. ADR.................... 7,246,321 84,781,956 0.6%
CNOOC, Ltd.......................................... 100,944,000 124,698,172 0.8%
Industrial & Commercial Bank of China, Ltd. Class H. 331,329,996 177,394,368 1.1%
Other Securities.................................... 979,800,225 6.1%
-------------- -----
TOTAL CHINA............................................. 2,147,154,841 13.6%
-------------- -----
COLOMBIA -- (0.2%)
Other Securities.................................... 33,237,484 0.2%
-------------- -----
CZECH REPUBLIC -- (0.3%)
Other Securities.................................... 45,107,822 0.3%
-------------- -----
GREECE -- (0.1%)
Other Securities.................................... 8,432,456 0.1%
-------------- -----
HONG KONG -- (0.0%)
Other Securities.................................... 496,273 0.0%
-------------- -----
HUNGARY -- (0.6%)
OTP Bank P.L.C...................................... 3,169,912 83,993,406 0.5%
Other Securities.................................... 16,959,236 0.1%
-------------- -----
TOTAL HUNGARY........................................... 100,952,642 0.6%
-------------- -----
INDIA -- (10.9%)
ICICI Bank, Ltd. Sponsored ADR...................... 16,722,630 117,894,541 0.8%
Reliance Industries, Ltd............................ 20,407,674 301,143,509 1.9%
* Tata Motors, Ltd.................................... 13,804,539 84,465,246 0.6%
Other Securities.................................... 1,337,125,341 8.4%
-------------- -----
TOTAL INDIA............................................. 1,840,628,637 11.7%
-------------- -----
INDONESIA -- (2.6%)
Bank Mandiri Persero Tbk PT......................... 91,442,931 66,472,082 0.4%
Other Securities.................................... 377,233,286 2.4%
-------------- -----
TOTAL INDONESIA......................................... 443,705,368 2.8%
-------------- -----
ISRAEL -- (0.0%)
Other Securities.................................... -- 0.0%
-------------- -----
270
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
MALAYSIA -- (3.9%)
Other Securities.................................... $ 652,252,308 4.1%
-------------- -----
MEXICO -- (5.7%)
Alfa S.A.B. de C.V. Class A......................... 34,589,985 65,059,848 0.4%
* Cemex S.A.B. de C.V. Sponsored ADR.................. 13,493,350 100,525,458 0.6%
Fomento Economico Mexicano S.A.B. de C.V. Sponsored
ADR................................................ 1,873,583 174,636,671 1.1%
Grupo Financiero Banorte S.A.B. de C.V. Class O..... 21,258,812 120,870,636 0.8%
Grupo Mexico S.A.B. de C.V. Series B................ 34,196,398 86,978,484 0.6%
Other Securities.................................... 405,870,306 2.6%
-------------- -----
TOTAL MEXICO............................................ 953,941,403 6.1%
-------------- -----
PHILIPPINES -- (1.2%)
Other Securities.................................... 196,109,817 1.2%
-------------- -----
POLAND -- (1.7%)
Polski Koncern Naftowy Orlen SA..................... 3,909,419 70,508,196 0.5%
Other Securities.................................... 217,883,885 1.3%
-------------- -----
TOTAL POLAND............................................ 288,392,081 1.8%
-------------- -----
RUSSIA -- (2.5%)
Gazprom PAO Sponsored ADR........................... 63,832,740 331,673,577 2.1%
LUKOIL PJSC ADR..................................... 1,509,582 64,319,675 0.4%
Other Securities.................................... 18,883,789 0.1%
-------------- -----
TOTAL RUSSIA............................................ 414,877,041 2.6%
-------------- -----
SOUTH AFRICA -- (8.4%)
* AngloGold Ashanti, Ltd. Sponsored ADR............... 5,678,422 93,410,042 0.6%
Gold Fields, Ltd. Sponsored ADR..................... 12,391,918 58,242,015 0.4%
Sanlam, Ltd......................................... 14,352,224 69,699,652 0.4%
Sasol, Ltd.......................................... 3,753,626 122,781,669 0.8%
Standard Bank Group, Ltd............................ 16,569,484 148,799,587 0.9%
Steinhoff International Holdings NV................. 26,504,646 165,800,635 1.1%
Other Securities.................................... 762,634,584 4.8%
-------------- -----
TOTAL SOUTH AFRICA...................................... 1,421,368,184 9.0%
-------------- -----
SOUTH KOREA -- (13.8%)
Hana Financial Group, Inc........................... 3,086,346 69,209,906 0.5%
Hyundai Motor Co.................................... 1,311,874 164,602,889 1.1%
Hyundai Steel Co.................................... 1,050,773 57,636,492 0.4%
KB Financial Group, Inc. ADR........................ 3,033,727 92,255,638 0.6%
Kia Motors Corp..................................... 1,531,475 64,232,628 0.4%
LG Electronics, Inc................................. 1,692,217 86,108,297 0.6%
POSCO............................................... 610,074 127,819,714 0.8%
POSCO ADR........................................... 1,559,371 81,118,479 0.5%
Shinhan Financial Group Co., Ltd.................... 3,715,255 136,223,334 0.9%
SK Innovation Co., Ltd.............................. 597,717 80,726,056 0.5%
Other Securities.................................... 1,352,491,182 8.4%
-------------- -----
TOTAL SOUTH KOREA....................................... 2,312,424,615 14.7%
-------------- -----
TAIWAN -- (13.0%)
First Financial Holding Co., Ltd.................... 146,481,416 71,636,661 0.5%
Fubon Financial Holding Co., Ltd.................... 88,406,471 107,088,420 0.7%
Mega Financial Holding Co., Ltd..................... 128,426,796 91,015,166 0.6%
United Microelectronics Corp........................ 216,382,681 80,270,145 0.5%
Other Securities.................................... 1,833,187,527 11.6%
-------------- -----
TOTAL TAIWAN............................................ 2,183,197,919 13.9%
-------------- -----
271
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
THAILAND -- (3.2%)
PTT Global Chemical PCL.............. 33,388,741 $ 59,742,236 0.4%
PTT PCL.............................. 21,629,500 188,244,145 1.2%
Other Securities..................... 297,979,424 1.9%
--------------- ------
TOTAL THAILAND............................. 545,965,805 3.5%
--------------- ------
TURKEY -- (1.8%)
Other Securities..................... 311,212,093 2.0%
--------------- ------
TOTAL COMMON STOCKS........................ 15,091,808,970 95.8%
--------------- ------
PREFERRED STOCKS -- (2.9%)
BRAZIL -- (2.8%)
* Petroleo Brasileiro SA............... 28,867,973 85,867,373 0.6%
* Petroleo Brasileiro SA Sponsored ADR. 22,867,709 134,919,483 0.9%
Vale SA.............................. 23,147,649 105,937,049 0.7%
Vale SA Sponsored ADR................ 12,556,282 57,005,520 0.4%
Other Securities..................... 93,630,516 0.4%
--------------- ------
TOTAL BRAZIL............................... 477,359,941 3.0%
--------------- ------
CHILE -- (0.0%)
Other Securities..................... 61,906 0.0%
--------------- ------
COLOMBIA -- (0.1%)
Other Securities..................... 14,691,549 0.1%
--------------- ------
TOTAL PREFERRED STOCKS..................... 492,113,396 3.1%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
BRAZIL -- (0.0%)
Other Securities..................... 75,279 0.0%
--------------- ------
MALAYSIA -- (0.0%)
Other Securities..................... 76,047 0.0%
--------------- ------
POLAND -- (0.0%)
Other Securities..................... -- 0.0%
--------------- ------
SOUTH KOREA -- (0.0%)
Other Securities..................... 206,459 0.0%
--------------- ------
THAILAND -- (0.0%)
Other Securities..................... 3,880,788 0.0%
--------------- ------
TOTAL RIGHTS/WARRANTS...................... 4,238,573 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES................ 15,588,160,939
---------------
Value+
------
SECURITIES LENDING COLLATERAL -- (7.3%)
(S)@ DFA Short Term Investment Fund....... 105,719,937 1,223,179,673 7.8%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $19,120,997,752)................. $16,811,340,612 106.7%
=============== ======
272
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Summary of the Fund's investments as of April 30, 2016, 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
Belgium..................... -- $ 8,689 -- $ 8,689
Brazil...................... $ 936,786,341 -- -- 936,786,341
Chile....................... 93,032,364 162,524,787 -- 255,557,151
China....................... 211,254,845 1,935,899,996 -- 2,147,154,841
Colombia.................... 33,237,484 -- -- 33,237,484
Czech Republic.............. -- 45,107,822 -- 45,107,822
Greece...................... -- 8,432,456 -- 8,432,456
Hong Kong................... -- 496,273 -- 496,273
Hungary..................... -- 100,952,642 -- 100,952,642
India....................... 133,840,939 1,706,787,698 -- 1,840,628,637
Indonesia................... 2,495,485 441,209,883 -- 443,705,368
Israel...................... -- -- -- --
Malaysia.................... -- 652,252,308 -- 652,252,308
Mexico...................... 951,424,728 2,516,675 -- 953,941,403
Philippines................. -- 196,109,817 -- 196,109,817
Poland...................... -- 288,392,081 -- 288,392,081
Russia...................... 2,222,581 412,654,460 -- 414,877,041
South Africa................ 260,798,459 1,160,569,725 -- 1,421,368,184
South Korea................. 271,026,352 2,041,398,263 -- 2,312,424,615
Taiwan...................... 26,106,128 2,157,091,791 -- 2,183,197,919
Thailand.................... 544,838,353 1,127,452 -- 545,965,805
Turkey...................... -- 311,212,093 -- 311,212,093
Preferred Stocks
Brazil...................... 477,359,941 -- -- 477,359,941
Chile....................... -- 61,906 -- 61,906
Colombia.................... 14,691,549 -- -- 14,691,549
Rights/Warrants
Brazil...................... -- 75,279 -- 75,279
Malaysia.................... -- 76,047 -- 76,047
Poland...................... -- -- -- --
South Korea................. -- 206,459 -- 206,459
Thailand.................... -- 3,880,788 -- 3,880,788
Securities Lending Collateral. -- 1,223,179,673 -- 1,223,179,673
Futures Contracts**........... 2,018,225 -- -- 2,018,225
-------------- --------------- -- ---------------
TOTAL......................... $3,961,133,774 $12,852,225,063 -- $16,813,358,837
============== =============== == ===============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note F)
See accompanying Notes to Financial Statements.
273
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2016
(Unaudited)
(Amounts in thousands)
ASSETS:
Investments at Value (including $1,537,497 of securities on loan)*....... $15,588,161
Collateral from Securities on Loan Invested in Affiliate at Value & Cost. 1,223,180
Segregated Cash for Futures Contracts.................................... 4,595
Foreign Currencies at Value.............................................. 51,995
Cash..................................................................... 95,123
Receivables:
Investment Securities Sold............................................. 14,701
Dividends, Interest and Tax Reclaims................................... 7,999
Securities Lending Income.............................................. 2,885
Unrealized Gain on Foreign Currency Contracts............................ 10
-----------
Total Assets........................................................ 16,988,649
-----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned....................................... 1,223,180
Investment Securities Purchased........................................ 10,090
Due to Advisor......................................................... 1,265
Futures Margin Variation............................................... 624
Accrued Expenses and Other Liabilities................................... 2,625
-----------
Total Liabilities................................................... 1,237,784
-----------
NET ASSETS............................................................... $15,750,865
===========
Investments at Cost...................................................... $17,897,818
===========
Foreign Currencies at Cost............................................... $ 51,424
===========
----------
* See Note H in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
274
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2016
(Unaudited)
(Amounts in thousands)
Investment Income
Dividends (Net of Foreign Taxes Withheld of $14,910).......... $ 114,565
Income from Securities Lending................................ 16,045
---------
Total Investment Income.................................... 130,610
---------
Expenses
Investment Management Fees.................................... 7,014
Accounting & Transfer Agent Fees.............................. 374
Custodian Fees................................................ 3,172
Shareholders' Reports......................................... 24
Directors'/Trustees' Fees & Expenses.......................... 60
Professional Fees............................................. 225
Other......................................................... 382
---------
Total Expenses............................................. 11,251
---------
Fees Paid Indirectly (Note C)................................. (23)
---------
Net Expenses.................................................. 11,228
---------
Net Investment Income (Loss).................................. 119,382
---------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold*................................. (156,202)
Futures..................................................... 3,573
Foreign Currency Transactions............................... 389
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. 712,106
Futures..................................................... 2,018
Translation of Foreign Currency Denominated Amounts......... 147
---------
Net Realized and Unrealized Gain (Loss)....................... 562,031
---------
Net Increase (Decrease) in Net Assets Resulting from Operations. $ 681,413
=========
----------
* Net of foreign capital gain taxes withheld of $145.
See accompanying Notes to Financial Statements.
275
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Dimensional Emerging
Markets Value Fund
- ------------------------
Six Months Year
Ended Ended
April 30, Oct. 31,
2016 2015
- ----------- -----------
(Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).......................................... $ 119,382 $ 437,571
Net Realized Gain (Loss) on:
Investment Securities Sold*......................................... (156,202) (413,376)
Futures............................................................. 3,573 --
Foreign Currency Transactions....................................... 389 (7,896)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.......................... 712,106 (3,319,869)
Futures............................................................. 2,018 --
Translation of Foreign Currency Denominated Amounts................. 147 108
----------- -----------
Net Increase (Decrease) in Net Assets Resulting from Operations.... 681,413 (3,303,462)
----------- -----------
Transactions in Interest:
Contributions......................................................... 844,861 1,713,486
Withdrawals........................................................... (863,467) (2,249,483)
----------- -----------
Net Increase (Decrease) from Transactions in Interest.............. (18,606) (535,997)
----------- -----------
Total Increase (Decrease) in Net Assets............................ 662,807 (3,839,459)
Net Assets
Beginning of Period................................................... 15,088,058 18,927,517
----------- -----------
End of Period......................................................... $15,750,865 $15,088,058
=========== ===========
----------
* Net of foreign capital gain taxes withheld of $145 and $0, respectively.
See accompanying Notes to Financial Statements.
276
DIMENSIONAL EMERGING MARKETS VALUE FUND
FINANCIAL HIGHLIGHTS
Dimensional Emerging Markets Value Fund
---------------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012 2011
-----------------------------------------------------------------------------------
(Unaudited)
----------------------------------------------------------------------------------------------------------------------------
Total Return............................ 4.49%(D) (17.95)% (1.09)% 8.43% 1.10% (14.47)%
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $15,750,865 $15,088,058 $18,927,517 $19,427,286 $16,884,322 $14,003,579
Ratio of Expenses to Average Net Assets. 0.16%(E) 0.15% 0.15% 0.16% 0.20% 0.20%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)....... 0.16%(E) 0.15% 0.15% 0.16% 0.20% 0.20%
Ratio of Net Investment Income to
Average Net Assets..................... 1.70%(E) 2.54% 2.76% 2.32% 2.43% 2.29%
Portfolio Turnover Rate................. 6%(D) 14% 12% 6% 8% 5%
----------------------------------------------------------------------------------------------------------------------------
See accompanying Notes to Financial Statements.
277
DIMENSIONAL EMERGING MARKETS VALUE FUND
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Emerging Markets Value Fund Inc. ("DEM I") was organized as a
closed-end management investment company registered under the Investment
Company Act of 1940, as amended. Effective November 21, 1997, DEM I was
reorganized as an open-end management investment company. On October 27, 2009,
the Board of Directors and shareholders of DEM I approved an Agreement and Plan
of Reorganization that provided for the reorganization of DEM I from a Maryland
corporation to a Delaware statutory trust. Effective October 30, 2009, DEM I
transferred all of its assets and liabilities to Dimensional Emerging Markets
Value Fund ("DEM II" or the "Fund"), a Delaware statutory trust, in a tax-free
exchange under Internal Revenue Code (the "IRC") (S)368(a)(1)(F).
Effective November 1, 2009, the Fund, a master fund in a master-feeder
structure, elected with the consent of its holder(s) to change its U.S. federal
income tax classification from that of an association taxable as a corporation
to a partnership pursuant to Treasury Regulation (S)301.7701-3. The 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 of the day. 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 within the range 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 Trustees of the Fund. 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 of the Portfolio is calculated. When fair value pricing is
used, the prices of securities
278
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
Trustees of the Fund has determined that movements in relevant indices or other
appropriate market indicators, after the close of the Tokyo Stock Exchange or
the London Stock Exchange, demonstrate that market quotations may be
unreliable. Fair valuation of portfolio securities may occur on a daily basis.
The fair value pricing by the 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.
Futures contracts held by the Fund 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 Fund's investments by each major
security type, industry and/or country is disclosed previously in this note. A
valuation hierarchy table has been included at the end of the Summary Schedule
of Portfolio Holdings. The inputs or methodology used for valuing securities
are not necessarily an indication of the risk associated with investing in
those securities.
Transfers between investment levels may occur as the markets fluctuate
and/or the availability of data used in an investment's valuation changes. The
Fund recognizes transfers between the levels as of the end of the period. As of
April 30, 2016, the Fund had significant transfers of securities with a total
value of $870,103 (in thousands) that transferred from Level 2 to Level 1
because fair value procedures were no longer applied.
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 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 Trustees may
defer payment of all or a portion of their total fees earned as a Trustee.
These deferred amounts may be treated as though such amounts had been invested
in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core
Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio;
U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core
Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity
Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions
made under the Plan and the change in unrealized appreciation (depreciation)
and income are included in Trustees'
279
Fees & Expenses. At April 30, 2016, the total liability for deferred
compensation to Trustees is included in Accrued Expenses and Other Liabilities
on the Statement of Assets and Liabilities in the amount of $492 (in thousands).
Each Trustee has the option to receive their distribution of proceeds in one
of the following methods: lump sum; annual installments over a period of
agreed-upon years; or quarterly installments over a period of agreed-upon
years. Each Trustee shall have the right in a notice of election (the "Notice")
to defer the receipt of the Trustee's deferred compensation until a date
specified by such Trustee in the Notice, which date may not be sooner than the
earlier of: (i) the first business day of January following the year in which
such Trustee ceases to be a member of the Board of Trustees of the Fund; and
(ii) five years following the effective date of the Trustee's first deferral
election. If a Trustee who elects to defer fees fails to designate in the
Notice a time or date as of which payment of the Trustee's deferred fee account
shall commence, payment of such amount shall commence as of the first business
day of January following the year in which the Trustee ceases to be a member of
the Board (unless the Trustee files an amended Notice selecting a different
distribution date). As of April 30, 2016, none of the 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 accounted for 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 management
services to the Fund. For the six months ended April 30, 2016, the Fund's
investment 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.
EARNED INCOME CREDIT:
In addition, 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 six months ended April 30, 2016, expenses reduced were $23 (amount in
thousands).
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Trustees of the Advisor are also Officers and Trustees
of the Fund; however, such Officers and Trustees (with the exception of the
Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For
the six months ended April 30, 2016, the total related amounts paid by the Fund
to the CCO were $8 (in thousands). The total related amounts paid by the Fund
are included in Other Expenses on the Statement of Operations.
280
D. Purchases and Sales of Securities:
For the six months ended April 30, 2016, the Fund made the following
purchases and sales of investment securities, other than short-term securities
and U.S. government securities (amounts in thousands):
Purchases Sales
---------- --------
Dimensional Emerging Markets Value Fund. $1,132,274 $843,416
There were no purchases or sales of long-term U.S. government securities.
E. Federal Income Taxes:
No provision for federal income taxes is required since the Fund is treated
as a partnership for federal income tax purposes. Any net investment income and
realized and unrealized gains and losses have been deemed to have been "passed
down" to their respective partners.
At April 30, 2016, 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. $19,291,865 $1,984,870 $(4,465,394) $(2,480,524)
The difference between book-basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales and investments in passive foreign investment companies.
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed the Fund's tax
positions and has concluded that no additional provision for income tax is
required in the Fund's financial statements. The Fund is not aware of any tax
positions for which it is more likely than not that the total amounts of
unrecognized tax benefits will significantly change in the next twelve months.
The Fund's federal tax returns for the prior three fiscal years remain subject
to examination by the Internal Revenue Service.
F. Financial Instruments:
In accordance with the Fund's investment objective and policies, the Fund
may invest in certain financial instruments that have off-balance sheet risk in
excess of the amounts recognized in the financial statements and concentrations
of credit and market risk. These instruments and their significant
corresponding risks are described below:
1. Foreign Market Risks: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States of America, including the possibility of future political and
economic developments and the level of foreign governmental supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of securities held
by the Fund may be inhibited.
Derivative Financial Instruments:
Summarized below are the specific types of derivative instruments used by
the Fund.
2. Futures Contracts: The Fund may purchase or sell futures contracts and
options on futures contracts for equity securities and indices to adjust market
exposure based on actual or expected cash inflows to or outflows from the Fund.
The Fund, however, does not intend to sell futures contracts to establish short
positions in individual securities. Upon entering into a futures contract, the
Portfolios deposit cash or pledge U.S. Government securities
281
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 Fund as unrealized gains or losses until the
contracts are closed. When the contracts are closed, the Fund records a
realized gain or loss, which is presented in the Statements of Operations as a
net realized gain or loss on futures, equal to the difference between the value
of the contract at the time it was opened and the value at the time it was
closed.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Fund could lose more than the
initial margin requirements. Entering into stock index futures subjects the
Fund to equity price risk from those futures contracts. Counterparty credit
risk related to exchange-traded futures is minimal because the exchange's
clearinghouse, as counterparty to all exchange-traded futures, guarantees the
futures against default.
At April 30, 2016, the Fund had the following outstanding futures contracts
(dollar amounts in thousands):
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS* VALUE GAIN (LOSS) COLLATERAL
----------- ---------- ---------- -------- ----------- ----------
Mini MSCI Emerging Markets Index(R). 06/17/16 455 $ 19,074 $ 282 $ 831
S&P 500 Emini Index(R).............. 06/17/16 839 86,379 1,736 3,764
-------- ------ ------
$105,453 $2,018 $4,595
======== ====== ======
Securities have been segregated as collateral for open futures contracts.
* During the six months ended April 30, 2016, the Fund's average notional
contract amount of outstanding futures contracts was $48,115 (amount in
thousands).
The following is a summary of the location of derivatives on the Fund's
Statements of Assets and Liabilities as of April 30, 2016:
LOCATION ON THE STATEMENTS OF ASSETS AND
LIABILITIES
------------------------------------------
DERIVATIVE TYPE ASSET DERIVATIVES LIABILITY DERIVATIVES
--------------- -------------------- ---------------------
Equity contracts Receivables: Futures
Margin Variation
The following is a summary of the Fund's derivative instrument holdings
categorized by primary risk exposure as of April 30, 2016 (amounts in
thousands):
ASSET DERIVATIVES VALUE
------------------------
TOTAL VALUE
AT EQUITY
APRIL 30, 2016 CONTRACTS
-------------- ---------
Dimensional Emerging Markets Value Fund. 2,018 2,018
The following is a summary of the location on the Fund's Statements of
Operations of realized and change in unrealized gains and losses from the
Fund's derivative instrument holdings through the six months ended April 30,
2016:
DERIVATIVE TYPE LOCATION OF GAIN (LOSS) ON DERIVATIVES
--------------- -------------------------------------------------------------
Equity contracts Net Realized Gain (Loss) on: Futures
Change in Unrealized Appreciation (Depreciation) of: Futures
282
The following is a summary of the realized and change in unrealized gains
and losses from the Fund's derivative instrument holdings categorized by
primary risk exposure through the six months ended April 30, 2016 (amounts in
thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
------------------------------
FOREIGN
EXCHANGE EQUITY
TOTAL CONTRACTS CONTRACTS
----- --------- ---------
Dimensional Emerging Markets Value Fund. 3,575 2 3,573
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES
------------------------------
FOREIGN
EXCHANGE EQUITY
TOTAL CONTRACTS CONTRACTS
----- --------- ---------
Dimensional Emerging Markets Value Fund. 2,018 -- 2,018
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 March 30, 2016, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 29, 2016. 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 29, 2017.
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 8, 2016. A line of credit with
similar terms was in effect through January 7, 2016. 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 7, 2017.
For the six months ended April 30, 2016, 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............................. 0.95% $12,373 34 $11 $44,019
* Number of Days Outstanding represents the total of single or consecutive days
during the six months ended April 30, 2016, that the Fund's available line of
credit was utilized.
There were no outstanding borrowings by the Fund under the lines of credit
as of April 30, 2016.
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
283
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 six months ended April 30, 2016.
H. SECURITIES LENDING:
As of April 30, 2016, 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 $444,675 (amount 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 in an
amount (i) equal to at least 100% of the current market value of the loaned
securities with respect to securities of the U.S. government or its agencies,
(ii) generally equal to 102% of the current market value of the loaned
securities with respect to U.S. securities, and (iii) generally equal to 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.
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of April 30, 2016:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF APRIL 30, 2016
-------------------------------------------------------
BETWEEN
OVERNIGHT AND 30 & 90
CONTINUOUS <30 DAYS DAYS >90 DAYS TOTAL
-------------- -------- ------- -------- --------------
SECURITIES LENDING TRANSACTIONS
DIMENSIONAL EMERGING MARKETS VALUE FUND
Bonds..................................... $1,223,179,673 $-- $-- $-- $1,223,179,673
-------------- --- --- --- --------------
Total Borrowings........................... $1,223,179,673 $-- $-- $-- $1,223,179,673
-------------- --- --- --- --------------
Gross amount of recognized liabilities for
securities lending transactions.......... $1,223,179,673
==============
284
I. Indemnitees; Contractual Obligations:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
J. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the Fund and
has determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
285
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.
286
BOARD APPROVAL OF INVESTMENT MANAGEMENT AGREEMENTS
At the Board meeting held on December 10-11, 2015 (the "Meeting"), the
Boards of Directors of DFA Investment Dimensions Group Inc. and Dimensional
Investment Group Inc., and the Boards of Trustees of The DFA Investment Trust
Company and Dimensional Emerging Markets Value Fund (together, the "Board")
considered the continuation of the investment management agreements for each
portfolio/series (collectively, the "Funds") and, if applicable, a Fund's
sub-advisory agreements. For certain Funds, Dimensional Fund Advisors Ltd. or
DFA Australia Limited serves as a sub-advisor. (The investment management
agreements and the sub-advisory agreements are referred to as the "Management
Agreements," and the Advisor and sub-advisors are referred to as the "Advisor.")
Prior to the Meeting, independent counsel to the Independent Board Members
sent to the Advisor a request for information, which identified the information
that the Independent Board Members wished to receive in order to consider the
continuation of the Management Agreements. The Independent Board Members met
with their independent counsel in advance of the Meeting to discuss the
materials provided by the Advisor, the independent reports prepared by
Morningstar Associates, LLC (the "Morningstar Reports"), and issues related to
the continuation of the Management Agreements. Also in advance of the Meeting,
management provided additional materials to address and respond to questions
that the Independent Board Members posed after their review and analysis of
materials provided by the Advisor and the Morningstar Reports.
At the Meeting, the Board considered a number of factors when considering
the continuation of each Management Agreement for a Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to each Fund;
(ii) the performance of each Fund and the Advisor; (iii) the fees and expenses
borne by each Fund; (iv) the profitability realized by the Advisor from the
relationship with each Fund; and (v) whether economies of scale are realized by
the Advisor with respect to each Fund as it grows larger, and the extent to
which this is reflected in the level of the management fee charged.
When considering the nature and quality of the services provided by the
Advisor to a Fund, the Board reviewed: (a) the scope and depth of the Advisor's
organization; (b) the experience and expertise of its investment professionals
currently providing management services to the Fund; and (c) the Advisor's
global investment advisory capabilities. The Board evaluated the Advisor's
portfolio management process and discussed the unique features of the Advisor's
investment approach. The Board also considered the nature and character of
non-investment advisory services provided by the Advisor, including
administrative services. After analyzing the caliber of services provided by
the Advisor to each Fund, both quantitatively and qualitatively, including the
impact of these services on investment performance, the Board concluded that
the nature, extent and quality of services provided to each Fund were
consistent with the operational requirements of the Fund and met the needs of
the shareholders of the Fund.
In considering the performance of each Fund, the Board analyzed the
Morningstar Reports, which compared the performance of each Fund with other
funds in its respective peer group and investment category. The Board also
reviewed the performance analysis prepared by the Advisor, which presented the
performance of each Fund and its benchmark index, over multiple performance
periods, along with the Advisor's explanation of the performance. The Board
concluded that the Advisor's explanations provided a sound basis for
understanding the comparative performance of the Funds. The Board determined,
among other things, that after considering each Fund's investment strategies
and the expectations of its shareholder base, the performance of each Fund was
reasonable as compared with relevant performance standards and appropriate
market indexes.
When considering the fees and expenses borne by each Fund, and considering
the reasonableness of the management fees paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Morningstar Reports. The Board
concluded that the effective management fees and total expenses of each Fund
over various periods were favorable in relation to those of its peer funds, and
that the management fees were fair, both on an absolute basis and in comparison
with the fees of other funds identified in the peer groups and the industry at
large.
287
The Board considered the profitability of each Fund to the Advisor by
reviewing the profitability analysis provided by the Advisor, including
information about its fee revenues and income. The Board reviewed the overall
profitability of the Advisor, and the compensation that it received for
providing services to each Fund. The Board considered the profitability to the
Advisor of managing and servicing the Funds and the Advisor's unregistered
clients, such as collective trusts, group trusts and separate accounts. Upon
closely examining the Advisor's profitability, the Board concluded, among other
things, that it was reasonable.
The Board also discussed whether economies of scale are realized by the
Advisor with respect to each Fund as it grows larger, and the extent to which
this is reflected in the level of management fees charged. For several reasons,
the Board concluded that economies of scale and the reflection of such
economies of scale in the level of management fees charged were inapplicable to
each Fund at the present time, due to the current level of fees and expenses
and the profitability of the Fund.
After full consideration of the factors discussed above, with no single
factor identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel,
concluded that the continuation of the Management Agreement for each Fund was
in the best interests of the Fund and its shareholders.
288
DFA043016-001S
[LOGO] 00157599
[LOGO]
SEMI-ANNUAL REPORT
six months ended: April 30, 2016 (Unaudited)
DFA Investment Dimensions Group Inc.
Tax-Managed U.S. Marketwide Value Portfolio
Tax-Managed U.S. Equity Portfolio
Tax-Managed U.S. Targeted Value Portfolio
Tax-Managed U.S. Small Cap Portfolio
T.A. U.S. Core Equity 2 Portfolio
Tax-Managed DFA International Value Portfolio
T.A. World ex U.S. Core Equity Portfolio
The DFA Investment Trust Company
Tax-Managed U.S. Marketwide Value Series
[LOGO]
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
May 2016
Dear Shareholder,
At Dimensional we strive to offer Fund shareholders the best available
investment solutions and second-to-none client service. More than just shares
in a mutual fund, the assets invested with us represent institutions and
individuals and are often savings earned with sacrifice. We appreciate and take
with enormous responsibility the trust clients have put in us, always aiming
for the highest standards when managing money, performing research, and finding
ways to better provide client service.
On behalf of all of us at Dimensional, thank you for letting us help you pursue
your investment goals. Your trust is taken with the seriousness it deserves.
Sincerely,
Eduardo A. Repetto
Co-Chief Executive Officer and Co-Chief Investment Officer
SEMI-ANNUAL REPORT
(Unaudited)
Table of Contents
Page
----
Letter to Shareholders
Definitions of Abbreviations and Footnotes............................ 1
DFA Investment Dimensions Group Inc.
Disclosure of Fund Expenses........................................ 2
Disclosure of Portfolio Holdings................................... 4
Schedule of Investments/Summary Schedules of Portfolio Holdings
Tax-Managed U.S. Marketwide Value Portfolio.................... 6
Tax-Managed U.S. Equity Portfolio.............................. 7
Tax-Managed U.S. Targeted Value Portfolio...................... 10
Tax-Managed U.S. Small Cap Portfolio........................... 13
T.A. U.S. Core Equity 2 Portfolio.............................. 16
Tax-Managed DFA International Value Portfolio.................. 19
T.A. World ex U.S. Core Equity Portfolio....................... 23
Statements of Assets and Liabilities............................... 29
Statements of Operations........................................... 31
Statements of Changes in Net Assets................................ 33
Financial Highlights............................................... 35
Notes to Financial Statements...................................... 39
The DFA Investment Trust Company - The Tax-Managed U.S. Marketwide
Value Series
Disclosure of Fund Expenses........................................ 53
Disclosure of Portfolio Holdings................................... 54
Summary Schedule of Portfolio Holdings............................. 55
Statement of Assets and Liabilities................................ 58
Statement of Operations............................................ 59
Statements of Changes in Net Assets................................ 60
Financial Highlights............................................... 61
Notes to Financial Statements...................................... 62
Voting Proxies on Fund Portfolio Securities........................... 69
Board Approval of Investment Management Agreements.................... 70
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
DFA INVESTMENT DIMENSIONS GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
Schedules of Investments/Summary Schedules of Portfolio Holdings
----------------------------------------------------------------
Investment Abbreviations
ADR American Depositary Receipt
P.L.C. Public Limited Company
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities that have generally been fair value factored. See Note B to Financial Statements.
** Calculated as a percentage of total net assets. Percentages shown parenthetically next to the category
headings have been calculated as a percentage of total investments. "Other Securities" are those
securities that are not among the top 50 holdings 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.
(C) Non-Annualized
(D) Annualized
N/A Does not apply to this Fund.
All Statements, Schedules and Notes to Financial Statements
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
SEC Securities and Exchange Commission
1
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2016
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/15 04/30/16 Ratio* Period*
--------- --------- ---------- --------
Tax-Managed U.S. Marketwide Value Portfolio**
---------------------------------------------
Actual Fund Return............................ $1,000.00 $ 991.60 0.37% $1.83
Hypothetical 5% Annual Return................. $1,000.00 $1,023.02 0.37% $1.86
Tax-Managed U.S. Equity Portfolio
---------------------------------
Actual Fund Return............................ $1,000.00 $ 998.70 0.22% $1.09
Hypothetical 5% Annual Return................. $1,000.00 $1,023.77 0.22% $1.11
2
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/15 04/30/16 Ratio* Period*
--------- --------- ---------- --------
Tax-Managed U.S. Targeted Value Portfolio
-----------------------------------------
Actual Fund Return............................ $1,000.00 $ 986.00 0.44% $2.17
Hypothetical 5% Annual Return................. $1,000.00 $1,022.68 0.44% $2.21
Tax-Managed U.S. Small Cap Portfolio
------------------------------------
Actual Fund Return............................ $1,000.00 $ 993.60 0.52% $2.58
Hypothetical 5% Annual Return................. $1,000.00 $1,022.28 0.52% $2.61
T.A. U.S. Core Equity 2 Portfolio
---------------------------------
Actual Fund Return............................ $1,000.00 $ 997.20 0.24% $1.19
Hypothetical 5% Annual Return................. $1,000.00 $1,023.67 0.24% $1.21
Tax-Managed DFA International Value Portfolio
---------------------------------------------
Actual Fund Return............................ $1,000.00 $ 961.90 0.53% $2.59
Hypothetical 5% Annual Return................. $1,000.00 $1,022.23 0.53% $2.66
T.A. World ex U.S. Core Equity Portfolio
----------------------------------------
Actual Fund Return............................ $1,000.00 $ 999.80 0.45% $2.24
Hypothetical 5% Annual Return................. $1,000.00 $1,022.63 0.45% $2.26
----------
* 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 (182), then divided
by the number of days in the year (366) 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 Feeder Fund's portion of the expenses of
its Master Fund (Affiliated Investment Company).
3
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on March 31, 2016. 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
regulations also require that the Summary Schedule of Portfolio Holdings
identify each category of investments that are held.
A fund is required to file a complete Schedule of Investments with the SEC
on Form N-CSR within ten days after mailing the annual and semi-annual reports
to shareholders. It will be available upon request, without charge, by calling
collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors
LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the
SEC's website at http://www.sec.gov, or they may be reviewed and copied at the
SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for
information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement. The categories shown below
represent broad industry sectors. Each industry sector consists of one or more
specific industry classifications.
The categories of industry classification for the Affiliated Investment
Company are represented in its Disclosure of Portfolio Holdings, which is
included elsewhere within the report. Refer to the Summary Schedule of
Portfolio Holdings for the underlying Affiliated Investment Company's holdings
which reflect the investments by category.
FEEDER FUND
Affiliated Investment Company
-----------------------------
Tax-Managed U.S. Marketwide Value Portfolio. 100.0%
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS
Tax-Managed U.S. Equity Portfolio
Consumer Discretionary....................... 13.9%
Consumer Staples............................. 9.7%
Energy....................................... 6.9%
Financials................................... 14.1%
Health Care.................................. 14.5%
Industrials.................................. 11.3%
Information Technology....................... 20.0%
Materials.................................... 3.4%
Telecommunication Services................... 2.6%
Utilities.................................... 3.6%
-----
100.0%
Tax-Managed U.S. Targeted Value Portfolio
Consumer Discretionary....................... 14.0%
Consumer Staples............................. 3.9%
Energy....................................... 5.6%
Financials................................... 27.1%
Health Care.................................. 6.0%
Industrials.................................. 20.6%
Information Technology....................... 13.1%
Materials.................................... 7.7%
Telecommunication Services................... 1.4%
Utilities.................................... 0.6%
-----
100.0%
Tax-Managed U.S. Small Cap Portfolio
Consumer Discretionary....................... 16.8%
Consumer Staples............................. 4.4%
Energy....................................... 3.8%
Financials................................... 21.1%
Health Care.................................. 8.9%
Industrials.................................. 18.0%
Information Technology....................... 16.0%
Materials.................................... 5.5%
Real Estate Investment Trusts................ 0.1%
Telecommunication Services................... 1.1%
Utilities.................................... 4.3%
-----
100.0%
4
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
T.A. U.S. Core Equity 2 Portfolio
Consumer Discretionary....................... 15.4%
Consumer Staples............................. 7.6%
Energy....................................... 7.3%
Financials................................... 17.2%
Health Care.................................. 11.3%
Industrials.................................. 14.5%
Information Technology....................... 16.8%
Materials.................................... 4.7%
Telecommunication Services................... 2.9%
Utilities.................................... 2.3%
-----
100.0%
Tax-Managed DFA International Value Portfolio
Consumer Discretionary....................... 12.0%
Consumer Staples............................. 3.2%
Energy....................................... 17.6%
Financials................................... 30.5%
Health Care.................................. 1.5%
Industrials.................................. 11.2%
Information Technology....................... 3.3%
Materials.................................... 12.6%
Telecommunication Services................... 5.4%
Utilities.................................... 2.7%
-----
100.0%
T.A. World ex U.S. Core Equity Portfolio
Consumer Discretionary....................... 15.2%
Consumer Staples............................. 8.3%
Energy....................................... 7.0%
Financials................................... 19.8%
Health Care.................................. 5.4%
Industrials.................................. 16.5%
Information Technology....................... 8.2%
Materials.................................... 12.8%
Telecommunication Services................... 3.6%
Utilities.................................... 3.2%
-----
100.0%
5
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2016
(Unaudited)
Value+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Tax-Managed U.S. Marketwide Value Series
of The DFA Investment Trust Company....................... $3,891,906,932
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$2,351,786,184)........................................ $3,891,906,932
==============
Summary of the Portfolio's Master Fund's investments as of April 30, 2016,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
6
TAX-MANAGED U.S. EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2016
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (91.5%)
Consumer Discretionary -- (12.7%)
* Amazon.com, Inc................... 50,569 $ 33,354,807 1.3%
Comcast Corp. Class A............. 303,298 18,428,386 0.7%
Home Depot, Inc. (The)............ 157,669 21,110,302 0.8%
McDonald's Corp................... 113,960 14,414,800 0.6%
Starbucks Corp.................... 176,895 9,946,806 0.4%
Walt Disney Co. (The)............. 186,738 19,282,566 0.8%
Other Securities.................. 235,832,088 9.2%
------------ -----
Total Consumer Discretionary.......... 352,369,755 13.8%
------------ -----
Consumer Staples -- (8.9%)
Altria Group, Inc................. 243,844 15,291,457 0.6%
Coca-Cola Co. (The)............... 513,899 23,022,675 0.9%
CVS Health Corp................... 135,852 13,653,126 0.5%
PepsiCo, Inc...................... 179,632 18,494,911 0.7%
Philip Morris International, Inc.. 194,865 19,120,154 0.8%
Procter & Gamble Co. (The)........ 338,366 27,109,884 1.1%
# Wal-Mart Stores, Inc.............. 195,872 13,097,961 0.5%
Other Securities.................. 116,497,132 4.5%
------------ -----
Total Consumer Staples................ 246,287,300 9.6%
------------ -----
Energy -- (6.3%)
Chevron Corp...................... 237,001 24,216,762 1.0%
Exxon Mobil Corp.................. 523,363 46,265,289 1.8%
Schlumberger, Ltd................. 163,940 13,170,940 0.5%
Other Securities.................. 92,092,443 3.6%
------------ -----
Total Energy.......................... 175,745,434 6.9%
------------ -----
Financials -- (12.9%)
Bank of America Corp.............. 1,262,804 18,386,426 0.7%
* Berkshire Hathaway, Inc. Class B.. 231,000 33,605,880 1.3%
Citigroup, Inc.................... 367,635 17,014,148 0.7%
JPMorgan Chase & Co............... 461,003 29,135,390 1.2%
Wells Fargo & Co.................. 597,868 29,881,443 1.2%
Other Securities.................. 229,433,962 8.9%
------------ -----
Total Financials...................... 357,457,249 14.0%
------------ -----
Health Care -- (13.2%)
AbbVie, Inc....................... 203,397 12,407,217 0.5%
* Allergan P.L.C.................... 48,324 10,465,045 0.4%
Amgen, Inc........................ 93,547 14,808,490 0.6%
Bristol-Myers Squibb Co........... 210,306 15,179,887 0.6%
* Celgene Corp...................... 92,993 9,616,406 0.4%
Gilead Sciences, Inc.............. 165,139 14,566,911 0.6%
Johnson & Johnson................. 346,671 38,854,886 1.5%
Medtronic P.L.C................... 174,527 13,813,812 0.6%
Merck & Co., Inc.................. 346,644 19,009,957 0.8%
Pfizer, Inc....................... 774,958 25,348,876 1.0%
UnitedHealth Group, Inc........... 118,981 15,667,418 0.6%
Other Securities.................. 176,239,768 6.7%
------------ -----
Total Health Care..................... 365,978,673 14.3%
------------ -----
7
TAX-MANAGED U.S. EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (10.4%)
3M Co................................. 76,698 $ 12,837,711 0.5%
# Boeing Co. (The)...................... 75,782 10,215,414 0.4%
General Electric Co................... 1,174,666 36,120,979 1.4%
Honeywell International, Inc.......... 90,406 10,330,694 0.4%
United Technologies Corp.............. 104,815 10,939,542 0.4%
Other Securities...................... 206,889,937 8.1%
-------------- -----
Total Industrials......................... 287,334,277 11.2%
-------------- -----
Information Technology -- (18.3%)
* Alphabet, Inc. Class A................ 36,953 26,158,290 1.0%
* Alphabet, Inc. Class C................ 39,178 27,150,746 1.1%
Apple, Inc............................ 695,346 65,181,734 2.6%
Cisco Systems, Inc.................... 626,696 17,227,873 0.7%
* Facebook, Inc. Class A................ 288,300 33,898,314 1.3%
Intel Corp............................ 587,930 17,802,520 0.7%
International Business Machines Corp.. 111,751 16,308,941 0.7%
MasterCard, Inc. Class A.............. 117,746 11,420,185 0.5%
Microsoft Corp........................ 947,329 47,243,297 1.9%
Oracle Corp........................... 379,490 15,126,471 0.6%
# Visa, Inc. Class A.................... 235,841 18,216,359 0.7%
Other Securities...................... 212,202,442 8.0%
-------------- -----
Total Information Technology.............. 507,937,172 19.8%
-------------- -----
Materials -- (3.1%)
Other Securities...................... 85,886,681 3.3%
-------------- -----
Other -- (0.0%)
Other Securities...................... -- 0.0%
-------------- -----
Real Estate Investment Trusts -- (0.0%)
Other Securities...................... 153,293 0.0%
-------------- -----
Telecommunication Services -- (2.4%)
AT&T, Inc............................. 771,592 29,953,202 1.2%
Verizon Communications, Inc........... 510,632 26,011,594 1.0%
Other Securities...................... 9,499,650 0.4%
-------------- -----
Total Telecommunication Services.......... 65,464,446 2.6%
-------------- -----
Utilities -- (3.3%)
Other Securities...................... 91,735,248 3.6%
-------------- -----
TOTAL COMMON STOCKS....................... 2,536,349,528 99.1%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities...................... 46,070 0.0%
-------------- -----
Face
Amount
------
(000)
BONDS -- (0.0%)
Health Care -- (0.0%)
Other Securities...................... 1,952 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES............... 2,536,397,550
--------------
8
TAX-MANAGED U.S. EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
TEMPORARY CASH INVESTMENTS -- (0.8%)
State Street Institutional Liquid Reserves, 0.455%. 21,992,705 $ 21,992,705 0.9%
-------------- ------
SECURITIES LENDING COLLATERAL -- (7.7%)
(S)@ DFA Short Term Investment Fund..................... 18,522,281 214,302,792 8.3%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,600,897,431)................................ $2,772,693,047 108.3%
============== ======
Summary of the Portfolio's investments as of April 30, 2016, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
--------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- ------------ ------- --------------
Common Stocks
Consumer Discretionary........ $ 352,368,517 $ 1,238 -- $ 352,369,755
Consumer Staples.............. 246,287,300 -- -- 246,287,300
Energy........................ 175,745,434 -- -- 175,745,434
Financials.................... 357,457,249 -- -- 357,457,249
Health Care................... 365,978,673 -- -- 365,978,673
Industrials................... 287,334,277 -- -- 287,334,277
Information Technology........ 507,937,172 -- -- 507,937,172
Materials..................... 85,886,681 -- -- 85,886,681
Other......................... -- -- -- --
Real Estate Investment Trusts. 153,293 -- -- 153,293
Telecommunication Services.... 65,464,446 -- -- 65,464,446
Utilities..................... 91,735,248 -- -- 91,735,248
Rights/Warrants................. -- 46,070 -- 46,070
Bonds
Health Care................... -- 1,952 -- 1,952
Temporary Cash Investments...... 21,992,705 -- -- 21,992,705
Securities Lending Collateral... -- 214,302,792 -- 214,302,792
Futures Contracts**............. 108,436 -- -- 108,436
-------------- ------------ -- --------------
TOTAL........................... $2,558,449,431 $214,352,052 -- $2,772,801,483
============== ============ == ==============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note G)
See accompanying Notes to Financial Statements.
9
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2016
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (90.2%)
Consumer Discretionary -- (12.6%)
# Dillard's, Inc. Class A................ 169,983 $ 11,975,302 0.3%
# GameStop Corp. Class A................. 431,501 14,153,233 0.4%
* Helen of Troy, Ltd..................... 134,795 13,416,146 0.4%
PulteGroup, Inc........................ 1,015,099 18,667,671 0.5%
Service Corp. International............ 469,211 12,513,857 0.4%
* Toll Brothers, Inc..................... 533,730 14,570,829 0.4%
Wendy's Co. (The)...................... 1,383,503 15,024,843 0.4%
Other Securities....................... 402,626,820 11.1%
------------ -----
Total Consumer Discretionary............... 502,948,701 13.9%
------------ -----
Consumer Staples -- (3.6%)
Ingredion, Inc......................... 176,275 20,287,490 0.6%
* Post Holdings, Inc..................... 210,453 15,118,944 0.4%
Other Securities....................... 106,122,511 2.9%
------------ -----
Total Consumer Staples..................... 141,528,945 3.9%
------------ -----
Energy -- (5.0%)
# Helmerich & Payne, Inc................. 294,372 19,463,877 0.5%
Other Securities....................... 180,027,106 5.0%
------------ -----
Total Energy............................... 199,490,983 5.5%
------------ -----
Financials -- (24.4%)
Allied World Assurance Co. Holdings AG. 454,224 16,161,290 0.5%
American Financial Group, Inc.......... 370,385 25,597,307 0.7%
Aspen Insurance Holdings, Ltd.......... 254,728 11,806,643 0.3%
Assurant, Inc.......................... 319,133 26,989,078 0.8%
# Assured Guaranty, Ltd.................. 446,031 11,538,822 0.3%
Axis Capital Holdings, Ltd............. 302,382 16,107,889 0.5%
CNO Financial Group, Inc............... 1,201,584 22,073,098 0.6%
Endurance Specialty Holdings, Ltd...... 348,737 22,312,193 0.6%
Hanover Insurance Group, Inc. (The).... 140,426 12,042,934 0.3%
Old Republic International Corp........ 711,683 13,159,019 0.4%
# People's United Financial, Inc......... 1,007,507 15,616,358 0.4%
Reinsurance Group of America, Inc...... 235,808 22,453,638 0.6%
# RenaissanceRe Holdings, Ltd............ 133,011 14,752,250 0.4%
# WR Berkley Corp........................ 223,655 12,524,680 0.4%
# Zions Bancorporation................... 632,535 17,407,363 0.5%
Other Securities....................... 711,559,949 19.5%
------------ -----
Total Financials........................... 972,102,511 26.8%
------------ -----
Health Care -- (5.4%)
* Amsurg Corp............................ 150,495 12,187,085 0.3%
* LifePoint Health, Inc.................. 217,249 14,677,342 0.4%
#* Prestige Brands Holdings, Inc.......... 234,304 13,303,781 0.4%
Other Securities....................... 175,531,686 4.8%
------------ -----
Total Health Care.......................... 215,699,894 5.9%
------------ -----
Industrials -- (18.5%)
ADT Corp. (The)........................ 400,539 16,814,627 0.5%
#* AECOM.................................. 498,373 16,192,139 0.5%
# AGCO Corp.............................. 252,212 13,485,776 0.4%
AMERCO................................. 71,726 25,247,552 0.7%
Curtiss-Wright Corp.................... 182,346 13,964,057 0.4%
10
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (Continued)
* Jacobs Engineering Group, Inc...................... 402,345 $ 17,936,540 0.5%
* JetBlue Airways Corp............................... 1,104,346 21,855,007 0.6%
Owens Corning...................................... 367,806 16,944,822 0.5%
# Ryder System, Inc.................................. 233,530 16,094,888 0.4%
# Waste Connections, Inc............................. 266,793 17,949,833 0.5%
Other Securities................................... 560,859,078 15.3%
-------------- -----
Total Industrials...................................... 737,344,319 20.3%
-------------- -----
Information Technology -- (11.8%)
* Arrow Electronics, Inc............................. 351,633 21,836,409 0.6%
Avnet, Inc......................................... 445,196 18,306,460 0.5%
* CACI International, Inc. Class A................... 127,408 12,250,279 0.3%
Convergys Corp..................................... 496,845 13,166,392 0.4%
#* First Solar, Inc................................... 287,342 16,045,177 0.5%
Ingram Micro, Inc. Class A......................... 553,452 19,343,147 0.5%
# SYNNEX Corp........................................ 181,005 14,945,583 0.4%
Other Securities................................... 354,562,590 9.8%
-------------- -----
Total Information Technology........................... 470,456,037 13.0%
-------------- -----
Materials -- (7.0%)
Airgas, Inc........................................ 139,912 19,929,065 0.6%
Reliance Steel & Aluminum Co....................... 235,966 17,454,405 0.5%
Steel Dynamics, Inc................................ 585,303 14,755,489 0.4%
Other Securities................................... 224,036,442 6.1%
-------------- -----
Total Materials........................................ 276,175,401 7.6%
-------------- -----
Other -- (0.0%)
Other Securities................................... -- 0.0%
-------------- -----
Real Estate Investment Trusts -- (0.0%)
Other Securities................................... 1,259,095 0.0%
-------------- -----
Telecommunication Services -- (1.3%)
# Frontier Communications Corp....................... 3,600,515 20,018,863 0.6%
Other Securities................................... 29,633,772 0.8%
-------------- -----
Total Telecommunication Services....................... 49,652,635 1.4%
-------------- -----
Utilities -- (0.6%)
UGI Corp........................................... 315,217 12,684,332 0.4%
Other Securities................................... 9,848,179 0.2%
-------------- -----
Total Utilities........................................ 22,532,511 0.6%
-------------- -----
TOTAL COMMON STOCKS.................................... 3,589,191,032 98.9%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities................................... 882 0.0%
-------------- -----
Face
Amount^
------- - -
(000)
BONDS -- (0.0%)
HEALTH CARE -- (0.0%)
Other Securities................................... 17,856 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES............................ 3,589,209,770
--------------
TEMPORARY CASH INVESTMENTS -- (0.9%)
State Street Institutional Liquid Reserves, 0.455%. 37,641,740 37,641,740 1.0%
-------------- -----
11
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO
CONTINUED
Face Percentage
Amount^ Value+ of Net Assets**
------- ------ ---------------
(000)
SECURITIES LENDING COLLATERAL -- (8.9%)
(S)@ DFA Short Term Investment Fund.. 30,453,109 $ 352,342,474 9.7%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,709,353,849).............. $3,979,193,984 109.6%
============== ======
Summary of the Portfolio's investments as of April 30, 2016, 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........ $ 502,948,701 -- -- $ 502,948,701
Consumer Staples.............. 141,528,945 -- -- 141,528,945
Energy........................ 199,490,983 -- -- 199,490,983
Financials.................... 972,102,511 -- -- 972,102,511
Health Care................... 215,699,894 -- -- 215,699,894
Industrials................... 737,344,319 -- -- 737,344,319
Information Technology........ 470,456,037 -- -- 470,456,037
Materials..................... 276,175,401 -- -- 276,175,401
Other......................... -- -- -- --
Real Estate Investment Trusts. 1,259,095 -- -- 1,259,095
Telecommunication Services.... 49,652,635 -- -- 49,652,635
Utilities..................... 22,532,511 -- -- 22,532,511
Rights/Warrants................. -- $ 882 -- 882
Bonds
Health Care................... -- 17,856 -- 17,856
Temporary Cash Investments...... 37,641,740 -- -- 37,641,740
Securities Lending Collateral... -- 352,342,474 -- 352,342,474
Futures Contracts**............. 1,022,524 -- -- 1,022,524
-------------- ------------ -- --------------
TOTAL........................... $3,627,855,296 $352,361,212 -- $3,980,216,508
============== ============ == ==============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note G)
See accompanying Notes to Financial Statements.
12
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2016
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (85.5%)
Consumer Discretionary -- (14.4%)
# Brinker International, Inc..................... 108,953 $ 5,046,703 0.2%
# Core-Mark Holding Co., Inc..................... 57,794 4,719,458 0.2%
* Helen of Troy, Ltd............................. 53,819 5,356,605 0.3%
* Office Depot, Inc.............................. 836,472 4,918,455 0.2%
# Thor Industries, Inc........................... 99,761 6,386,699 0.3%
# Vail Resorts, Inc.............................. 41,800 5,418,952 0.3%
Other Securities............................... 334,561,910 15.3%
------------ -----
Total Consumer Discretionary....................... 366,408,782 16.8%
------------ -----
Consumer Staples -- (3.8%)
Casey's General Stores, Inc.................... 41,226 4,617,312 0.2%
#* Post Holdings, Inc............................. 82,864 5,952,950 0.3%
Other Securities............................... 86,215,738 3.9%
------------ -----
Total Consumer Staples............................. 96,786,000 4.4%
------------ -----
Energy -- (3.2%)
#* Dril-Quip, Inc................................. 71,288 4,620,888 0.2%
# Patterson-UTI Energy, Inc...................... 258,733 5,109,977 0.2%
PBF Energy, Inc. Class A....................... 149,766 4,819,470 0.2%
#* PDC Energy, Inc................................ 86,705 5,444,207 0.3%
Other Securities............................... 62,232,058 2.9%
------------ -----
Total Energy....................................... 82,226,600 3.8%
------------ -----
Financials -- (18.1%)
Aspen Insurance Holdings, Ltd.................. 106,494 4,935,997 0.2%
# Bank of Hawaii Corp............................ 77,207 5,281,731 0.2%
Cathay General Bancorp......................... 161,692 4,934,840 0.2%
CNO Financial Group, Inc....................... 336,171 6,175,461 0.3%
Endurance Specialty Holdings, Ltd.............. 120,463 7,707,223 0.4%
# First Horizon National Corp.................... 360,615 5,077,459 0.2%
FNB Corp....................................... 409,087 5,408,130 0.3%
# Hanover Insurance Group, Inc. (The)............ 63,118 5,413,000 0.3%
Home BancShares, Inc........................... 115,038 4,945,484 0.2%
MarketAxess Holdings, Inc...................... 48,452 5,947,968 0.3%
# PrivateBancorp, Inc............................ 127,334 5,298,368 0.3%
Washington Federal, Inc........................ 213,015 5,174,134 0.2%
# Webster Financial Corp......................... 144,207 5,283,744 0.2%
* Western Alliance Bancorp....................... 163,870 5,994,365 0.3%
Other Securities............................... 382,208,470 17.4%
------------ -----
Total Financials................................... 459,786,374 21.0%
------------ -----
Health Care -- (7.6%)
#* Amsurg Corp.................................... 71,995 5,830,155 0.3%
Cantel Medical Corp............................ 83,217 5,574,707 0.3%
* Charles River Laboratories International, Inc.. 70,800 5,612,316 0.3%
* LifePoint Health, Inc.......................... 73,942 4,995,521 0.2%
* Prestige Brands Holdings, Inc.................. 110,081 6,250,399 0.3%
Other Securities............................... 165,247,076 7.4%
------------ -----
Total Health Care.................................. 193,510,174 8.8%
------------ -----
Industrials -- (15.4%)
AMERCO......................................... 15,314 5,390,528 0.2%
#* Dycom Industries, Inc.......................... 72,056 5,087,154 0.2%
13
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (Continued)
EMCOR Group, Inc................................... 113,450 $ 5,500,056 0.3%
* Hawaiian Holdings, Inc............................. 137,064 5,766,282 0.3%
* JetBlue Airways Corp............................... 324,746 6,426,723 0.3%
Other Securities................................... 362,639,886 16.6%
-------------- -----
Total Industrials...................................... 390,810,629 17.9%
-------------- -----
Information Technology -- (13.7%)
Fair Isaac Corp.................................... 47,990 5,121,013 0.2%
#* Manhattan Associates, Inc.......................... 103,202 6,247,849 0.3%
#* Microsemi Corp..................................... 141,539 4,782,603 0.2%
# SYNNEX Corp........................................ 63,951 5,280,434 0.2%
#* Take-Two Interactive Software, Inc................. 153,713 5,253,910 0.2%
* Tech Data Corp..................................... 67,291 4,622,219 0.2%
#* ViaSat, Inc........................................ 67,898 5,207,777 0.2%
Other Securities................................... 310,922,478 14.4%
-------------- -----
Total Information Technology........................... 347,438,283 15.9%
-------------- -----
Materials -- (4.7%)
* Chemtura Corp...................................... 175,823 4,896,671 0.2%
PolyOne Corp....................................... 131,230 4,721,655 0.2%
Sensient Technologies Corp......................... 73,966 4,974,214 0.2%
Other Securities................................... 105,659,599 4.9%
-------------- -----
Total Materials........................................ 120,252,139 5.5%
-------------- -----
Other -- (0.0%)
Other Securities................................... -- 0.0%
-------------- -----
Real Estate Investment Trusts -- (0.1%)
Other Securities................................... 2,029,519 0.1%
-------------- -----
Telecommunication Services -- (0.9%)
Other Securities................................... 23,846,826 1.1%
-------------- -----
Utilities -- (3.6%)
IDACORP, Inc....................................... 64,563 4,695,667 0.2%
New Jersey Resources Corp.......................... 145,601 5,195,044 0.2%
# Spire, Inc......................................... 73,831 4,722,231 0.2%
WGL Holdings, Inc.................................. 82,214 5,581,508 0.3%
Other Securities................................... 72,532,993 3.3%
-------------- -----
Total Utilities........................................ 92,727,443 4.2%
-------------- -----
TOTAL COMMON STOCKS.................................... 2,175,822,769 99.5%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities................................... 345 0.0%
-------------- -----
Face
Amount
------
(000)
BONDS -- (0.0%)
Health Care -- (0.0%)
Other Securities................................... 4,375 0.0%
-------------- -----
Shares
------
TEMPORARY CASH INVESTMENTS -- (0.5%)
State Street Institutional Liquid Reserves, 0.455%. 12,673,603 12,673,603 0.6%
-------------- -----
14
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
SECURITIES LENDING COLLATERAL -- (14.0%)
(S)@ DFA Short Term Investment Fund.. 30,746,480 $ 355,736,778 16.2%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,710,034,236)............... $2,544,237,870 116.3%
============== ======
Summary of the Portfolio's investments as of April 30, 2016, 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........ $ 366,408,782 -- -- $ 366,408,782
Consumer Staples.............. 96,786,000 -- -- 96,786,000
Energy........................ 82,226,600 -- -- 82,226,600
Financials.................... 459,786,374 -- -- 459,786,374
Health Care................... 193,510,174 -- -- 193,510,174
Industrials................... 390,810,629 -- -- 390,810,629
Information Technology........ 347,438,283 -- -- 347,438,283
Materials..................... 120,252,139 -- -- 120,252,139
Other......................... -- -- -- --
Real Estate Investment Trusts. 2,029,519 -- -- 2,029,519
Telecommunication Services.... 23,846,826 -- -- 23,846,826
Utilities..................... 92,727,443 -- -- 92,727,443
Rights/Warrants................. -- $ 345 -- 345
Bonds...........................
Health Care................... -- 4,375 -- 4,375
Temporary Cash Investments...... 12,673,603 -- -- 12,673,603
Securities Lending Collateral... -- 355,736,778 -- 355,736,778
-------------- ------------ -- --------------
TOTAL........................... $2,188,496,372 $355,741,498 -- $2,544,237,870
============== ============ == ==============
See accompanying Notes to Financial Statements.
15
T.A. U.S. CORE EQUITY 2 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2016
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (89.0%)
Consumer Discretionary -- (13.7%)
* Amazon.com, Inc...................... 27,406 $ 18,076,724 0.3%
Comcast Corp. Class A................ 935,332 56,830,772 1.0%
Ford Motor Co........................ 1,423,335 19,300,423 0.3%
Home Depot, Inc. (The)............... 110,670 14,817,606 0.3%
Lowe's Cos., Inc..................... 216,161 16,432,559 0.3%
Time Warner Cable, Inc............... 88,298 18,728,889 0.3%
Time Warner, Inc..................... 243,015 18,260,147 0.3%
Walt Disney Co. (The)................ 365,590 37,750,823 0.7%
Other Securities..................... 686,781,292 11.7%
------------ -----
Total Consumer Discretionary............. 886,979,235 15.2%
------------ -----
Consumer Staples -- (6.8%)
Coca-Cola Co. (The).................. 362,304 16,231,219 0.3%
CVS Health Corp...................... 328,752 33,039,576 0.6%
Mondelez International, Inc. Class A. 462,266 19,858,947 0.3%
PepsiCo, Inc......................... 155,127 15,971,876 0.3%
Procter & Gamble Co. (The)........... 558,831 44,773,540 0.8%
Wal-Mart Stores, Inc................. 588,437 39,348,782 0.7%
Walgreens Boots Alliance, Inc........ 191,505 15,182,516 0.3%
Other Securities..................... 254,122,202 4.2%
------------ -----
Total Consumer Staples................... 438,528,658 7.5%
------------ -----
Energy -- (6.5%)
Chevron Corp......................... 342,238 34,969,879 0.6%
Exxon Mobil Corp..................... 1,242,880 109,870,592 1.9%
Schlumberger, Ltd.................... 389,997 31,332,359 0.5%
Other Securities..................... 241,794,312 4.2%
------------ -----
Total Energy............................. 417,967,142 7.2%
------------ -----
Financials -- (15.3%)
American Express Co.................. 247,203 16,174,492 0.3%
American International Group, Inc.... 269,115 15,021,999 0.3%
Bank of America Corp................. 1,703,565 24,803,906 0.4%
* Berkshire Hathaway, Inc. Class B..... 141,321 20,559,379 0.4%
Citigroup, Inc....................... 539,405 24,963,663 0.4%
JPMorgan Chase & Co.................. 919,964 58,141,725 1.0%
* Synchrony Financial.................. 534,264 16,332,450 0.3%
U.S. Bancorp......................... 381,670 16,293,492 0.3%
Wells Fargo & Co..................... 1,209,286 60,440,114 1.0%
Other Securities..................... 733,652,506 12.5%
------------ -----
Total Financials......................... 986,383,726 16.9%
------------ -----
Health Care -- (10.1%)
Amgen, Inc........................... 94,613 14,977,238 0.3%
Johnson & Johnson.................... 406,645 45,576,772 0.8%
Medtronic P.L.C...................... 208,159 16,475,785 0.3%
Merck & Co., Inc..................... 600,469 32,929,720 0.6%
Pfizer, Inc.......................... 1,414,117 46,255,767 0.8%
UnitedHealth Group, Inc.............. 220,408 29,023,325 0.5%
Other Securities..................... 466,980,279 7.9%
------------ -----
Total Health Care........................ 652,218,886 11.2%
------------ -----
16
T.A. U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (12.9%)
# Caterpillar, Inc................ 205,263 $ 15,953,040 0.3%
General Electric Co............. 1,383,002 42,527,311 0.7%
Union Pacific Corp.............. 255,543 22,291,016 0.4%
United Technologies Corp........ 221,361 23,103,448 0.4%
Other Securities................ 728,095,526 12.5%
-------------- -----
Total Industrials....................... 831,970,341 14.3%
-------------- -----
Information Technology -- (15.0%)
* Alphabet, Inc. Class A.......... 27,256 19,293,977 0.3%
* Alphabet, Inc. Class C.......... 29,089 20,158,968 0.4%
Apple, Inc...................... 1,180,127 110,625,105 1.9%
Cisco Systems, Inc.............. 1,370,126 37,664,764 0.7%
* Facebook, Inc. Class A.......... 127,617 15,005,207 0.3%
Intel Corp...................... 1,810,035 54,807,860 1.0%
Microsoft Corp.................. 1,187,445 59,217,882 1.0%
Oracle Corp..................... 475,083 18,936,808 0.3%
QUALCOMM, Inc................... 333,873 16,867,264 0.3%
# Visa, Inc. Class A.............. 285,324 22,038,426 0.4%
Other Securities................ 591,589,940 10.0%
-------------- -----
Total Information Technology............ 966,206,201 16.6%
-------------- -----
Materials -- (4.2%)
Dow Chemical Co. (The).......... 290,047 15,259,373 0.3%
Other Securities................ 255,331,504 4.3%
-------------- -----
Total Materials......................... 270,590,877 4.6%
-------------- -----
Other -- (0.0%)
Other Securities................ -- 0.0%
-------------- -----
Real Estate Investment Trusts -- (0.0%)
Other Securities................ 1,030,827 0.0%
-------------- -----
Telecommunication Services -- (2.5%)
AT&T, Inc....................... 2,048,680 79,529,758 1.4%
Verizon Communications, Inc..... 863,380 43,980,577 0.8%
Other Securities................ 40,417,460 0.6%
-------------- -----
Total Telecommunication Services........ 163,927,795 2.8%
-------------- -----
Utilities -- (2.0%)
Other Securities................ 132,177,698 2.3%
-------------- -----
TOTAL COMMON STOCKS..................... 5,747,981,386 98.6%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities................ 119,495 0.0%
-------------- -----
Face
Amount
------
(000)
BONDS -- (0.0%)
Health Care -- (0.0%)
Other Securities................ 10,601 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES............. 5,748,111,482
--------------
17
T.A. U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
TEMPORARY CASH INVESTMENTS -- (1.1%)
State Street Institutional Liquid Reserves, 0.455%. 69,973,838 $ 69,973,838 1.2%
-------------- ------
SECURITIES LENDING COLLATERAL -- (9.9%)
(S)@ DFA Short Term Investment Fund..................... 55,464,476 641,723,988 11.0%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,491,872,830)................................ $6,459,809,308 110.8%
============== ======
Summary of the Portfolio's investments as of April 30, 2016, 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........ $ 886,966,640 $ 12,595 -- $ 886,979,235
Consumer Staples.............. 438,528,658 -- -- 438,528,658
Energy........................ 417,967,142 -- -- 417,967,142
Financials.................... 986,383,726 -- -- 986,383,726
Health Care................... 652,218,886 -- -- 652,218,886
Industrials................... 831,970,341 -- -- 831,970,341
Information Technology........ 966,206,201 -- -- 966,206,201
Materials..................... 270,590,877 -- -- 270,590,877
Other......................... -- -- -- --
Real Estate Investment Trusts. 1,030,827 -- -- 1,030,827
Telecommunication Services.... 163,927,795 -- -- 163,927,795
Utilities..................... 132,177,698 -- -- 132,177,698
Rights/Warrants................. -- 119,495 -- 119,495
Bonds
Health Care................... -- 10,601 -- 10,601
Temporary Cash Investments...... 69,973,838 -- -- 69,973,838
Securities Lending Collateral... -- 641,723,988 -- 641,723,988
Futures Contracts**............. 1,468,260 -- -- 1,468,260
-------------- ------------ -- --------------
TOTAL........................... $5,819,410,889 $641,866,679 -- $6,461,277,568
============== ============ == ==============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note G)
See accompanying Notes to Financial Statements.
18
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2016
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (97.1%)
AUSTRALIA -- (6.4%)
Australia & New Zealand Banking Group, Ltd.. 1,315,827 $ 24,119,007 0.8%
BHP Billiton, Ltd........................... 1,504,508 23,495,809 0.8%
BHP Billiton, Ltd. Sponsored ADR............ 563,499 17,660,059 0.6%
Rio Tinto, Ltd.............................. 389,098 15,182,012 0.5%
Woodside Petroleum, Ltd..................... 967,135 20,706,357 0.7%
Other Securities............................ 85,473,200 3.0%
------------ ----
TOTAL AUSTRALIA................................. 186,636,444 6.4%
------------ ----
AUSTRIA -- (0.1%)
Other Securities............................ 3,015,042 0.1%
------------ ----
BELGIUM -- (1.8%)
Other Securities............................ 51,425,023 1.8%
------------ ----
CANADA -- (9.1%)
Bank of Montreal............................ 534,159 34,805,800 1.2%
Canadian Natural Resources, Ltd............. 717,719 21,545,924 0.8%
Suncor Energy, Inc.(867224107).............. 498,567 14,642,913 0.5%
Suncor Energy, Inc.(B3NB1P2)................ 1,253,832 36,804,525 1.3%
Other Securities............................ 155,308,235 5.3%
------------ ----
TOTAL CANADA.................................... 263,107,397 9.1%
------------ ----
DENMARK -- (1.8%)
Vestas Wind Systems A.S..................... 248,599 17,795,224 0.6%
Other Securities............................ 33,443,818 1.2%
------------ ----
TOTAL DENMARK................................... 51,239,042 1.8%
------------ ----
FINLAND -- (0.7%)
Other Securities............................ 20,701,028 0.7%
------------ ----
FRANCE -- (9.4%)
BNP Paribas SA.............................. 339,459 17,977,388 0.6%
Cie de Saint-Gobain......................... 606,622 27,796,956 1.0%
Engie SA.................................... 1,220,619 20,132,208 0.7%
Orange SA................................... 1,778,494 29,547,759 1.0%
Renault SA.................................. 244,726 23,613,065 0.8%
Societe Generale SA......................... 670,289 26,373,968 0.9%
Total SA.................................... 1,098,928 55,540,697 1.9%
Other Securities............................ 71,394,370 2.5%
------------ ----
TOTAL FRANCE.................................... 272,376,411 9.4%
------------ ----
GERMANY -- (7.5%)
Allianz SE.................................. 217,369 36,980,523 1.3%
Bayerische Motoren Werke AG................. 291,133 26,933,749 0.9%
Daimler AG.................................. 739,542 51,528,802 1.8%
E.ON SE..................................... 2,557,387 26,505,195 0.9%
Other Securities............................ 75,369,809 2.6%
------------ ----
TOTAL GERMANY................................... 217,318,078 7.5%
------------ ----
HONG KONG -- (2.4%)
Other Securities............................ 68,922,680 2.4%
------------ ----
19
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
IRELAND -- (0.2%)
Other Securities........................ $ 7,488,910 0.2%
------------ -----
ISRAEL -- (0.4%)
Other Securities........................ 12,318,222 0.4%
------------ -----
ITALY -- (1.2%)
UniCredit SpA........................... 3,923,002 15,213,431 0.5%
Other Securities........................ 19,784,514 0.7%
------------ -----
TOTAL ITALY................................. 34,997,945 1.2%
------------ -----
JAPAN -- (19.6%)
Hitachi, Ltd............................ 3,419,000 15,666,629 0.5%
Honda Motor Co., Ltd.................... 1,200,200 32,388,320 1.1%
ITOCHU Corp............................. 1,171,200 14,884,314 0.5%
Mitsubishi UFJ Financial Group, Inc..... 4,974,134 22,954,694 0.8%
Mizuho Financial Group, Inc............. 17,491,900 26,218,807 0.9%
Nissan Motor Co., Ltd................... 1,904,600 16,901,463 0.6%
Sumitomo Mitsui Financial Group, Inc.... 942,227 28,353,202 1.0%
Other Securities........................ 411,569,708 14.2%
------------ -----
TOTAL JAPAN................................. 568,937,137 19.6%
------------ -----
NETHERLANDS -- (2.9%)
ING Groep NV............................ 1,482,595 18,166,855 0.6%
Koninklijke Philips NV.................. 772,920 21,238,737 0.7%
Other Securities........................ 44,568,784 1.6%
------------ -----
TOTAL NETHERLANDS........................... 83,974,376 2.9%
------------ -----
NEW ZEALAND -- (0.1%)
Other Securities........................ 2,776,684 0.1%
------------ -----
NORWAY -- (0.7%)
Other Securities........................ 22,036,985 0.8%
------------ -----
PORTUGAL -- (0.0%)
Other Securities........................ 1,339,377 0.0%
------------ -----
SINGAPORE -- (1.0%)
Other Securities........................ 28,646,935 1.0%
------------ -----
SPAIN -- (2.6%)
Banco Santander SA...................... 9,351,100 47,487,870 1.7%
Iberdrola SA............................ 2,276,023 16,202,413 0.6%
Other Securities........................ 10,992,579 0.3%
------------ -----
TOTAL SPAIN................................. 74,682,862 2.6%
------------ -----
SWEDEN -- (2.7%)
Svenska Cellulosa AB SCA Class B........ 478,754 15,105,463 0.5%
Telefonaktiebolaget LM Ericsson Class B. 1,939,774 15,716,839 0.5%
Other Securities........................ 46,721,594 1.7%
------------ -----
TOTAL SWEDEN................................ 77,543,896 2.7%
------------ -----
SWITZERLAND -- (8.5%)
ABB, Ltd................................ 1,795,508 38,011,380 1.3%
Cie Financiere Richemont SA............. 432,894 28,865,463 1.0%
Novartis AG............................. 374,729 28,517,704 1.0%
Swiss Re AG............................. 347,731 30,905,822 1.1%
UBS Group AG............................ 1,169,374 20,271,623 0.7%
20
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
SWITZERLAND -- (Continued)
Zurich Insurance Group AG....................... 111,445 $ 25,006,499 0.9%
Other Securities................................ 74,323,959 2.5%
-------------- ------
TOTAL SWITZERLAND..................................... 245,902,450 8.5%
-------------- ------
UNITED KINGDOM -- (18.0%)
BP P.L.C. Sponsored ADR......................... 3,326,684 111,710,057 3.9%
Glencore P.L.C.................................. 7,129,744 17,039,506 0.6%
HSBC Holdings P.L.C............................. 2,913,787 19,309,301 0.7%
HSBC Holdings P.L.C. Sponsored ADR.............. 1,512,452 50,410,025 1.7%
Royal Dutch Shell P.L.C. Sponsored ADR, Class A. 1,218,765 64,460,481 2.2%
# Royal Dutch Shell P.L.C. Sponsored ADR, Class B. 1,146,218 61,150,730 2.1%
Vodafone Group P.L.C............................ 24,834,340 80,012,213 2.8%
Vodafone Group P.L.C. Sponsored ADR............. 741,273 24,269,266 0.8%
Other Securities................................ 92,622,495 3.2%
-------------- ------
TOTAL UNITED KINGDOM.................................. 520,984,074 18.0%
-------------- ------
TOTAL COMMON STOCKS................................... 2,816,370,998 97.2%
-------------- ------
PREFERRED STOCKS -- (1.0%)
GERMANY -- (1.0%)
Volkswagen AG................................... 152,281 22,090,355 0.8%
Other Securities................................ 6,256,490 0.2%
-------------- ------
TOTAL GERMANY......................................... 28,346,845 1.0%
-------------- ------
TOTAL PREFERRED STOCKS................................ 28,346,845 1.0%
-------------- ------
TOTAL INVESTMENT SECURITIES........................... 2,844,717,843
--------------
Value+
- ------
SECURITIES LENDING COLLATERAL -- (1.9%)
(S)@ DFA Short Term Investment Fund.................. 4,693,347 54,302,029 1.9%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,016,564,478)............................. $2,899,019,872 100.1%
============== ======
21
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2016, 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................... $ 18,987,769 $ 167,648,675 -- $ 186,636,444
Austria..................... -- 3,015,042 -- 3,015,042
Belgium..................... 1,110,032 50,314,991 -- 51,425,023
Canada...................... 263,101,160 6,237 -- 263,107,397
Denmark..................... -- 51,239,042 -- 51,239,042
Finland..................... -- 20,701,028 -- 20,701,028
France...................... 9,515,636 262,860,775 -- 272,376,411
Germany..................... 18,405,840 198,912,238 -- 217,318,078
Hong Kong................... -- 68,922,680 -- 68,922,680
Ireland..................... 1,871,918 5,616,992 -- 7,488,910
Israel...................... 1,611,012 10,707,210 -- 12,318,222
Italy....................... 955,972 34,041,973 -- 34,997,945
Japan....................... 14,345,085 554,592,052 -- 568,937,137
Netherlands................. 9,810,316 74,164,060 -- 83,974,376
New Zealand................. -- 2,776,684 -- 2,776,684
Norway...................... 3,186,059 18,850,926 -- 22,036,985
Portugal.................... -- 1,339,377 -- 1,339,377
Singapore................... -- 28,646,935 -- 28,646,935
Spain....................... 15,143 74,667,719 -- 74,682,862
Sweden...................... -- 77,543,896 -- 77,543,896
Switzerland................. 3,994,241 241,908,209 -- 245,902,450
United Kingdom.............. 333,704,483 187,279,591 -- 520,984,074
Preferred Stocks
Germany..................... -- 28,346,845 -- 28,346,845
Securities Lending Collateral. -- 54,302,029 -- 54,302,029
Futures Contracts**........... 824,853 -- -- 824,853
------------ -------------- -- --------------
TOTAL......................... $681,439,519 $2,218,405,206 -- $2,899,844,725
============ ============== == ==============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note G)
See accompanying Notes to Financial Statements.
22
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2016
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (96.8%)
AUSTRALIA -- (4.8%)
Australia & New Zealand Banking Group, Ltd.......... 235,249 $ 4,312,096 0.2%
BHP Billiton, Ltd................................... 328,023 5,122,715 0.2%
National Australia Bank, Ltd........................ 197,650 4,054,993 0.2%
Westpac Banking Corp................................ 208,931 4,904,350 0.2%
Woodside Petroleum, Ltd............................. 193,020 4,132,558 0.2%
Other Securities.................................... 87,603,940 3.9%
------------ ----
TOTAL AUSTRALIA......................................... 110,130,652 4.9%
------------ ----
AUSTRIA -- (0.4%)
Other Securities.................................... 9,823,513 0.4%
------------ ----
BELGIUM -- (1.3%)
Anheuser-Busch InBev NV............................. 45,871 5,690,475 0.3%
Other Securities.................................... 23,281,062 1.0%
------------ ----
TOTAL BELGIUM........................................... 28,971,537 1.3%
------------ ----
BRAZIL -- (1.3%)
Other Securities.................................... 30,338,906 1.4%
------------ ----
CANADA -- (6.2%)
Suncor Energy, Inc.................................. 140,413 4,121,630 0.2%
Toronto-Dominion Bank (The)......................... 92,478 4,116,439 0.2%
Other Securities.................................... 132,568,162 5.9%
------------ ----
TOTAL CANADA............................................ 140,806,231 6.3%
------------ ----
CHILE -- (0.3%)
Other Securities.................................... 6,417,884 0.3%
------------ ----
CHINA -- (4.7%)
China Construction Bank Corp. Class H............... 10,006,200 6,355,208 0.3%
China Mobile, Ltd. Sponsored ADR.................... 73,952 4,253,719 0.2%
Industrial & Commercial Bank of China, Ltd. Class H. 10,068,460 5,390,662 0.3%
Other Securities.................................... 90,211,840 3.9%
------------ ----
TOTAL CHINA............................................. 106,211,429 4.7%
------------ ----
COLOMBIA -- (0.1%)
Other Securities.................................... 1,715,199 0.1%
------------ ----
CZECH REPUBLIC -- (0.0%)
Other Securities.................................... 546,515 0.0%
------------ ----
DENMARK -- (1.3%)
Other Securities.................................... 30,453,351 1.4%
------------ ----
EGYPT -- (0.0%)
Other Securities.................................... 124,787 0.0%
------------ ----
FINLAND -- (1.3%)
UPM-Kymmene Oyj..................................... 210,965 4,038,307 0.2%
Other Securities.................................... 26,290,544 1.2%
------------ ----
TOTAL FINLAND........................................... 30,328,851 1.4%
------------ ----
23
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
FRANCE -- (5.4%)
Cie de Saint-Gobain................................ 82,244 $ 3,768,628 0.2%
Cie Generale des Etablissements Michelin........... 36,347 3,796,446 0.2%
Engie SA........................................... 232,710 3,838,189 0.2%
Orange SA.......................................... 252,114 4,188,602 0.2%
Total SA........................................... 219,419 11,089,611 0.5%
Other Securities................................... 96,737,424 4.2%
------------ ----
TOTAL FRANCE........................................... 123,418,900 5.5%
------------ ----
GERMANY -- (5.2%)
BASF SE............................................ 97,349 8,053,761 0.4%
Bayerische Motoren Werke AG........................ 57,820 5,349,134 0.3%
Daimler AG......................................... 140,117 9,762,882 0.5%
Deutsche Telekom AG................................ 235,891 4,140,696 0.2%
E.ON SE............................................ 409,415 4,243,247 0.2%
Fresenius SE & Co. KGaA............................ 58,466 4,263,235 0.2%
Siemens AG......................................... 43,047 4,504,792 0.2%
Other Securities................................... 78,507,659 3.3%
------------ ----
TOTAL GERMANY.......................................... 118,825,406 5.3%
------------ ----
GREECE -- (0.1%)
Other Securities................................... 1,852,485 0.1%
------------ ----
HONG KONG -- (2.3%)
AIA Group, Ltd..................................... 729,000 4,353,432 0.2%
Other Securities................................... 46,767,410 2.1%
------------ ----
TOTAL HONG KONG........................................ 51,120,842 2.3%
------------ ----
HUNGARY -- (0.1%)
Other Securities................................... 1,748,425 0.1%
------------ ----
INDIA -- (2.1%)
Other Securities................................... 48,771,996 2.2%
------------ ----
INDONESIA -- (0.5%)
Other Securities................................... 12,132,155 0.5%
------------ ----
IRELAND -- (0.4%)
Other Securities................................... 9,345,696 0.4%
------------ ----
ISRAEL -- (0.5%)
Teva Pharmaceutical Industries, Ltd. Sponsored ADR. 67,449 3,672,598 0.2%
Other Securities................................... 7,786,751 0.3%
------------ ----
TOTAL ISRAEL........................................... 11,459,349 0.5%
------------ ----
ITALY -- (2.0%)
Assicurazioni Generali SpA......................... 239,827 3,666,857 0.2%
Eni SpA............................................ 231,731 3,785,774 0.2%
Other Securities................................... 38,936,338 1.7%
------------ ----
TOTAL ITALY............................................ 46,388,969 2.1%
------------ ----
JAPAN -- (16.4%)
Honda Motor Co., Ltd............................... 146,500 3,953,415 0.2%
NTT DOCOMO, Inc.................................... 149,700 3,590,402 0.2%
Toyota Motor Corp.................................. 146,955 7,449,105 0.4%
Toyota Motor Corp. Sponsored ADR................... 41,028 4,172,548 0.2%
24
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
JAPAN -- (Continued)
Other Securities.................. $355,370,424 15.7%
------------ -----
TOTAL JAPAN........................... 374,535,894 16.7%
------------ -----
MALAYSIA -- (0.8%)
Other Securities.................. 18,067,086 0.8%
------------ -----
MEXICO -- (1.1%)
Other Securities.................. 24,899,831 1.1%
------------ -----
NETHERLANDS -- (2.1%)
Koninklijke DSM NV................ 64,745 3,973,825 0.2%
Other Securities.................. 44,274,095 1.9%
------------ -----
TOTAL NETHERLANDS..................... 48,247,920 2.1%
------------ -----
NEW ZEALAND -- (0.4%)
Other Securities.................. 9,538,339 0.4%
------------ -----
NORWAY -- (0.6%)
Other Securities.................. 14,495,681 0.6%
------------ -----
PERU -- (0.0%)
Other Securities.................. 566,123 0.0%
------------ -----
PHILIPPINES -- (0.3%)
Other Securities.................. 6,923,955 0.3%
------------ -----
POLAND -- (0.3%)
Other Securities.................. 7,425,462 0.3%
------------ -----
PORTUGAL -- (0.3%)
Other Securities.................. 5,523,822 0.2%
------------ -----
RUSSIA -- (0.3%)
Other Securities.................. 6,440,912 0.3%
------------ -----
SINGAPORE -- (0.9%)
Other Securities.................. 20,411,186 0.9%
------------ -----
SOUTH AFRICA -- (1.8%)
Other Securities.................. 41,643,335 1.9%
------------ -----
SOUTH KOREA -- (4.1%)
Samsung Electronics Co., Ltd...... 5,671 6,180,421 0.3%
Samsung Electronics Co., Ltd. GDR. 8,033 4,386,483 0.2%
Other Securities.................. 83,034,867 3.7%
------------ -----
TOTAL SOUTH KOREA..................... 93,601,771 4.2%
------------ -----
SPAIN -- (1.9%)
Banco Santander SA................ 764,094 3,880,313 0.2%
Other Securities.................. 39,820,419 1.7%
------------ -----
TOTAL SPAIN........................... 43,700,732 1.9%
------------ -----
SWEDEN -- (2.4%)
Other Securities.................. 53,674,512 2.4%
------------ -----
25
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
SWITZERLAND -- (5.4%)
ABB, Ltd........................................ 219,337 $ 4,643,422 0.2%
Cie Financiere Richemont SA..................... 64,953 4,331,080 0.2%
Nestle SA....................................... 261,736 19,535,883 0.9%
Novartis AG Sponsored ADR....................... 117,451 8,922,753 0.4%
Roche Holding AG................................ 19,398 4,907,872 0.2%
Syngenta AG..................................... 10,331 4,144,435 0.2%
Other Securities................................ 75,927,267 3.4%
-------------- -----
TOTAL SWITZERLAND................................... 122,412,712 5.5%
-------------- -----
TAIWAN -- (3.4%)
Other Securities................................ 77,071,792 3.4%
-------------- -----
THAILAND -- (0.6%)
Other Securities................................ 12,384,077 0.6%
-------------- -----
TURKEY -- (0.4%)
Other Securities................................ 8,742,748 0.4%
-------------- -----
UNITED KINGDOM -- (13.0%)
BP P.L.C. Sponsored ADR......................... 446,412 14,990,518 0.7%
HSBC Holdings P.L.C. Sponsored ADR.............. 138,043 4,600,973 0.2%
Rio Tinto P.L.C. Sponsored ADR.................. 112,860 3,798,868 0.2%
Royal Dutch Shell P.L.C. Class A................ 155,565 4,074,735 0.2%
Royal Dutch Shell P.L.C. Sponsored ADR, Class A. 158,928 8,405,702 0.4%
Royal Dutch Shell P.L.C. Sponsored ADR, Class B. 149,242 7,962,061 0.4%
SSE P.L.C....................................... 166,369 3,675,684 0.2%
Vodafone Group P.L.C. Sponsored ADR............. 137,812 4,511,980 0.2%
Other Securities................................ 243,562,978 10.7%
-------------- -----
TOTAL UNITED KINGDOM................................ 295,583,499 13.2%
-------------- -----
TOTAL COMMON STOCKS................................. 2,206,824,467 98.4%
-------------- -----
PREFERRED STOCKS -- (0.8%)
BRAZIL -- (0.5%)
Other Securities................................ 9,886,685 0.4%
-------------- -----
CHILE -- (0.0%)
Other Securities................................ 60,782 0.0%
-------------- -----
COLOMBIA -- (0.0%)
Other Securities................................ 257,003 0.0%
-------------- -----
GERMANY -- (0.3%)
Other Securities................................ 7,010,646 0.3%
-------------- -----
UNITED KINGDOM -- (0.0%)
Other Securities................................ 849 0.0%
-------------- -----
TOTAL PREFERRED STOCKS.............................. 17,215,965 0.7%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
AUSTRIA -- (0.0%)
Other Securities................................ -- 0.0%
-------------- -----
BRAZIL -- (0.0%)
Other Securities................................ 3,518 0.0%
-------------- -----
26
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
GERMANY -- (0.0%)
Other Securities................ $ 957 0.0%
-------------- ------
HONG KONG -- (0.0%)
Other Securities................ 1,890 0.0%
-------------- ------
NORWAY -- (0.0%)
Other Securities................ -- 0.0%
-------------- ------
SINGAPORE -- (0.0%)
Other Securities................ 13,029 0.0%
-------------- ------
SOUTH KOREA -- (0.0%)
Other Securities................ 12,182 0.0%
-------------- ------
SWEDEN -- (0.0%)
Other Securities................ 8,628 0.0%
-------------- ------
THAILAND -- (0.0%)
Other Securities................ 33,729 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS.................. 73,933 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES............ 2,224,114,365
--------------
Value+
- ------
SECURITIES LENDING COLLATERAL -- (2.4%)
(S)@ DFA Short Term Investment Fund.. 4,815,428 55,714,498 2.5%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,093,873,994).............. $2,279,828,863 101.6%
============== ======
Summary of the Portfolio's investments as of April 30, 2016, 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...... $ 1,845,285 $108,285,367 -- $110,130,652
Austria........ -- 9,823,513 -- 9,823,513
Belgium........ 2,882,684 26,088,853 -- 28,971,537
Brazil......... 30,338,906 -- -- 30,338,906
Canada......... 140,777,428 28,803 -- 140,806,231
Chile.......... 2,271,891 4,145,993 -- 6,417,884
China.......... 10,752,462 95,458,967 -- 106,211,429
Colombia....... 1,713,888 1,311 -- 1,715,199
Czech Republic. -- 546,515 -- 546,515
Denmark........ 1,167,277 29,286,074 -- 30,453,351
Egypt.......... -- 124,787 -- 124,787
Finland........ 45,424 30,283,427 -- 30,328,851
France......... 3,180,439 120,238,461 -- 123,418,900
Germany........ 5,254,190 113,571,216 -- 118,825,406
Greece......... -- 1,852,485 -- 1,852,485
Hong Kong...... 286,891 50,833,951 -- 51,120,842
Hungary........ 35,179 1,713,246 -- 1,748,425
India.......... 1,675,431 47,096,565 -- 48,771,996
Indonesia...... 329,347 11,802,808 -- 12,132,155
27
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
Investments in Securities (Market Value)
--------------------------------------------------
Level 1 Level 2 Level 3 Total
- ------------ -------------- ------- --------------
Ireland..................... $ 1,647,219 $ 7,698,477 -- $ 9,345,696
Israel...................... 4,406,561 7,052,788 -- 11,459,349
Italy....................... 1,694,840 44,694,129 -- 46,388,969
Japan....................... 13,436,804 361,099,090 -- 374,535,894
Malaysia.................... -- 18,067,086 -- 18,067,086
Mexico...................... 24,899,825 6 -- 24,899,831
Netherlands................. 7,912,779 40,335,141 -- 48,247,920
New Zealand................. 29,962 9,508,377 -- 9,538,339
Norway...................... 1,268,881 13,226,800 -- 14,495,681
Peru........................ 566,123 -- -- 566,123
Philippines................. 36,900 6,887,055 -- 6,923,955
Poland...................... -- 7,425,462 -- 7,425,462
Portugal.................... -- 5,523,822 -- 5,523,822
Russia...................... 255,299 6,185,613 -- 6,440,912
Singapore................... -- 20,411,186 -- 20,411,186
South Africa................ 7,320,343 34,322,992 -- 41,643,335
South Korea................. 4,899,336 88,702,435 -- 93,601,771
Spain....................... 3,526,177 40,174,555 -- 43,700,732
Sweden...................... 750,917 52,923,595 -- 53,674,512
Switzerland................. 15,501,540 106,911,172 -- 122,412,712
Taiwan...................... 3,100,251 73,971,541 -- 77,071,792
Thailand.................... 12,380,678 3,399 -- 12,384,077
Turkey...................... 98,896 8,643,852 -- 8,742,748
United Kingdom.............. 69,400,027 226,183,472 -- 295,583,499
Preferred Stocks
Brazil...................... 9,886,685 -- -- 9,886,685
Chile....................... -- 60,782 -- 60,782
Colombia.................... 257,003 -- -- 257,003
Germany..................... -- 7,010,646 -- 7,010,646
United Kingdom.............. -- 849 -- 849
Rights/Warrants
Austria..................... -- -- -- --
Brazil...................... -- 3,518 -- 3,518
Germany..................... -- 957 -- 957
Hong Kong................... -- 1,890 -- 1,890
Norway...................... -- -- -- --
Singapore................... -- 13,029 -- 13,029
South Korea................. -- 12,182 -- 12,182
Sweden...................... -- 8,628 -- 8,628
Thailand.................... -- 33,729 -- 33,729
Securities Lending Collateral. -- 55,714,498 -- 55,714,498
Forward Currency Contracts**.. -- 74 -- 74
------------ -------------- -- --------------
TOTAL......................... $385,833,768 $1,893,995,169 -- $2,279,828,937
============ ============== == ==============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note G)
See accompanying Notes to Financial Statements.
28
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2016
(Unaudited)
(Amounts in thousands, except share and per share amounts)
Tax-Managed
U.S. Tax-Managed Tax-Managed Tax-Managed
Marketwide U.S. Equity U.S. Targeted U.S. Small Cap
Value Portfolio Portfolio* Value Portfolio* Portfolio*
--------------- ------------ ---------------- --------------
ASSETS:
Investments in Affiliated Investment Company at
Value...................................................... $ 3,891,907 -- -- --
Investments at Value (including $0, $289,078, $466,108
and $402,654 of securities on loan, respectively).......... -- $ 2,536,397 $ 3,589,210 $ 2,175,827
Temporary Cash Investments at Value & Cost.................. -- 21,993 37,642 12,674
Collateral from Securities on Loan Invested in Affiliate at
Value & Cost............................................... -- 214,303 352,342 355,737
Segregated Cash for Futures Contracts....................... -- 788 1,161 --
Receivables:
Investment Securities/Affiliated Investment Company
Sold..................................................... -- 988 28,015 2,046
Dividends, Interest and Tax Reclaims...................... -- 2,494 1,615 1,537
Securities Lending Income................................. -- 98 269 251
Fund Shares Sold.......................................... 1,387 335 1,876 1,176
Prepaid Expenses and Other Assets........................... 41 30 80 38
------------ ------------ ------------ ------------
Total Assets........................................... 3,893,335 2,777,426 4,012,210 2,549,286
------------ ------------ ------------ ------------
LIABILITIES:
Payables:
Due to Custodian.......................................... -- 160 236 --
Upon Return of Securities Loaned.......................... -- 214,303 352,342 355,737
Investment Securities/Affiliated Investment Company
Purchased................................................ -- 717 27,752 4,885
Fund Shares Redeemed...................................... 1,130 1,026 977 718
Due to Advisor............................................ 472 423 1,236 888
Futures Margin Variation.................................. -- 116 172 --
Accrued Expenses and Other Liabilities...................... 133 176 205 127
------------ ------------ ------------ ------------
Total Liabilities...................................... 1,735 216,921 382,920 362,355
------------ ------------ ------------ ------------
NET ASSETS.................................................. $ 3,891,600 $ 2,560,505 $ 3,629,290 $ 2,186,931
============ ============ ============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)..................... 154,857,737 115,317,828 118,903,665 62,950,053
============ ============ ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE............................................ $ 25.13 $ 22.20 $ 30.52 $ 34.74
============ ============ ============ ============
Investments in Affiliated Investment Company at Cost........ $ 2,351,786 $ -- $ -- $ --
------------ ------------ ------------ ------------
Investments at Cost......................................... $ -- $ 1,364,602 $ 2,319,370 $ 1,341,623
============ ============ ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 2,334,837 $ 1,674,010 $ 2,299,233 $ 1,330,670
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... 5,662 2,979 2,029 1,725
Accumulated Net Realized Gain (Loss)........................ 10,980 (288,387) 57,166 20,332
Net Unrealized Appreciation (Depreciation).................. 1,540,121 1,171,903 1,270,862 834,204
------------ ------------ ------------ ------------
NET ASSETS.................................................. $ 3,891,600 $ 2,560,505 $ 3,629,290 $ 2,186,931
============ ============ ============ ============
(1) NUMBER OF SHARES AUTHORIZED............................. 700,000,000 500,000,000 700,000,000 500,000,000
============ ============ ============ ============
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
29
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2016
(Unaudited)
(Amounts in thousands, except share and per share amounts)
Tax-Managed T.A. World ex
T.A. U.S. Core DFA U.S. Core
Equity 2 International Equity
Portfolio* Value Portfolio* Portfolio*
-------------- ---------------- -------------
ASSETS:
Investments at Value (including $819,832, $65,572 and $72,533 of
securities on loan, respectively)....................................... $ 5,748,111 $ 2,844,718 $ 2,224,115
Temporary Cash Investments at Value & Cost............................... 69,974 -- --
Collateral from Securities on Loan Invested in Affiliate at Value & Cost. 641,724 54,302 55,714
Segregated Cash for Futures Contracts.................................... 1,665 1,205 --
Foreign Currencies at Value.............................................. -- 9,578 5,096
Cash..................................................................... -- 29,315 8,009
Receivables:
Investment Securities Sold............................................. 11,264 867 2,157
Dividends, Interest and Tax Reclaims................................... 5,205 14,200 9,511
Securities Lending Income.............................................. 361 382 235
Fund Shares Sold....................................................... 2,930 2,019 4,170
Unrealized Gain on Foreign Currency Contracts............................ -- -- 12
Prepaid Expenses and Other Assets........................................ 98 118 77
-------------- ------------ ------------
Total Assets........................................................ 6,481,332 2,956,704 2,309,096
-------------- ------------ ------------
LIABILITIES:
Payables:
Due to Custodian....................................................... 339 -- --
Upon Return of Securities Loaned....................................... 641,724 54,302 55,714
Investment Securities Purchased........................................ 4,322 2,000 8,716
Fund Shares Redeemed................................................... 1,600 1,877 618
Due to Advisor......................................................... 1,043 1,150 716
Futures Margin Variation............................................... 246 154 --
Accrued Expenses and Other Liabilities................................... 242 238 262
-------------- ------------ ------------
Total Liabilities................................................... 649,516 59,721 66,026
-------------- ------------ ------------
NET ASSETS............................................................... $ 5,831,816 $ 2,896,983 $ 2,243,070
============== ============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1).................................. 419,305,024 219,522,625 243,619,284
============== ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE......................................................... $ 13.91 $ 13.20 $ 9.21
============== ============ ============
Investments at Cost...................................................... $ 3,780,175 $ 2,962,262 $ 2,038,159
============== ============ ============
Foreign Currencies at Cost............................................... $ -- $ 9,442 $ 5,045
============== ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital.......................................................... $ 3,816,748 $ 3,090,410 $ 2,099,184
Undistributed Net Investment Income (Distributions in Excess of
Net Investment Income).................................................. 7,024 20,087 10,032
Accumulated Net Realized Gain (Loss)..................................... 38,640 (97,360) (52,452)
Net Unrealized Foreign Exchange Gain (Loss).............................. -- 429 299
Net Unrealized Appreciation (Depreciation)............................... 1,969,404 (116,583) 186,007
-------------- ------------ ------------
NET ASSETS............................................................... $ 5,831,816 $ 2,896,983 $ 2,243,070
============== ============ ============
(1) NUMBER OF SHARES AUTHORIZED.......................................... 1,000,000,000 700,000,000 500,000,000
============== ============ ============
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
30
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2016
(Unaudited)
(Amounts in thousands)
Tax-Managed
U.S. Tax-Managed
Marketwide Tax-Managed U.S. Targeted Tax-Managed
Value U.S. Equity Value U.S. Small
Portfolio* Portfolio Portfolio Cap Portfolio
----------- ----------- ------------- -------------
Investment Income
Net Investment Income Allocated from Affiliated Investment
Company:
Dividends (Net of Foreign Taxes Withheld of $2, $0, $0 and
$0, respectively).......................................... $ 42,312 -- -- --
Interest.................................................... 46 -- -- --
Income from Securities Lending.............................. 411 -- -- --
Expenses Allocated from Affiliated Investment Company....... (3,909) -- -- --
--------- -------- --------- --------
Total Net Investment Income Received from Affiliated
Investment Company...................................... 38,860 -- -- --
--------- -------- --------- --------
Fund Investment Income
Dividends (Net of Foreign Taxes Withheld of $0, $2, $7 and
$3, respectively).......................................... -- $ 25,789 $ 28,344 $ 16,096
Income from Securities Lending.............................. -- 486 1,614 1,436
--------- -------- --------- --------
Total Investment Income.................................. -- 26,275 29,958 17,532
--------- -------- --------- --------
Fund Expenses
Investment Management Fees.................................. 6,447 2,443 7,198 5,183
Accounting & Transfer Agent Fees............................ 12 70 99 60
Custodian Fees.............................................. -- 16 24 18
Filing Fees................................................. 35 27 41 25
Shareholders' Reports....................................... 41 22 39 26
Directors'/Trustees' Fees & Expenses........................ 16 10 15 9
Professional Fees........................................... 5 21 31 19
Other....................................................... 13 44 60 38
--------- -------- --------- --------
Total Expenses........................................... 6,569 2,653 7,507 5,378
--------- -------- --------- --------
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor (Note C).................. (3,684) 34 -- --
--------- -------- --------- --------
Net Expenses................................................ 2,885 2,687 7,507 5,378
--------- -------- --------- --------
Net Investment Income (Loss)................................ 35,975 23,588 22,451 12,154
--------- -------- --------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold................................ 45,857 35,168 55,794 20,363
Futures................................................... 2,714 -- 1,792 259
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities..................................... (115,950) (58,143) (122,586) (43,287)
Futures................................................... 344 108 1,022 --
--------- -------- --------- --------
Net Realized and Unrealized Gain (Loss)..................... (67,035) (22,867) (63,978) (22,665)
--------- -------- --------- --------
Net Increase (Decrease) in Net Assets Resulting from
Operations................................................... $ (31,060) $ 721 $ (41,527) $(10,511)
========= ======== ========= ========
----------
* 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.
31
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2016
(Unaudited)
(Amounts in thousands)
Tax-Managed
DFA T.A. World ex
T.A. U.S. Core International U.S. Core
Equity 2 Value Equity
Portfolio Portfolio Portfolio
-------------- ------------- -------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $8, $4,135 and $2,607,
respectively)...................................................... $ 56,968 $ 45,490 $ 27,007
Interest............................................................ -- 1 --
Income from Securities Lending...................................... 1,860 1,069 1,140
-------- --------- --------
Total Investment Income.......................................... 58,828 46,560 28,147
-------- --------- --------
Fund Expenses
Investment Management Fees.......................................... 5,960 6,812 4,104
Accounting & Transfer Agent Fees.................................... 154 84 64
Custodian Fees...................................................... 39 141 243
Filing Fees......................................................... 72 62 49
Shareholders' Reports............................................... 41 45 26
Directors'/Trustees' Fees & Expenses................................ 23 12 9
Professional Fees................................................... 46 27 48
Other............................................................... 87 71 69
-------- --------- --------
Total Expenses................................................... 6,422 7,254 4,612
-------- --------- --------
Fees Paid Indirectly (Note C)....................................... -- (6) (6)
-------- --------- --------
Net Expenses........................................................ 6,422 7,248 4,606
-------- --------- --------
Net Investment Income (Loss)........................................ 52,406 39,312 23,541
-------- --------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold*....................................... 40,035 (71,166) (24,201)
Futures........................................................... 1,487 745 --
Foreign Currency Transactions..................................... -- 454 216
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........................ (97,227) (84,250) (1,278)
Futures........................................................... 1,468 825 --
Translation of Foreign Currency Denominated Amounts............... -- 510 353
-------- --------- --------
Net Realized and Unrealized Gain (Loss)............................. (54,237) (152,882) (24,910)
-------- --------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations....... $ (1,831) $(113,570) $ (1,369)
======== ========= ========
----------
* Net of foreign capital gain taxes withheld of $0, $0 and $1, respectively.
See accompanying Notes to Financial Statements.
32
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Tax-Managed U.S. Tax-Managed U.S. Equity Tax-Managed U.S. Targeted
Marketwide Value Portfolio Portfolio Value Portfolio
------------------------- ---------------------- ------------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2016 2015 2016 2015 2016 2015
----------- ---------- ----------- ---------- ----------- ----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net
Assets
Operations:
Net Investment Income
(Loss)............................. $ 35,975 $ 62,974 $ 23,588 $ 43,201 $ 22,451 $ 43,342
Net Realized Gain (Loss) on:
Investment Securities Sold/
Affiliated Investment
Company Sold...................... 45,857 62,518 35,168 42,709 55,794 135,620
Futures............................ 2,714 -- -- -- 1,792 (2,054)
Change in Unrealized
Appreciation
(Depreciation) of:
Investment Securities/Affiliated
Investment Company................ (115,950) (23,233) (58,143) 20,870 (122,586) (114,884)
Futures............................ 344 -- 108 -- 1,022 --
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease)
in Net Assets Resulting
from Operations.................. (31,060) 102,259 721 106,780 (41,527) 62,024
---------- ---------- ---------- ---------- ---------- ----------
Distributions From:
Net Investment Income............... (38,140) (60,761) (26,172) (42,330) (24,273) (40,745)
Net Short-Term Gains................ -- -- -- -- -- (76)
Net Long-Term Gains................. -- -- -- -- (128,578) (125,781)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions............... (38,140) (60,761) (26,172) (42,330) (152,851) (166,602)
---------- ---------- ---------- ---------- ---------- ----------
Capital Share Transactions (1):
Shares Issued....................... 393,692 548,871 244,335 326,467 523,472 498,985
Shares Issued in Lieu of Cash
Distributions...................... 37,479 59,551 24,967 39,973 150,986 164,498
Shares Redeemed..................... (331,242) (453,223) (177,499) (248,188) (521,262) (460,740)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease)
from Capital Share
Transactions..................... 99,929 155,199 91,803 118,252 153,196 202,743
---------- ---------- ---------- ---------- ---------- ----------
Total Increase (Decrease)
in Net Assets.................... 30,729 196,697 66,352 182,702 (41,182) 98,165
Net Assets
Beginning of Period................. 3,860,871 3,664,174 2,494,153 2,311,451 3,670,472 3,572,307
---------- ---------- ---------- ---------- ---------- ----------
End of Period....................... $3,891,600 $3,860,871 $2,560,505 $2,494,153 $3,629,290 $3,670,472
========== ========== ========== ========== ========== ==========
(1) Shares Issued and
Redeemed:
Shares Issued....................... 16,511 21,617 11,440 14,775 18,375 15,381
Shares Issued in Lieu of Cash
Distributions...................... 1,512 2,373 1,125 1,830 4,996 5,326
Shares Redeemed..................... (13,967) (17,856) (8,280) (11,187) (17,955) (14,363)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease)
from Shares Issued and
Redeemed......................... 4,056 6,134 4,285 5,418 5,416 6,344
========== ========== ========== ========== ========== ==========
Undistributed Net Investment
Income (Distributions in
Excess of Net Investment
Income).............................. $ 5,662 $ 7,827 $ 2,979 $ 5,563 $ 2,029 $ 3,851
Tax-Managed U.S. Small
Cap Portfolio
----------------------
Six Months Year
Ended Ended
April 30, Oct. 31,
2016 2015
----------- ----------
(Unaudited)
Increase (Decrease) in Net
Assets
Operations:
Net Investment Income
(Loss)............................. $ 12,154 $ 20,857
Net Realized Gain (Loss) on:
Investment Securities Sold/
Affiliated Investment
Company Sold...................... 20,363 98,224
Futures............................ 259 (328)
Change in Unrealized
Appreciation
(Depreciation) of:
Investment Securities/Affiliated
Investment Company................ (43,287) (72,674)
Futures............................ -- --
---------- ----------
Net Increase (Decrease)
in Net Assets Resulting
from Operations.................. (10,511) 46,079
---------- ----------
Distributions From:
Net Investment Income............... (11,902) (19,869)
Net Short-Term Gains................ -- --
Net Long-Term Gains................. (94,181) (38,979)
---------- ----------
Total Distributions............... (106,083) (58,848)
---------- ----------
Capital Share Transactions (1):
Shares Issued....................... 290,843 310,541
Shares Issued in Lieu of Cash
Distributions...................... 103,821 57,581
Shares Redeemed..................... (281,447) (257,603)
---------- ----------
Net Increase (Decrease)
from Capital Share
Transactions..................... 113,217 110,519
---------- ----------
Total Increase (Decrease)
in Net Assets.................... (3,377) 97,750
Net Assets
Beginning of Period................. 2,190,308 2,092,558
---------- ----------
End of Period....................... $2,186,931 $2,190,308
========== ==========
(1) Shares Issued and
Redeemed:
Shares Issued....................... 8,850 8,383
Shares Issued in Lieu of Cash
Distributions...................... 3,015 1,619
Shares Redeemed..................... (8,491) (6,992)
---------- ----------
Net Increase (Decrease)
from Shares Issued and
Redeemed......................... 3,374 3,010
========== ==========
Undistributed Net Investment
Income (Distributions in
Excess of Net Investment
Income).............................. $ 1,725 $ 1,473
See accompanying Notes to Financial Statements.
33
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
T.A. U.S. Core Equity 2 Tax-Managed DFA T.A. World ex U.S. Core
Portfolio International Value Portfolio Equity Portfolio
---------------------- ---------------------------- ----------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2016 2015 2016 2015 2016 2015
----------- ---------- ----------- ---------- ----------- ----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................. $ 52,406 $ 88,750 $ 39,312 $ 92,671 $ 23,541 $ 51,365
Net Realized Gain (Loss) on:
Investment Securities Sold*................ 40,035 (24) (71,166) (21,424) (24,201) (19,292)
Futures.................................... 1,487 -- 745 -- -- --
Foreign Currency Transactions.............. -- -- 454 (2,134) 216 (877)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.................................. (97,227) 16,434 (84,250) (256,082) (1,278) (129,015)
Futures.................................... 1,468 -- 825 -- -- --
Translation of Foreign Currency
Denominated Amounts....................... -- -- 510 202 353 68
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations................ (1,831) 105,160 (113,570) (186,767) (1,369) (97,751)
---------- ---------- ---------- ---------- ---------- ----------
Distributions From:
Net Investment Income........................ (56,082) (85,159) (29,761) (85,979) (19,806) (50,580)
Net Long-Term Gains.......................... (166) (65,625) -- (2,413) -- --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions....................... (56,248) (150,784) (29,761) (88,392) (19,806) (50,580)
---------- ---------- ---------- ---------- ---------- ----------
Capital Share Transactions (1):
Shares Issued................................ 1,000,870 1,219,843 869,845 951,472 660,910 839,761
Shares Issued in Lieu of Cash
Distributions............................... 55,913 150,133 29,376 87,115 19,747 50,399
Shares Redeemed.............................. (716,041) (831,410) (853,838) (745,754) (540,725) (613,016)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from Capital
Share Transactions....................... 340,742 538,566 45,383 292,833 139,932 277,144
---------- ---------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in Net
Assets................................... 282,663 492,942 (97,948) 17,674 118,757 128,813
Net Assets
Beginning of Period.......................... 5,549,153 5,056,211 2,994,931 2,977,257 2,124,313 1,995,500
---------- ---------- ---------- ---------- ---------- ----------
End of Period................................ $5,831,816 $5,549,153 $2,896,983 $2,994,931 $2,243,070 $2,124,313
========== ========== ========== ========== ========== ==========
(1) Shares Issued and Redeemed:
Shares Issued................................ 75,961 86,397 70,022 66,366 76,026 87,442
Shares Issued in Lieu of Cash
Distributions............................... 4,044 10,899 2,266 5,863 2,199 5,244
Shares Redeemed.............................. (54,432) (59,495) (68,629) (52,624) (63,022) (65,047)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from Shares
Issued and Redeemed...................... 25,573 37,801 3,659 19,605 15,203 27,639
========== ========== ========== ========== ========== ==========
Undistributed Net Investment Income
(Distributions in Excess of Net
Investment Income)............................ $ 7,024 $ 10,700 $ 20,087 $ 10,536 $ 10,032 $ 6,297
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $1 and $0,
respectively.
See accompanying Notes to Financial Statements.
34
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Tax-Managed U.S. Marketwide Value Portfolio
----------------------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012 2011
--------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period........................... $ 25.60 $ 25.33 $ 22.35 $ 16.76 $ 14.42 $ 13.78
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)..................... 0.24 0.43 0.35 0.32 0.28 0.22
Net Gains (Losses) on
Securities (Realized and
Unrealized).................... (0.46) 0.25 2.98 5.60 2.33 0.63
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations.................... (0.22) 0.68 3.33 5.92 2.61 0.85
--------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........... (0.25) (0.41) (0.35) (0.33) (0.27) (0.21)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions............ (0.25) (0.41) (0.35) (0.33) (0.27) (0.21)
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.... $ 25.13 $ 25.60 $ 25.33 $ 22.35 $ 16.76 $ 14.42
================================== =========== ========== ========== ========== ========== ==========
Total Return...................... (0.84)%(C) 2.73% 14.98% 35.71% 18.34% 6.15%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)...................... $3,891,600 $3,860,871 $3,664,174 $3,110,436 $2,345,296 $2,063,119
Ratio of Expenses to Average Net
Assets........................... 0.37%(B)(D) 0.37%(B) 0.37%(B) 0.37%(B) 0.38%(B) 0.38%(B)
Ratio of Expenses to Average Net
Assets (Excluding Fees
(Waived), (Expenses
Reimbursed), and/or Previously
Waived Fees Recovered by
Advisor)......................... 0.57%(B)(D) 0.43%(B) 0.37%(B) 0.37%(B) 0.38%(B) 0.38%(B)
Ratio of Net Investment Income to
Average Net Assets............... 1.95%(D) 1.65% 1.45% 1.66% 1.83% 1.45%
Portfolio Turnover Rate........... N/A N/A N/A N/A N/A N/A
--------------------------------------------------------------------------------------------------------------------------------
Tax-Managed U.S. Equity Portfolio
--------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012 2011
----------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period........................... $ 22.46 $ 21.89 $ 19.20 $ 15.16 $ 13.48 $ 12.70
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)..................... 0.21 0.40 0.34 0.32 0.27 0.23
Net Gains (Losses) on
Securities (Realized and
Unrealized).................... (0.24) 0.56 2.69 4.05 1.67 0.77
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations.................... (0.03) 0.96 3.03 4.37 1.94 1.00
----------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........... (0.23) (0.39) (0.34) (0.33) (0.26) (0.22)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions............ (0.23) (0.39) (0.34) (0.33) (0.26) (0.22)
----------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.... $ 22.20 $ 22.46 $ 21.89 $ 19.20 $ 15.16 $ 13.48
================================== =========== ========== ========== ========== ========== ==========
Total Return...................... (0.13)%(C) 4.47% 15.89% 29.15% 14.57% 7.92%
----------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)...................... $2,560,505 $2,494,153 $2,311,451 $1,991,461 $1,522,411 $1,364,068
Ratio of Expenses to Average Net
Assets........................... 0.22%(D) 0.22% 0.22% 0.22% 0.22% 0.22%**
Ratio of Expenses to Average Net
Assets (Excluding Fees
(Waived), (Expenses
Reimbursed), and/or Previously
Waived Fees Recovered by
Advisor)......................... 0.22%(D) 0.22% 0.22% 0.22% 0.22% 0.23%**
Ratio of Net Investment Income to
Average Net Assets............... 1.93%(D) 1.79% 1.66% 1.89% 1.87% 1.65%
Portfolio Turnover Rate........... 1%(C) 1% 2% 3% 7% 11%*
----------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
* For the period February 28, 2011 through October 31, 2011. Effective February
28, 2011, the Portfolio invests directly in securities rather than through
The Tax-Managed U.S. Equity Series.
**Represents the combined ratios for the Portfolio and, for the period November
1, 2010 through February 27, 2011, its respective pro-rata share of The
Tax-Managed U.S. Equity Series.
See accompanying Notes to Financial Statements.
35
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Tax-Managed U.S. Targeted Value Portfolio
-------------------------------------------------------------------------- ---------------
Six Months Year Year Year Year Year Six Months
Ended Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, April 30,
2016 2015 2014 2013 2012 2011 2016
-------------------------------------------------------------------------------------------------------------------------------
(Unaudited) (Unaudited)
Net Asset Value, Beginning of
Period........................... $ 32.34 $ 33.34 $ 31.06 $ 22.89 $ 20.02 $ 19.09 $ 36.77
---------- ---------- ---------- ---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)..................... 0.19 0.39 0.26 0.33 0.21 0.14 0.20
Net Gains (Losses) on
Securities (Realized and
Unrealized).................... (0.66) 0.16 3.11 8.69 2.85 0.93 (0.45)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations.................... (0.47) 0.55 3.37 9.02 3.06 1.07 (0.25)
-------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........... (0.21) (0.37) (0.27) (0.34) (0.19) (0.14) (0.20)
Net Realized Gains.............. (1.14) (1.18) (0.82) (0.51) -- -- (1.58)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total Distributions............ (1.35) (1.55) (1.09) (0.85) (0.19) (0.14) (1.78)
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.... $ 30.52 $ 32.34 $ 33.34 $ 31.06 $ 22.89 $ 20.02 $ 34.74
================================== =========== ========== ========== ========== ========== ========== ===========
Total Return...................... (1.40)%(C) 1.89% 11.10% 40.60% 15.39% 5.58% (0.64)%(C)
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)...................... $3,629,290 $3,670,472 $3,572,307 $3,201,053 $2,378,567 $2,191,055 $2,186,931
Ratio of Expenses to Average Net
Assets........................... 0.44%(D) 0.44% 0.43% 0.44% 0.44% 0.44% 0.52%(D)
Ratio of Net Investment Income to
Average Net Assets............... 1.31%(D) 1.19% 0.80% 1.24% 0.98% 0.66% 1.17%(D)
Portfolio Turnover Rate........... 11%(C) 14% 7% 6% 12% 21% 8%(C)
-------------------------------------------------------------------------------------------------------------------------------
Tax-Managed U.S. Small Cap 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........................... $ 36.99 $ 34.31 $ 24.93 $ 22.07 $ 20.47
---------- ---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)..................... 0.36 0.25 0.35 0.21 0.15
Net Gains (Losses) on
Securities (Realized and
Unrealized).................... 0.45 2.69 9.40 2.85 1.59
---------- ---------- ---------- ---------- ----------
Total from Investment
Operations.................... 0.81 2.94 9.75 3.06 1.74
----------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........... (0.34) (0.26) (0.37) (0.20) (0.14)
Net Realized Gains.............. (0.69) -- -- -- --
---------- ---------- ---------- ---------- ----------
Total Distributions............ (1.03) (0.26) (0.37) (0.20) (0.14)
----------------------------------------------------------------------------------------------
Net Asset Value, End of Period.... $ 36.77 $ 36.99 $ 34.31 $ 24.93 $ 22.07
================================== ========== ========== ========== ========== ==========
Total Return...................... 2.31% 8.58% 39.55% 13.95% 8.50%
----------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)...................... $2,190,308 $2,092,558 $1,872,935 $1,331,266 $1,212,285
Ratio of Expenses to Average Net
Assets........................... 0.52% 0.52% 0.52% 0.53% 0.53%
Ratio of Net Investment Income to
Average Net Assets............... 0.96% 0.70% 1.20% 0.90% 0.64%
Portfolio Turnover Rate........... 8% 7% 7% 17% 22%
----------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
36
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
T.A. U.S. Core Equity 2 Portfolio
--------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012 2011
---------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.... $ 14.09 $ 14.21 $ 12.78 $ 9.75 $ 8.63 $ 8.18
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)...... 0.13 0.24 0.20 0.19 0.16 0.12
Net Gains (Losses) on Securities
(Realized and Unrealized)............ (0.17) 0.05 1.55 3.04 1.11 0.45
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations..... (0.04) 0.29 1.75 3.23 1.27 0.57
---------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................. (0.14) (0.23) (0.20) (0.19) (0.15) (0.12)
Net Realized Gains.................... -- (0.18) (0.12) (0.01) -- --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.................. (0.14) (0.41) (0.32) (0.20) (0.15) (0.12)
---------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 13.91 $ 14.09 $ 14.21 $ 12.78 $ 9.75 $ 8.63
======================================== =========== ========== ========== ========== ========== ==========
Total Return............................ (0.28)%(C) 2.14% 13.88% 33.58% 14.82% 6.97%
---------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $5,831,816 $5,549,153 $5,056,211 $4,103,753 $2,853,234 $2,432,872
Ratio of Expenses to Average Net
Assets................................. 0.24%(D) 0.24% 0.24% 0.24% 0.24% 0.24%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived
Fees Recovered by Advisor and Fees
Paid Indirectly)....................... 0.24%(D) 0.24% 0.24% 0.24% 0.24% 0.24%
Ratio of Net Investment Income to
Average Net Assets..................... 1.93%(D) 1.65% 1.51% 1.72% 1.71% 1.39%
Portfolio Turnover Rate................. 1%(C) 7% 7% 2% 6% 6%
---------------------------------------------------------------------------------------------------------------------
Tax-Managed DFA International Value Portfolio
----------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012 2011
-----------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.... $ 13.87 $ 15.17 $ 15.99 $ 12.91 $ 12.99 $ 14.53
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)...... 0.18 0.44 0.66 0.39 0.42 0.46
Net Gains (Losses) on Securities
(Realized and Unrealized)............ (0.71) (1.32) (0.83) 3.09 (0.10) (1.55)
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations..... (0.53) (0.88) (0.17) 3.48 0.32 (1.09)
-----------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................. (0.14) (0.41) (0.65) (0.40) (0.40) (0.45)
Net Realized Gains.................... -- (0.01) -- -- -- --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.................. (0.14) (0.42) (0.65) (0.40) (0.40) (0.45)
-----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 13.20 $ 13.87 $ 15.17 $ 15.99 $ 12.91 $ 12.99
======================================== =========== ========== ========== ========== ========== ==========
Total Return............................ (3.81)%(C) (5.93)% (1.29)% 27.39% 2.77% (7.81)%
-----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $2,896,983 $2,994,931 $2,977,257 $2,758,384 $1,971,388 $1,843,496
Ratio of Expenses to Average Net
Assets................................. 0.53%(D) 0.53% 0.53% 0.53% 0.55% 0.55%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived
Fees Recovered by Advisor and Fees
Paid Indirectly)....................... 0.53%(D) 0.53% 0.53% 0.53% 0.55% 0.55%
Ratio of Net Investment Income to
Average Net Assets..................... 2.89%(D) 2.99% 4.13% 2.70% 3.32% 3.16%
Portfolio Turnover Rate................. 11%(C) 25% 13% 12% 18% 16%
-----------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
37
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
T.A. World ex U.S. Core Equity Portfolio
----------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012 2011
----------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value,
Beginning of Period. $ 9.30 $ 9.94 $ 10.25 $ 8.56 $ 8.39 $ 9.31
---------- ---------- ---------- ---------- ---------- ----------
Income from
Investment
Operations
-----------
Net Investment
Income (Loss) (A). 0.10 0.24 0.28 0.23 0.23 0.25
Net Gains (Losses)
on Securities
(Realized and
Unrealized)....... (0.10) (0.65) (0.30) 1.70 0.16 (0.93)
---------- ---------- ---------- ---------- ---------- ----------
Total from
Investment
Operations....... -- (0.41) (0.02) 1.93 0.39 (0.68)
----------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment
Income............ (0.09) (0.23) (0.27) (0.24) (0.22) (0.24)
Net Realized Gains.. -- -- (0.02) -- -- --
---------- ---------- ---------- ---------- ---------- ----------
Total
Distributions.... (0.09) (0.23) (0.29) (0.24) (0.22) (0.24)
----------------------------------------------------------------------------------------------------
Net Asset Value,
End of Period....... $ 9.21 $ 9.30 $ 9.94 $ 10.25 $ 8.56 $ 8.39
==================== =========== ========== ========== ========== ========== ==========
Total Return......... (0.02)%(C) (4.15)% (0.25)% 22.88% 4.90% (7.55)%
----------------------------------------------------------------------------------------------------
Net Assets, End of
Period (thousands).. $2,243,070 $2,124,313 $1,995,500 $1,725,895 $1,240,607 $1,042,981
Ratio of Expenses
to Average Net
Assets.............. 0.45%(D) 0.45% 0.45% 0.46% 0.49% 0.48%
Ratio of Expenses
to Average Net
Assets (Excluding
Fees (Waived),
(Expenses
Reimbursed),
and/or Previously
Waived Fees
Recovered by
Advisor and Fees
Paid Indirectly).... 0.45%(D) 0.45% 0.45% 0.46% 0.49% 0.48%
Ratio of Net
Investment Income
to Average Net
Assets.............. 2.29%(D) 2.42% 2.71% 2.45% 2.77% 2.63%
Portfolio Turnover
Rate................ 7%(C) 5% 8% 2% 3% 5%
----------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
38
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of ninety-five
operational portfolios, seven of which (the "Portfolios"), are included in this
section of the report. The remaining eighty-eight portfolios are presented in
separate reports.
Tax-Managed U.S. Marketwide Value Portfolio (the "Feeder Fund") primarily
invests its assets in The Tax-Managed U.S. Marketwide Value Series (the
"Series"), a corresponding series of The DFA Investment Trust Company. At April
30, 2016, the Feeder Fund owned 72% of its Series.
The financial statements of the Series are included elsewhere in this report
and should be read in conjunction with the financial statements of the Feeder
Fund.
Tax-Managed U.S. Equity Portfolio, Tax-Managed U.S. Targeted Value
Portfolio, Tax-Managed U.S. Small Cap Portfolio, T.A. U.S. Core Equity 2
Portfolio, Tax-Managed DFA International Value Portfolio and T.A. World ex U.S.
Core Equity Portfolio are organized as stand-alone registered investment
companies.
Prior to February 28, 2011, Tax-Managed U.S. Equity Portfolio invested
substantially all of its assets in The Tax-Managed U.S. Equity Series (the
"Equity Series"). At the close of business February 25, 2011, Tax-Managed U.S.
Equity Portfolio received its pro rata share of cash and securities from the
Equity Series in a complete liquidation of its interest in the Equity Series.
Effective February 28, 2011, Tax-Managed U.S. Equity Portfolio invests directly
in securities rather than through the Equity Series and maintains the same
investment objective.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. Security Valuation: The Portfolios utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
Securities held by Tax-Managed U.S. Equity Portfolio, Tax-Managed U.S.
Targeted Value Portfolio, Tax-Managed U.S. Small Cap Portfolio, and T.A. U.S.
Core Equity 2 Portfolio (the "Domestic Equity Portfolios") and Tax-Managed DFA
International Value Portfolio and T.A. World ex U.S. Core Equity Portfolio (the
"International Equity Portfolios"), including over-the-counter securities, are
valued at the last quoted sale price of the day. 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
39
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 within the range 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 of the Fund. 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 of the Portfolio is calculated. When fair value pricing is
used, the prices of securities used by the Domestic Equity Portfolios and the
International Equity Portfolios may differ from the quoted or published prices
for the same securities on their primary markets or exchanges. These securities
are generally categorized as Level 2 in the hierarchy.
The International Equity Portfolios will also apply a fair value price in
the circumstances described below. Generally, trading in foreign securities
markets is completed each day at various times prior to the close of the NYSE.
For example, trading in the Japanese securities markets is completed each day
at the close of the Tokyo Stock Exchange (normally, 2:00 a.m. ET), which is
fourteen hours before the close of the NYSE (normally, 4:00 p.m. ET) and the
time that the net asset values of the International Equity Portfolios are
computed. Due to the time differences between the closings of the relevant
foreign securities exchanges and the time the International Equity Portfolios
price their shares at the close of the NYSE, the International Equity
Portfolios will fair value their foreign investments when it is determined that
the market quotations for the foreign investments are either unreliable or not
readily available. The fair value prices will attempt to reflect the impact of
the U.S. financial markets' perceptions and trading activities on the
International Equity Portfolios' foreign investments since the last closing
prices of the foreign investments were calculated on their primary foreign
securities markets or exchanges. For these purposes, the Board of Directors of
the Fund has determined that movements in relevant indices or other appropriate
market indicators, after the close of the Tokyo Stock Exchange or the London
Stock Exchange, demonstrate that market quotations may be unreliable. Fair
valuation of portfolio securities may occur on a daily basis. The fair value
pricing by the International Equity Portfolios utilizes data furnished by an
independent pricing service (and that data draws upon, among other information,
the market values of foreign investments). When the International Equity
Portfolios use fair value pricing, the values assigned to the foreign
investments may not be the quoted or published prices of the investments on
their primary markets or exchanges. These securities are generally categorized
as Level 2 in the hierarchy.
Futures contracts held by the Portfolios are valued using the settlement
price established each day on the exchange on which they are traded. These
valuations are generally categorized as Level 1 in the hierarchy.
Tax-Managed U.S. Marketwide Value Portfolio's investment reflects its
proportionate interest in the net assets of the Series. These valuations are
classified as Level 1 in the hierarchy.
A summary of the inputs used to value the Portfolios' investments by each
major security type, industry and/or country is disclosed previously in this
note. Valuation hierarchy tables have been included at the end of the Summary
Schedule of Portfolio Holdings (except for the Feeder Fund). The inputs or
methodology used for valuing securities are not necessarily an indication of
the risk associated with investing in those securities.
For the six months ended April 30, 2016, there were no significant transfers
between Level 1 and Level 2 and no significant Level 3 investments held by the
Portfolios.
2. Foreign Currency Translation: Securities and other assets and
liabilities of the International Equity Portfolios whose values are initially
expressed in foreign currencies are translated to U.S. dollars using the mean
between the most recent bid and asked prices for the U.S. dollar as quoted by
generally recognized reliable sources. Dividend and interest income and certain
expenses are translated to U.S. dollars at the rate of exchange on their
respective accrual dates. Receivables and payables denominated in foreign
currencies are marked-to-market daily based on daily exchange rates and
exchange gains or losses are realized upon ultimate receipt or disbursement.
40
The International Equity Portfolios do not isolate the effect of
fluctuations in foreign exchange rates from the effect of fluctuations in the
market prices of securities whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and any foreign withholding taxes recorded on the books of the
International Equity Portfolios and the U.S. dollar equivalent amounts actually
received or paid.
3. Deferred Compensation Plan: Each eligible Director 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 may defer payment of all or a portion of their total fees earned as a
Director. 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' Fees &
Expenses.
Each Director 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 shall have the right in a notice of election (the
"Notice") to defer the receipt of the Director's deferred compensation until a
date specified by such Director 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 ceases to be a member of the Board of Directors of the
Fund; and (ii) five years following the effective date of the Director's first
deferral election. If a Director who elects to defer fees fails to designate in
the Notice a time or date as of which payment of the Director'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 ceases to be a
member of the Board (unless the Director files an amended Notice selecting a
different distribution date). As of April 30, 2016, none of the Directors 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 accounted for on the basis of identified
cost. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Distributions received on securities that represent a return
of capital or capital gains are recorded as a reduction of cost of investments
or as a realized gain, respectively. The Portfolios estimate the character of
distributions received that may be considered return of capital distributions.
Interest income is recorded on an accrual basis. Expenses directly attributable
to a Portfolio are directly charged. Common expenses of the Fund or the
Portfolios are allocated using methods approved by the Board, generally based
on average net assets.
The Feeder Fund recognizes its pro-rata share of net investment income and
realized and unrealized gains/losses of investment securities, on a daily
basis, from its Series, which is treated as a partnership for federal income
tax purposes.
The International Equity Portfolios may be subject to taxes imposed by
countries in which they invest, with respect to their investments in issuers
existing or operating in such countries. Such taxes are generally based on
income earned or repatriated and capital gains realized on the sale of such
investments. The International Equity Portfolios accrue such taxes when the
related income or capital gains are earned or throughout the holding period.
Some countries require governmental approval for the repatriation of investment
income, capital or the proceeds of sales earned by foreign investors. In
addition, if there is a deterioration in a country's balance of payments or for
other reasons, a country may impose temporary restrictions on foreign capital
remittances abroad.
T.A. World ex U.S. Core Equity Portfolio is subject to a 15% tax on
short-term capital gains for investments in India. Such taxes are due upon sale
of individual securities. The capital gains taxes are recognized when the
capital gains are earned.
41
C. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolios. For the six months ended April 30, 2016, the
Portfolios' investment management fees were accrued daily and paid monthly to
the Advisor based on the following effective annual rates of average daily net
assets:
Investment
Management Fees
---------------
Tax-Managed U.S. Marketwide Value Portfolio... 0.35%
Tax-Managed U.S. Equity Portfolio............. 0.20%
Tax-Managed U.S. Targeted Value Portfolio..... 0.42%
Tax-Managed U.S. Small Cap Portfolio.......... 0.50%
T.A. U.S. Core Equity 2 Portfolio............. 0.22%
Tax-Managed DFA International Value Portfolio. 0.50%
T.A. World ex U.S. Core Equity Portfolio...... 0.40%
Pursuant to an Amended and Restated Fee Waiver and/or Expense Assumption
Agreement (the "Fee Waiver Agreement"), the Advisor has contractually agreed to
waive certain fees and in certain instances, assume certain expenses of the
Tax-Managed U.S. Equity Portfolio, T.A. U.S. Core Equity 2 Portfolio, and T.A.
World ex U.S. Core Equity Portfolio, as described in the notes below. The Fee
Waiver Agreement for the Portfolios below will remain in effect through
February 28, 2017, and may only be terminated by the Fund's Board of Directors
prior to that date. The Fee Waiver Agreement shall continue in effect from year
to year thereafter unless terminated by the Fund or the Advisor. Pursuant to a
Fee Waiver Agreement with the Feeder Fund, the Advisor has contractually agreed
to waive certain management fees paid by the Feeder Fund, as described in the
notes below. The Fee Waiver Agreement with the Feeder Fund will remain in
effect permanently, unless terminated by the Fund. For the six months ended
April 30, 2016, the Portfolios listed had expense limits based on a percentage
of average net assets on an annualized basis, and the Advisor recovered
previously waived fees and/or expenses assumed as listed below (amounts in
thousands). Previously waived fees subject to future recovery by the Advisor
are also reflected below (amounts in thousands). The Fund, on behalf of the
Portfolios listed, is not obligated to reimburse the Advisor for fees
previously waived or expenses previously assumed by the Advisor more than
thirty-six months before the date of recovery.
Previously
Recovery Waived Fees/
of Previously Expenses
Waived Fees/ Assumed
Expense Expenses Subject to Future
Institutional Class Shares Limitation Amount Assumed Recovery
-------------------------- ----------------- ------------- -----------------
Tax-Managed U.S. Marketwide Value Portfolio (1). 0.35% -- --
Tax-Managed U.S. Equity Portfolio (2)........... 0.22% -- --
T.A. U.S. Core Equity 2 Portfolio (3)........... 0.30% -- --
T.A. World ex U.S. Core Equity Portfolio (4).... 0.60% -- --
(1) Effective July 21, 2015, the Advisor has contractually agreed to
permanently waive all or a portion of the management fee of the Feeder Fund to
the extent necessary to limit the total management fees paid to the Advisor by
the Feeder Fund, including the proportionate share of the management fees the
Feeder Fund pays indirectly through its investment in other funds managed by
the Advisor, to the rate listed above as a percentage of the average net assets
of a class of the Feeder Fund on an annualized basis.
(2) The Advisor has contractually agreed to waive its management fee and
assume the ordinary operating expenses of a class of the Tax-Managed U.S.
Equity Portfolio (excluding the expenses that the Portfolio incurs indirectly
through investment in other investment companies) ("Portfolio Expenses") to the
extent necessary to reduce the expenses of a class of the Portfolio when its
total operating expenses 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 a class
of the Portfolio, the Advisor retains the right to recover any fees previously
waived and/or any 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 Expense Limitation Amount.
42
(3) The Advisor has contractually agreed to waive all or a portion of its
management fee and assume the ordinary operating expenses of a class of the
T.A. U.S. Core Equity 2 Portfolio (excluding the expenses that 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 the Portfolio to the rate listed above as a percentage of the average net
assets of a class of the Portfolio on an annualized basis (the "Expense
Limitation Amount"). At any time that the Portfolio Expenses of a class of the
Portfolio are less than the Expense Limitation Amount for such class of 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.
(4) The Advisor has agreed to waive all or a portion of its management fee
and to assume the expenses of a class of the T.A. World ex U.S. Core Equity
Portfolio (including the expenses that the Portfolio bears as a shareholder of
other funds managed by the Advisor but excluding the expenses that the
Portfolio incurs indirectly through its investment in unaffiliated investment
companies) ("Portfolio Expenses") to the extent necessary to limit the
Portfolio Expenses of a class of the Portfolio to the rate listed above as a
percentage of the average net assets of a class of the Portfolio on an
annualized basis (the "Expense Limitation Amount"). At any time that the
Portfolio Expenses of a class of the Portfolio are less than the Expense
Limitation Amount for a class 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 Expense Limitation Amount.
Earned Income Credit:
In addition, certain Portfolios have entered into arrangements with their
custodian whereby net interest earned on uninvested cash balances was used to
reduce a portion of each Portfolio's custody expenses. Custody expense in the
accompanying financial statements is presented before reduction for credits.
The impact of such credits is generally less than one basis point of each
Portfolio's net assets. During the six months ended April 30, 2016, expenses
reduced were as follows (amounts in thousands):
Fees Paid
Indirectly
----------
Tax-Managed DFA International Value Portfolio. $6
T.A. World ex U.S. Core Equity Portfolio...... 6
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the six months ended April 30, 2016, the total related amounts paid to the
CCO by the Fund were $144 (in thousands). The total related amounts paid by
each of the Portfolios are included in Other Expenses on the Statement of
Operations.
D. Deferred Compensation:
At April 30, 2016, the total liability for deferred compensation to
Directors is included in Accrued Expenses and Other Liabilities on the
Statement of Assets and Liabilities as follows (amounts in thousands):
Tax-Managed U.S. Marketwide Value Portfolio... $ 98
Tax-Managed U.S. Equity Portfolio............. 106
Tax-Managed U.S. Targeted Value Portfolio..... 101
Tax-Managed U.S. Small Cap Portfolio.......... 59
T.A. U.S. Core Equity 2 Portfolio............. 105
Tax-Managed DFA International Value Portfolio. 88
T.A. World ex U.S. Core Equity Portfolio...... 44
43
E. Purchases and Sales of Securities:
For the six months ended April 30, 2016, the Portfolios made the following
purchases and sales of investment securities, other than short-term securities
and U.S. government securities (amounts in thousands):
Purchases Sales
- --------- --------
Tax-Managed U.S. Equity Portfolio............. $130,461 $ 34,165
Tax-Managed U.S. Targeted Value Portfolio..... 395,833 372,889
Tax-Managed U.S. Small Cap Portfolio.......... 230,044 159,069
T.A. U.S. Core Equity 2 Portfolio............. 418,874 57,588
Tax-Managed DFA International Value Portfolio. 334,645 314,026
T.A. World ex U.S. Core Equity Portfolio...... 274,586 135,654
There were no purchases or sales of long-term U.S. government securities.
F. Federal Income Taxes:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to shareholders. Accordingly, no provision
has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gains or losses, as appropriate,
in the period that the differences arise. Accordingly, the following permanent
differences as of October 31, 2015, primarily attributable to net foreign
currency gains/losses, realized gains on securities considered to be "passive
foreign investment companies", non-deductible expenses, foreign capital gains
tax, tax equalization, were reclassified to the following accounts. These
reclassifications had no effect on net assets or net asset value per share
(amounts in thousands):
Increase Increase
(Decrease) (Decrease)
Increase Undistributed Accumulated
(Decrease) Net Investment Net Realized
Paid-In Capital Income Gains (Losses)
--------------- -------------- --------------
Tax-Managed U.S. Marketwide Value Portfolio... $1,424 $(1,424) --
Tax-Managed U.S. Equity Portfolio............. -- 1 $ (1)
Tax-Managed U.S. Targeted Value Portfolio..... 6,446 (1,509) (4,937)
Tax-Managed U.S. Small Cap Portfolio.......... 4,457 (753) (3,704)
T.A. U.S. Core Equity 2 Portfolio............. 882 (868) (14)
Tax-Managed DFA International Value Portfolio. 1,465 (1,901) 436
T.A. World ex U.S. Core Equity Portfolio...... 1,749 (1,590) (159)
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2014 and October 31, 2015 were as follows (amounts
in thousands):
Net Investment
Income and
Short-Term Long-Term Tax Exempt
Capital Gains Capital Gains Income Total
-------------- ------------- ---------- -------
Tax-Managed U.S. Marketwide Value Portfolio
2014........................................ $49,288 -- -- $49,288
2015........................................ 60,761 -- -- 60,761
Tax-Managed U.S. Equity Portfolio
2014........................................ 35,329 -- -- 35,329
2015........................................ 42,330 -- -- 42,330
44
Net Investment
Income and
Short-Term Long-Term Tax Exempt
Capital Gains Capital Gains Income Total
-------------- ------------- ---------- --------
Tax-Managed U.S. Targeted Value Portfolio
2014.......................................... $ 28,250 $ 83,909 -- $112,159
2015.......................................... 40,821 125,781 -- 166,602
Tax-Managed U.S. Small Cap Portfolio
2014.......................................... 14,279 -- -- 14,279
2015.......................................... 19,870 38,979 -- 58,849
T.A. U.S. Core Equity 2 Portfolio
2014.......................................... 66,232 39,638 -- 105,870
2015.......................................... 85,159 65,625 -- 150,784
Tax-Managed DFA International Value Portfolio
2014.......................................... 120,029 -- -- 120,029
2015.......................................... 85,981 2,411 -- 88,392
T.A. World ex U.S. Core Equity Portfolio
2014.......................................... 50,468 3,988 -- 54,456
2015.......................................... 50,580 -- -- 50,580
At October 31, 2015, the following net investment income and short-term
capital gains and long-term capital gains distributions designated for federal
income tax purposes are due to the utilization of accumulated earnings and
profits distributed to shareholders upon redemption of shares (amounts in
thousands):
Net Investment
Income
and Short-Term Long-Term
Capital Gains Capital Gains Total
-------------- ------------- ------
Tax-Managed U.S. Marketwide Value Portfolio... $1,424 -- $1,424
Tax-Managed U.S. Targeted Value Portfolio..... 1,580 $4,866 6,446
Tax-Managed U.S. Small Cap Portfolio.......... 783 3,674 4,457
T.A. U.S. Core Equity 2 Portfolio............. 876 2 878
Tax-Managed DFA International Value Portfolio. 1,465 -- 1,465
T.A. World ex U.S. Core Equity Portfolio...... 1,749 -- 1,749
At October 31, 2015, the components of distributable earnings (accumulated
losses) were as follows (amounts in thousands):
Undistributed Total Net
Net Investment Distributable
Income and Undistributed Unrealized Earnings
Short-Term Long-Term Capital Loss Appreciation (Accumulated
Capital Gains Capital Gains Carryforwards (Depreciation) Losses)
-------------- ------------- ------------- -------------- -------------
Tax-Managed U.S. Marketwide Value
Portfolio....................... $ 7,971 -- $ (37,141) $1,655,277 $1,626,107
Tax-Managed U.S. Equity Portfolio. 5,661 -- (322,969) 1,229,681 912,373
Tax-Managed U.S. Targeted Value
Portfolio....................... 3,943 $128,577 -- 1,392,007 1,524,527
Tax-Managed U.S. Small Cap
Portfolio....................... 1,526 94,181 -- 877,201 972,908
T.A. U.S. Core Equity 2 Portfolio. 10,796 163 -- 2,062,284 2,073,243
Tax-Managed DFA International
Value Portfolio................. 10,616 -- (23,126) (37,505) (50,015)
T.A. World ex U.S. Core Equity
Portfolio....................... 7,982 -- (25,489) 182,607 165,100
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
Under
45
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,
--------------------------
2017 2018 Unlimited Total
------- -------- --------- --------
Tax-Managed U.S. Marketwide Value Portfolio... -- $ 37,141 -- $ 37,141
Tax-Managed U.S. Equity Portfolio............. $36,404 286,566 -- 322,970
Tax-Managed U.S. Targeted Value Portfolio..... -- -- -- --
Tax-Managed U.S. Small Cap Portfolio.......... -- -- -- --
T.A. U.S. Core Equity 2 Portfolio............. -- -- -- --
Tax-Managed DFA International Value Portfolio. -- -- $23,126 23,126
T.A. World ex U.S. Core Equity Portfolio...... -- -- 25,489 25,489
During the year ended October 31, 2015, the Portfolios utilized the
following capital loss carryforwards to offset realized capital gains for
federal income tax purposes (amounts in thousands):
Tax-Managed U.S. Marketwide Value Portfolio. $62,521
Tax-Managed U.S. Equity Portfolio........... 42,514
At April 30, 2016, 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)
----------- ------------ ------------ --------------
Tax-Managed U.S. Marketwide Value Portfolio... $2,352,237 $1,539,670 -- $1,539,670
Tax-Managed U.S. Equity Portfolio............. 1,601,154 1,216,229 $ (44,690) 1,171,539
Tax-Managed U.S. Targeted Value Portfolio..... 2,709,773 1,366,711 (97,290) 1,269,421
Tax-Managed U.S. Small Cap Portfolio.......... 1,710,325 886,460 (52,547) 833,913
T.A. U.S. Core Equity 2 Portfolio............. 4,494,752 2,073,929 (108,872) 1,965,057
Tax-Managed DFA International Value Portfolio. 3,020,831 267,210 (389,021) (121,811)
T.A. World ex U.S. Core Equity Portfolio...... 2,098,498 453,675 (272,344) 181,331
The difference between book-basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales and investments in passive foreign investment companies.
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed each Portfolio's
tax positions and has concluded that no additional provision for income tax is
required in any Portfolio's financial statements. The Portfolios are not aware
of any tax positions for which it is more likely than not that the total
amounts of unrecognized tax benefits will significantly change in the next
twelve months. Each Portfolio's federal tax returns for the prior three fiscal
years remain subject to examination by the Internal Revenue Service.
G. Financial Instruments:
In accordance with the Portfolios' investment objectives and policies, the
Portfolios may invest in certain financial instruments that have off-balance
sheet risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. Foreign Market Risks: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States of America, including the possibility of future political and
46
economic developments and the level of foreign governmental supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of international
securities held by the Portfolios may be inhibited.
Derivative Financial Instruments:
Summarized below are the specific types of derivative instruments used by
the Portfolios.
2. Futures Contracts: The Portfolios may purchase or sell futures
contracts and options on futures contracts for equity securities and indices to
adjust market exposure based on actual or expected cash inflows to or outflows
from the Portfolios. The Portfolios, however, do not intend to sell futures
contracts to establish short positions in individual securities. 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 Portfolio as unrealized gains
or losses until the contracts are closed. When the contracts are closed, the
Portfolio records a realized gain or loss, which is presented in the Statements
of Operations as a net realized gain or loss on futures, equal to the
difference between the value of the contract at the time it was opened and the
value at the time it was closed.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities or indices, from the possibility of an illiquid secondary market for
these instruments and from the possibility that the Portfolio could lose more
than the initial margin requirements. The Portfolios entering into stock index
futures are subject to equity price risk from those futures contracts.
Counterparty credit risk related to exchange-traded futures is minimal because
the exchange's clearinghouse, as counterparty to all exchange-traded futures,
guarantees the futures against default.
At April 30, 2016, the following Portfolios had the following outstanding
futures contracts (dollar amounts in thousands):
Unrealized
Expiration Number of Contract Gain Cash
Description Date Contracts* Value (Loss) Collateral
------------------- ---------- ---------- -------- ---------- ----------
Tax-Managed U.S. Equity
Portfolio............. S&P 500 Emini Index(R) 06/17/16 175 $18,017 $108 $788
------- ----
* During the six months ended April 30, 2016, the Portfolio's average notional
contract amount of outstanding futures contracts was $2,985 (amount in
thousands).
Unrealized
Expiration Number of Contract Gain Cash
Description Date Contracts* Value (Loss) Collateral
------------------- ---------- ---------- -------- ---------- ----------
Tax-Managed U.S. Targeted
Value Portfolio......... S&P 500 Emini Index(R) 06/17/16 258 $26,562 $1,022 $1,161
------- ------
* During the six months ended April 30, 2016, the Portfolio's average notional
contract amount of outstanding futures contracts was $16,534 (amount in
thousands).
Unrealized
Expiration Number of Contract Gain Cash
Description Date Contracts* Value (Loss) Collateral
------------------- ---------- ---------- -------- ---------- ----------
T.A. U.S. Core Equity 2
Portfolio............. S&P 500 Emini Index(R) 06/17/16 370 $38,093 $1,468 $1,665
------- ------
* During the six months ended April 30, 2016, the Portfolio's average notional
contract amount of outstanding futures contracts was $23,977 (amount in
thousands).
47
Unrealized
Expiration Number of Contract Gain Cash
Description Date Contracts* Value (Loss) Collateral
-------------------- ---------- ---------- -------- ---------- ----------
Tax-Managed DFA International
Value Portfolio............. Mini MSCI EAFE Index(R) 06/17/16 200 $16,619 $721 $ 717
Tax-Managed DFA International
Value Portfolio............. S&P 500 Emini Index(R) 06/17/16 110 11,325 104 488
------- ----
$27,944 $825 $1,205
======= ====
* During the six months ended April 30, 2016, the Portfolio's average notional
contract amount of outstanding futures contracts was $17,209 (amount in
thousands).
The following is a summary of the location of derivatives on the Portfolio's
Statements of Assets and Liabilities as of April 30, 2016:
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 Portfolio's derivative instrument holdings
categorized by primary risk exposure as of April 30, 2016 (amounts in
thousands):
Asset Derivatives Value
---------------------------------
Total Value Foreign
at Exchange Equity
April 30, 2016 Contracts Contracts
-------------- --------- ---------
Tax-Managed U.S. Equity Portfolio............. $ 108 -- $ 108*
Tax-Managed U.S. Targeted Value Portfolio..... 1,022 -- 1,022*
T.A. U.S. Core Equity 2 Portfolio............. 1,468 -- 1,468*
Tax-Managed DFA International Value Portfolio. 825 -- 825*
* 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 on the Portfolio's Statements of
Operations of realized gains and losses from the Portfolios' derivative
instrument holdings through the six months ended April 30, 2016:
Derivative Type Location of Gain (Loss) on Derivatives
--------------- --------------------------------------
Equity contracts Net Realized Gain (Loss) on: Futures
Change in Unrealized Appreciation (Depreciation) of:
Futures
The following is a summary of the realized gains and losses from the
Portfolios derivative instrument holdings categorized by primary risk exposure
through the six months ended April 30, 2016 (amounts in thousands):
Realized Gain (Loss) on
Derivatives
-----------------------
Equity
Total Contracts
------ ---------
Tax-Managed U.S. Targeted Value Portfolio..... $1,792 $1,792
Tax-Managed U.S. Small Cap Portfolio*......... 259 259
T.A. U.S. Core Equity 2 Portfolio............. 1,487 1,487
Tax-Managed DFA International Value Portfolio. 745 745
48
Change in Unrealized
Appreciation (Depreciation) on
Derivatives
------------------------------
Equity
Total Contracts
------ ---------
Tax-Managed U.S. Equity Portfolio............. $ 108 $ 108
Tax-Managed U.S. Targeted Value Portfolio..... 1,022 1,022
T.A. U.S. Core Equity 2 Portfolio............. 1,468 1,468
Tax-Managed DFA International Value Portfolio. 825 825
* As of April 30, 2016, there were no futures contracts outstanding. During the
six months ended April 30, 2016, the Portfolio had limited activity in
futures contracts.
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 March 30, 2016, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 29, 2016. 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 29, 2017.
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 8, 2016. A line of credit with
similar terms was in effect through January 7, 2016. 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 7, 2017.
For the six months ended April 30, 2016, 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
------------- ------------ ------------ -------- ---------------
Tax-Managed U.S. Equity Portfolio.... 0.95% $ 2,001 16 $ 1 $ 3,487
Tax-Managed U.S. Targeted Value
Portfolio.......................... 1.08% 4,979 13 2 11,566
Tax-Managed U.S. Small Cap Portfolio. 1.12% 4,583 10 1 9,539
T.A. U.S. Core Equity 2 Portfolio.... 1.07% 3,711 10 1 18,165
Tax-Managed DFA International Value
Portfolio.......................... 0.93% 6,318 22 3 28,128
T.A. World ex U.S. Core Equity
Portfolio.......................... 0.99% 19,019 28 16 43,743
* Number of Days Outstanding represents the total of single or consecutive days
during the six months ended April 30, 2016, that each Portfolio's available
line of credit was utilized.
There were no outstanding borrowings by the Portfolios under the lines of
credit as of April 30, 2016.
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
49
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 six
months ended April 30, 2016.
I. Affiliated Trades:
Cross trades for the six months ended April 30, 2016 if any, were executed
by the Portfolios pursuant to Rule17a-7 under the 1940 Act. Cross trading is
the buying or selling of portfolio securities between funds to which
Dimensional Fund Advisors LP (or an affiliate) serves as investment adviser. At
its regularly scheduled meetings, the Board reviews such transactions for
compliance with the requirements and restrictions set forth by Rule 17a-7.
For the six months ended April 30, 2016, cross trades by the Portfolios
under Rule 17a-7 were as follows (amounts in thousands):
Realized
Portfolio Purchases Sales Gain (Loss)
--------- --------- ------- -----------
Tax-Managed U.S. Equity Portfolio............. $16,953 $ 907 $ 626
Tax-Managed U.S. Targeted Value Portfolio..... 9,620 34,733 (3,579)
Tax-Managed U.S. Small Cap Portfolio.......... 11,358 23,391 (3,284)
T.A. World ex U.S. Core Equity Portfolio...... 209 294 (325)
Tax-Managed DFA International Value Portfolio. 188 -- --
T.A. U.S. Core Equity 2 Portfolio............. 27,047 6,441 (3,415)
J. Securities Lending:
As of April 30, 2016, some of the Portfolios had securities on loan to
brokers/dealers, for which each such Portfolios received cash collateral. In
addition, the following Portfolios received non-cash collateral consisting of
short-and/or long-term U.S. government securities as follows (amounts in
thousands):
Market
Value
--------
Tax-Managed U.S. Equity Portfolio............. $ 81,232
Tax-Managed U.S. Targeted Value Portfolio..... 124,250
Tax-Managed U.S. Small Cap Portfolio.......... 57,978
T.A. U.S. Core Equity 2 Portfolio............. 198,028
Tax-Managed DFA International Value Portfolio. 14,030
T.A. World ex U.S. Core Equity Portfolio...... 23,006
The Tax-Managed U.S. Marketwide Value Series.. 213,696
Each Portfolio with securities on loan invests the cash collateral, as
described below, and records a liability for the return of the collateral,
during the period the securities are on loan. Loans of securities are expected
at all times to be secured by collateral in an amount (i) equal to at least
100% of the current market value of the loaned securities with respect to
securities of the U.S. government or its agencies, (ii) generally equal to 102%
of the current market value of the loaned securities with respect to U.S.
securities, and (iii) generally equal to 105% of the current market value of
the loaned securities with respect to foreign securities. However, daily market
fluctuations could cause the Portfolios' collateral to be lower or higher than
the expected thresholds. If this were to occur, the collateral would be
adjusted the next business day to ensure adequate collateralization. In the
event of default or bankruptcy by the other party to the agreement, realization
and/or retention of the collateral may be subject to legal proceedings. If the
borrower fails to return loaned securities, and cash collateral being
maintained by the borrower is insufficient to cover the value of loaned
securities and provided such collateral insufficiency is not the result of
50
investment losses, the lending agent has agreed to pay the amount of the
shortfall to the Portfolio or, at the option of the lending agent, to replace
the securities. In the event of the bankruptcy of the borrower, a Portfolio
could experience delay in recovering the loaned securities or only recover cash
or a security of equivalent value.
Subject to their stated investment policies, the Portfolios with securities
on loan will generally invest the cash collateral received for the loaned
securities in The DFA Short Term Investment Fund (the "Money Market Series"),
an affiliated registered money market fund advised by the Advisor for which the
Advisor receives a management fee of 0.05% of the average daily net assets of
the Money Market Series. Such Portfolios also may invest the cash collateral
received for the loaned securities in securities of the U.S. government or its
agencies, repurchase agreements collateralized by securities of the U.S.
government or its agencies, and affiliated and unaffiliated registered and
unregistered money market funds. For purposes of this paragraph, agencies
include both agency debentures and agency mortgage-backed securities. In
addition, each Portfolio with securities on loan will be able to terminate the
loan at any time and will receive reasonable interest on the loan, as well as
amounts equal to any dividends, interest or other distributions on the loaned
securities. However, dividend income received from loaned securities may not be
eligible to be taxed at qualified dividend income rates.
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of April 30, 2016:
Remaining Contractual Maturity of the Agreements
As of April 30, 2016
------------------------------------------------------------
Overnight and Between
Continuous <30 days 30 & 90 days >90 days Total
-------------- -------- ------------ -------- --------------
Securities Lending Transactions
Tax-Managed U.S. Equity Portfolio
Bonds................................... $ 214,302,792 $-- $-- $-- $ 214,302,792
Tax-Managed U.S. Targeted Value Portfolio
Bonds................................... $ 352,342,474 $-- $-- $-- $ 352,342,474
Tax-Managed U.S. Small Cap Portfolio
Bonds................................... $ 355,736,778 $-- $-- $-- $ 355,736,778
T.A. U.S. Core Equity 2 Portfolio Bonds... $ 641,723,988 $-- $-- $-- $ 641,723,988
Tax-Managed DFA International Value
Portfolio Bonds......................... $ 54,302,029 $-- $-- $-- $ 54,302,029
-------------- --- --- --- --------------
T.A. World ex U.S. Core Equity Portfolio
Bonds................................... $ 55,714,498 $-- $-- $-- $ 55,714,498
-------------- --- --- --- --------------
Total Borrowings.......................... $1,674,122,559 $-- $-- $-- $1,674,122,559
-------------- --- --- --- --------------
Gross amount of recognized liabilities for securities lending transactions.............. $1,674,122,559
==============
K. Indemnitees; Contractual Obligations:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
L. Other:
At April 30, 2016, 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.
51
Approximate
Percentage of
Number of Outstanding
Shareholders Shares
------------ -------------
Tax-Managed U.S. Marketwide Value Portfolio... 3 91%
Tax-Managed U.S. Equity Portfolio............. 3 87%
Tax-Managed U.S. Targeted Value Portfolio..... 3 95%
Tax-Managed U.S. Small Cap Portfolio.......... 3 93%
T.A. U.S. Core Equity 2 Portfolio............. 3 90%
Tax-Managed DFA International Value Portfolio. 3 94%
T.A. World ex U.S. Core Equity Portfolio...... 3 90%
The Portfolios are subject to claims and suits that arise from time to time
in the ordinary course of business. Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
The Tax-Managed U.S. Marketwide Value Series has been named as a defendant
in a multi-district litigation pending in the United States District Court for
the Southern District of New York (the "Court"), captioned IN RE TRIBUNE
COMPANY FRAUDULENT CONVEYANCE LITIGATION, No. 11-MD-2296-RJS (the "Tribune
MDL"). The Tribune MDL arises from the 2007 leveraged buyout of The Tribune
Company ("Tribune") (the "LBO") and Tribune's subsequent bankruptcy and
reorganization. In connection with the LBO, thousands of Tribune shareholders,
including The Tax-Managed U.S. Marketwide Value Series, sold Tribune shares
back to Tribune for $34 per share. The Tribune MDL includes a series of
lawsuits brought by individual creditors of Tribune (the "Individual Creditor
Actions") and a lawsuit brought by a court-appointed trustee on behalf of the
committee of unsecured creditors of Tribune (the "Committee Action," and with
the Individual Creditor Actions, collectively referred to as the "Lawsuits").
The Lawsuits seek to unwind the LBO stock repurchases as fraudulent transfers
and recover the stock repurchase proceeds paid to the Tribune shareholders who
participated in the LBO. On September 23, 2013, the Court entered an order
dismissing the Individual Creditor Actions in their entirety on the grounds
that the individual creditor plaintiffs lack standing to pursue their claims.
The parties appealed the Court's dismissal order to the Second Circuit, and, on
March 29, 2016, the Second Circuit affirmed the dismissal, albeit on the
grounds that the individual creditor plaintiffs' claims are preempted by the
Bankruptcy Code's safe harbor for securities transactions. The individual
creditor plaintiffs have petitioned the Second Circuit for rehearing of the
appeal, and that petition is pending. The Committee Action remains pending, and
a motion to dismiss on behalf of all shareholder defendants in the Committee
Action was filed on May 23, 2014. The motion to dismiss is fully-briefed, and
the parties await the scheduling of oral argument on the motion. The Committee
Action is stayed pending the disposition of the motion to dismiss.
Litigation counsel to The Tax-Managed U.S. Marketwide Value Series in the
Lawsuits has advised management that it does not believe that it is possible,
at this early stage in the proceedings, to predict with any reasonable
certainty the probable outcome of the Lawsuits or quantify the ultimate
exposure to The Tax-Managed U.S. Marketwide Value Series arising from the
Lawsuits. Until The Tax-Managed U.S. Marketwide Value Series can do so, no
reduction of the net asset value of The Tax-Managed U.S. Marketwide Value
Series will be made relating to the Lawsuits. However, even if the plaintiffs
in the Lawsuits were to obtain the full recovery the plaintiffs seek, the
amount would be less than 1% of the net asset value of The Tax-Managed U.S.
Marketwide Value Series at this time.
The Tax-Managed U.S. Marketwide Value Series also cannot quantify the cost
of the Lawsuits that could potentially be deducted from its net asset value.
Therefore, at this time, those investors buying or redeeming shares of The
Tax-Managed U.S. Marketwide Value Series will pay or receive, as the case may
be, a price based on the net asset value of The Tax-Managed U.S. Marketwide
Value Series, with no adjustment relating to the Lawsuits. The attorneys' fees
and costs relating to the Lawsuits will be taken as expenses by The Tax-Managed
U.S. Marketwide Value Series as incurred and in a manner similar to any other
expense incurred by The Tax-Managed U.S. Marketwide Value Series.
M. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the
Portfolios and has determined that there are no subsequent events requiring
recognition or disclosure in the financial statements.
52
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2016
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/15 04/30/16 Ratio* Period*
--------- --------- ---------- --------
The Tax-Managed U.S. Marketwide Value Series
--------------------------------------------
Actual Fund Return........................... $1,000.00 $ 992.30 0.21% $1.04
Hypothetical 5% Annual Return................ $1,000.00 $1,023.82 0.21% $1.06
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (182), then divided
by the number of days in the year (366) to reflect the six-month period.
53
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. The DFA Investment Trust Company filed its most recent Form
N-Q with the SEC on March 31, 2016. 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
regulations also require that the Summary Schedule of Portfolio Holdings
identify each category of investments that are held.
A fund is required to file a complete Schedule of Investments with the SEC
on Form N-CSR within ten days after mailing the annual and semi-annual reports
to shareholders. It will be available upon request, without charge, by calling
collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors
LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the
SEC's website at http://www.sec.gov, or they may be reviewed and copied at the
SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for
information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement. The categories shown below
represent broad industry sectors. Each industry sector consists of one or more
specific industry classifications.
The Tax-Managed U.S. Marketwide Value Series
Consumer Discretionary....................... 17.4%
Consumer Staples............................. 8.7%
Energy....................................... 14.0%
Financials................................... 19.1%
Health Care.................................. 11.3%
Industrials.................................. 12.5%
Information Technology....................... 9.6%
Materials.................................... 2.4%
Telecommunication Services................... 4.8%
Utilities.................................... 0.2%
-----
100.0%
54
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2016
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (97.4%)
Consumer Discretionary -- (17.0%)
Comcast Corp. Class A.................. 3,718,201 $ 225,917,893 4.2%
Ford Motor Co.......................... 2,262,492 30,679,392 0.6%
Time Warner Cable, Inc................. 693,942 147,192,038 2.8%
Time Warner, Inc....................... 1,534,860 115,329,380 2.2%
Twenty-First Century Fox, Inc. Class A. 1,287,383 38,956,210 0.7%
Other Securities....................... 370,558,365 6.8%
-------------- -----
Total Consumer Discretionary............... 928,633,278 17.3%
-------------- -----
Consumer Staples -- (8.5%)
Archer-Daniels-Midland Co.............. 813,476 32,490,231 0.6%
Constellation Brands, Inc. Class A..... 249,042 38,865,494 0.7%
CVS Health Corp........................ 1,510,745 151,829,872 2.8%
Mondelez International, Inc. Class A... 2,081,099 89,404,013 1.7%
# Tyson Foods, Inc. Class A.............. 405,030 26,659,075 0.5%
Walgreens Boots Alliance, Inc.......... 415,953 32,976,754 0.6%
Other Securities....................... 91,336,897 1.7%
-------------- -----
Total Consumer Staples..................... 463,562,336 8.6%
-------------- -----
Energy -- (13.6%)
Chevron Corp........................... 1,059,509 108,260,630 2.0%
ConocoPhillips......................... 1,728,838 82,621,168 1.5%
Exxon Mobil Corp....................... 2,285,264 202,017,338 3.8%
Marathon Petroleum Corp................ 903,936 35,325,819 0.7%
Phillips 66............................ 883,414 72,537,123 1.4%
Schlumberger, Ltd...................... 602,942 48,440,360 0.9%
Valero Energy Corp..................... 605,899 35,669,274 0.7%
Other Securities....................... 161,555,248 2.9%
-------------- -----
Total Energy............................... 746,426,960 13.9%
-------------- -----
Financials -- (18.6%)
American International Group, Inc...... 899,581 50,214,611 1.0%
Bank of America Corp................... 5,529,894 80,515,257 1.5%
Capital One Financial Corp............. 373,787 27,058,441 0.5%
Citigroup, Inc......................... 2,111,653 97,727,301 1.8%
CME Group, Inc......................... 414,385 38,086,125 0.7%
Goldman Sachs Group, Inc. (The)........ 209,155 34,324,427 0.7%
JPMorgan Chase & Co.................... 2,192,830 138,586,856 2.6%
MetLife, Inc........................... 991,138 44,700,324 0.8%
Morgan Stanley......................... 1,054,617 28,537,936 0.5%
Prudential Financial, Inc.............. 497,625 38,635,605 0.7%
* Synchrony Financial.................... 914,357 27,951,893 0.5%
Wells Fargo & Co....................... 1,406,844 70,314,063 1.3%
Other Securities....................... 340,071,940 6.3%
-------------- -----
Total Financials........................... 1,016,724,779 18.9%
-------------- -----
Health Care -- (11.0%)
Aetna, Inc............................. 558,462 62,698,529 1.2%
Anthem, Inc............................ 504,640 71,038,173 1.3%
* Boston Scientific Corp................. 1,204,199 26,396,042 0.5%
* Express Scripts Holding Co............. 501,076 36,944,334 0.7%
Humana, Inc............................ 236,814 41,932,655 0.8%
Medtronic P.L.C........................ 479,908 37,984,718 0.7%
# Pfizer, Inc............................ 4,484,148 146,676,481 2.7%
55
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Health Care -- (Continued)
Thermo Fisher Scientific, Inc...................... 499,520 $ 72,055,760 1.4%
Other Securities................................... 106,777,399 1.9%
-------------- ------
Total Health Care........................................ 602,504,091 11.2%
-------------- ------
Industrials -- (12.2%)
CSX Corp........................................... 1,242,950 33,895,246 0.6%
General Electric Co................................ 3,873,888 119,122,056 2.2%
Norfolk Southern Corp.............................. 545,229 49,130,585 0.9%
Northrop Grumman Corp.............................. 175,493 36,197,186 0.7%
Southwest Airlines Co.............................. 645,761 28,807,398 0.6%
Union Pacific Corp................................. 888,128 77,471,405 1.5%
Other Securities................................... 321,650,290 5.9%
-------------- ------
Total Industrials........................................ 666,274,166 12.4%
-------------- ------
Information Technology -- (9.4%)
Activision Blizzard, Inc........................... 982,162 33,855,124 0.7%
Cisco Systems, Inc................................. 3,728,589 102,498,912 1.9%
Intel Corp......................................... 3,141,595 95,127,497 1.8%
QUALCOMM, Inc...................................... 820,308 41,441,960 0.8%
* Yahoo!, Inc........................................ 1,048,770 38,384,982 0.7%
Other Securities................................... 203,183,370 3.7%
-------------- ------
Total Information Technology............................. 514,491,845 9.6%
-------------- ------
Materials -- (2.3%)
Other Securities................................... 125,935,445 2.3%
-------------- ------
Other -- (0.0%)
Other Securities................................... -- 0.0%
-------------- ------
Telecommunication Services -- (4.7%)
AT&T, Inc.......................................... 5,441,020 211,220,396 3.9%
Other Securities................................... 44,036,133 0.8%
-------------- ------
Total Telecommunication Services......................... 255,256,529 4.7%
-------------- ------
Utilities -- (0.1%)
Other Securities................................... 8,790,449 0.2%
-------------- ------
TOTAL COMMON STOCKS...................................... 5,328,599,878 99.1%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities................................... 167,860 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES.............................. 5,328,767,738
--------------
TEMPORARY CASH INVESTMENTS -- (0.9%)
State Street Institutional Liquid Reserves, 0.455%. 51,680,486 51,680,486 1.0%
-------------- ------
SECURITIES LENDING COLLATERAL -- (1.7%)
(S)@ DFA Short Term Investment Fund..................... 7,607,782 88,022,042 1.6%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,300,426,704)................................ $5,468,470,266 101.7%
============== ======
56
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2016, 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...... $ 928,467,808 $ 165,470 -- $ 928,633,278
Consumer Staples............ 463,562,336 -- -- 463,562,336
Energy...................... 746,426,960 -- -- 746,426,960
Financials.................. 1,016,724,779 -- -- 1,016,724,779
Health Care................. 602,504,091 -- -- 602,504,091
Industrials................. 666,274,166 -- -- 666,274,166
Information Technology...... 514,491,845 -- -- 514,491,845
Materials................... 125,935,445 -- -- 125,935,445
Other....................... -- -- -- --
Telecommunication Services.. 255,256,529 -- -- 255,256,529
Utilities................... 8,790,449 -- -- 8,790,449
Rights/Warrants............... -- 167,860 -- 167,860
Temporary Cash Investments.... 51,680,486 -- -- 51,680,486
Securities Lending Collateral. -- 88,022,042 -- 88,022,042
Futures Contracts**........... 474,883 -- -- 474,883
-------------- ----------- -- --------------
TOTAL......................... $5,380,589,777 $88,355,372 -- $5,468,945,149
============== =========== == ==============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note G)
See accompanying Notes to Financial Statements.
57
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2016
(Unaudited)
(Amounts in thousands)
ASSETS:
Investments at Value (including $297,781 of securities on loan)*......... $5,328,768
Temporary Cash Investments at Value & Cost............................... 51,680
Collateral from Securities on Loan Invested in Affiliate at Value & Cost. 88,022
Segregated Cash for Futures Contracts.................................... 1,755
Receivables:
Investment Securities Sold............................................. 7,901
Dividends and Interest................................................. 6,015
Securities Lending Income.............................................. 56
Prepaid Expenses and Other Assets........................................ 4
----------
Total Assets........................................................ 5,484,201
----------
LIABILITIES:
Payables:
Due to Custodian....................................................... 357
Upon Return of Securities Loaned....................................... 88,022
Investment Securities Purchased........................................ 17,072
Due to Advisor......................................................... 870
Futures Margin Variation............................................... 251
Accrued Expenses and Other Liabilities................................... 252
----------
Total Liabilities................................................... 106,824
----------
NET ASSETS............................................................... $5,377,377
==========
Investments at Cost...................................................... $3,160,724
==========
See accompanying Notes to Financial Statements.
58
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2016
(Unaudited)
(Amounts in thousands)
Investment Income
Dividends (Net of Foreign Taxes Withheld of $2)............... $ 58,568
Income from Securities Lending................................ 568
---------
Total Investment Income.................................... 59,136
---------
Expenses
Investment Management Fees.................................... 5,093
Accounting & Transfer Agent Fees.............................. 129
Custodian Fees................................................ 28
Shareholders' Reports......................................... 10
Directors'/Trustees' Fees & Expenses.......................... 22
Professional Fees............................................. 47
Other......................................................... 75
---------
Total Expenses............................................. 5,404
---------
Net Expenses.................................................. 5,404
---------
Net Investment Income (Loss).................................. 53,732
---------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold.................................. 65,104
Futures..................................................... 3,753
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities....................................... (160,166)
Futures..................................................... 475
---------
Net Realized and Unrealized Gain (Loss)....................... (90,834)
---------
Net Increase (Decrease) in Net Assets Resulting from Operations. $ (37,102)
=========
See accompanying Notes to Financial Statements.
59
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The Tax-Managed U.S.
Marketwide Value Series
- ----------------------
Six Months Year
Ended Ended
April 30, Oct. 31,
2016 2015
- ----------- ----------
(Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).......................................... $ 53,732 $ 96,469
Net Realized Gain (Loss) on:
Investment Securities Sold.......................................... 65,104 88,248
Futures............................................................. 3,753 --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities............................................... (160,166) (36,271)
Futures............................................................. 475 --
---------- ----------
Net Increase (Decrease) in Net Assets Resulting from Operations.... (37,102) 148,446
---------- ----------
Transactions in Interest:
Contributions......................................................... 201,134 247,754
Withdrawals........................................................... (135,067) (191,765)
---------- ----------
Net Increase (Decrease) from Transactions in Interest.............. 66,067 55,989
---------- ----------
Total Increase (Decrease) in Net Assets............................ 28,965 204,435
Net Assets
Beginning of Period................................................... 5,348,412 5,143,977
---------- ----------
End of Period......................................................... $5,377,377 $5,348,412
========== ==========
See accompanying Notes to Financial Statements.
60
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
FINANCIAL HIGHLIGHTS
The Tax-Managed U.S. Marketwide Value Series
---------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012 2011
---------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Total Return......................................... (0.77)%(C) 2.93% 15.17% 35.92% 18.47% 6.33%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)................ $5,377,377 $5,348,412 $5,143,977 $4,389,755 $3,306,476 $2,901,325
Ratio of Expenses to Average Net Assets.............. 0.21%(D) 0.21% 0.21% 0.21% 0.22% 0.22%
Ratio of Net Investment Income to Average Net Assets. 2.11%(D) 1.82% 1.61% 1.82% 1.99% 1.61%
Portfolio Turnover Rate.............................. 5%(C) 6% 2% 5% 10% 20%
---------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes
See accompanying Notes to Financial Statements.
61
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940, The
Trust consists of eleven operational portfolios, one of which, The Tax-Managed
U.S. Marketwide Value Series (the "Series"), is presented in this section of
the report. The remaining ten portfolios are presented in separate reports.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. Security Valuation: The Series utilizes a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series, including over-the-counter securities, are
valued at the last quoted sale price of the day. Securities held by the Series
that are listed on Nasdaq are valued at the Nasdaq Official Closing Price
("NOCP"). If there is no last reported sale price or NOCP for the day, the
Series values the securities within the range 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. 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.
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 Trustees of the Trust. 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 of the Series is calculated. When fair value pricing is used,
the prices of securities used by the Series may differ from the quoted or
published prices for the same securities on their primary markets or exchanges.
These securities are generally categorized as Level 2 in the hierarchy.
A summary of the inputs used to value the Series' investments by each major
security type, industry and/or country is disclosed previously in this note.
Valuation hierarchy tables have been included at the end of the Summary
Schedule of Portfolio Holdings. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
62
For the six months ended April 30, 2016, there were no significant transfers
between Level 1 and Level 2 and no significant Level 3 investments held by the
Series.
2. Deferred Compensation Plan: Each eligible Director 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 may defer payment of all or a portion of their total fees earned as a
Director. 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' Fees &
Expenses. At April 30, 2016, the total liability for deferred compensation to
Trustees is included in Accrued Expenses and Other Liabilities on the Statement
of Assets and Liabilities in the amount of $137 (in thousands).
Each Trustee has the option to receive their distribution of proceeds in one
of the following methods: lump sum; annual installments over a period of
agreed-upon years; or quarterly installments over a period of agreed-upon
years. Each Trustee shall have the right in a notice of election (the "Notice")
to defer the receipt of the Trustee's deferred compensation until a date
specified by such Trustee in the Notice, which date may not be sooner than the
earlier of: (i) the first business day of January following the year in which
such Trustee ceases to be a member of the Board of Trustees of the Trust; and
(ii) five years following the effective date of the Trustee's first deferral
election. If a Trustee who elects to defer fees fails to designate in the
Notice a time or date as of which payment of the Trustee's deferred fee account
shall commence, payment of such amount shall commence as of the first business
day of January following the year in which the Trustee ceases to be a member of
the Board (unless the Trustee files an amended Notice selecting a different
distribution date). As of April 30, 2016, none of the Trustees have requested
or received a distribution of proceeds of a deferred fee account.
3. Other: Security transactions are accounted for as of the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities are accounted for on the basis of identified cost. Dividend income
and distributions to shareholders are recorded on the ex-dividend date.
Distributions received on securities that represent a return of capital or
capital gains are recorded as a reduction of cost of investments or as a
realized gain, respectively. The Series estimates the character of
distributions received that may be considered return of capital distributions.
Interest income is recorded on an accrual basis. Discount and premium on debt
securities purchased are amortized over the lives of the respective securities,
utilizing the effective interest method. Expenses directly attributable to the
Series are directly charged. Common expenses of the Trust or its Series are
allocated using methods approved by the Board, generally based on average net
assets.
C. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Series. For the six months ended April 30, 2016, the Series'
investment management fees were accrued daily and paid monthly to the Advisor
based on an effective annual rate of 0.20% of average daily net assets of the
Series.
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors of the Advisor are also Officers and Trustees
of the Trust; however, such Officers and Directors (with the exception of the
Chief Compliance Officer ("CCO")) receive no compensation from the Trust. For
the six months ended April 30, 2016, the total related amounts paid to the CCO
by the Trust were $42 (in thousands). The total related amounts paid by the
Series is included in Other Expenses on the Statement of Operations.
D. Purchases and Sales of Securities:
For the six months ended April 30, 2016, the Series made the following
purchases and sales of investment securities, other than short-term securities
and U.S. government securities (amounts in thousands):
Purchases Sales
--------- --------
The Tax-Managed U.S. Marketwide Value Series. $322,820 $235,800
63
There were no purchases or sales of long-term U.S. government securities.
E. Federal Income Taxes:
The Series is treated as a partnership for federal income tax purposes and
therefore, no provision for federal income taxes is required. Any net
investment income and realized and unrealized gains and losses have been deemed
to have been "passed down" to its partners.
At April 30, 2016, 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 Tax-Managed U.S. Marketwide Value Series. $3,301,033 $2,261,287 $(93,850) $2,167,437
The difference between book-basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales.
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed the Series' tax
positions and has concluded that no additional provision for income tax is
required in the Series' financial statements. The Series is not aware of any
tax positions for which it is more likely than not that the total amounts of
unrecognized tax benefits will significantly change in the next twelve months.
The Series' federal tax returns for the prior three fiscal years remain subject
to examination by the Internal Revenue Service.
F. 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:
Derivative Financial Instruments:
1. Futures Contracts: The Series may purchase or sell futures contracts
and options on futures contracts for equity securities and indices to adjust
market exposure based on actual or expected cash inflows to or outflows from
the Portfolios. The Series, however, does not intend to sell futures contracts
to establish short positions in individual securities. 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 records a realized gain or loss, which is presented in the Statements of
Operations as a net realized gain or loss on futures, equal to the difference
between the value of the contract at the time it was opened and the value at
the time it was closed.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, 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 will be subject to equity price risk
when entering into stock index futures. 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.
64
At April 30, 2016, the Series had outstanding futures contracts (dollar
amounts in thousands):
Expiration Number of Contract Unrealized Cash
Description Date Contracts* Value Gain (Loss) Collateral
----------------------- ---------- ---------- -------- ----------- ----------
The Tax-Managed U.S.
Marketwide Value Series. S&P 500 Emini Index(R) 06/17/16 300 $30,887 $475 $1,755
------- ----
* During the six months ended April 30, 2016, the Series' average notional
contract amount of outstanding futures contracts was $19,862 (amount in
thousands).
The following is a summary of the location of derivatives on the Series'
Statements of Assets and Liabilities as of April 30, 2016:
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 Series' derivative instrument holdings
categorized by primary risk exposure as of April 30, 2016 (amounts in
thousands):
Asset Derivatives Value
-----------------------
Total Value
at Equity
April 30, 2016 Contracts
-------------- ---------
The Tax-Managed U.S. Marketwide Value Series. $475 $475*
* 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 derivatives on the Series'
Statements of Operations of realized and change in unrealized gains and losses
from the Series' derivative instrument holdings through the six months ended
April 30, 2016:
Derivative Type Location of Gain (Loss) on Derivatives
--------------- --------------------------------------
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 six months ended April 30, 2016 (amounts in
thousands):
Realized Gain (Loss) on
Derivatives
-----------------------
Equity
Total Contracts
------ ---------
The Tax-Managed U.S. Marketwide Value Series. $3,753 $3,753
Change in Unrealized
Appreciation (Depreciation) on
Derivatives
-----------------------
Equity
Total Contracts
------ ---------
The Tax-Managed U.S. Marketwide Value Series. $ 475 $ 475
65
F. Line of Credit and Interfund Lending Program:
The Trust, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective March 30, 2016, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 29, 2016. 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 29, 2017.
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 8, 2016. A line of credit with
similar terms was in effect through January 7, 2016. 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 7, 2017.
For the six months ended April 30, 2016, borrowings by the Series under the
lines of credit were as follows (amounts in thousands, except percentages and
days):
Weighted Weighted Number of Maximum Amount
Average Average Loan Days Borrowed During
Interest Rate Balance Outstanding* the Period
------------- ------------ ------------ ---------------
The Tax-Managed U.S. Marketwide Value Series. 0.87% $734 7 $2,249
* Number of Days Outstanding represents the total of single or consecutive days
during the six months ended April 30, 2016, that the Series' available line
of credit was utilized.
There were no outstanding borrowings by the Series under the lines of credit
as of April 30, 2016.
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 six months ended April 30, 2016.
G. Affiliated Trades:
Cross trades for the six months ended April 30, 2016, if any, were executed
by the Series pursuant to procedures adopted by the Board of Directors of the
Trust 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 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.
66
For the six months ended April 30, 2016, cross trades by the Series under
Rule 17a-7 were as follows (amounts in thousands):
Realized
Portfolio Purchases Sales Gain (Loss)
--------- --------- ------ -----------
The Tax-Managed U.S. Marketwide Value Series. $13,215 $4,130 $1,356
H. Securities Lending:
As of April 30, 2016, the Series had securities on loan to brokers/dealers,
for which the Series received cash collateral. In addition, the Series received
non-cash collateral consisting of short and/or long term U.S. government
securities with a market value of $213,696 (in thousands). The Series invests
the cash collateral, as described below, and records a liability for the return
of the collateral, during the period the securities are on loan. Loans of
securities are expected at all times to be secured by collateral in an amount
(i) equal to at least 100% of the current market value of the loaned securities
with respect to securities of the U.S. government or its agencies, (ii)
generally equal to 102% of the current market value of the loaned securities
with respect to U.S. securities, and (iii) generally equal to 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 Portfolio could experience delay in recovering
the loaned securities or only recover cash or a security of equivalent value.
Subject to its stated investment policies, the Series will generally invest
the cash collateral received for the loaned securities in The DFA Short Term
Investment Fund (the "Money Market Series"), an affiliated registered money
market fund advised by the Advisor for which the Advisor receives a management
fee of 0.05% of the average daily net assets of the Money Market Series. The
Series also may invest the cash collateral received for the loaned securities
in securities of the U.S. government or its agencies, repurchase agreements
collateralized by securities of the U.S. government or its agencies, and
affiliated and unaffiliated registered and unregistered money market funds. For
purposes of this paragraph, agencies include both agency debentures and agency
mortgage-backed securities. In addition, the Series will be able to terminate
the loan at any time and will receive reasonable interest on the loan, as well
as amounts equal to any dividends, interest or other distributions on the
loaned securities. However, dividend income received from loaned securities may
not be eligible to be taxed at qualified dividend income rates.
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of April 30, 2016:
Remaining Contractual Maturity of the Agreements
As of April 30, 2016
--------------------------------------------------------------
Overnight and Between
Continuous <30 days 30 & 90 days >90 days Total
------------- -------- ------------ -------- -----------
Securities Lending Transactions
The Tax-Managed U.S. Marketwide Value Series
Bonds........... $88,022,042 $-- $-- $-- $88,022,042
Total Borrowings...... $88,022,042 $-- $-- $-- $88,022,042
----------- --- --- --- -----------
Gross amount of recognized liabilities for securities lending transactions $88,022,04
===========
67
I. Indemnitees; Contractual Obligations:
Under the Trust's organizational documents, its officers and trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust. In the normal course of business, the Trust enters into
contracts that contain a variety of representations and warranties that provide
general indemnification. The Trust's maximum exposure under these arrangements
is unknown as this would involve future claims that may be made against the
Trust and/or its affiliates that have not yet occurred. However, based on
experience, the Trust expects the risk of loss to be remote.
J. Other:
The Series is subject to claims and suits that arise from time to time in
the ordinary course of business. Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
The Tax-Managed U.S. Marketwide Value Series has been named as a defendant
in a multi-district litigation pending in the United States District Court for
the Southern District of New York (the "Court"), captioned IN RE TRIBUNE
COMPANY FRAUDULENT CONVEYANCE LITIGATION, No. 11-MD-2296-RJS (the "Tribune
MDL"). The Tribune MDL arises from the 2007 leveraged buyout of The Tribune
Company ("Tribune") (the "LBO") and Tribune's subsequent bankruptcy and
reorganization. In connection with the LBO, thousands of Tribune shareholders,
including The Tax-Managed U.S. Marketwide Value Series, sold Tribune shares
back to Tribune for $34 per share. The Tribune MDL includes a series of
lawsuits brought by individual creditors of Tribune (the "Individual Creditor
Actions") and a lawsuit brought by a court-appointed trustee on behalf of the
committee of unsecured creditors of Tribune (the "Committee Action," and with
the Individual Creditor Actions, collectively referred to as the "Lawsuits").
The Lawsuits seek to unwind the LBO stock repurchases as fraudulent transfers
and recover the stock repurchase proceeds paid to the Tribune shareholders who
participated in the LBO. On September 23, 2013, the Court entered an order
dismissing the Individual Creditor Actions in their entirety on the grounds
that the individual creditor plaintiffs lack standing to pursue their claims.
The parties appealed the Court's dismissal order to the Second Circuit, and, on
March 29, 2016, the Second Circuit affirmed the dismissal, albeit on the
grounds that the individual creditor plaintiffs' claims are preempted by the
Bankruptcy Code's safe harbor for securities transactions. The individual
creditor plaintiffs have petitioned the Second Circuit for rehearing of the
appeal, and that petition is pending. The Committee Action remains pending, and
a motion to dismiss on behalf of all shareholder defendants in the Committee
Action was filed on May 23, 2014. The motion to dismiss is fully-briefed, and
the parties await the scheduling of oral argument on the motion. The Committee
Action is stayed pending the disposition of the motion to dismiss.
Litigation counsel to The Tax-Managed U.S. Marketwide Value Series in the
Lawsuits has advised management that it does not believe that it is possible,
at this early stage in the proceedings, to predict with any reasonable
certainty the probable outcome of the Lawsuits or quantify the ultimate
exposure to The Tax-Managed U.S. Marketwide Value Series arising from the
Lawsuits. Until The Tax-Managed U.S. Marketwide Value Series can do so, no
reduction of the net asset value of The Tax-Managed U.S. Marketwide Value
Series will be made relating to the Lawsuits. However, even if the plaintiffs
in the Lawsuits were to obtain the full recovery the plaintiffs seek, the
amount would be less than 1% of the net asset value of The Tax-Managed U.S.
Marketwide Value Series at this time.
The Tax-Managed U.S. Marketwide Value Series also cannot quantify the cost
of the Lawsuits that could potentially be deducted from its net asset value.
Therefore, at this time, those investors buying or redeeming shares of The
Tax-Managed U.S. Marketwide Value Series will pay or receive, as the case may
be, a price based on the net asset value of The Tax-Managed U.S. Marketwide
Value Series, with no adjustment relating to the Lawsuits. The attorneys' fees
and costs relating to the Lawsuits will be taken as expenses by The Tax-Managed
U.S. Marketwide Value Series as incurred and in a manner similar to any other
expense incurred by The Tax-Managed U.S. Marketwide Value Series.
K. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the Series
and has determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
68
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.
69
BOARD APPROVAL OF INVESTMENT MANAGEMENT AGREEMENTS
At the Board meeting held on December 10-11, 2015 (the "Meeting"), the Board
of Directors of DFA Investment Dimensions Group Inc. and the Board of Trustees
of The DFA Investment Trust Company (together, the "Board") considered the
continuation of the investment management agreements for each portfolio/series
(collectively, the "Funds") and, if applicable, a Fund's sub-advisory
agreements. For certain Funds, Dimensional Fund Advisors Ltd. or DFA Australia
Limited serves as a sub-advisor. (The investment management agreements and the
sub-advisory agreements are referred to as the "Management Agreements," and the
Advisor and sub-advisors are referred to as the "Advisor.")
Prior to the Meeting, independent counsel to the Independent Board Members
sent to the Advisor a request for information, which identified the information
that the Independent Board Members wished to receive in order to consider the
continuation of the Management Agreements. The Independent Board Members met
with their independent counsel in advance of the Meeting to discuss the
materials provided by the Advisor, the independent reports prepared by
Morningstar Associates, LLC (the "Morningstar Reports"), and issues related to
the continuation of the Management Agreements. Also in advance of the Meeting,
management provided additional materials to address and respond to questions
that the Independent Board Members posed after their review and analysis of
materials provided by the Advisor and the Morningstar Reports.
At the Meeting, the Board considered a number of factors when considering
the continuation of each Management Agreement for a Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to each Fund;
(ii) the performance of each Fund and the Advisor; (iii) the fees and expenses
borne by each Fund; (iv) the profitability realized by the Advisor from the
relationship with each Fund; and (v) whether economies of scale are realized by
the Advisor with respect to each Fund as it grows larger, and the extent to
which this is reflected in the level of the management fee charged.
When considering the nature and quality of the services provided by the
Advisor to a Fund, the Board reviewed: (a) the scope and depth of the Advisor's
organization; (b) the experience and expertise of its investment professionals
currently providing management services to the Fund; and (c) the Advisor's
global investment advisory capabilities. The Board evaluated the Advisor's
portfolio management process and discussed the unique features of the Advisor's
investment approach. The Board also considered the nature and character of
non-investment advisory services provided by the Advisor, including
administrative services. After analyzing the caliber of services provided by
the Advisor to each Fund, both quantitatively and qualitatively, including the
impact of these services on investment performance, the Board concluded that
the nature, extent and quality of services provided to each Fund were
consistent with the operational requirements of the Fund and met the needs of
the shareholders of the Fund.
In considering the performance of each Fund, the Board analyzed the
Morningstar Reports, which compared the performance of each Fund with other
funds in its respective peer group and investment category. The Board also
reviewed the performance analysis prepared by the Advisor, which presented the
performance of each Fund and its benchmark index, over multiple performance
periods, along with the Advisor's explanation of the performance. The Board
concluded that the Advisor's explanations provided a sound basis for
understanding the comparative performance of the Funds. The Board determined,
among other things, that after considering each Fund's investment strategies
and the expectations of its shareholder base, the performance of each Fund was
reasonable as compared with relevant performance standards and appropriate
market indexes.
When considering the fees and expenses borne by each Fund, and considering
the reasonableness of the management fees paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Morningstar Reports. The Board
concluded that the effective management fees and total expenses of each Fund
over various periods were favorable in relation to those of its peer funds, and
that the management fees were fair, both on an absolute basis and in comparison
with the fees of other funds identified in the peer groups and the industry at
large.
70
The Board considered the profitability of each Fund to the Advisor by
reviewing the profitability analysis provided by the Advisor, including
information about its fee revenues and income. The Board reviewed the overall
profitability of the Advisor, and the compensation that it received for
providing services to each Fund. The Board considered the profitability to the
Advisor of managing and servicing the Funds and the Advisor's unregistered
clients, such as collective trusts, group trusts and separate accounts. Upon
closely examining the Advisor's profitability, the Board concluded, among other
things, that it was reasonable.
The Board also discussed whether economies of scale are realized by the
Advisor with respect to each Fund as it grows larger, and the extent to which
this is reflected in the level of management fees charged. For several reasons,
the Board concluded that economies of scale and the reflection of such
economies of scale in the level of management fees charged were inapplicable to
each Fund at the present time, due to the current level of fees and expenses
and the profitability of the Fund.
After full consideration of the factors discussed above, with no single
factor identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel,
concluded that the continuation of the Management Agreement for each Fund was
in the best interests of the Fund and its shareholders.
71
DFA043016-002S
[LOGO] 00157600
THE DFA SHORT TERM INVESTMENT FUND
SEMI-ANNUAL REPORT
SIX MONTHS ENDED APRIL 30, 2016
(UNAUDITED)
TABLE OF CONTENTS
SCHEDULE OF PORTFOLIO HOLDINGS 1
SCHEDULE OF INVESTMENTS 2
STATEMENT OF ASSETS AND LIABILITIES 7
STATEMENT OF OPERATIONS 8
STATEMENTS OF CHANGES IN NET ASSETS 9
FINANCIAL HIGHLIGHTS 10
NOTES TO FINANCIAL STATEMENTS 11
SUPPLEMENTAL INFORMATION 17
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT 19
THE DFA SHORT TERM INVESTMENT FUND
Schedule of Portfolio Holdings
April 30, 2016 (Unaudited)
The following table indicates the allocation of investments among the asset
classes in the Fund as of April 30, 2016:
PERCENT OF
SECURITY ALLOCATION INVESTMENTS
------------------- -----------
Commercial Paper 46.7%
U.S. Government Agency Securities 18.0
Repurchase Agreements 15.0
Yankee Certificates of Deposit 11.9
U.S. Treasury Obligations 5.3
Corporate Bonds 1.9
Yankee Bonds 1.2
-----
TOTAL INVESTMENTS 100.0%
See Notes to Financial Statements.
1
THE DFA SHORT TERM INVESTMENT FUND
Schedule of Investments
April 30, 2016 (Unaudited)
SECURITY DESCRIPTION Rate Maturity Face Amount $ Fair Value $
-------------------- ---- -------- ------------- ------------
CORPORATE BONDS - 1.9%
(r)Apple, Inc. 0.69% 05/05/17 1,700,000 1,700,459
Berkshire Hathaway, Inc. 2.20% 08/15/16 10,733,000 10,783,327
(r)General Electric Co. 0.82% 05/11/16 36,280,000 36,282,648
General Electric Co. 1.50% 07/12/16 16,624,000 16,656,733
(r)Merck & Co., Inc. 0.81% 05/18/16 10,000,000 10,001,310
(r)Toyota Motor Credit Corp. 0.91% 05/17/16 14,038,000 14,041,495
(r)Toyota Motor Credit Corp. 0.65% 06/13/16 150,000,000 150,025,651
(r)Toyota Motor Credit Corp. 0.81% 02/16/17 15,300,000 15,316,937
(r)Toyota Motor Credit Corp. 0.97% 04/24/17 150,000,000 149,970,900
----------- -----------
TOTAL CORPORATE BONDS (Cost $404,778,412) 404,675,000 404,779,460
----------- -----------
YANKEE BONDS - 1.2%
(r)Bank of Nova Scotia 0.79% 06/20/16 42,000,000 42,018,102
(r)Bank of Nova Scotia 1.15% 07/15/16 54,562,000 54,620,162
(r)++Commonwealth Bank of Australia 1.12% 09/20/16 10,000,000 10,017,530
Province of Ontario 1.00% 07/22/16 50,000,000 50,033,500
(r)Royal Bank of Canada 1.10% 09/09/16 19,436,000 19,461,811
(r)Svenska Handelsbanken AB 1.09% 09/23/16 4,525,000 4,530,910
(r)Toronto Dominion Bank NY 0.59% 05/23/16 50,000,000 50,005,850
(r)Westpac Banking Corp. 1.06% 11/25/16 40,250,000 40,309,007
----------- -----------
TOTAL YANKEE BONDS (Cost $270,924,619) 270,773,000 270,996,872
----------- -----------
COMMERCIAL PAPER - 46.7%
(y)++ANZ National International Ltd. 0.72% 09/19/16 100,000,000 99,715,192
(y)++ANZ National International Ltd. 0.75% 09/28/16 100,000,000 99,685,022
(y)++Apple, Inc. 0.50% 05/02/16 150,000,000 149,995,811
(y)++Apple, Inc. 0.38% 05/09/16 100,000,000 99,990,444
(r)++Australia & New Zealand Banking
Group 0.65% 07/06/16 100,000,000 100,022,100
(y)++Bank Nederlandse Gemeent 0.39% 05/27/16 200,000,000 199,941,199
(y)++Bank Nederlandse Gemeent 0.40% 05/31/16 150,000,000 149,948,934
(y)++Bank Nederlandse Gemeent 0.49% 08/01/16 100,000,000 99,874,406
(y)++Bank Nederlandse Gemeent 0.56% 08/31/16 150,000,000 149,711,184
(y)++Bank of Nova Scotia 0.77% 09/22/16 13,800,000 13,757,074
(y)++Bank of Nova Scotia 0.79% 09/26/16 100,000,000 99,675,000
(r)++Bank of Nova Scotia 0.85% 11/21/16 40,000,000 40,001,600
(y)Banque et Caisse d'Epargne de I'Etat 0.48% 07/29/16 100,000,000 99,880,436
(y)Banque et Caisse d'Epargne de I'Etat 0.49% 08/01/16 50,000,000 49,937,203
(y)Banque et Caisse d'Epargne de I'Etat 0.62% 09/23/16 100,000,000 99,749,692
(y)Banque et Caisse d'Epargne de l'Etat 0.38% 05/12/16 75,000,000 74,990,575
(y)++Caisse des Depots et Consignations 0.30% 05/02/16 50,000,000 49,999,163
(y)++Caisse des Depots et Consignations 0.27% 05/16/16 100,000,000 99,988,147
(y)++Caisse des Depots et Consignations 0.38% 06/17/16 100,000,000 99,949,775
(y)++Caisse des Depots et Consignations 0.45% 07/06/16 100,000,000 99,915,756
(y)++Caisse des Depots et Consignations 0.61% 08/15/16 100,000,000 99,819,700
(y)++Coca-Cola Co. 0.49% 06/23/16 75,000,000 74,944,656
(y)++Coca-Cola Co. 0.71% 10/13/16 50,000,000 49,836,016
(r)++Commonwealth Bank of Australia 0.56% 05/04/16 25,000,000 25,000,675
(y)++Commonwealth Bank of Australia 0.28% 05/31/16 50,000,000 49,988,089
(r)++Commonwealth Bank of Australia 0.67% 06/28/16 100,000,000 100,025,700
(r)++Commonwealth Bank of Australia 0.65% 06/29/16 100,000,000 100,022,300
(r)++Commonwealth Bank of Australia 0.65% 07/11/16 100,000,000 100,021,000
(y)++Commonwealth Bank of Australia 0.60% 09/01/16 50,000,000 49,897,222
(r)++Commonwealth Bank of Australia 0.79% 10/27/16 90,000,000 89,989,830
(r)++Commonwealth Bank of Australia 0.92% 11/21/16 50,000,000 50,026,350
(r)++Commonwealth Bank of Australia 0.97% 03/02/17 100,000,000 100,004,900
(y)++CPPIB Capital, Inc. 0.45% 05/03/16 50,000,000 49,998,134
(y)++CPPIB Capital, Inc. 0.39% 05/24/16 50,000,000 49,987,014
(y)++CPPIB Capital, Inc. 0.40% 06/06/16 100,000,000 99,958,728
(y)++CPPIB Capital, Inc. 0.40% 06/07/16 45,000,000 44,980,890
(y)++CPPIB Capital, Inc. 0.40% 06/08/16 47,195,000 47,174,391
(y)++CPPIB Capital, Inc. 0.42% 06/22/16 50,000,000 49,969,100
(y)++CPPIB Capital, Inc. 0.44% 07/08/16 100,000,000 99,915,028
See Notes to Financial Statements.
2
THE DFA SHORT TERM INVESTMENT FUND
Schedule of Investments (continued)
April 30, 2016 (Unaudited)
SECURITY DESCRIPTION Rate Maturity Face Amount $ Fair Value $
-------------------- ---- -------- ------------- ------------
COMMERCIAL PAPER - 46.7% (CONTINUED)
(y)++CPPIB Capital, Inc. 0.45% 07/11/16 100,000,000 99,910,372
(y)++CPPIB Capital, Inc. 0.46% 07/18/16 40,000,000 39,959,733
(y)++CPPIB Capital, Inc. 0.49% 08/02/16 100,000,000 99,872,542
(y)++DBS Bank, Ltd. 0.38% 05/10/16 90,000,000 89,990,512
(y)++Emerson Electric Co. 0.39% 05/06/16 95,000,000 94,993,904
(y)++Erste Abwicklungsanstalt 0.38% 05/11/16 100,000,000 99,988,467
(y)++Erste Abwicklungsanstalt 0.38% 05/12/16 75,000,000 74,990,575
(y)++Erste Abwicklungsanstalt 0.38% 05/18/16 100,000,000 99,980,842
(y)++Erste Abwicklungsanstalt 0.46% 07/18/16 72,500,000 72,427,016
(y)++Erste Abwicklungsanstalt 0.46% 07/20/16 33,900,000 33,864,712
(y)++Erste Abwicklungsanstalt 0.49% 08/03/16 99,700,000 99,570,789
(y)European Investment Bank 0.35% 06/02/16 100,000,000 99,967,889
(y)Export Development Canada 0.50% 07/11/16 50,000,000 49,949,711
(y)Exxon Mobil Corp. 0.38% 05/09/16 65,000,000 64,993,789
(y)GE Capital Treasury LLC 0.41% 06/16/16 150,000,000 149,919,200
(y)GE Capital Treasury LLC 0.42% 06/20/16 100,000,000 99,940,922
(y)GE Capital Treasury LLC 0.42% 06/21/16 100,000,000 99,939,492
(y)General Electric Co. 0.40% 06/08/16 100,000,000 99,956,333
(y)General Electric Co. 0.43% 06/29/16 50,000,000 49,964,247
(y)Grainger (WW), Inc. 0.38% 05/12/16 12,300,000 12,298,454
(y)++Koch Resources LLC 0.39% 05/23/16 55,000,000 54,986,323
(y)++Kreditanstalt Fur Wiederaufbau 0.53% 05/02/16 100,000,000 99,997,050
(y)++Kreditanstalt Fur Wiederaufbau 0.38% 05/20/16 100,000,000 99,978,825
(y)++Kreditanstalt Fur Wiederaufbau 0.47% 06/15/16 94,100,000 94,043,979
(y)++National Australia Bank Ltd. 0.58% 09/12/16 100,000,000 99,781,267
(r)++National Australia Bank Ltd. 1.01% 02/28/17 100,000,000 100,038,300
(y)++Nederlandse Waterschaps 0.83% 05/02/16 100,000,000 99,995,392
(y)++Nederlandse Waterschaps 0.74% 05/03/16 87,500,000 87,494,624
(y)++Nederlandse Waterschaps 0.58% 06/16/16 50,000,000 49,962,134
(y)++Nestle Capital Corp. 0.35% 05/05/16 50,000,000 49,997,575
(y)++Nestle Capital Corp. 0.43% 06/15/16 50,000,000 49,972,453
(y)++Nestle Capital Corp. 0.44% 06/16/16 100,000,000 99,943,200
(y)++Nestle Capital Corp. 0.54% 07/19/16 30,000,000 29,964,090
(y)Nestle Finance International Ltd. 0.39% 06/02/16 100,000,000 99,964,017
(y)Nestle Finance International Ltd. 0.41% 06/07/16 200,000,000 199,913,983
(y)Nestle Finance International Ltd. 0.57% 07/27/16 100,000,000 99,862,050
(y)++Nordea Bank AB 0.44% 05/23/16 200,000,000 199,943,199
(y)++Nordea Bank AB 0.45% 06/01/16 100,000,000 99,960,400
(y)++Nordea Bank AB 0.45% 06/08/16 100,000,000 99,951,444
(y)++Nordea Bank AB 0.45% 06/10/16 50,000,000 49,974,450
(y)++Nordea Bank AB 0.67% 10/03/16 75,000,000 74,781,836
(y)++Novartis Finance Corp. 0.38% 05/12/16 55,000,000 54,993,088
(y)++Novartis Finance Corp. 0.40% 06/06/16 50,000,000 49,979,364
(y)++Novartis Securities
Investment, Ltd. 0.40% 05/11/16 100,000,000 99,987,833
(y)++NRW.Bank 0.40% 05/10/16 15,000,000 14,998,336
(y)++NRW.Bank 0.41% 05/17/16 100,000,000 99,980,800
(y)++NRW.Bank 0.45% 06/03/16 200,000,000 199,915,805
(y)++NRW.Bank 0.51% 07/12/16 90,000,000 89,907,130
(y)++Pfizer, Inc. 0.35% 05/11/16 100,000,000 99,989,167
(y)++Pfizer, Inc. 0.42% 06/10/16 34,000,000 33,983,578
(y)Province of British Columbia 0.39% 05/20/16 12,650,000 12,647,270
(y)Province of British Columbia 0.41% 06/02/16 45,000,000 44,983,085
(y)Province of British Columbia 0.51% 07/14/16 31,840,000 31,806,257
(y)Province of Ontario 0.40% 06/08/16 100,000,000 99,956,333
(y)Province of Ontario 0.46% 07/19/16 50,000,000 49,948,813
(y)++Province of Quebec 0.41% 05/05/16 100,000,000 99,994,350
(y)++Province of Quebec 0.42% 06/21/16 100,000,000 99,939,492
(y)++Province of Quebec 0.45% 07/14/16 100,000,000 99,905,633
(y)++PSP Capital, Inc. 0.38% 05/09/16 50,000,000 49,995,222
(y)++PSP Capital, Inc. 0.39% 05/20/16 100,000,000 99,978,417
(y)++PSP Capital, Inc. 0.40% 06/02/16 74,000,000 73,973,093
(y)++PSP Capital, Inc. 0.40% 06/03/16 25,000,000 24,990,594
See Notes to Financial Statements.
3
THE DFA SHORT TERM INVESTMENT FUND
Schedule of Investments (continued)
April 30, 2016 (Unaudited)
SECURITY DESCRIPTION Rate Maturity Face Amount $ Fair Value $
-------------------- ---- -------- -------------- --------------
COMMERCIAL PAPER - 46.7% (CONTINUED)
(y)++PSP Capital, Inc. 0.41% 06/16/16 25,000,000 24,986,533
(y)++PSP Capital, Inc. 0.55% 08/26/16 100,000,000 99,819,186
(y)++Qualcomm, Inc. 0.40% 06/07/16 19,550,000 19,541,698
(y)++Qualcomm, Inc. 0.42% 06/21/16 25,000,000 24,984,873
(y)++Roche Holdings, Inc. 0.50% 05/02/16 60,000,000 59,998,325
(y)++Roche Holdings, Inc. 0.42% 06/20/16 90,000,000 89,946,830
(y)++Siemens Capital Co. LLC 0.41% 06/10/16 100,000,000 99,953,800
(y)++Siemens Capital Co. LLC 0.41% 06/15/16 50,000,000 49,973,693
(y)++Svenska Handelsbanken AB 0.45% 06/06/16 50,000,000 49,976,831
(y)++Svenska Handelsbanken AB 0.51% 07/05/16 100,000,000 99,906,200
(y)++Svenska Handelsbanken AB 0.58% 08/03/16 50,000,000 49,923,200
(y)++Svenska Handelsbanken AB 0.64% 08/16/16 80,000,000 79,846,915
(y)++Svenska Handelsbanken AB 0.73% 09/09/16 100,000,000 99,732,892
(y)Swedbank 0.80% 10/24/16 100,000,000 99,607,906
(y)Swedbank 0.81% 10/26/16 100,000,000 99,600,000
(y)Swedish Export Credit Corp. 0.62% 09/23/16 100,000,000 99,749,692
(y)++Total Capital Canada, Ltd. 0.45% 07/15/16 100,000,000 99,904,178
(y)Toyota Motor Credit Corp. 0.32% 05/19/16 100,000,000 99,982,944
(y)Toyota Motor Credit Corp. 0.36% 06/02/16 100,000,000 99,966,661
(y)Toyota Motor Credit Corp. 0.57% 08/03/16 50,000,000 49,925,200
(y)Toyota Motor Credit Corp. 0.78% 10/20/16 100,000,000 99,628,317
(r)++Westpac Banking Corp. 0.61% 05/09/16 50,000,000 50,003,150
(r)++Westpac Banking Corp. 0.65% 07/05/16 100,000,000 100,022,300
(y)++Westpac Banking Corp. 0.74% 09/12/16 50,000,000 49,862,300
-------------- --------------
TOTAL COMMERCIAL PAPER (Cost $10,208,517,383) 10,218,035,000 10,209,971,812
-------------- --------------
YANKEE CERTIFICATES OF DEPOSIT - 11.9%
(r)Bank of Montreal 0.59% 05/09/16 150,000,000 150,008,850
Bank of Montreal 0.57% 07/20/16 150,000,000 150,026,933
(r)Bank of Montreal 0.73% 10/05/16 150,000,000 149,986,050
(r)Bank of Montreal 0.83% 10/11/16 100,000,000 100,027,800
(r)Bank of Montreal 0.98% 02/24/17 100,000,000 100,025,200
(r)Bank of Montreal 1.02% 05/02/17 25,000,000 25,000,000
(r)Bank of Nova Scotia 0.65% 07/15/16 100,000,000 100,021,700
(r)Bank of Nova Scotia 0.69% 08/02/16 50,000,000 50,011,300
(r)Bank of Nova Scotia 0.96% 03/03/17 100,000,000 99,995,500
(r)Bank of Nova Scotia 1.03% 04/12/17 125,000,000 125,029,125
(r)Nordea Bank Finland NY 0.61% 05/13/16 125,000,000 125,010,625
(r)Nordea Bank Finland NY 0.95% 04/13/17 50,000,000 49,968,050
(r)Royal Bank of Canada NY 0.65% 05/04/16 100,000,000 100,003,900
(r)Royal Bank of Canada NY 0.59% 05/20/16 100,000,000 100,010,600
(r)Royal Bank of Canada NY 0.65% 05/23/16 50,000,000 50,007,800
(r)Royal Bank of Canada NY 0.88% 12/02/16 50,000,000 50,006,850
(r)Royal Bank of Canada NY 0.91% 12/16/16 100,000,000 100,021,800
(r)Royal Bank of Canada NY 0.95% 03/28/17 100,000,000 99,958,300
(r)Toronto Dominion Bank NY 0.65% 05/02/16 90,000,000 90,002,160
(r)Toronto Dominion Bank NY 0.68% 06/06/16 100,000,000 100,023,900
(r)Toronto Dominion Bank NY 0.71% 08/19/16 100,000,000 100,018,400
(r)Toronto Dominion Bank NY 0.88% 10/17/16 100,000,000 100,048,300
(r)Toronto Dominion Bank NY 0.71% 11/04/16 50,000,000 49,970,600
(r)Toronto Dominion Bank NY 0.98% 03/02/17 100,000,000 100,019,600
(r)Toronto Dominion Bank NY 0.95% 03/28/17 50,000,000 49,979,600
(r)Toronto Dominion Bank NY 0.98% 04/06/17 95,000,000 94,983,185
(r)Westpac Banking Corp. 0.56% 05/04/16 100,000,000 100,002,700
(r)Westpac Banking Corp. 0.95% 03/20/17 76,000,000 75,973,856
-------------- --------------
TOTAL YANKEE CERTIFICATES OF DEPOSIT (Cost $2,585,993,688) 2,586,000,000 2,586,142,684
-------------- --------------
U.S. GOVERNMENT AGENCY SECURITIES - 18.0%
(y)Federal Home Loan Bank 0.13% 05/04/16 100,000,000 99,998,600
(y)Federal Home Loan Bank 0.17% 05/06/16 100,000,000 99,997,200
(y)Federal Home Loan Bank 0.20% 05/09/16 100,000,000 99,995,100
(y)Federal Home Loan Bank 0.20% 05/10/16 50,000,000 49,997,200
(y)Federal Home Loan Bank 0.21% 05/11/16 115,000,000 114,992,755
See Notes to Financial Statements.
4
THE DFA SHORT TERM INVESTMENT FUND
Schedule of Investments (continued)
April 30, 2016 (Unaudited)
SECURITY DESCRIPTION Rate Maturity Face Amount $ Fair Value $
-------------------- ---- -------- ------------- -------------
U.S. GOVERNMENT AGENCY SECURITIES - 18.0% (CONTINUED)
(y)Federal Home Loan Bank 0.21% 05/13/16 100,000,000 99,992,400
(y)Federal Home Loan Bank 0.22% 05/16/16 100,000,000 99,990,300
(y)Federal Home Loan Bank 0.22% 05/17/16 100,000,000 99,989,600
(y)Federal Home Loan Bank 0.22% 05/18/16 200,000,000 199,977,800
(y)Federal Home Loan Bank 0.23% 05/20/16 150,000,000 149,981,250
(y)Federal Home Loan Bank 0.23% 05/23/16 100,000,000 99,985,400
(y)Federal Home Loan Bank 0.23% 05/24/16 100,000,000 99,984,700
(y)Federal Home Loan Bank 0.23% 05/25/16 198,000,000 197,968,320
(y)Federal Home Loan Bank 0.23% 05/26/16 100,000,000 99,983,300
(y)Federal Home Loan Bank 0.23% 05/27/16 100,000,000 99,982,600
(y)Federal Home Loan Bank 0.27% 06/01/16 175,000,000 174,958,350
(y)Federal Home Loan Bank 0.27% 06/02/16 100,000,000 99,975,500
(y)Federal Home Loan Bank 0.27% 06/03/16 151,060,000 151,021,782
(y)Federal Home Loan Bank 0.27% 06/08/16 150,000,000 149,956,050
(y)Federal Home Loan Bank 0.27% 06/10/16 142,000,000 141,956,122
(y)Federal Home Loan Bank 0.27% 06/13/16 75,000,000 74,975,025
(y)Federal Home Loan Bank 0.25% 06/14/16 100,000,000 99,969,300
(y)Federal Home Loan Bank 0.27% 06/15/16 59,000,000 58,979,468
(y)Federal Home Loan Bank 0.27% 06/16/16 100,000,000 99,964,400
(y)Federal Home Loan Bank 0.27% 06/17/16 50,000,000 49,981,800
(y)Federal Home Loan Bank 0.27% 06/22/16 100,000,000 99,959,600
(y)Federal Home Loan Bank 0.28% 06/24/16 154,000,000 153,935,320
(y)Federal Home Loan Bank 0.28% 06/28/16 100,000,000 99,954,900
(y)Federal Home Loan Bank 0.25% 06/29/16 100,000,000 99,958,500
(y)Federal Home Loan Bank 0.31% 07/06/16 100,000,000 99,942,200
(y)Federal Home Loan Bank 0.31% 07/08/16 100,000,000 99,940,400
(y)Federal Home Loan Bank 0.31% 07/13/16 50,000,000 49,968,000
(y)Federal Home Loan Bank 0.31% 07/15/16 100,000,000 99,934,200
(y)Federal Home Loan Bank 0.31% 07/20/16 100,000,000 99,929,800
(y)Federal Home Loan Bank 0.31% 07/22/16 100,000,000 99,928,000
(y)Federal Home Loan Bank 0.31% 07/27/16 100,000,000 99,923,600
------------- -------------
TOTAL U.S. GOVERNMENT AGENCY SECURITIES (Cost $3,917,703,516) 3,919,060,000 3,917,928,842
------------- -------------
REPURCHASE AGREEMENTS - 15.0%
Bank of America Corp. (Purchased on 4/30/2016, Proceeds at maturity
$150,003,500, collateralized by U.S. Treasury Securities Strips, 2.25%,
11/15/2024, market value $153,000,089) 0.28% 05/02/16 150,000,000 150,000,000
Barclays Capital Group (Purchased on 4/30/2016, Proceeds at maturity
$800,018,667, collateralized by U.S. Treasury Securities Strips, 0.00% - 2.75%,
7/21/2016 - 5/15/2025 market value $816,000,001) 0.28% 05/02/16 800,000,000 800,000,000
Deutsche Bank Securities, Inc. (Purchased on 4/30/2016, Proceeds at maturity
$250,006,250, collateralized by U.S. Treasury Securities Strips, 1.75% - 2.13%,
8/15/2021 - 2/15/2025 market value $255,000,008) 0.30% 05/02/16 250,000,000 250,000,000
Deutsche Bank Securities, Inc. (Purchased on 4/30/2016, Proceeds at maturity
$250,005,625, collateralized by U.S. Treasury Securities Strips, 2.00% - 2.50%,
8/15/2023 - 2/15/2025 market value $255,000,033) 0.27% 05/02/16 250,000,000 250,000,000
Goldman Sachs & Co. (Purchased on 4/30/2016, Proceeds at maturity
$200,004,667, collateralized by U.S. Government Agency Backed Securities,
2.50% - 5.50%, 4/20/2029 - 8/15/2055 market value $204,000,001) 0.28% 05/02/16 200,000,000 200,000,000
HSBC Securities (USA), Inc. (Purchased on 4/30/2016, Proceeds at maturity
$200,004,500, collateralized by U.S. Treasury Securities Strips, 0.13% - 8.00%,
05/15/2016 - 1/15/2025market value $204,002,191) 0.27% 05/02/16 200,000,000 200,000,000
JPMorgan Securities (Purchased on 4/30/2016, Proceeds at maturity
$400,009,667, collateralized by U.S. Government Agency Backed Securities
and U.S. Treasury Securities Strips, 0.00% - 5.38%, 05/25/2016 - 2/07/2026
market value $408,001,846) 0.29% 05/02/16 400,000,000 400,000,000
See Notes to Financial Statements.
5
THE DFA SHORT TERM INVESTMENT FUND
Schedule of Investments (concluded)
April 30, 2016 (Unaudited)
SECURITY DESCRIPTION Rate Maturity Face Amount $ Fair Value $
-------------------- ---- -------- ------------- ---------------
REPURCHASE AGREEMENTS - 15.0% (CONTINUED)
Mizuho Securities USA, Inc. (Purchased on 4/30/2016, Proceeds at maturity
$400,010,333, collateralized by U.S. Treasury Securities Strips, 1.63%,
8/15/2022 market value $408,000,058) 0.31% 05/02/16 400,000,000 400,000,000
RBC Capital Markets LLC (Purchased on 4/30/2016, Proceeds at maturity
$125,002,813, collateralized by U.S. Treasury Securities Strips, 0.00% -
2.13%, 5/15/2016 - 11/15/2024 market value $127,500,009) 0.27% 05/02/16 125,000,000 125,000,000
Toronto Dominion Bank (Purchased on 4/30/2016, Proceeds at maturity
$500,012,083, collateralized by U.S. Government Agency Backed Securities
and U.S. Treasury Securities Strips, 0.00% - 6.75%, 4/30/2016 - 1/15/2026
market value $510,000,098) 0.29% 05/02/16 500,000,000 500,000,000
------------- ---------------
TOTAL REPURCHASE AGREEMENTS (Cost $3,275,000,000) 3,275,000,000 3,275,000,000
------------- ---------------
U.S. TREASURY OBLIGATIONS - 5.3%
(y)U.S. Treasury Bill 0.13% 06/09/16 100,000,000 99,985,300
(y)U.S. Treasury Bill 0.14% 06/23/16 100,000,000 99,978,900
(y)U.S. Treasury Bill 0.23% 08/04/16 100,000,000 99,938,900
(y)U.S. Treasury Bill 0.25% 08/18/16 100,000,000 99,924,500
(y)U.S. Treasury Bill 0.25% 08/25/16 100,000,000 99,919,900
(y)U.S. Treasury Bill 0.25% 09/01/16 150,000,000 149,871,000
(y)U.S. Treasury Bill 0.25% 09/15/16 100,000,000 99,902,500
(y)U.S. Treasury Bill 0.33% 10/06/16 100,000,000 99,856,200
(y)U.S. Treasury Bill 0.34% 10/13/16 100,000,000 99,841,400
(y)U.S. Treasury Bill 0.37% 10/20/16 100,000,000 99,821,700
(y)U.S. Treasury Bill 0.38% 10/27/16 100,000,000 99,809,400
------------- ---------------
TOTAL U.S. TREASURY OBLIGATIONS (Cost $1,148,503,049) 1,150,000,000 1,148,849,700
------------- ---------------
TOTAL INVESTMENTS (Cost $21,811,420,667) - 100.0% $21,813,669,370
===============
AB--Aktiebolag (Swedish Stock Company)
LLC--Limited Liability Co.
NY--New York Shares
++ Rule 144A, Section 4(2), or other security which is restricted as to resale
to institutional investors. The Fund's Advisor has deemed this security to
be liquid based upon procedures approved by the Board of Trustees. The
aggregate value of these securities at April 30, 2016 was $7,880,958,871,
which represented 36.1% of the total investments of the Fund.
(r)The adjustable/variable rate shown is effective as of April 30, 2016.
(y)The rate shown is the effective yield.
See Notes to Financial Statements.
6
THE DFA SHORT TERM INVESTMENT FUND
STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2016
(UNAUDITED)
ASSETS:
Investments, at value $18,538,669,370
Repurchase agreements, at value 3,275,000,000
---------------
Total Investments 21,813,669,370
---------------
Cash 593,624,841
Interest receivable 2,891,114
Prepaid expenses 21,606
---------------
Total Assets 22,410,206,931
---------------
LIABILITIES:
Payable for investments purchased 10,834,594
Distributions payable 8,321,984
Accrued expenses and other payables:
Investment Management Fees 961,773
Director/Trustee Fees 381,139
Administration Fees 135,305
Professional Fees 50,785
CCO Fees 1,507
Other Expenses 107,605
---------------
Total Liabilities 20,794,692
---------------
Net Assets $22,389,412,239
===============
NET ASSETS CONSIST OF:
Capital $22,387,381,638
Undistributed Net Investment Loss (200,464)
Accumulated Net Realized Losses from Investment Transactions (17,638)
Net Unrealized Appreciation on Investments 2,248,703
---------------
NET ASSETS $22,389,412,239
===============
Shares of Beneficial Interest (Unlimited Number of Shares Authorized, No Par value) 1,934,950,876
===============
Net Asset Value (Offering and Redemption Price Per Share) $ 11.57
===============
Investments at cost $21,811,420,667
See Notes to Financial Statements.
7
THE DFA SHORT TERM INVESTMENT FUND
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2016
(UNAUDITED)
INVESTMENT INCOME:
Interest $40,924,456
-----------
Total Investment Income 40,924,456
-----------
EXPENSES:
Investment Management Fees 5,452,860
Administration Fees 763,539
Professional Fees 70,602
Director/Trustee Fees 57,372
CCO Fees 11,974
Other Expenses 303,266
-----------
Total Expenses Before Fee Reductions 6,659,613
-----------
Fees Paid Indirectly (605,537)
-----------
Net Expenses 6,054,076
-----------
Net Investment Income 34,870,380
-----------
REALIZED/UNREALIZED GAINS/(LOSSES) FROM INVESTMENTS
Net Realized Gains/(Losses) from Investment Transactions (14,612)
Change in Unrealized Appreciation/(Depreciation) on Investments 2,187,099
-----------
Net Realized/Unrealized Gains/(Losses) from Investments 2,172,487
-----------
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS $37,042,867
===========
See Notes to Financial Statements.
8
THE DFA SHORT TERM INVESTMENT FUND
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX
MONTHS FOR THE YEAR
ENDED ENDED
APRIL 30, 2016 OCTOBER 31, 2015
---------------- -----------------
(UNAUDITED)
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net Investment Income $ 34,870,380 $ 26,553,100
Net Realized Gains/(Losses) from Investment Transactions (14,612) 112,826
Net Change in Unrealized Appreciation/Depreciation on Investments 2,187,099 135,213
---------------- -----------------
Change in net assets resulting from operations 37,042,867 26,801,139
---------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income (35,101,082) (26,578,328)
Net Realized Gains (116,140) (271,610)
---------------- -----------------
Change in Net Assets from Distributions to Shareholders (35,217,222) (26,849,938)
---------------- -----------------
CAPITAL TRANSACTIONS:
Proceeds from Shares Issued 51,490,020,040 101,728,152,398
Dividends Reinvested -- 1,618
Cost of Shares Redeemed (52,333,088,121) (102,841,116,699)
---------------- -----------------
Change in Net Assets from Capital Transactions (843,068,081) (1,112,962,683)
---------------- -----------------
Change in Net Assets (841,242,436) (1,113,011,482)
NET ASSETS:
Beginning of Period 23,230,654,675 24,343,666,157
---------------- -----------------
End of Period $ 22,389,412,239 $ 23,230,654,675
================ =================
Accumulated Net Investment Income/(Loss) $ (200,464) $ 30,238
================ =================
SHARES TRANSACTIONS:
Shares Issued 4,450,304,238 8,792,407,295
Reinvested -- 140
Shares Redeemed (4,523,170,970) (8,888,601,270)
---------------- -----------------
Change in Shares (72,866,732) (96,193,835)
================ =================
See Notes to Financial Statements.
9
THE DFA SHORT TERM INVESTMENT FUND
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
FOR THE SIX FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR
MONTHS ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31,
2016 2015 2014 2013 2012+ 2011+
------------ ------------ ------------ ------------ ------------ ------------
(UNAUDITED)
NET ASSET VALUE,
BEGINNING OF PERIOD $ 11.57 $ 11.57 $ 11.57 $ 11.57 $ 11.57 $ 11.57
----------- ----------- ----------- ----------- ----------- -----------
INVESTMENT ACTIVITIES:
Net Investment Income 0.02 0.01 0.01 0.01 0.02 0.02
Net Realized and
Unrealized Gains/
(Losses) on
Investments -- /(a)/ -- /(a)/ -- /(a)/ -- /(a)/ -- /(a)/ -- /(a)/
----------- ----------- ----------- ----------- ----------- -----------
Total from Investment
Activities 0.02 0.01 0.01 0.01 0.02 0.02
----------- ----------- ----------- ----------- ----------- -----------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net Investment Income (0.02) (0.01) (0.01) (0.01) (0.02) (0.02)
Net Realized Gains -- /(a)/ -- /(a)/ -- /(a)/ -- /(a)/ -- /(a)/ -- /(a)/
----------- ----------- ----------- ----------- ----------- -----------
TOTAL DISTRIBUTIONS (0.02) (0.01) (0.01) (0.01) (0.02) (0.02)
----------- ----------- ----------- ----------- ----------- -----------
Net Asset Value, End of
Period $ 11.57 $ 11.57 $ 11.57 $ 11.57 $ 11.57 $ 11.57
=========== =========== =========== =========== =========== ===========
Total Return 0.16%/(b)/ 0.11% 0.08% 0.13% 0.21% 0.18%
SUPPLEMENTAL DATA:
NET ASSETS, END OF
PERIOD (000'S) $22,389,412 $23,230,655 $24,343,666 $19,492,456 $14,443,787 $15,219,622
Ratios to Average Net
Assets:
Net Investment
Income/(c)/ 0.32% 0.11% 0.08% 0.12% 0.21% 0.18%
Gross Expenses/(c)/ 0.06% 0.06% 0.06% 0.06% 0.06% 0.06%
Net Expenses/(c)(d)/ 0.06% 0.06% 0.06% 0.06% 0.06% 0.06%
+ As described in Note H, amounts have been adjusted for a 1-for-11.57 reverse
share split that occurred on May 7, 2012.
(a)Amount less than $0.005.
(b)Not annualized.
(c)Annualized for periods less than one year.
(d)Ratio as disclosed reflects the impact of custody fee credits earned by the
fund on cash balances.
See Notes to Financial Statements.
10
THE DFA SHORT TERM INVESTMENT FUND
Notes to Financial Statements
April 30, 2016 (Unaudited)
A. ORGANIZATION
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940 (the
"1940 Act"). The Trust meets the definition as an investment company and
follows the accounting and reporting guidance under Financial Accounting
Standards Board ("FASB") Accounting Standards Certification ("ASC") Topic 946,
"Financial Services Investment Companies". The Trust consists of eleven
portfolios one of which, The DFA Short Term Investment Fund (the "Fund"), is
included in this report. The remaining operational portfolios are presented in
separate reports.
The investment objective of the Fund is to seek to provide a high level of
current income consistent with liquidity and the preservation of capital. As a
money market fund, the Fund will pursue its investment objective by investing
in U.S. dollar-denominated short-term debt securities that meet the strict
standards established by the Board of Trustees of the Trust (the "Board"),
which are in accordance with Rule 2a-7 under the 1940 Act.
The Board is responsible for establishing the Trust's policies and for
overseeing the management of the Trust. Under the Trust's organizational
documents, its officers and trustees are indemnified against certain
liabilities arising out of the performance of their duties to the Trust. In the
normal course of business, the Trust enters into contracts that contain a
variety of representations and warranties 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.
B. SIGNIFICANT ACCOUNTING POLICIES
The following significant accounting policies are in conformity with accounting
principles generally accepted in the United States of America ("U.S. GAAP").
Such policies are consistently followed by the Trust in preparation of its
financial statements. The preparation of financial statements in accordance
with U.S GAAP requires management to make estimates and assumptions that affect
the reported amounts of assets and liabilities and disclosure of contingent
assets and liabilities at the date of the financial statements and the reported
amounts of increases and decreases in net assets from operations during the
reporting period. Actual results could differ from those estimates and those
differences could be material.
1. SECURITY VALUATION -
The Fund utilizes a fair value hierarchy which prioritizes the inputs to
valuation techniques used to measure fair value into three broad levels
described below:
.. Level 1 - inputs are quoted prices in active markets for identical
securities
.. Level 2 - other significant observable inputs (including quoted prices for
similar securities, interest rates, prepayment speeds, credit risk, etc.)
.. Level 3 - significant unobservable inputs (including the Fund's own
assumptions in determining the fair value of investments)
The securities held by the Fund are valued at market value or fair value in
accordance with procedures adopted by the Board. Debt securities are valued on
the basis of evaluated 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 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. These valuations are generally categorized as Level 2 in the
hierarchy.
11
THE DFA SHORT TERM INVESTMENT FUND
Notes to Financial Statements - (continued)
April 30, 2016 (Unaudited)
Changes in valuation techniques may result in transfers in or out of an
assigned level within the disclosure hierarchy. The Fund determines transfers
between fair value hierarchy levels at the reporting period end. During the
six-months ended April 30, 2016, only securities classified as Level 2 in the
fair value hierarchy were held by the Fund.
A summary of the inputs used to value the Fund's investments is disclosed
previously in this Note. A valuation hierarchy table has been provided below.
The inputs or methodology used for valuing securities are not necessarily an
indication of the risk associated with investing in those securities.
For the six-months ended April 30, 2016, there were no transfers between
Level 1 and Level 2, and no Level 3 investments held by the Fund.
When determining the fair value of the Fund's investments, additional
consideration is given to those assets or liabilities that have experienced a
decrease in the volume or level of activity or have identified circumstances
that indicate that a transaction is not orderly.
The following table provides the fair value measurements of the Fund's
investments by level within the fair value hierarchy as of April 30, 2016:
LEVEL 1 LEVEL 2 LEVEL 3
INVESTMENTS IN INVESTMENTS IN INVESTMENTS IN
SECURITIES SECURITIES SECURITIES
-------------- --------------- --------------
THE DFA SHORT TERM INVESTMENT FUND
Corporate Bonds $-- $ 404,779,460 $--
Yankee Bonds -- 270,996,872 --
Commercial Paper -- 10,209,971,812 --
Yankee Certificates of Deposit -- 2,586,142,684 --
U.S. Government Agency Securities -- 3,917,928,842 --
Repurchase Agreements -- 3,275,000,000 --
U.S. Treasury Obligations -- 1,148,849,700 --
--- --------------- ---
Total Investments $-- $21,813,669,370 $--
=== =============== ===
2. DEFERRED COMPENSATION PLAN - Each eligible trustee (each a "Trustee" and
collectively, the "Trustees") of the Trust may elect participation in The Fee
Deferral Plan for Independent Directors and Trustees (the "Plan"). Under the
Plan effective January 1, 2002, such Trustees may defer payment of all or a
portion of their total fees earned as a Trustee. These deferred amounts may be
treated as though such amounts had been invested in shares of the following
funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core
Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA
International Value Portfolio; International Core Equity Portfolio; Emerging
Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income are included in
Director's/Trustees' Fees & Expenses.
Each Trustee has the option to receive their distribution of proceeds in one of
the following methods: lump sum; annual installments over a period of
agreed-upon years; or quarterly installments over a period of agreed-upon
years. Each Trustee shall have the right in a notice of election to defer
compensation (the "Notice") to elect to defer the receipt of the Trustee's
deferred compensation until a date specified by such Trustee in the Notice,
which date may not be sooner than the earlier of: (i) the first business day of
January following the year in which such Trustee ceases to be a member of the
Board; and (ii) five years following the effective date of the Trustee's first
deferral election. If a Trustee who elects to defer fees fails to designate in
the Notice a time or date as of which payment of the Trustee's deferred fee
account shall commence, payment of such amount shall commence as of the first
business day of January following the year in which the Trustee ceases to be a
member of the Board (unless the Trustee files an amended Notice
12
THE DFA SHORT TERM INVESTMENT FUND
Notes to Financial Statements - (continued)
April 30, 2016 (Unaudited)
selecting a different distribution date) . As of April 30, 2016, none of the
Trustees have requested or received a distribution of proceeds of a deferred
fee account.
At April 30, 2016, the Fund's total liability of $ 375,967.54 for deferred
compensation to Trustees is included in "Director/Trustee Fees" payable on the
Statement of Assets and Liabilities.
3. SECURITY TRANSACTIONS AND RELATED INCOME - Security transactions are
accounted for 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. The Fund generally declares distributions from net investment
income on a daily basis and pays dividends monthly. Any capital gains are
distributed at least annually. The Fund does not expect to realize any
long-term capital gains and losses. The Fund may distribute such income
dividends and capital gains more frequently, if necessary, in order to reduce
or eliminate federal excise or income taxes on the Fund. Interest income is
recognized on an accrual basis and includes amortization or accretion of premia
or discount using the straight-line method. Costs used in determining net
realized gains and losses on the sales of investment securities are those of
the specific securities sold, adjusted for the accretion or amortization of
purchase discounts or premia during the respective holding period.
4. ALLOCATIONS - The Trust bears all of its own fees, expenses, charges,
assessments, taxes, and other costs incurred in its operations, whether
incurred directly by the Trust or by Dimensional Fund Advisors LP, the Fund's
investment adviser (the "Advisor"), on its behalf. Expenses directly
attributable to the Fund are charged to the Fund. Expenses not directly
attributable to the Fund are allocated among the respective portfolios in the
Trust on the basis of their relative net assets.
C. FEDERAL INCOME TAXES
The Fund is classified as a regulated investment company for tax purposes. As a
regulated investment company, the Fund generally pays no U.S. federal income
tax on the income and gains that the Fund distributes to shareholders.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S federal income tax regulation, which may
differ from those amounts determined under U.S. GAAP. These book/tax
differences are either temporary (e.g., wash sale losses) or permanent (e.g.,
reclassification of certain gain/loss and distributions) in nature. To the
extent these differences are permanent, they are charged or credited to paid-in
capital, undistributed net investment income or accumulated net realized gains,
as appropriate, in the period that the differences arise. There were no
permanent differences as of April 30, 2016, attributable to distribution
redesignations.
As of April 30, 2016, the total cost and aggregate gross unrealized
appreciation and depreciation of securities for federal income tax purposes
were equal to the amounts reported for financial reporting purposes.
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for
financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return.
For all open tax years and all major taxing jurisdictions, management of the
Fund has concluded that there are no significant uncertain tax positions that
would require recognition in the Fund's financial statements. The Fund is not
aware of any tax positions for which it is more likely than not that the total
amounts of unrecognized tax benefits will significantly change in the next
twelve months. Each of the Fund's federal tax returns for the prior three
fiscal years remains subject to examination by the Internal Revenue Service.
The tax character of distributions paid to shareholders during the year ended
October 31, 2015, was as follows:
13
THE DFA SHORT TERM INVESTMENT FUND
Notes to Financial Statements - (continued)
April 30, 2016 (Unaudited)
Distributions Paid From
-------------------------
Net Investment Tax-Exempt Total Distributions
Income Income Paid
-------------- ---------- -------------------
The DFA Short Term Investment
Fund $25,237,522 $-- $25,237,522
As of October 31, 2015, the components of distributable earnings (accumulated
losses) on a tax basis were as follows:
Undistributed
------------------------------
Long- Total
Term Accumulated Unrealized Accumulated
Ordinary Capital Accumulated Distributions Capital and Appreciation Earnings
Income Gains Earnings Payable Other Losses (Depreciation) (Deficit)
---------- ------- ----------- ------------- ------------ -------------- -----------
The DFA Short Term Investment
Fund $3,691,392 $1,483 $3,692,875 ($3,120,370) $-- $61,606 $634,111
D. FINANCIAL INSTRUMENTS
REPURCHASE AGREEMENTS - The Fund may engage in repurchase agreement
transactions with institutions that the Advisor has determined are
creditworthy. The Fund, through its custodian, receives delivery of underlying
securities collateralizing a repurchase agreement. Collateral for certain
tri-party repurchase agreements is held at the counterparty's custodian in a
segregated account for the benefit of the Fund and the counterparty. The
counterparty will be required to maintain collateral with a value at least
equal, at all times, to the value of the repurchase obligation including
interest. A repurchase agreement transaction involves certain risks in the
event of default or insolvency of the counterparty. These risks include
possible delay or restrictions upon the Fund's ability to dispose of the
underlying securities and a possible decline in the value of the underlying
securities during the period while the Fund seeks to assert its rights.
Repurchase Agreements ("RA") permit the Fund, under certain circumstances
including an event of default (such as bankruptcy or insolvency), to offset
payables and/or receivables under the RA with collateral held and/or posted to
the counterparty and create one single net payment due to or from the Fund.
However, bankruptcy or insolvency laws of a particular jurisdiction may impose
restrictions on or prohibitions against such a right of offset in the event of
the RA counterparty's bankruptcy or insolvency. Pursuant to the terms of the
RA, the Fund receives securities as collateral with a market value in excess of
the repurchase price to be received by the Fund upon the maturity of the
repurchase transaction. Upon a bankruptcy or insolvency of the RA counterparty,
the Fund would recognize a liability with respect to such excess collateral to
reflect the Fund's obligation under bankruptcy law to return the excess to the
counterparty.
E. RELATED PARTY TRANSACTIONS
INVESTMENT MANAGER - Dimensional Fund Advisors LP (the "Advisor" or "DFA")
serves as investment advisor to the Fund. Pursuant to an investment management
agreement with the Trust with respect to the Fund (the "Investment Management
Agreement"), the Advisor manages the investment and reinvestment of the Fund's
assets. DFA has served as the Fund's investment advisor since the Fund's
commencement of operations. Pursuant to the terms of the Investment Management
Agreement, the Advisor receives a
14
THE DFA SHORT TERM INVESTMENT FUND
Notes to Financial Statements - (continued)
April 30, 2016 (Unaudited)
management fee calculated daily and payable monthly from the Fund at an annual
rate of 0.05% of the average daily net assets.
FEES PAID TO OFFICERS AND TRUSTEES - Certain Officers and Directors of the
Advisor are also Officers and Trustees of the Trust; however, such Officers and
Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive
no compensation from the Trust. Amounts paid to the Trust's CCO are reflected
on the Statement of Operations as "CCO fees".
ADMINISTRATOR AND CUSTODIAN - Citi Fund Services Ohio, Inc. serves as the
Administrator, and Citibank, N.A. serves as the Custodian of the Fund. Pursuant
to the terms of the Master Services Agreement, the Administrator receives a fee
payable monthly from the Fund at an annual rate of 0.007% of the average daily
net assets.
Expense offsets to custody fees that arise from credits on cash balances
maintained on deposit are reflected on the Statement of Operations, as
applicable, as "Fees paid indirectly." Custody fees are reported gross of such
credits.
F. INTEREST RATE AND CREDIT RISKS
The Fund invests primarily in money market instruments maturing in 397 days or
less whose ratings are within one of the two highest ratings categories
assigned by a nationally recognized statistical rating organization, or, if not
rated, are believed by the Advisor to be of comparable quality. The ability of
the issuers of the securities held by the Fund to meet their obligations may be
affected by economic developments in a specific industry, state or region.
The Fund is subject to the risk that the Advisor's security selection and
expectations regarding interest rate trends will cause the yields of the Fund
to lag the performance of other mutual funds with similar investment objectives
or the performance of short-term debt instruments. The emphasis of the Fund on
quality and liquidity also could cause the Fund to underperform when compared
to other money market funds, particularly those that take greater maturity and
credit risks.
G. LINE OF CREDIT AND INTERFUND LENDING PROGRAM
The Fund, together with other Dimensional-advised portfolios, has entered into
a $500 million unsecured line of credit with its custodian bank effective
January 8, 2016. A line of credit with similar terms was in effect through
January 7, 2016. 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 7, 2017. There were no
borrowings by the Fund under this line of credit during the six-month period
ended April 30, 2016.
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
had no interfund loans through the program during the period and there were no
outstanding loans as of April 30, 2016.
15
THE DFA SHORT TERM INVESTMENT FUND
Notes to Financial Statements - (concluded)
April 30, 2016 (Unaudited)
H. REVERSE SHARE SPLIT
On May 7, 2012, upon approval of the Board and consent of the shareholders, the
Fund no longer sought to maintain a stable net asset value of $1.00 per share
and, instead, adopted a floating net asset value per share. To accomplish the
change from a stable net asset value fund to a floating net asset value fund,
on May 7, 2012, the Fund underwent a 1-for-11.57 reverse share split. The
effect of the reverse share split transaction was to divide the number of
outstanding shares of the Fund by the reverse split factor, with a
corresponding increase in the net asset value per share. This transaction did
not change the net assets of the Fund or the value of a shareholder's
investment. The historical share transactions presented in the Statements of
Changes in Net Assets and per share data presented in the Financial Highlights
have been adjusted retroactively to show the effect of the reverse share split.
Additionally, when the application of the reverse share split results in
fractional shares for beneficial shareholders, a portion of the cost of shares
redeemed, as presented in the Statements of Changes in Net Assets, will reflect
payments of fractional share balances on beneficial shareholder accounts.
I. MONEY MARKET REFORM
In July 2014 and September 2015, the United States Securities and Exchange
Commission ("SEC") issued final rules that will alter and increase the
regulations to which money market funds, including the Fund, are subject. The
SEC's new rules have varying implementation dates, ranging from July 2015 to
October 2016 and are intended to give investors additional protection during
rare periods of market stress, when redemptions in some money market mutual
funds may increase significantly. The new rules replace much of the current
Rule 2a-7 under the Investment Company Act of 1940 and add new Rule 30b1-8
("Form N-CR"). Additionally, Forms N-MFP and N-PF, along with the instructions
to Form N-1A, have been revised as part of this reform. The new rules will
allow money market funds to suspend redemptions and allow (and sometimes
require) money market funds to impose fees on redemptions in times of market
stress. The new rules also remove references to credit ratings of securities
held by the Fund, adopt a uniform standard to refer an "eligible security" as
security that has been determined to present minimal credit risks, and require
that the Fund engage in ongoing monitoring of its portfolio securities and
perform stress testing for credit deterioration rather than for a ratings
downgrade.
Certain government and U.S. Treasury money market funds will not be subject to
many of the new structural changes. The Fund's management has been and
continues to review and assess the effect of the new rules. Further information
regarding the money market mutual fund regulatory changes may be found at the
SEC's website, www.sec.gov.
J. SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Fund
through the date these financial statements were issued and has determined that
there are no subsequent events requiring recognition or disclosure in the
financial statements.
16
THE DFA SHORT TERM INVESTMENT FUND
Supplemental Information
April 30, 2016 (Unaudited)
EXPENSE EXAMPLES
The following Expense Tables are shown so that you can understand the impact of
fees on your investment. All mutual funds have operating expenses. As a
shareholder of the Fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the Fund and
to compare these costs with those of other mutual funds.
The example is based on an investment of $ 1,000 invested at the beginning of
the period and held for the entire period from November 1, 2015 to April 30,
2016.
Actual Expenses
_________________
The table below provides information about actual account values and actual
expenses. You may use the information below, together with the amount you
invested, to estimate the expenses that you paid over the period. Simply divide
your account value by $1,000 (for example, an $8,600 account value divided by
$1,000 = 8.6), then multiply the result by the number in the table under the
heading entitled "Expenses Paid During Period" to estimate the expenses you
paid on your account during this period.
ANNUALIZED
EXPENSES EXPENSE
PAID RATIO
BEGINNING ENDING DURING DURING
ACCOUNT ACCOUNT PERIOD* PERIOD
VALUE VALUE 11/1/15- 11/1/15-
11/1/15 4/30/16 4/30/16 4/30/16
--------- --------- -------- ----------
The DFA Short Term Investment Fund $1,000.00 $1,000.60 $0.30 0.06%
* Expenses are equal to the Fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in
the period from November 1, 2015 to April 30, 2016 divided by the number of
days in the fiscal year.
Hypothetical Example for Comparison Purposes
_____________________________________________
The table below provides information about hypothetical account values and
hypothetical expenses based on the Fund's actual expense ratio and an assumed
rate of return of 5% per year before expenses, which is not the Fund's actual
return. The hypothetical account values and expenses may not be used to
estimate the actual ending account balance or expenses you paid for the period.
You may use this information to compare this 5% hypothetical example with the
5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as sales
charges (loads), redemption fees, or exchange fees. Therefore, the table is
useful in comparing ongoing costs only, and will not help you determine the
relative total costs of owning different funds. In addition, if these
transactional costs were included, your costs would have been higher.
ANNUALIZED
EXPENSES EXPENSE
PAID RATIO
BEGINNING ENDING DURING DURING
ACCOUNT ACCOUNT PERIOD* PERIOD
VALUE VALUE 11/1/15- 11/1/15-
11/1/15 4/30/16 4/30/16 4/30/16
--------- --------- -------- ----------
The DFA Short Term Investment Fund $1,000.00 $1,024.57 $0.30 0.06%
17
THE DFA SHORT TERM INVESTMENT FUND
Supplemental Information
April 30, 2016 (concluded)
* Expenses are equal to the Fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in
the period from November 1, 2015 to April 30, 2016 divided by the number of
days in the fiscal year.
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Fund and the Trust use in
voting proxies relating to securities held in the portfolios is available
without charge, upon request, by calling collect: (512) 306-7400 and on the
SEC's website at http://www.sec.gov. Information regarding how the Advisor
votes these proxies is available from the EDGAR database on the SEC's website
at http://www.sec.gov and from the Advisor's website at
http://us.dimensional.com and reflects the twelve-month period beginning
July 1st and ending June 30th.
PORTFOLIO HOLDINGS INFORMATION
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For the Trust or
the Fund, this would be for the fiscal quarters ending January 31 and July 31.
The Form N-Q filing must be made within 60 days of the end of the quarter. The
Trust filed its most recent Form N-Q with the SEC on March 31, 2016. The Forms
N-Q are available upon request, without charge, by calling collect:
(512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300
Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's
website at http://www.sec.gov, or they may be reviewed and copied at the SEC's
Public Reference Room in Washington, DC (call 1-800-732-0330 for the
information on the operation of the Public Reference Room).
18
BOARD APPROVAL OF INVESTMENT MANAGEMENT AGREEMENT
At the Board meeting held on December 10 -11, 2015 (the "Meeting"), the
Board of Trustees of The DFA Investment Trust Company (the "Board") considered
the continuation of the investment management agreement for the Fund (the
"Management Agreement").
Prior to the Meeting, independent counsel to the Independent Board Members
sent to the Advisor a request for information, which identified the information
that the Independent Board Members wished to receive in order to consider the
continuation of the Management Agreement. The Independent Board Members met
with their independent counsel in advance of the Meeting to discuss the
materials provided by the Advisor, the independent reports prepared by
Morningstar Associates, LLC (the "Morningstar Reports"), and issues related to
the continuation of the Management Agreement. Also in advance of the Meeting,
management provided additional materials to address and respond to questions
that the Independent Board Members posed after their review and analysis of
materials provided by the Advisor and the Morningstar Reports.
At the Meeting, the Board considered a number of factors when considering
the continuation of the Management Agreement for the Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to the Fund;
(ii) the performance of the Fund and the Advisor; (iii) the fees and expenses
borne by the Fund; (iv) the profitability realized by the Advisor from the
relationship with the Fund; and (v) whether economies of scale are realized by
the Advisor with respect to the Fund as it grows larger, and the extent to
which this is reflected in the level of the management fee charged.
When considering the nature and quality of the services provided by the
Advisor to the Fund, the Board reviewed: (a) the scope and depth of the
Advisor's organization; (b) the experience and expertise of its investment
professionals currently providing management services to the Fund; and (c) the
Advisor's global investment advisory capabilities. The Board evaluated the
Advisor's portfolio management process. The Board also considered the nature
and character of non-investment advisory services provided by the Advisor,
including administrative services. After analyzing the caliber of services
provided by the Advisor to the Fund, both quantitatively and qualitatively,
including the impact of these services on investment performance, the Board
concluded that the nature, extent and quality of services provided to the Fund
were consistent with the operational requirements of the Fund and met the needs
of the shareholders of the Fund.
In considering the performance of the Fund, the Board analyzed the
Morningstar Reports, which compared the performance of the Fund with other
funds in its respective peer group and investment category. The Board also
reviewed the performance analysis prepared by the Advisor, which presented the
performance of the Fund and its benchmark index, over multiple performance
periods, along with the Advisor's explanation of the performance. The Board
concluded that the Advisor's explanations provided a sound basis for
understanding the comparative performance of the Fund. The Board determined,
among other things, that after considering the Fund's investment strategies and
the expectations of its shareholder base, the performance of the Fund was
reasonable as compared with relevant performance standards and appropriate
market indexes.
When considering the fees and expenses borne by the Fund, and considering
the reasonableness of the management fee paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Morningstar Reports. The Board
concluded that the effective management fee and total expenses of the Fund over
various periods were favorable in relation to those of its peer funds, and that
the management fee was fair, both on an absolute basis and in comparison with
the fees of other funds identified in the peer group and the industry at large.
The Board considered the profitability of the Fund to the Advisor by
reviewing the profitability analysis provided by the Advisor, including
information about its fee revenues and income. The Board reviewed the overall
profitability of the Advisor, and the compensation that it received for
providing services to the Fund. The Board considered the profitability to the
Advisor of managing and servicing the Fund and the Advisor's unregistered
19
clients, such as collective trusts, group trusts and separate accounts. Upon
closely examining the Advisor's profitability, the Board concluded, among other
things, that it was reasonable.
The Board also discussed whether economies of scale are realized by the
Advisor with respect to the Fund as it grows larger, and the extent to which
this is reflected in the level of management fee charged. For several reasons,
the Board concluded that economies of scale and the reflection of such
economies of scale in the level of management fee charged were inapplicable to
the Fund at the present time, due to the current level of fees and expenses and
the profitability of the Fund.
After full consideration of the factors discussed above, with no single
factor identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel,
concluded that the continuation of the Management Agreement for the Fund was in
the best interests of the Fund and its shareholders.
20
ITEM 2. CODE OF ETHICS.
Not applicable when filing a semi-annual report to shareholders.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable when filing a semi-annual report to shareholders.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable when filing a semi-annual report to shareholders.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
This item is not applicable to the Registrant because it is not a listed issuer.
ITEM 6. INVESTMENTS.
(a) Please see the schedules of investments contained in the reports to
stockholders included under Item 1 of this Report except as discussed below.
Provided below is a complete schedule of investments for each series of the
Registrant that provided a summary schedule of portfolio holdings in a report
to stockholders included under Item 1 in lieu of a complete schedule of
investments. The schedules of investments for the following series are provided
below:
NAME OF ENTITY FOR WHICH SCHEDULE OF INVESTMENTS IS PROVIDED
------------------------------------------------------------
The U.S. Large Cap Value Series
The DFA International Value Series
The Japanese Small Company Series
The Asia Pacific Small Company Series
The United Kingdom Small Company Series
The Continental Small Company Series
The Canadian Small Company Series
The Emerging Markets Series
The Emerging Markets Small Cap Series
The Tax-Managed U.S. Marketwide Value Series
THE U.S. LARGE CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2016
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- ------------ ---------------
COMMON STOCKS -- (95.7%)
Consumer Discretionary -- (12.7%)
#* AutoNation, Inc. 137,690 $ 6,973,998 0.0%
# Best Buy Co., Inc. 1,502,735 48,207,739 0.3%
# BorgWarner, Inc. 347,838 12,494,341 0.1%
# Cable One, Inc. 15,169 6,961,964 0.0%
Carnival Corp. 952,418 46,716,103 0.2%
# CBS Corp. Class A 7,236 434,088 0.0%
Comcast Corp. Class A 11,245,897 683,300,702 3.5%
DR Horton, Inc. 1,806,680 54,308,801 0.3%
# Ford Motor Co. 14,411,800 195,424,008 1.0%
# GameStop Corp. Class A 278,165 9,123,812 0.1%
# Garmin, Ltd. 189,155 8,063,678 0.0%
General Motors Co. 5,492,031 174,646,586 0.9%
Gentex Corp. 54,214 869,593 0.0%
Goodyear Tire & Rubber Co. (The) 1,359,382 39,381,297 0.2%
Graham Holdings Co. Class B 15,407 7,342,052 0.0%
# Harman International Industries, Inc. 108,938 8,362,081 0.1%
# Hilton Worldwide Holdings, Inc. 119,608 2,637,356 0.0%
#* Hyatt Hotels Corp. Class A 26,622 1,274,661 0.0%
Johnson Controls, Inc. 567,307 23,486,510 0.1%
# Kohl's Corp. 1,326,479 58,763,020 0.3%
Lear Corp. 64,573 7,434,289 0.0%
# Lennar Corp. Class A 857,396 38,848,613 0.2%
Lennar Corp. Class B 4,312 155,060 0.0%
#* Liberty Braves Group Class A 15,678 245,204 0.0%
* Liberty Braves Group Class C 31,357 467,846 0.0%
* Liberty Broadband Corp. Class A 27,953 1,602,266 0.0%
* Liberty Broadband Corp. Class C 85,576 4,899,226 0.0%
* Liberty Interactive Corp., QVC Group Class A 2,538,156 66,499,687 0.3%
* Liberty Media Group Class A 39,197 717,305 0.0%
* Liberty Media Group Class C 78,394 1,411,092 0.0%
* Liberty SiriusXM Group Class A 156,789 5,137,976 0.0%
* Liberty SiriusXM Group Class C 313,578 10,040,768 0.1%
* Liberty Ventures Series A 536,223 21,448,920 0.1%
#* Madison Square Garden Co. (The) Class A 6,379 1,001,375 0.0%
#* MGM Resorts International 2,324,079 49,502,883 0.3%
* Mohawk Industries, Inc. 283,553 54,620,814 0.3%
News Corp. Class A 290,667 3,610,084 0.0%
News Corp. Class B 31,823 412,426 0.0%
# Penske Automotive Group, Inc. 274,842 10,754,567 0.1%
# PulteGroup, Inc. 1,365,100 25,104,189 0.1%
PVH Corp. 192,434 18,396,690 0.1%
# Ralph Lauren Corp. 52,863 4,927,360 0.0%
# Royal Caribbean Cruises, Ltd. 907,928 70,273,627 0.4%
# Service Corp. International 127,650 3,404,425 0.0%
Staples, Inc. 1,966,011 20,053,312 0.1%
TEGNA, Inc. 475,913 11,117,328 0.1%
# Time Warner Cable, Inc. 1,876,119 397,943,601 2.0%
Time Warner, Inc. 3,948,043 296,655,951 1.5%
#* Toll Brothers, Inc. 329,804 9,003,649 0.1%
# Visteon Corp. 83,658 6,665,033 0.0%
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- -------------- ---------------
Consumer Discretionary -- (Continued)
Whirlpool Corp. 271,545 $ 47,286,846 0.3%
-------------- ----
Total Consumer Discretionary 2,578,414,802 13.2%
-------------- ----
Consumer Staples -- (5.8%)
Archer-Daniels-Midland Co. 2,699,731 107,827,256 0.5%
Bunge, Ltd. 785,148 49,071,750 0.3%
Constellation Brands, Inc. Class A 276,038 43,078,490 0.2%
CVS Health Corp. 3,613,015 363,108,008 1.9%
Ingredion, Inc. 158,658 18,259,949 0.1%
JM Smucker Co. (The) 703,244 89,297,923 0.5%
Kraft Heinz Co. (The) 321,123 25,070,073 0.1%
Molson Coors Brewing Co. Class B 732,607 70,059,207 0.4%
Mondelez International, Inc. Class A 4,768,026 204,834,397 1.0%
Pinnacle Foods, Inc. 440,541 18,762,641 0.1%
Reynolds American, Inc. 111,055 5,508,328 0.0%
* Seaboard Corp. 13 39,039 0.0%
# Spectrum Brands Holdings, Inc. 2,502 284,227 0.0%
# Tyson Foods, Inc. Class A 1,957,913 128,869,834 0.7%
# Wal-Mart Stores, Inc. 698,064 46,679,540 0.2%
Walgreens Boots Alliance, Inc. 51,922 4,116,376 0.0%
-------------- ----
Total Consumer Staples 1,174,867,038 6.0%
-------------- ----
Energy -- (14.8%)
Anadarko Petroleum Corp. 1,361,254 71,819,761 0.4%
# Apache Corp. 798,537 43,440,413 0.2%
Baker Hughes, Inc. 1,938,026 93,722,937 0.5%
California Resources Corp. 561,726 1,235,797 0.0%
Chevron Corp. 5,339,517 545,591,847 2.8%
# Cimarex Energy Co. 135,330 14,734,730 0.1%
#* Concho Resources, Inc. 353,918 41,114,654 0.2%
ConocoPhillips 3,250,805 155,355,971 0.8%
* Continental Resources, Inc. 60,936 2,270,475 0.0%
Devon Energy Corp. 812,393 28,173,789 0.1%
EOG Resources, Inc. 1,869,703 154,474,862 0.8%
Exxon Mobil Corp. 8,661,008 765,633,107 3.9%
* FMC Technologies, Inc. 596,131 18,176,034 0.1%
Halliburton Co. 547,209 22,605,204 0.1%
# Helmerich & Payne, Inc. 574,414 37,980,254 0.2%
# Hess Corp. 1,267,299 75,556,366 0.4%
HollyFrontier Corp. 644,305 22,937,258 0.1%
Marathon Oil Corp. 3,266,531 46,025,422 0.2%
Marathon Petroleum Corp. 2,312,389 90,368,162 0.5%
# Murphy Oil Corp. 307,563 10,992,302 0.1%
# National Oilwell Varco, Inc. 1,745,118 62,894,053 0.3%
Noble Energy, Inc. 204,268 7,376,118 0.0%
Occidental Petroleum Corp. 1,857,300 142,362,045 0.7%
Phillips 66 2,055,820 168,803,380 0.9%
Pioneer Natural Resources Co. 294,964 48,993,521 0.3%
# Range Resources Corp. 66,898 2,950,871 0.0%
Schlumberger, Ltd. 707,205 56,816,850 0.3%
* Southwestern Energy Co. 232,609 3,123,939 0.0%
Tesoro Corp. 668,185 53,247,663 0.3%
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
Energy -- (Continued)
# Transocean, Ltd. 1,340,027 $ 14,847,499 0.1%
Valero Energy Corp. 2,806,975 165,246,618 0.8%
#* Weatherford International P.L.C. 2,942,972 23,926,362 0.1%
-------------- ----
Total Energy 2,992,798,264 15.3%
-------------- ----
Financials -- (20.0%)
Aflac, Inc. 961,862 66,339,622 0.3%
* Alleghany Corp. 30,744 16,026,232 0.1%
Allied World Assurance Co. Holdings AG 384,850 13,692,963 0.1%
Allstate Corp. (The) 1,383,297 89,983,470 0.5%
#* Ally Financial, Inc. 1,666,892 29,687,347 0.2%
American Financial Group, Inc. 426,655 29,486,127 0.2%
American International Group, Inc. 2,735,967 152,721,678 0.8%
Assurant, Inc. 330,179 27,923,238 0.1%
Assured Guaranty, Ltd. 203,216 5,257,198 0.0%
Axis Capital Holdings, Ltd. 459,271 24,465,366 0.1%
Bank of America Corp. 14,959,787 217,814,499 1.1%
Bank of New York Mellon Corp. (The) 2,942,428 118,403,303 0.6%
BB&T Corp. 1,565,408 55,384,135 0.3%
BlackRock, Inc. 8,608 3,067,289 0.0%
# BOK Financial Corp. 4,796 288,623 0.0%
Capital One Financial Corp. 2,036,842 147,446,992 0.8%
Chubb, Ltd. 307,132 36,198,577 0.2%
# Cincinnati Financial Corp. 52,042 3,435,292 0.0%
# CIT Group, Inc. 341,837 11,817,305 0.1%
Citigroup, Inc. 7,910,186 366,083,408 1.9%
CME Group, Inc. 722,112 66,369,314 0.3%
CNA Financial Corp. 411,026 12,988,422 0.1%
# Comerica, Inc. 125,755 5,583,522 0.0%
* E*TRADE Financial Corp. 116,129 2,924,128 0.0%
Endurance Specialty Holdings, Ltd. 6,320 404,354 0.0%
# Everest Re Group, Ltd. 220,574 40,784,133 0.2%
# Fifth Third Bancorp 4,396,186 80,494,166 0.4%
# First American Financial Corp. 8,092 291,474 0.0%
#* Genworth Financial, Inc. Class A 36,112 123,864 0.0%
Goldman Sachs Group, Inc. (The) 1,354,171 222,233,003 1.1%
Hartford Financial Services Group, Inc. (The) 2,120,911 94,126,030 0.5%
# Huntington Bancshares, Inc. 2,414,016 24,285,001 0.1%
Invesco, Ltd. 187,635 5,818,561 0.0%
JPMorgan Chase & Co. 10,611,645 670,655,964 3.4%
KeyCorp 1,072,181 13,177,104 0.1%
Legg Mason, Inc. 516,746 16,592,714 0.1%
# Leucadia National Corp. 153,878 2,566,685 0.0%
Lincoln National Corp. 1,164,852 50,612,819 0.3%
Loews Corp. 1,684,881 66,856,078 0.3%
# M&T Bank Corp. 285,319 33,758,944 0.2%
MetLife, Inc. 2,038,507 91,936,666 0.5%
Morgan Stanley 3,249,559 87,933,067 0.4%
Nasdaq, Inc. 752,985 46,466,704 0.2%
Navient Corp. 27,448 375,214 0.0%
New York Community Bancorp, Inc. 405,598 6,096,138 0.0%
Old Republic International Corp. 632,434 11,693,705 0.1%
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
Financials -- (Continued)
# PacWest Bancorp 75,227 $ 3,007,575 0.0%
# People's United Financial, Inc. 145,708 2,258,474 0.0%
PNC Financial Services Group, Inc. (The) 1,273,146 111,756,756 0.6%
Principal Financial Group, Inc. 1,453,663 62,042,337 0.3%
Prudential Financial, Inc. 1,096,602 85,140,179 0.4%
# Regions Financial Corp. 5,273,107 49,461,744 0.3%
Reinsurance Group of America, Inc. 312,945 29,798,623 0.2%
# RenaissanceRe Holdings, Ltd. 86,989 9,647,950 0.0%
State Street Corp. 425,983 26,538,741 0.1%
SunTrust Banks, Inc. 1,252,716 52,288,366 0.3%
* Synchrony Financial 1,385,136 42,343,607 0.2%
Travelers Cos., Inc. (The) 1,130,153 124,203,815 0.6%
# Unum Group 1,162,077 39,754,654 0.2%
Validus Holdings, Ltd. 167,263 7,709,152 0.0%
Voya Financial, Inc. 113,438 3,683,332 0.0%
Wells Fargo & Co. 5,447,057 272,243,909 1.4%
Willis Towers Watson P.L.C. 2,445 305,380 0.0%
# WR Berkley Corp. 214,424 12,007,744 0.1%
XL Group P.L.C. 1,261,223 41,279,829 0.2%
# Zions Bancorporation 710,094 19,541,787 0.1%
-------------- ----
Total Financials 4,065,684,392 20.7%
-------------- ----
Health Care -- (9.8%)
Aetna, Inc. 1,902,630 213,608,270 1.1%
* Alere, Inc. 8,494 331,266 0.0%
* Allergan P.L.C. 496,938 107,616,893 0.6%
#* Amsurg Corp. 38,511 3,118,621 0.0%
Anthem, Inc. 1,445,532 203,487,540 1.0%
* Bio-Rad Laboratories, Inc. Class A 1,222 173,341 0.0%
* Boston Scientific Corp. 2,401,062 52,631,279 0.3%
Cigna Corp. 320,341 44,380,042 0.2%
* DaVita HealthCare Partners, Inc. 374,271 27,658,627 0.1%
* Express Scripts Holding Co. 2,739,577 201,989,012 1.0%
* Hologic, Inc. 409,478 13,754,366 0.1%
Humana, Inc. 707,042 125,195,927 0.6%
* Laboratory Corp. of America Holdings 189,017 23,687,610 0.1%
* Mallinckrodt P.L.C. 269,805 16,868,208 0.1%
#* MEDNAX, Inc. 25,352 1,807,344 0.0%
Medtronic P.L.C. 1,549,586 122,649,732 0.6%
* Mylan NV 680,322 28,376,231 0.2%
Perrigo Co. P.L.C. 13,380 1,293,445 0.0%
Pfizer, Inc. 17,361,541 567,896,006 2.9%
Quest Diagnostics, Inc. 634,806 47,718,367 0.2%
# Teleflex, Inc. 92,013 14,333,785 0.1%
Thermo Fisher Scientific, Inc. 1,016,359 146,609,786 0.8%
UnitedHealth Group, Inc. 122,140 16,083,395 0.1%
Universal Health Services, Inc. Class B 10,422 1,393,213 0.0%
#* WellCare Health Plans, Inc. 6,100 548,939 0.0%
Zimmer Biomet Holdings, Inc. 36,800 4,260,336 0.0%
-------------- ----
Total Health Care 1,987,471,581 10.1%
-------------- ----
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
Industrials -- (12.3%)
ADT Corp. (The) 828,257 $ 34,770,229 0.2%
#* AECOM 223,470 7,260,540 0.0%
# AGCO Corp. 384,188 20,542,532 0.1%
AMERCO 12,774 4,496,448 0.0%
Carlisle Cos., Inc. 77,340 7,880,946 0.0%
# Caterpillar, Inc. 1,458,164 113,328,506 0.6%
Chicago Bridge & Iron Co. NV 228,793 9,208,918 0.1%
* Colfax Corp. 38,985 1,264,284 0.0%
CSX Corp. 5,234,843 142,754,169 0.7%
# Cummins, Inc. 298,701 34,956,978 0.2%
Danaher Corp. 365,547 35,366,672 0.2%
Dover Corp. 667,760 43,871,832 0.2%
Eaton Corp. P.L.C. 1,347,667 85,266,891 0.4%
FedEx Corp. 852,287 140,721,107 0.7%
# Fluor Corp. 382,702 20,918,491 0.1%
# General Electric Co. 12,660,433 389,308,315 2.0%
* Hertz Global Holdings, Inc. 1,345,507 12,459,395 0.1%
Ingersoll-Rand P.L.C. 495,812 32,495,519 0.2%
#* Jacobs Engineering Group, Inc. 206,007 9,183,792 0.0%
* JetBlue Airways Corp. 1,847,009 36,552,308 0.2%
# Kansas City Southern 466,816 44,230,816 0.2%
L-3 Communications Holdings, Inc. 381,253 50,146,207 0.3%
ManpowerGroup, Inc. 241,068 18,569,468 0.1%
Nielsen Holdings P.L.C. 168,861 8,804,413 0.0%
Norfolk Southern Corp. 1,569,304 141,409,983 0.7%
Northrop Grumman Corp. 554,629 114,397,778 0.6%
Orbital ATK, Inc. 52,588 4,575,156 0.0%
Owens Corning 608,832 28,048,890 0.1%
# PACCAR, Inc. 512,996 30,220,594 0.2%
# Pentair P.L.C. 929,305 53,974,034 0.3%
#* Quanta Services, Inc. 153,044 3,630,204 0.0%
Republic Services, Inc. 2,121,409 99,854,722 0.5%
# Ryder System, Inc. 109,553 7,550,393 0.0%
Southwest Airlines Co. 3,733,160 166,536,268 0.9%
Stanley Black & Decker, Inc. 1,095,910 122,654,247 0.6%
Textron, Inc. 1,020,537 39,474,371 0.2%
Union Pacific Corp. 3,312,084 288,913,087 1.5%
* United Continental Holdings, Inc. 771,693 35,351,256 0.2%
#* United Rentals, Inc. 299,786 20,064,677 0.1%
# Waste Connections, Inc. 475,433 31,987,132 0.2%
-------------- ----
Total Industrials 2,493,001,568 12.7%
-------------- ----
Information Technology -- (11.4%)
Activision Blizzard, Inc. 2,711,231 93,456,133 0.5%
Amdocs, Ltd. 64,098 3,624,101 0.0%
* ARRIS International P.L.C. 112,938 2,571,598 0.0%
* Arrow Electronics, Inc. 572,564 35,556,224 0.2%
Avnet, Inc. 694,662 28,564,502 0.2%
Brocade Communications Systems, Inc. 1,391,533 13,372,632 0.1%
CA, Inc. 2,510,454 74,460,066 0.4%
Cisco Systems, Inc. 16,047,576 441,147,864 2.3%
# Computer Sciences Corp. 318,655 10,557,040 0.1%
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
Information Technology -- (Continued)
Corning, Inc. 3,676,381 $ 68,638,033 0.4%
CSRA, Inc. 116,147 3,015,176 0.0%
* EchoStar Corp. Class A 2,635 107,824 0.0%
EMC Corp. 6,310,731 164,773,187 0.8%
Fidelity National Information Services, Inc. 1,453,689 95,652,736 0.5%
#* First Solar, Inc. 156,955 8,764,367 0.0%
* Flextronics International, Ltd. 645,975 7,848,596 0.0%
Hewlett Packard Enterprise Co. 9,162,273 152,643,468 0.8%
HP, Inc. 9,619,949 118,036,774 0.6%
IAC/InterActiveCorp 120,638 5,590,365 0.0%
Ingram Micro, Inc. Class A 715,108 24,993,025 0.1%
Intel Corp. 14,779,066 447,510,119 2.3%
# Jabil Circuit, Inc. 403,242 7,000,281 0.0%
Juniper Networks, Inc. 798,243 18,678,886 0.1%
Lam Research Corp. 555,768 42,460,675 0.2%
# Marvell Technology Group, Ltd. 398,733 3,979,355 0.0%
* Micron Technology, Inc. 3,135,684 33,708,603 0.2%
# NetApp, Inc. 483,817 11,437,434 0.1%
* Nuance Communications, Inc. 44,349 761,916 0.0%
# NVIDIA Corp. 1,824,559 64,826,581 0.3%
* Qorvo, Inc. 171,000 7,700,130 0.0%
QUALCOMM, Inc. 2,443,395 123,440,316 0.6%
Symantec Corp. 1,962,837 32,671,422 0.2%
* Synopsys, Inc. 8,433 400,736 0.0%
# TE Connectivity, Ltd. 791,324 47,067,952 0.2%
Teradyne, Inc. 153,805 2,908,453 0.0%
# Western Digital Corp. 564,843 23,082,309 0.1%
Xerox Corp. 5,860,019 56,256,182 0.3%
* Yahoo!, Inc. 877,399 32,112,803 0.2%
-------------- ----
Total Information Technology 2,309,377,864 11.8%
-------------- ----
Materials -- (3.8%)
Airgas, Inc. 19,336 2,754,220 0.0%
# Albemarle Corp. 15,364 1,016,482 0.0%
# Alcoa, Inc. 5,214,105 58,241,553 0.3%
Ashland, Inc. 381,999 42,631,089 0.2%
Bemis Co., Inc. 100,429 5,039,527 0.0%
CF Industries Holdings, Inc. 392,811 12,990,260 0.1%
Dow Chemical Co. (The) 822,454 43,269,305 0.2%
# Eastman Chemical Co. 665,908 50,862,053 0.3%
# Freeport-McMoRan, Inc. 2,792,205 39,090,870 0.2%
# International Paper Co. 2,482,012 107,396,659 0.6%
# Martin Marietta Materials, Inc. 60,975 10,318,799 0.1%
# Mosaic Co. (The) 1,565,080 43,806,589 0.2%
Newmont Mining Corp. 3,239,227 113,275,768 0.6%
# Nucor Corp. 1,949,556 97,048,898 0.5%
Reliance Steel & Aluminum Co. 359,269 26,575,128 0.1%
Sonoco Products Co. 12,855 602,771 0.0%
Steel Dynamics, Inc. 886,631 22,351,968 0.1%
Vulcan Materials Co. 563,226 60,620,014 0.3%
# Westlake Chemical Corp. 104,427 5,241,191 0.0%
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
----------- --------------- ---------------
Materials -- (Continued)
WestRock Co. 755,145 $ 31,602,818 0.2%
--------------- -----
Total Materials 774,735,962 4.0%
--------------- -----
Telecommunication Services -- (4.8%)
AT&T, Inc. 20,155,917 782,452,698 4.0%
# CenturyLink, Inc. 2,685,539 83,117,432 0.4%
# Frontier Communications Corp. 3,309,986 18,403,522 0.1%
* Level 3 Communications, Inc. 725,529 37,916,146 0.2%
#* Sprint Corp. 2,011,161 6,898,282 0.0%
#* T-Mobile US, Inc. 768,418 30,183,459 0.2%
#* United States Cellular Corp. 203,140 8,661,890 0.0%
--------------- -----
Total Telecommunication Services 967,633,429 4.9%
--------------- -----
Utilities -- (0.3%)
* Calpine Corp. 1,007,315 15,895,431 0.1%
# NRG Energy, Inc. 1,541,737 23,280,228 0.1%
UGI Corp. 669,262 26,931,103 0.1%
--------------- -----
Total Utilities 66,106,762 0.3%
--------------- -----
TOTAL COMMON STOCKS 19,410,091,662 99.0%
--------------- -----
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 19,410,300,228
---------------
TEMPORARY CASH INVESTMENTS -- (1.0%)
State Street Institutional Liquid Reserves, 0.455% 195,967,517 195,967,517 1.0%
--------------- -----
SECURITIES LENDING COLLATERAL -- (3.3%)
(degrees)(S)@ DFA Short Term Investment Fund 58,875,895 681,194,103 3.5%
--------------- -----
TOTAL INVESTMENTS -- (100.0%) (Cost $14,944,368,617) $20,287,461,848 103.5%
=============== =====
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2016, 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 $ 2,578,414,802 -- -- $ 2,578,414,802
Consumer Staples 1,174,867,038 -- -- 1,174,867,038
Energy 2,992,798,264 -- -- 2,992,798,264
Financials 4,065,684,392 -- -- 4,065,684,392
Health Care 1,987,471,581 -- -- 1,987,471,581
Industrials 2,493,001,568 -- -- 2,493,001,568
Information Technology 2,309,377,864 -- -- 2,309,377,864
Materials 774,735,962 -- -- 774,735,962
Telecommunication Services 967,633,429 -- -- 967,633,429
Utilities 66,106,762 -- -- 66,106,762
Rights/Warrants -- $ 208,566 -- 208,566
Temporary Cash Investments 195,967,517 -- -- 195,967,517
Securities Lending Collateral -- 681,194,103 -- 681,194,103
Futures Contracts** 3,800,351 -- -- 3,800,351
--------------- ------------ -- ---------------
TOTAL $19,609,859,530 $681,402,669 -- $20,291,262,199
=============== ============ == ===============
** Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
THE DFA INTERNATIONAL VALUE SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2016
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
COMMON STOCKS -- (92.3%)
AUSTRALIA -- (6.1%)
Asciano, Ltd. 4,216,676 $ 28,268,197 0.3%
Aurizon Holdings, Ltd. 2,961,390 9,567,653 0.1%
# Australia & New Zealand Banking Group, Ltd. 3,590,931 65,821,487 0.7%
# Bank of Queensland, Ltd. 377,909 3,213,556 0.0%
# Bendigo and Adelaide Bank, Ltd. 852,012 5,997,972 0.1%
BHP Billiton, Ltd. 5,172,675 80,781,349 0.9%
BHP Billiton, Ltd. Sponsored ADR 1,465,288 45,922,126 0.5%
Boral, Ltd. 1,650,081 8,031,168 0.1%
# Fortescue Metals Group, Ltd. 5,394,253 13,863,198 0.1%
Harvey Norman Holdings, Ltd. 421,894 1,428,759 0.0%
Incitec Pivot, Ltd. 3,921,427 9,529,577 0.1%
Macquarie Group, Ltd. 213,984 10,250,885 0.1%
National Australia Bank, Ltd. 317,804 6,520,075 0.1%
* Newcrest Mining, Ltd. 3,313,984 48,323,252 0.5%
Orica, Ltd. 447,136 5,166,465 0.1%
Origin Energy, Ltd. 3,442,006 14,144,930 0.2%
Qantas Airways, Ltd. 1,542,997 3,762,183 0.0%
QBE Insurance Group, Ltd. 2,266,393 19,075,393 0.2%
Rio Tinto, Ltd. 1,211,447 47,268,818 0.5%
Santos, Ltd. 4,583,756 16,512,962 0.2%
* South32, Ltd. 2,385,878 2,983,870 0.0%
* South32, Ltd. ADR 354,708 2,202,737 0.0%
Star Entertainment Grp, Ltd. (The) 1,609,485 6,872,457 0.1%
Suncorp Group, Ltd. 2,555,955 24,174,663 0.3%
Tatts Group, Ltd. 2,355,482 6,712,256 0.1%
Treasury Wine Estates, Ltd. 998,012 7,027,251 0.1%
Washington H Soul Pattinson & Co., Ltd. 60,539 746,997 0.0%
Wesfarmers, Ltd. 1,159,953 37,560,073 0.4%
Woodside Petroleum, Ltd. 3,159,294 67,640,474 0.7%
------------ ---
TOTAL AUSTRALIA 599,370,783 6.5%
------------ ---
AUSTRIA -- (0.1%)
* Erste Group Bank AG 144,232 4,151,894 0.1%
OMV AG 117,337 3,530,675 0.0%
* Raiffeisen Bank International AG 57,158 914,947 0.0%
------------ ---
TOTAL AUSTRIA 8,597,516 0.1%
------------ ---
BELGIUM -- (1.4%)
Ageas 579,966 22,790,776 0.3%
Colruyt SA 69,520 4,008,640 0.0%
Delhaize Group 246,555 25,909,138 0.3%
Delhaize Group Sponsored ADR 211,600 5,539,688 0.1%
KBC Groep NV 402,196 22,628,360 0.2%
# Proximus SADP 323,935 10,917,840 0.1%
Solvay SA 247,775 25,102,249 0.3%
# UCB SA 128,640 9,649,178 0.1%
# Umicore SA 187,273 9,348,585 0.1%
------------ ---
TOTAL BELGIUM 135,894,454 1.5%
------------ ---
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
CANADA -- (8.0%)
Agnico Eagle Mines, Ltd. 160,984 $ 7,600,055 0.1%
# AltaGas, Ltd. 39,700 965,051 0.0%
Bank of Montreal 1,531,755 99,809,156 1.1%
Barrick Gold Corp. 531,985 10,304,549 0.1%
* BlackBerry, Ltd.(09228F103) 284,796 2,010,660 0.0%
#* BlackBerry, Ltd.(BCBHZ31) 1,564,828 11,049,953 0.1%
Cameco Corp.(13321L108) 632,729 7,915,440 0.1%
Cameco Corp.(2166160) 506,586 6,338,886 0.1%
Canadian Natural Resources, Ltd.(136385101) 1,624,266 48,760,465 0.5%
Canadian Natural Resources, Ltd.(2171573) 1,849,320 55,537,083 0.6%
Canadian Tire Corp., Ltd. Class A 10,266 1,118,239 0.0%
Cenovus Energy, Inc. 1,183,744 18,750,505 0.2%
Crescent Point Energy Corp.(22576C101) 1,289,288 21,685,830 0.2%
Crescent Point Energy Corp.(B67C8W8) 374,472 6,309,347 0.1%
#* Detour Gold Corp. 115,774 2,483,046 0.0%
Eldorado Gold Corp.(284902103) 109,318 460,229 0.0%
Eldorado Gold Corp.(2307873) 881,059 3,714,674 0.0%
Empire Co., Ltd. 788,935 13,110,142 0.2%
# Enbridge Income Fund Holdings, Inc. 52,753 1,218,865 0.0%
Encana Corp. 2,149,751 16,467,093 0.2%
Fairfax Financial Holdings, Ltd. 68,550 36,741,751 0.4%
Finning International, Inc. 641,129 11,394,897 0.1%
First Quantum Minerals, Ltd. 13,200 112,462 0.0%
# Genworth MI Canada, Inc. 112,861 2,921,595 0.0%
Goldcorp, Inc.(2676302) 668,943 13,478,026 0.2%
Goldcorp, Inc.(380956409) 883,916 17,810,907 0.2%
Hudson's Bay Co. 86,528 1,150,304 0.0%
Husky Energy, Inc. 1,181,400 14,886,374 0.2%
Industrial Alliance Insurance & Financial Services, Inc. 321,295 10,678,251 0.1%
* Kinross Gold Corp. 4,408,637 25,122,941 0.3%
#* Lundin Mining Corp. 904,499 3,553,981 0.0%
Manulife Financial Corp.(56501R106) 816,342 12,024,718 0.1%
Manulife Financial Corp.(2492519) 3,287,435 48,471,784 0.5%
Maple Leaf Foods, Inc. 82,521 1,708,692 0.0%
#* Pacific Exploration and Production Corp. 483,824 91,927 0.0%
Silver Wheaton Corp. 758,845 15,897,803 0.2%
# Sun Life Financial, Inc.(2566124) 866,399 29,554,377 0.3%
Sun Life Financial, Inc.(866796105) 83,136 2,834,938 0.0%
Suncor Energy, Inc.(B3NB1P2) 3,920,306 115,075,227 1.3%
Suncor Energy, Inc.(867224107) 985,458 28,942,901 0.3%
Tahoe Resources, Inc. 28,464 401,994 0.0%
# Teck Resources, Ltd. Class B 1,123,435 13,753,058 0.2%
* Tourmaline Oil Corp. 812,584 18,742,473 0.2%
* Turquoise Hill Resources, Ltd.(900435108) 127,382 379,598 0.0%
* Turquoise Hill Resources, Ltd.(B7WJ1F5) 1,293,025 3,864,544 0.1%
West Fraser Timber Co., Ltd. 11,349 373,928 0.0%
WSP Global, Inc. 148,118 4,982,913 0.1%
Yamana Gold, Inc. 1,740,130 8,626,453 0.1%
------------ ---
TOTAL CANADA 779,188,085 8.5%
------------ ---
DENMARK -- (1.6%)
AP Moeller--Maersk A.S. Class A 7,706 10,498,837 0.1%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
DENMARK -- (Continued)
AP Moeller--Maersk A.S. Class B 19,275 $ 27,129,667 0.3%
Carlsberg A.S. Class B 214,971 20,955,870 0.2%
Danske Bank A.S. 713,686 20,193,421 0.2%
DSV A.S. 255,065 10,737,761 0.1%
#* H Lundbeck A.S. 93,064 3,109,544 0.1%
ISS A.S. 216,989 8,242,244 0.1%
Jyske Bank A.S. 10,335 422,955 0.0%
Novozymes A.S. Class B 47,990 2,301,706 0.0%
Tryg A.S. 12,675 239,505 0.0%
Vestas Wind Systems A.S. 766,236 54,848,737 0.6%
------------ ---
TOTAL DENMARK 158,680,247 1.7%
------------ ---
FINLAND -- (0.6%)
Fortum Oyj 751,052 11,323,249 0.1%
Neste Oyj 258,152 8,272,361 0.1%
# Stora Enso Oyj Class R 1,827,123 15,974,704 0.2%
Stora Enso Oyj Sponsored ADR 91,500 794,842 0.0%
UPM-Kymmene Oyj 1,157,203 22,151,261 0.3%
UPM-Kymmene Oyj Sponsored ADR 69,300 1,333,332 0.0%
------------ ---
TOTAL FINLAND 59,849,749 0.7%
------------ ---
FRANCE -- (8.5%)
# AXA SA 2,111,384 53,311,602 0.6%
AXA SA Sponsored ADR 13,692 346,681 0.0%
BNP Paribas SA 1,037,040 54,920,536 0.6%
* Bollore SA(BZ0G303) 7,465 29,096 0.0%
Bollore SA(4572709) 1,517,302 6,008,810 0.1%
# Bouygues SA 709,374 23,671,060 0.2%
# Casino Guichard Perrachon SA 178,667 10,633,318 0.1%
CGG SA Sponsored ADR 3,512 3,380 0.0%
Cie de Saint-Gobain 1,789,605 82,004,233 0.9%
Cie Generale des Etablissements Michelin 334,818 34,971,754 0.4%
CNP Assurances 431,433 7,351,721 0.1%
Credit Agricole SA 802,226 8,879,635 0.1%
# Electricite de France SA 538,044 7,730,007 0.1%
# Engie SA 3,727,183 61,474,073 0.7%
Natixis SA 2,277,633 12,567,833 0.1%
Orange SA 4,969,645 82,565,290 0.9%
* Peugeot SA 1,856,241 29,915,457 0.3%
Renault SA 637,211 61,483,066 0.7%
# SCOR SE 340,596 11,602,633 0.1%
Societe Generale SA 1,935,625 76,161,346 0.8%
STMicroelectronics NV 1,809,335 11,124,540 0.1%
Total SA 3,839,334 194,043,000 2.1%
------------ ---
TOTAL FRANCE 830,799,071 9.0%
------------ ---
GERMANY -- (7.1%)
Allianz SE 730,758 124,322,294 1.3%
Allianz SE Sponsored ADR 2,811,910 47,914,946 0.5%
Bayerische Motoren Werke AG 972,382 89,958,516 1.0%
Commerzbank AG 1,603,495 15,036,544 0.2%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
GERMANY -- (Continued)
Daimler AG 2,326,914 $162,131,549 1.8%
Deutsche Bank AG(D18190898) 771,660 14,630,674 0.2%
Deutsche Bank AG(5750355) 894,032 16,944,514 0.2%
# Deutsche Lufthansa AG 898,327 13,986,813 0.2%
E.ON SE 7,340,371 76,076,858 0.8%
Fraport AG Frankfurt Airport Services Worldwide 106,349 6,447,163 0.1%
Hannover Rueck SE 39,134 4,473,835 0.0%
HeidelbergCement AG 382,751 34,080,662 0.4%
# K+S AG 148,481 3,706,126 0.0%
Metro AG 427,942 13,652,924 0.1%
Muenchener Rueckversicherungs-Gesellschaft AG 146,876 27,305,075 0.3%
Osram Licht AG 4,587 239,528 0.0%
* RWE AG 817,272 12,244,852 0.1%
* Talanx AG 172,028 5,725,164 0.1%
Telefonica Deutschland Holding AG 1,391,339 7,079,073 0.1%
# Volkswagen AG 84,122 13,433,987 0.1%
------------ ---
TOTAL GERMANY 689,391,097 7.5%
------------ ---
HONG KONG -- (2.2%)
# Bank of East Asia, Ltd. (The) 799,198 2,894,346 0.0%
Cathay Pacific Airways, Ltd. 4,603,000 7,315,105 0.1%
CK Hutchison Holdings, Ltd. 1,848,484 22,102,671 0.2%
FIH Mobile, Ltd. 3,246,000 1,394,001 0.0%
Great Eagle Holdings, Ltd. 31,101 125,981 0.0%
Guoco Group, Ltd. 6,000 66,064 0.0%
Hang Lung Group, Ltd. 1,826,000 5,612,569 0.1%
Hang Lung Properties, Ltd. 4,892,000 9,740,825 0.1%
Henderson Land Development Co., Ltd. 209,584 1,306,241 0.0%
Hongkong & Shanghai Hotels, Ltd. (The) 780,131 929,660 0.0%
Hopewell Holdings, Ltd. 943,669 3,178,479 0.0%
Kerry Properties, Ltd. 2,409,000 6,561,685 0.1%
MTR Corp., Ltd. 928,124 4,594,542 0.1%
New World Development Co., Ltd. 24,265,125 24,163,052 0.3%
NWS Holdings, Ltd. 1,982,496 3,016,389 0.0%
Orient Overseas International, Ltd. 402,500 1,529,739 0.0%
Shangri-La Asia, Ltd. 4,298,000 5,256,160 0.1%
# Sino Land Co., Ltd. 6,536,178 10,261,436 0.1%
Sun Hung Kai Properties, Ltd. 3,532,920 44,525,816 0.5%
Swire Pacific, Ltd. Class A 2,098,000 22,746,899 0.3%
Swire Pacific, Ltd. Class B 965,000 1,879,007 0.0%
Wharf Holdings, Ltd. (The) 3,746,990 20,228,569 0.2%
Wheelock & Co., Ltd. 3,582,000 16,537,174 0.2%
Yue Yuen Industrial Holdings, Ltd. 160,000 583,817 0.0%
------------ ---
TOTAL HONG KONG 216,550,227 2.4%
------------ ---
IRELAND -- (0.3%)
* Bank of Ireland 33,479,054 10,166,803 0.1%
CRH P.L.C. 313,149 9,113,539 0.1%
CRH P.L.C. Sponsored ADR 215,216 6,264,938 0.1%
------------ ---
TOTAL IRELAND 25,545,280 0.3%
------------ ---
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
ISRAEL -- (0.3%)
Azrieli Group, Ltd. 29,237 $ 1,171,221 0.0%
Bank Hapoalim BM 3,220,797 16,591,362 0.2%
* Bank Leumi Le-Israel BM 3,064,622 11,389,086 0.1%
Elbit Systems, Ltd. 1,144 114,746 0.0%
Israel Chemicals, Ltd. 89,453 445,651 0.0%
Mizrahi Tefahot Bank, Ltd. 365,367 4,249,668 0.1%
------------ ---
TOTAL ISRAEL 33,961,734 0.4%
------------ ---
ITALY -- (1.3%)
Eni SpA 3,275,027 53,503,894 0.6%
Mediobanca SpA 954,947 7,866,336 0.1%
* Telecom Italia SpA Sponsored ADR 1,847,002 18,026,740 0.2%
UniCredit SpA 10,827,146 41,987,753 0.4%
Unione di Banche Italiane SpA 303,234 1,288,926 0.0%
------------ ---
TOTAL ITALY 122,673,649 1.3%
------------ ---
JAPAN -- (19.1%)
Aeon Co., Ltd. 2,539,900 38,061,415 0.4%
Aisin Seiki Co., Ltd. 472,800 18,372,912 0.2%
Amada Holdings Co., Ltd. 542,100 5,446,201 0.1%
Aoyama Trading Co., Ltd. 7,700 287,091 0.0%
Asahi Glass Co., Ltd. 2,942,000 17,229,677 0.2%
Asahi Kasei Corp. 4,472,000 30,597,990 0.3%
Bank of Kyoto, Ltd. (The) 568,400 3,812,643 0.0%
Brother Industries, Ltd. 705,500 7,997,796 0.1%
Canon Marketing Japan, Inc. 131,800 2,362,155 0.0%
Chiba Bank, Ltd. (The) 873,000 4,408,668 0.1%
Chugoku Bank, Ltd. (The) 276,100 2,854,167 0.0%
# Citizen Holdings Co., Ltd. 689,600 3,889,755 0.0%
Coca-Cola East Japan Co., Ltd. 123,400 2,260,799 0.0%
Coca-Cola West Co., Ltd. 159,107 4,312,832 0.1%
# COMSYS Holdings Corp. 56,400 848,007 0.0%
* Concordia Financial Group, Ltd. 2,569,400 12,373,689 0.1%
Dai Nippon Printing Co., Ltd. 927,000 8,693,833 0.1%
Dai-ichi Life Insurance Co., Ltd. (The) 1,614,800 19,409,398 0.2%
Daido Steel Co., Ltd. 205,000 692,662 0.0%
# Daihatsu Motor Co., Ltd. 581,500 7,760,148 0.1%
Denka Co., Ltd. 992,000 4,175,885 0.1%
DIC Corp. 1,740,000 4,002,534 0.1%
Ebara Corp. 673,000 3,064,241 0.0%
Fuji Electric Co., Ltd. 221,000 940,408 0.0%
Fuji Media Holdings, Inc. 74,400 842,525 0.0%
FUJIFILM Holdings Corp. 694,200 28,495,700 0.3%
Fujitsu, Ltd. 3,085,000 10,779,290 0.1%
Fukuoka Financial Group, Inc. 1,218,000 4,163,722 0.1%
Furukawa Electric Co., Ltd. 429,680 1,051,996 0.0%
Glory, Ltd. 185,800 6,085,185 0.1%
Gunma Bank, Ltd. (The) 650,397 2,575,126 0.0%
H2O Retailing Corp. 198,900 3,263,731 0.0%
Hachijuni Bank, Ltd. (The) 620,231 2,711,549 0.0%
Hankyu Hanshin Holdings, Inc. 1,799,000 11,402,970 0.1%
Hiroshima Bank, Ltd. (The) 673,000 2,436,478 0.0%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
JAPAN -- (Continued)
Hitachi Capital Corp. 58,400 $ 1,247,287 0.0%
Hitachi Chemical Co., Ltd. 320,500 5,382,389 0.1%
# Hitachi Construction Machinery Co., Ltd. 425,500 6,755,595 0.1%
Hitachi High-Technologies Corp. 101,600 2,749,056 0.0%
Hitachi Metals, Ltd. 303,200 3,078,739 0.0%
Hitachi Transport System, Ltd. 105,000 1,759,650 0.0%
Hitachi, Ltd. 10,760,000 49,304,745 0.5%
Hokuhoku Financial Group, Inc. 1,919,000 2,416,099 0.0%
Honda Motor Co., Ltd. 3,658,600 98,730,134 1.1%
# House Foods Group, Inc. 65,300 1,252,965 0.0%
Ibiden Co., Ltd. 459,900 5,787,632 0.1%
# Idemitsu Kosan Co., Ltd. 154,596 3,302,516 0.0%
# IHI Corp. 1,136,000 2,463,415 0.0%
Iida Group Holdings Co., Ltd. 178,700 3,337,417 0.0%
Inpex Corp. 2,118,600 16,842,533 0.2%
Isetan Mitsukoshi Holdings, Ltd. 354,700 3,763,982 0.0%
Isuzu Motors, Ltd. 112,300 1,201,641 0.0%
ITOCHU Corp. 3,608,800 45,862,802 0.5%
Iyo Bank, Ltd. (The) 433,600 2,849,233 0.0%
J Front Retailing Co., Ltd. 832,300 9,999,199 0.1%
JFE Holdings, Inc. 1,657,100 23,254,644 0.3%
Joyo Bank, Ltd. (The) 1,061,000 3,697,701 0.0%
# JSR Corp. 206,200 2,826,625 0.0%
JTEKT Corp. 166,100 2,115,060 0.0%
JX Holdings, Inc. 3,610,433 15,517,298 0.2%
K's Holdings Corp. 71,300 2,396,300 0.0%
Kamigumi Co., Ltd. 411,000 3,684,956 0.0%
Kaneka Corp. 1,045,542 8,750,893 0.1%
Kawasaki Heavy Industries, Ltd. 741,000 2,078,245 0.0%
# Kawasaki Kisen Kaisha, Ltd. 3,196,000 6,814,568 0.1%
Kinden Corp. 207,000 2,431,255 0.0%
Kobe Steel, Ltd. 9,880,000 9,486,968 0.1%
Komatsu, Ltd. 1,596,200 27,414,596 0.3%
Konica Minolta, Inc. 1,910,700 16,492,335 0.2%
Kuraray Co., Ltd. 1,181,800 14,982,904 0.2%
Kurita Water Industries, Ltd. 7,500 180,345 0.0%
# Kyocera Corp. 192,900 9,571,727 0.1%
Kyocera Corp. Sponsored ADR 25,197 1,229,614 0.0%
Kyushu Financial Group, Inc. 517,149 2,714,454 0.0%
LIXIL Group Corp. 445,400 9,325,867 0.1%
Marubeni Corp. 4,458,300 23,665,788 0.3%
Mazda Motor Corp. 1,891,700 28,822,488 0.3%
Medipal Holdings Corp. 149,600 2,366,853 0.0%
Mitsubishi Chemical Holdings Corp. 6,451,800 33,668,965 0.4%
Mitsubishi Corp. 907,600 15,255,488 0.2%
Mitsubishi Gas Chemical Co., Inc. 743,000 4,074,472 0.1%
Mitsubishi Heavy Industries, Ltd. 6,110,000 21,718,668 0.2%
# Mitsubishi Logistics Corp. 31,000 423,803 0.0%
Mitsubishi Materials Corp. 5,182,000 16,436,171 0.2%
Mitsubishi UFJ Financial Group, Inc. 21,459,506 99,031,588 1.1%
Mitsubishi UFJ Financial Group, Inc. Sponsored ADR 4,781,372 21,994,311 0.2%
Mitsubishi UFJ Lease & Finance Co., Ltd. 653,400 2,847,612 0.0%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
JAPAN -- (Continued)
Mitsui & Co., Ltd. 922,500 $11,268,559 0.1%
Mitsui & Co., Ltd. Sponsored ADR 11,723 2,828,701 0.0%
Mitsui Chemicals, Inc. 3,169,800 10,512,760 0.1%
# Mitsui OSK Lines, Ltd. 2,191,000 4,655,970 0.1%
Mizuho Financial Group, Inc. 53,298,800 79,890,176 0.9%
Mizuho Financial Group, Inc. ADR 205,757 609,041 0.0%
MS&AD Insurance Group Holdings, Inc. 434,953 11,487,751 0.1%
NEC Corp. 10,595,101 25,786,075 0.3%
NH Foods, Ltd. 179,536 4,001,748 0.1%
NHK Spring Co., Ltd. 455,600 4,010,147 0.1%
# Nikon Corp. 597,000 8,702,708 0.1%
# Nippo Corp. 148,000 2,453,928 0.0%
Nippon Electric Glass Co., Ltd. 633,000 3,351,372 0.0%
Nippon Express Co., Ltd. 3,185,238 14,535,577 0.2%
# Nippon Paper Industries Co., Ltd. 334,100 6,419,948 0.1%
Nippon Shokubai Co., Ltd. 61,300 3,175,086 0.0%
Nippon Steel & Sumitomo Metal Corp. 2,021,593 42,064,816 0.5%
Nippon Yusen K.K. 7,713,000 15,109,941 0.2%
Nissan Motor Co., Ltd. 6,015,000 53,377,246 0.6%
Nisshinbo Holdings, Inc. 305,000 3,320,989 0.0%
NOK Corp. 289,420 4,796,768 0.1%
Nomura Holdings, Inc. 5,628,500 23,914,152 0.3%
Nomura Real Estate Holdings, Inc. 145,100 2,651,742 0.0%
NTN Corp. 941,000 2,915,868 0.0%
Obayashi Corp. 279,682 2,740,976 0.0%
Oji Holdings Corp. 3,534,000 14,512,508 0.2%
Otsuka Holdings Co., Ltd. 205,800 8,023,011 0.1%
# Resona Holdings, Inc. 6,939,500 24,532,960 0.3%
Ricoh Co., Ltd. 3,215,400 32,767,881 0.4%
Rohm Co., Ltd. 104,600 4,526,639 0.1%
Sankyo Co., Ltd. 82,500 3,123,543 0.0%
SBI Holdings, Inc. 363,400 3,762,540 0.0%
Sega Sammy Holdings, Inc. 198,600 2,162,428 0.0%
Seino Holdings Co., Ltd. 264,400 2,687,205 0.0%
Sekisui Chemical Co., Ltd. 105,000 1,312,297 0.0%
Sekisui House, Ltd. 1,442,200 25,041,397 0.3%
Shinsei Bank, Ltd. 2,649,000 3,712,776 0.0%
Shizuoka Bank, Ltd. (The) 864,000 6,403,711 0.1%
Showa Shell Sekiyu K.K. 231,300 2,413,779 0.0%
SKY Perfect JSAT Holdings, Inc. 524,100 2,789,954 0.0%
Sojitz Corp. 1,985,300 3,967,088 0.0%
Sompo Japan Nipponkoa Holdings, Inc. 260,500 6,839,691 0.1%
Sony Corp. 57,600 1,395,164 0.0%
Sony Corp. Sponsored ADR 660,298 15,913,182 0.2%
Sumitomo Chemical Co., Ltd. 6,896,000 31,168,687 0.3%
# Sumitomo Corp. 743,000 7,855,188 0.1%
# Sumitomo Dainippon Pharma Co., Ltd. 128,500 1,654,150 0.0%
Sumitomo Electric Industries, Ltd. 2,829,000 34,031,836 0.4%
Sumitomo Forestry Co., Ltd. 493,000 5,691,825 0.1%
Sumitomo Heavy Industries, Ltd. 1,822,000 7,657,098 0.1%
Sumitomo Metal Mining Co., Ltd. 1,243,000 14,024,114 0.2%
Sumitomo Mitsui Financial Group, Inc. 2,794,500 84,091,227 0.9%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
JAPAN -- (Continued)
Sumitomo Mitsui Trust Holdings, Inc. 4,977,629 $ 15,300,637 0.2%
Sumitomo Rubber Industries, Ltd. 503,000 7,657,445 0.1%
Suzuken Co., Ltd. 122,000 4,180,710 0.1%
T&D Holdings, Inc. 2,073,500 19,848,505 0.2%
Taiheiyo Cement Corp. 569,000 1,505,582 0.0%
Takashimaya Co., Ltd. 753,634 5,502,144 0.1%
TDK Corp. 492,800 28,835,613 0.3%
Teijin, Ltd. 3,858,450 13,814,171 0.2%
THK Co., Ltd. 131,300 2,607,998 0.0%
Tokai Rika Co., Ltd. 165,500 3,064,342 0.0%
Tokio Marine Holdings, Inc. 91,900 3,007,195 0.0%
Tokyo Broadcasting System Holdings, Inc. 20,600 283,336 0.0%
Tokyo Tatemono Co., Ltd. 28,600 377,621 0.0%
Toppan Printing Co., Ltd. 870,000 7,438,828 0.1%
Tosoh Corp. 1,636,000 7,477,779 0.1%
Toyo Seikan Group Holdings, Ltd. 269,149 5,306,206 0.1%
Toyoda Gosei Co., Ltd. 203,600 3,754,147 0.0%
Toyota Industries Corp. 54,300 2,355,965 0.0%
Toyota Motor Corp. 81,400 4,126,142 0.1%
Toyota Tsusho Corp. 923,500 20,902,832 0.2%
Ube Industries, Ltd. 3,078,000 5,846,009 0.1%
Ushio, Inc. 36,800 500,513 0.0%
Wacoal Holdings Corp. 172,000 2,073,858 0.0%
# Yamada Denki Co., Ltd. 1,254,400 6,314,979 0.1%
Yamaguchi Financial Group, Inc. 358,148 3,328,915 0.0%
Yokohama Rubber Co., Ltd. (The) 266,800 4,472,800 0.1%
-------------- ----
TOTAL JAPAN 1,857,550,965 20.2%
-------------- ----
NETHERLANDS -- (3.0%)
Aegon NV 2,643,678 15,199,387 0.2%
Akzo Nobel NV 32,447 2,305,249 0.0%
ArcelorMittal(B03XPL1) 4,999,724 28,224,060 0.3%
ArcelorMittal(B295F26) 1,085,424 6,110,937 0.1%
Boskalis Westminster 192,237 8,016,865 0.1%
ING Groep NV 6,261,830 76,728,813 0.8%
ING Groep NV Sponsored ADR 1,202,410 14,753,571 0.1%
Koninklijke DSM NV 700,750 43,009,619 0.5%
# Koninklijke KPN NV 3,251,631 12,777,781 0.1%
Koninklijke Philips NV(500472303) 564,606 15,532,311 0.2%
Koninklijke Philips NV(5986622) 2,397,124 65,869,543 0.7%
NN Group NV 233,293 8,098,190 0.1%
* TNT Express NV 72,118 654,671 0.0%
-------------- ----
TOTAL NETHERLANDS 297,280,997 3.2%
-------------- ----
NEW ZEALAND -- (0.1%)
Auckland International Airport, Ltd. 645,779 2,770,210 0.0%
Fletcher Building, Ltd. 824,808 4,794,755 0.1%
Fonterra Co-operative Group, Ltd. 83,617 338,998 0.0%
-------------- ----
TOTAL NEW ZEALAND 7,903,963 0.1%
-------------- ----
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
NORWAY -- (0.8%)
DNB ASA 1,278,210 $ 16,356,510 0.2%
Norsk Hydro ASA 3,177,505 13,825,272 0.2%
Norsk Hydro ASA Sponsored ADR 59,900 256,372 0.0%
* Seadrill, Ltd. 764,010 3,651,968 0.0%
Statoil ASA 1,375,001 24,201,796 0.3%
Statoil ASA Sponsored ADR 592,648 10,424,678 0.1%
* Storebrand ASA 777,915 3,294,654 0.0%
* Subsea 7 SA 333,249 3,057,629 0.0%
Yara International ASA 22,709 908,314 0.0%
------------ ---
TOTAL NORWAY 75,977,193 0.8%
------------ ---
PORTUGAL -- (0.0%)
* Banco Espirito Santo SA 2,631,973 -- 0.0%
EDP Renovaveis SA 541,158 4,218,526 0.0%
------------ ---
TOTAL PORTUGAL 4,218,526 0.0%
------------ ---
SINGAPORE -- (0.9%)
CapitaLand, Ltd. 4,480,600 10,320,729 0.1%
City Developments, Ltd. 1,110,600 6,869,469 0.1%
DBS Group Holdings, Ltd. 343,487 3,885,207 0.0%
Frasers Centrepoint, Ltd. 453,300 562,150 0.0%
Golden Agri-Resources, Ltd. 12,926,000 3,834,519 0.0%
Hutchison Port Holdings Trust 16,251,500 7,214,545 0.1%
Keppel Corp., Ltd. 3,274,700 13,086,450 0.2%
Olam International, Ltd. 530,200 649,444 0.0%
Oversea-Chinese Banking Corp., Ltd. 199,985 1,299,121 0.0%
SembCorp Industries, Ltd. 1,345,900 2,876,874 0.0%
Singapore Airlines, Ltd. 2,389,100 20,394,511 0.2%
United Industrial Corp., Ltd. 1,994,413 4,294,404 0.1%
UOL Group, Ltd. 1,065,964 4,854,108 0.1%
Wilmar International, Ltd. 3,687,700 10,130,019 0.1%
------------ ---
TOTAL SINGAPORE 90,271,550 1.0%
------------ ---
SPAIN -- (2.9%)
Acciona SA 34,431 2,763,139 0.0%
Banco de Sabadell SA(B1X8QN2) 9,301,520 17,822,513 0.2%
Banco de Sabadell SA(BYXHFS8) 270,326 516,617 0.0%
Banco Popular Espanol SA 3,700,233 10,089,338 0.1%
Banco Santander SA 30,476,654 154,770,173 1.7%
Banco Santander SA Sponsored ADR 784,463 3,945,849 0.0%
CaixaBank SA 1,381,781 4,171,190 0.1%
Iberdrola SA 7,788,549 55,444,651 0.6%
Mapfre SA 1,275,685 3,245,183 0.0%
Repsol SA 2,006,322 26,436,215 0.3%
------------ ---
TOTAL SPAIN 279,204,868 3.0%
------------ ---
SWEDEN -- (2.7%)
Boliden AB 1,273,315 22,270,709 0.2%
Holmen AB Class A 2,983 101,555 0.0%
ICA Gruppen AB 2,667 87,688 0.0%
Meda AB Class A 288,268 5,327,198 0.1%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
SWEDEN -- (Continued)
Millicom International Cellular SA 12,952 $ 749,914 0.0%
Nordea Bank AB 2,798,224 27,199,131 0.3%
Skandinaviska Enskilda Banken AB Class A 3,806,534 36,392,900 0.4%
Skandinaviska Enskilda Banken AB Class C 25,796 257,763 0.0%
Svenska Cellulosa AB SCA Class A 66,008 2,089,053 0.0%
Svenska Cellulosa AB SCA Class B 2,105,645 66,436,504 0.7%
Svenska Handelsbanken AB Class A 794,823 10,603,055 0.1%
Svenska Handelsbanken AB Class B 3,434 47,719 0.0%
Swedbank AB Class A 333,310 7,195,765 0.1%
Tele2 AB Class B 840,482 8,030,569 0.1%
Telefonaktiebolaget LM Ericsson Class A 28,098 231,837 0.0%
Telefonaktiebolaget LM Ericsson Class B 4,879,427 39,535,104 0.4%
Telefonaktiebolaget LM Ericsson Sponsored ADR 834,580 6,751,752 0.1%
Telia Co AB 5,789,696 27,689,594 0.3%
------------ ---
TOTAL SWEDEN 260,997,810 2.8%
------------ ---
SWITZERLAND -- (8.0%)
ABB, Ltd. 4,800,878 101,635,858 1.1%
ABB, Ltd. Sponsored ADR 271,992 5,741,751 0.1%
Adecco SA 640,328 41,335,373 0.4%
Baloise Holding AG 200,163 24,811,491 0.3%
Banque Cantonale Vaudoise 468 323,137 0.0%
Cie Financiere Richemont SA 1,271,917 84,811,693 0.9%
Clariant AG 951,816 18,033,650 0.2%
Credit Suisse Group AG 864,216 13,152,035 0.1%
Credit Suisse Group AG Sponsored ADR 996,834 15,161,845 0.2%
* Dufry AG 8,748 1,153,143 0.0%
Julius Baer Group, Ltd. 126,441 5,418,726 0.1%
LafargeHolcim, Ltd.(7110753) 885,461 44,959,700 0.5%
* LafargeHolcim, Ltd.(BZ3DNX4) 483,224 24,354,264 0.3%
Lonza Group AG 35,611 5,939,496 0.1%
Novartis AG 1,144,421 87,092,965 0.9%
Novartis AG Sponsored ADR 6,178 469,343 0.0%
Swatch Group AG (The)(7184736) 148,927 9,964,123 0.1%
# Swatch Group AG (The)(7184725) 121,282 41,379,165 0.4%
Swiss Life Holding AG 62,475 15,800,967 0.2%
Swiss Re AG 1,037,390 92,201,704 1.0%
UBS Group AG(BRJL176) 3,448,485 59,781,035 0.7%
* UBS Group AG(H42097107) 500,015 8,635,259 0.1%
Zurich Insurance Group AG 343,651 77,109,860 0.8%
------------ ---
TOTAL SWITZERLAND 779,266,583 8.5%
------------ ---
UNITED KINGDOM -- (17.3%)
Anglo American P.L.C. 3,284,169 36,734,311 0.4%
Antofagasta P.L.C. 63,613 450,524 0.0%
Aviva P.L.C. 1,268,709 8,037,896 0.1%
Barclays P.L.C. 3,516,286 8,828,550 0.1%
Barclays P.L.C. Sponsored ADR 5,022,571 50,476,839 0.6%
Barratt Developments P.L.C. 1,006,942 7,841,457 0.1%
BHP Billiton P.L.C. 767,576 10,488,541 0.1%
BHP Billiton P.L.C. ADR 268,993 7,416,137 0.1%
BP P.L.C. 2,461,861 13,563,329 0.1%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
UNITED KINGDOM -- (Continued)
BP P.L.C. Sponsored ADR 10,320,587 $ 346,565,316 3.8%
Carnival P.L.C. 204,531 10,201,772 0.1%
Carnival P.L.C. ADR 64,057 3,238,081 0.0%
* CYBG P.L.C. 79,451 259,765 0.0%
Glencore P.L.C. 22,997,045 54,961,059 0.6%
HSBC Holdings P.L.C. 22,027,686 145,974,714 1.6%
HSBC Holdings P.L.C. Sponsored ADR 2,977,884 99,252,873 1.1%
Investec P.L.C. 243,094 1,861,617 0.0%
# J Sainsbury P.L.C. 6,300,339 26,655,551 0.3%
Kingfisher P.L.C. 6,635,761 35,353,506 0.4%
Lloyds Banking Group P.L.C. ADR 742,377 2,962,084 0.0%
Old Mutual P.L.C. 5,037,958 13,696,987 0.2%
Pearson P.L.C. Sponsored ADR 1,176,118 13,807,625 0.2%
* Royal Bank of Scotland Group P.L.C. 4,034,018 13,571,835 0.2%
* Royal Bank of Scotland Group P.L.C. Sponsored ADR 409,166 2,770,054 0.0%
Royal Dutch Shell P.L.C. Class A 2,118,295 55,484,923 0.6%
Royal Dutch Shell P.L.C. Class B 255,146 6,698,825 0.1%
Royal Dutch Shell P.L.C. Sponsored ADR, Class A 2,631,838 139,197,892 1.5%
Royal Dutch Shell P.L.C. Sponsored ADR, Class B 3,699,017 197,342,557 2.1%
Royal Mail P.L.C. 414,453 2,951,966 0.0%
Standard Chartered P.L.C. 3,430,355 27,726,213 0.3%
Vodafone Group P.L.C. 58,351,986 188,000,632 2.0%
Vodafone Group P.L.C. Sponsored ADR 4,011,201 131,326,730 1.4%
# WM Morrison Supermarkets P.L.C. 6,735,041 18,845,247 0.2%
-------------- -----
TOTAL UNITED KINGDOM 1,682,545,408 18.3%
-------------- -----
TOTAL COMMON STOCKS 8,995,719,755 97.8%
-------------- -----
PREFERRED STOCKS -- (0.8%)
GERMANY -- (0.8%)
Bayerische Motoren Werke AG 44,086 3,510,096 0.0%
Porsche Automobil Holding SE 242,713 13,558,738 0.2%
Volkswagen AG 396,506 57,518,392 0.6%
-------------- -----
TOTAL GERMANY 74,587,226 0.8%
-------------- -----
TOTAL PREFERRED STOCKS 74,587,226 0.8%
-------------- -----
TOTAL INVESTMENT SECURITIES 9,070,306,981
--------------
VALUE+
--------------
SECURITIES LENDING COLLATERAL -- (6.9%)
(S)@ DFA Short Term Investment Fund 58,516,332 677,033,964 7.4%
-------------- -----
TOTAL INVESTMENTS -- (100.0%) (Cost $9,969,346,327) $9,747,340,945 106.0%
============== =====
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2016, 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 $ 48,124,863 $ 551,245,920 -- $ 599,370,783
Austria -- 8,597,516 -- 8,597,516
Belgium 5,539,688 130,354,766 -- 135,894,454
Canada 779,096,158 91,927 -- 779,188,085
Denmark -- 158,680,247 -- 158,680,247
Finland 2,128,174 57,721,575 -- 59,849,749
France 350,061 830,449,010 -- 830,799,071
Germany 62,545,620 626,845,477 -- 689,391,097
Hong Kong -- 216,550,227 -- 216,550,227
Ireland 6,264,938 19,280,342 -- 25,545,280
Israel -- 33,961,734 -- 33,961,734
Italy 18,026,740 104,646,909 -- 122,673,649
Japan 54,948,538 1,802,602,427 -- 1,857,550,965
Netherlands 36,396,819 260,884,178 -- 297,280,997
New Zealand -- 7,903,963 -- 7,903,963
Norway 14,333,018 61,644,175 -- 75,977,193
Portugal -- 4,218,526 -- 4,218,526
Singapore -- 90,271,550 -- 90,271,550
Spain 4,462,466 274,742,402 -- 279,204,868
Sweden 6,751,752 254,246,058 -- 260,997,810
Switzerland 30,008,198 749,258,385 -- 779,266,583
United Kingdom 994,615,953 687,929,455 -- 1,682,545,408
Preferred Stocks
Germany -- 74,587,226 -- 74,587,226
Securities Lending Collateral -- 677,033,964 -- 677,033,964
Futures Contracts** 1,200,017 -- -- 1,200,017
Forward Currency Contracts** -- 2,196 -- 2,196
-------------- -------------- -- --------------
TOTAL $2,064,793,003 $7,683,750,155 -- $9,748,543,158
============== ============== == ==============
** Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
THE JAPANESE SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2016
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
COMMON STOCKS -- (89.6%)
Consumer Discretionary -- (18.4%)
# Accordia Golf Co., Ltd. 350,289 $ 3,325,185 0.1%
Adastria Co., Ltd. 194,640 6,450,516 0.3%
# Aeon Fantasy Co., Ltd. 49,332 1,087,636 0.1%
* AGORA Hospitality Group Co., Ltd. 591,000 218,986 0.0%
Ahresty Corp. 123,400 805,465 0.0%
* Aigan Co., Ltd. 79,000 158,080 0.0%
Aisan Industry Co., Ltd. 201,800 1,494,278 0.1%
#* Akebono Brake Industry Co., Ltd. 436,100 1,125,409 0.1%
# Alpen Co., Ltd. 109,300 1,865,224 0.1%
Alpha Corp. 30,400 279,892 0.0%
Alpine Electronics, Inc. 277,500 3,415,550 0.1%
Amiyaki Tei Co., Ltd. 23,800 937,402 0.0%
# Amuse, Inc. 51,598 1,057,725 0.1%
* Anrakutei Co., Ltd. 22,000 92,894 0.0%
AOI Pro, Inc. 44,800 355,667 0.0%
# AOKI Holdings, Inc. 268,400 3,114,379 0.1%
Aoyama Trading Co., Ltd. 304,000 11,334,508 0.4%
Arata Corp. 20,400 461,516 0.0%
Arcland Sakamoto Co., Ltd. 176,200 1,829,509 0.1%
ARCLAND SERVICE Co., Ltd. 9,000 252,119 0.0%
Asahi Broadcasting Corp. 21,200 129,019 0.0%
Asahi Co., Ltd. 92,300 1,369,018 0.1%
Asante, Inc. 6,900 93,932 0.0%
Asatsu-DK, Inc. 198,500 4,928,974 0.2%
# Ashimori Industry Co., Ltd. 254,000 353,894 0.0%
# Atom Corp. 251,000 1,527,646 0.1%
Atsugi Co., Ltd. 743,000 791,030 0.0%
# Autobacs Seven Co., Ltd. 398,500 6,875,441 0.3%
# Avex Group Holdings, Inc. 225,400 2,825,217 0.1%
Belluna Co., Ltd. 246,500 1,239,340 0.1%
Best Denki Co., Ltd. 351,100 376,377 0.0%
Bic Camera, Inc. 483,600 4,710,374 0.2%
# Bookoff Corp. 59,400 483,958 0.0%
# Broccoli Co., Ltd. 28,000 92,905 0.0%
BRONCO BILLY Co., Ltd. 42,500 1,182,752 0.1%
Calsonic Kansei Corp. 1,015,000 6,932,572 0.3%
# Can Do Co., Ltd. 63,500 954,852 0.0%
Central Sports Co., Ltd. 31,800 673,500 0.0%
CHIMNEY Co., Ltd. 26,600 716,318 0.0%
Chiyoda Co., Ltd. 76,600 1,977,576 0.1%
Chofu Seisakusho Co., Ltd. 83,800 1,938,064 0.1%
Chori Co., Ltd. 71,800 1,033,877 0.0%
Chuo Spring Co., Ltd. 196,000 535,894 0.0%
# Clarion Co., Ltd. 665,000 2,016,821 0.1%
Cleanup Corp. 129,700 837,586 0.0%
# Colowide Co., Ltd. 347,000 5,652,356 0.2%
Corona Corp. 80,100 784,106 0.0%
* Cross Plus, Inc. 15,000 84,369 0.0%
DA Consortium, Inc. 118,700 886,013 0.0%
Daido Metal Co., Ltd. 184,600 1,356,199 0.1%
# Daidoh, Ltd. 137,200 603,256 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Consumer Discretionary -- (Continued)
# Daiichikosho Co., Ltd. 189,100 $7,927,406 0.3%
# Daikoku Denki Co., Ltd. 43,400 521,600 0.0%
Dainichi Co., Ltd. 49,300 273,779 0.0%
# Daisyo Corp. 47,200 611,946 0.0%
# DCM Holdings Co., Ltd. 530,600 4,011,367 0.2%
Descente, Ltd. 247,000 3,435,562 0.1%
Doshisha Co., Ltd. 141,100 2,649,246 0.1%
Doutor Nichires Holdings Co., Ltd. 184,486 3,238,884 0.1%
Dunlop Sports Co., Ltd. 75,300 687,342 0.0%
Dynic Corp. 174,000 241,671 0.0%
Eagle Industry Co., Ltd. 147,200 1,935,312 0.1%
# EDION Corp. 513,900 4,158,076 0.2%
# Exedy Corp. 193,000 4,504,703 0.2%
# F-Tech, Inc. 32,100 303,509 0.0%
FCC Co., Ltd. 209,700 3,505,337 0.1%
Fields Corp. 67,800 1,009,400 0.0%
Fine Sinter Co., Ltd. 49,000 161,189 0.0%
# First Juken Co., Ltd. 19,600 230,435 0.0%
Foster Electric Co., Ltd. 130,500 2,715,396 0.1%
France Bed Holdings Co., Ltd. 138,200 1,272,814 0.1%
# FTGroup Co., Ltd. 56,700 362,518 0.0%
Fuji Co., Ltd. 109,900 2,445,163 0.1%
Fuji Corp., Ltd. 131,000 826,664 0.0%
Fuji Kiko Co., Ltd. 137,400 545,804 0.0%
# Fuji Kyuko Co., Ltd. 214,000 2,860,526 0.1%
Fuji Oozx, Inc. 6,000 23,816 0.0%
Fujibo Holdings, Inc. 671,000 1,304,461 0.1%
# Fujikura Rubber, Ltd. 80,200 323,585 0.0%
# Fujishoji Co., Ltd. 34,400 317,214 0.0%
# Fujita Kanko, Inc. 134,000 579,912 0.0%
Fujitsu General, Ltd. 370,000 6,396,908 0.3%
FuKoKu Co., Ltd. 40,800 325,636 0.0%
#* Funai Electric Co., Ltd. 39,800 333,716 0.0%
# Furukawa Battery Co., Ltd. (The) 89,000 544,215 0.0%
# Futaba Industrial Co., Ltd. 320,000 1,481,159 0.1%
G-7 Holdings, Inc. 29,200 323,518 0.0%
G-Tekt Corp. 100,000 1,049,170 0.1%
Gakken Holdings Co., Ltd. 313,000 706,732 0.0%
# Genki Sushi Co., Ltd. 9,700 188,390 0.0%
Geo Holdings Corp. 213,200 3,520,971 0.1%
# GLOBERIDE, Inc. 62,299 778,654 0.0%
# Gourmet Kineya Co., Ltd. 85,000 787,195 0.0%
GSI Creos Corp. 306,000 320,812 0.0%
# Gulliver International Co., Ltd. 387,900 3,812,936 0.2%
Gunze, Ltd. 1,080,000 3,017,985 0.1%
# H-One Co., Ltd. 67,500 326,713 0.0%
H2O Retailing Corp. 14,800 242,852 0.0%
Hagihara Industries, Inc. 26,600 627,744 0.0%
Hakuyosha Co., Ltd. 65,000 152,422 0.0%
Happinet Corp. 93,800 783,226 0.0%
Hard Off Corp. Co., Ltd. 55,700 761,045 0.0%
Haruyama Trading Co., Ltd. 47,900 346,719 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Consumer Discretionary -- (Continued)
Heiwa Corp. 87,600 $1,840,099 0.1%
HI-LEX Corp. 56,000 1,444,414 0.1%
Hiday Hidaka Corp. 89,947 2,126,858 0.1%
# Himaraya Co., Ltd. 35,900 337,029 0.0%
# Hiramatsu, Inc. 160,700 1,031,159 0.0%
# HIS Co., Ltd. 44,000 1,086,736 0.1%
# Honeys Co., Ltd. 106,040 1,094,521 0.1%
# Hoosiers Holdings 181,100 823,307 0.0%
Ichibanya Co., Ltd. 7,829 495,071 0.0%
# Ichikoh Industries, Ltd. 286,000 637,408 0.0%
# IJT Technology Holdings Co., Ltd. 124,680 304,409 0.0%
# Imasen Electric Industrial 89,600 788,450 0.0%
# Imperial Hotel, Ltd. 13,000 288,883 0.0%
Intage Holdings, Inc. 84,800 1,080,580 0.1%
* Izuhakone Railway Co., Ltd. 300 -- 0.0%
#* Izutsuya Co., Ltd. 617,000 292,034 0.0%
#* Janome Sewing Machine Co., Ltd. 106,400 578,979 0.0%
Japan Wool Textile Co., Ltd. (The) 343,000 2,394,743 0.1%
# Jin Co., Ltd. 80,000 2,950,946 0.1%
Joban Kosan Co., Ltd. 342,000 482,916 0.0%
Joshin Denki Co., Ltd. 205,000 1,626,725 0.1%
# JP-Holdings, Inc. 298,800 1,090,728 0.1%
# JVC Kenwood Corp. 885,430 2,200,568 0.1%
# K's Holdings Corp. 182,200 6,123,505 0.2%
* Kadokawa Dwango 246,233 3,490,973 0.1%
# Kappa Create Co., Ltd. 41,600 482,254 0.0%
Kasai Kogyo Co., Ltd. 138,300 1,326,076 0.1%
Kawai Musical Instruments Manufacturing Co.,
Ltd. 45,200 822,977 0.0%
Keihin Corp. 267,500 3,886,736 0.2%
# Keiyo Co., Ltd. 176,200 857,212 0.0%
# KFC Holdings Japan, Ltd. 75,000 1,349,680 0.1%
#* Kintetsu Department Store Co., Ltd. 169,000 468,180 0.0%
Kinugawa Rubber Industrial Co., Ltd. 282,000 1,963,537 0.1%
Kitamura Co., Ltd. 2,000 14,929 0.0%
* KNT-CT Holdings Co., Ltd. 643,000 945,443 0.0%
# Kohnan Shoji Co., Ltd. 188,500 3,215,139 0.1%
#* Kojima Co., Ltd. 162,600 387,742 0.0%
# Komatsu Seiren Co., Ltd. 134,400 745,427 0.0%
# Komehyo Co., Ltd. 17,400 220,256 0.0%
# Komeri Co., Ltd. 191,400 4,799,670 0.2%
# Konaka Co., Ltd. 117,560 569,428 0.0%
Koshidaka Holdings Co., Ltd. 50,000 983,188 0.0%
# Kourakuen Holdings Corp. 39,800 549,686 0.0%
KU Holdings Co., Ltd. 130,900 859,735 0.0%
Kura Corp. 69,200 2,973,962 0.1%
Kurabo Industries, Ltd. 1,241,000 2,180,100 0.1%
# KYB Corp. 1,140,000 3,809,817 0.2%
# Kyoritsu Maintenance Co., Ltd. 70,831 5,386,624 0.2%
# Kyoto Kimono Yuzen Co., Ltd. 2,400 20,135 0.0%
#* Laox Co., Ltd. 148,000 153,270 0.0%
LEC, Inc. 41,600 516,955 0.0%
Look, Inc. 228,000 347,991 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ----------- ---------------
Consumer Discretionary -- (Continued)
# Mamiya-Op Co., Ltd. 258,000 $ 341,312 0.0%
Mars Engineering Corp. 49,100 883,541 0.0%
#* Maruei Department Store Co., Ltd. 17,000 14,374 0.0%
#* Maruzen CHI Holdings Co., Ltd. 29,800 99,953 0.0%
# Matsuya Co., Ltd. 68,700 539,867 0.0%
# Matsuya Foods Co., Ltd. 48,000 1,240,171 0.1%
Meiko Network Japan Co., Ltd. 126,400 1,394,073 0.1%
Meiwa Estate Co., Ltd. 56,900 317,709 0.0%
Mikuni Corp. 118,000 380,154 0.0%
# Misawa Homes Co., Ltd. 164,000 1,132,064 0.1%
Mitsuba Corp. 208,690 2,987,658 0.1%
Mitsui Home Co., Ltd. 165,000 754,811 0.0%
# Mizuno Corp. 582,000 2,764,778 0.1%
Monogatari Corp. (The) 25,700 1,213,032 0.1%
# Mr Max Corp. 99,200 269,948 0.0%
Murakami Corp. 11,000 144,959 0.0%
Musashi Seimitsu Industry Co., Ltd. 129,900 2,479,556 0.1%
Nafco Co., Ltd. 33,300 548,776 0.0%
Nagawa Co., Ltd. 9,700 251,370 0.0%
#* Naigai Co., Ltd. 985,000 419,948 0.0%
Nakayamafuku Co., Ltd. 9,500 64,961 0.0%
# Next Co., Ltd. 282,000 3,153,394 0.1%
Nice Holdings, Inc. 444,000 559,890 0.0%
# Nifco, Inc. 287,200 13,709,068 0.5%
Nihon Eslead Corp. 33,900 316,255 0.0%
# Nihon House Holdings Co., Ltd. 229,200 772,519 0.0%
# Nihon Plast Co., Ltd. 39,000 316,533 0.0%
Nihon Tokushu Toryo Co., Ltd. 60,000 468,388 0.0%
Nippon Felt Co., Ltd. 58,200 239,958 0.0%
Nippon Piston Ring Co., Ltd. 48,600 648,456 0.0%
# Nippon Seiki Co., Ltd. 218,400 4,213,981 0.2%
Nishikawa Rubber Co., Ltd. 15,000 254,300 0.0%
# Nishimatsuya Chain Co., Ltd. 244,500 2,786,158 0.1%
Nissan Shatai Co., Ltd. 55,900 545,682 0.0%
Nissan Tokyo Sales Holdings Co., Ltd. 208,000 505,320 0.0%
# Nissei Build Kogyo Co., Ltd. 329,000 1,228,739 0.1%
#* Nissen Holdings Co., Ltd. 59,900 72,243 0.0%
# Nissin Kogyo Co., Ltd. 223,700 3,093,851 0.1%
# Nittan Valve Co., Ltd. 82,800 221,711 0.0%
Nojima Corp. 120,500 1,337,073 0.1%
Ohashi Technica, Inc. 35,700 391,334 0.0%
# Ohsho Food Service Corp. 66,700 2,126,778 0.1%
# Onward Holdings Co., Ltd. 736,000 5,077,481 0.2%
# Ootoya Holdings Co., Ltd. 1,400 25,807 0.0%
# OPT Holding, Inc. 79,200 489,267 0.0%
# Otsuka Kagu, Ltd. 38,600 493,431 0.0%
# Pacific Industrial Co., Ltd. 239,600 2,313,586 0.1%
# Pal Co., Ltd. 70,200 1,704,708 0.1%
PALTAC Corp. 195,534 3,470,486 0.1%
PanaHome Corp. 496,200 3,869,149 0.2%
Parco Co., Ltd. 114,700 966,007 0.0%
Paris Miki Holdings, Inc. 151,200 634,791 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Consumer Discretionary -- (Continued)
PC Depot Corp. 17,200 $ 186,635 0.0%
PIA Corp. 11,600 216,489 0.0%
Piolax, Inc. 56,700 2,978,777 0.1%
#* Pioneer Corp. 1,926,100 5,161,393 0.2%
# Plenus Co., Ltd. 133,800 2,454,169 0.1%
Press Kogyo Co., Ltd. 568,600 1,951,289 0.1%
# Pressance Corp. 39,600 1,390,064 0.1%
Proto Corp. 63,000 826,305 0.0%
Renaissance, Inc. 58,600 646,449 0.0%
#* Renown, Inc. 306,000 337,527 0.0%
# Resort Solution Co., Ltd. 168,000 468,593 0.0%
Rhythm Watch Co., Ltd. 559,000 742,869 0.0%
Riberesute Corp. 17,900 126,054 0.0%
# Right On Co., Ltd. 87,425 1,177,628 0.1%
Riken Corp. 522,000 1,685,231 0.1%
Ringer Hut Co., Ltd. 84,600 1,763,884 0.1%
Riso Kyoiku Co., Ltd. 77,400 294,394 0.0%
Round One Corp. 433,400 2,543,661 0.1%
Royal Holdings Co., Ltd. 179,200 3,419,422 0.1%
# Sac's Bar Holdings, Inc. 103,450 1,313,049 0.1%
Saizeriya Co., Ltd. 189,400 3,357,274 0.1%
# Sakai Ovex Co., Ltd. 298,000 454,900 0.0%
San Holdings, Inc. 15,400 196,226 0.0%
# Sanden Holdings Corp. 686,000 2,023,073 0.1%
Sanei Architecture Planning Co., Ltd. 50,300 567,209 0.0%
Sangetsu Co., Ltd. 328,750 5,891,722 0.2%
# Sanko Marketing Foods Co., Ltd. 27,800 241,036 0.0%
Sankyo Seiko Co., Ltd. 183,400 628,828 0.0%
Sanoh Industrial Co., Ltd. 136,500 747,015 0.0%
# Sanrio Co., Ltd. 64,700 1,272,044 0.1%
Sanyo Electric Railway Co., Ltd. 207,000 962,708 0.0%
Sanyo Housing Nagoya Co., Ltd. 37,500 336,839 0.0%
# Sanyo Shokai, Ltd. 669,000 1,602,169 0.1%
# Sato Restaurant Systems Co., Ltd. 85,100 626,007 0.0%
# Scroll Corp. 166,300 643,175 0.0%
# Seiko Holdings Corp. 979,407 3,668,398 0.2%
Seiren Co., Ltd. 292,400 3,006,476 0.1%
# Senshukai Co., Ltd. 174,500 1,197,210 0.1%
# Septeni Holdings Co., Ltd. 75,800 1,795,468 0.1%
Seria Co., Ltd. 118,300 6,954,448 0.3%
#* Sharp Corp. 716,000 974,528 0.0%
# Shidax Corp. 93,300 435,883 0.0%
Shikibo, Ltd. 779,000 793,546 0.0%
Shimachu Co., Ltd. 297,200 6,916,991 0.3%
Shimojima Co., Ltd. 25,900 260,527 0.0%
Shobunsha Publications, Inc. 258,500 1,430,993 0.1%
# Shochiku Co., Ltd. 37,000 369,993 0.0%
Shoei Co., Ltd. 10,500 158,938 0.0%
Showa Corp. 317,500 2,756,784 0.1%
SKY Perfect JSAT Holdings, Inc. 80,400 427,995 0.0%
SNT Corp. 86,200 486,546 0.0%
# Soft99 Corp. 68,600 475,028 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Consumer Discretionary -- (Continued)
Sotoh Co., Ltd. 41,400 $ 376,624 0.0%
SPK Corp. 19,800 365,014 0.0%
# St Marc Holdings Co., Ltd. 97,600 2,640,239 0.1%
Starts Corp., Inc. 162,200 3,370,679 0.1%
Step Co., Ltd. 40,700 400,081 0.0%
Studio Alice Co., Ltd. 57,700 1,425,568 0.1%
Suminoe Textile Co., Ltd. 323,000 789,697 0.0%
Sumitomo Forestry Co., Ltd. 281,266 3,247,296 0.1%
Sumitomo Riko Co., Ltd. 231,500 1,986,288 0.1%
# Sun Corp. 1,800 13,091 0.0%
Suncall Corp. 27,000 116,744 0.0%
T RAD Co., Ltd. 412,000 673,080 0.0%
# T-Gaia Corp. 155,100 1,883,770 0.1%
Tachi-S Co., Ltd. 162,840 2,232,382 0.1%
Tachikawa Corp. 50,800 329,809 0.0%
Taiho Kogyo Co., Ltd. 98,200 1,065,190 0.1%
#* Takata Corp. 168,000 615,646 0.0%
Take And Give Needs Co., Ltd. 54,070 228,756 0.0%
Takihyo Co., Ltd. 76,000 295,910 0.0%
# Tama Home Co., Ltd. 95,900 385,210 0.0%
# Tamron Co., Ltd. 108,300 1,750,677 0.1%
# TASAKI & Co., Ltd. 28,300 399,286 0.0%
TBK Co., Ltd. 115,600 417,604 0.0%
Tigers Polymer Corp. 50,600 283,039 0.0%
# Toa Corp. 127,800 1,281,592 0.1%
# Toabo Corp. 54,799 244,786 0.0%
# Toei Animation Co., Ltd. 20,700 924,217 0.0%
Toei Co., Ltd. 409,000 3,169,709 0.1%
# Tohokushinsha Film Corp. 22,500 128,382 0.0%
Tokai Rika Co., Ltd. 140,800 2,607,005 0.1%
# Token Corp. 46,650 3,653,578 0.2%
Tokyo Dome Corp. 1,134,200 4,831,684 0.2%
# Tokyo Individualized Educational Institute,
Inc. 82,100 529,513 0.0%
Tokyotokeiba Co., Ltd. 619,000 1,243,577 0.1%
# Tokyu Recreation Co., Ltd. 79,000 591,304 0.0%
Tomy Co., Ltd. 374,293 2,636,669 0.1%
Topre Corp. 264,300 5,203,428 0.2%
Toridoll.corp 146,300 2,542,330 0.1%
Tosho Co., Ltd. 43,800 1,607,739 0.1%
Tow Co., Ltd. 26,700 166,929 0.0%
Toyo Tire & Rubber Co., Ltd. 123,800 1,851,512 0.1%
TPR Co., Ltd. 131,000 3,301,352 0.1%
TS Tech Co., Ltd. 164,500 3,757,033 0.2%
TSI Holdings Co., Ltd. 430,795 2,747,175 0.1%
# Tsukada Global Holdings, Inc. 109,400 748,104 0.0%
Tsukamoto Corp. Co., Ltd. 190,000 189,788 0.0%
# Tsutsumi Jewelry Co., Ltd. 47,200 985,920 0.0%
Tv Tokyo Holdings Corp. 33,700 584,328 0.0%
Tyo, Inc. 329,800 501,529 0.0%
# U-Shin, Ltd. 114,300 729,935 0.0%
Umenohana Co., Ltd. 1,000 24,007 0.0%
Unipres Corp. 230,700 4,059,668 0.2%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
Consumer Discretionary -- (Continued)
United Arrows, Ltd. 117,700 $ 4,729,441 0.2%
#* Unitika, Ltd. 3,247,000 1,599,008 0.1%
# Universal Entertainment Corp. 91,600 1,453,990 0.1%
#* Usen Corp. 685,080 2,354,986 0.1%
# Vector, Inc. 7,100 184,733 0.0%
# Village Vanguard Co., Ltd. 32,100 458,309 0.0%
VT Holdings Co., Ltd. 493,000 2,490,966 0.1%
# Wacoal Holdings Corp. 675,000 8,138,686 0.3%
# WATAMI Co., Ltd. 134,200 1,272,907 0.1%
Workman Co., Ltd. 1,800 56,584 0.0%
Wowow, Inc. 49,200 1,052,979 0.1%
# Xebio Holdings Co., Ltd. 156,500 2,496,270 0.1%
Yachiyo Industry Co., Ltd. 21,400 175,874 0.0%
Yamato International, Inc. 8,200 29,839 0.0%
Yellow Hat, Ltd. 92,700 1,897,112 0.1%
# Yomiuri Land Co., Ltd. 239,000 1,130,517 0.1%
# Yondoshi Holdings, Inc. 46,020 1,112,555 0.1%
Yorozu Corp. 110,100 2,203,092 0.1%
# Yoshinoya Holdings Co., Ltd. 323,100 4,105,954 0.2%
Yutaka Giken Co., Ltd. 3,100 61,313 0.0%
Zenrin Co., Ltd. 156,300 3,340,364 0.1%
Zensho Holdings Co., Ltd. 604,300 7,683,585 0.3%
# Zojirushi Corp. 188,000 2,804,250 0.1%
------------ ----
Total Consumer Discretionary 530,446,726 20.3%
------------ ----
Consumer Staples -- (9.2%)
# Aderans Co., Ltd. 130,800 657,628 0.0%
# Aeon Hokkaido Corp. 273,900 1,297,767 0.1%
# Ain Holdings, Inc. 124,600 6,052,818 0.2%
Arcs Co., Ltd. 195,000 4,577,910 0.2%
Ariake Japan Co., Ltd. 86,100 4,770,151 0.2%
Artnature, Inc. 96,200 797,629 0.0%
Axial Retailing, Inc. 87,000 2,773,847 0.1%
Belc Co., Ltd. 59,100 2,350,912 0.1%
# C'BON Cosmetics Co., Ltd. 2,400 52,202 0.0%
Cawachi, Ltd. 88,000 2,061,109 0.1%
Chubu Shiryo Co., Ltd. 114,700 857,290 0.0%
# Chuo Gyorui Co., Ltd. 93,000 227,775 0.0%
# Ci:z Holdings Co., Ltd. 157,300 3,202,396 0.1%
Coca-Cola East Japan Co., Ltd. 116,700 2,138,049 0.1%
Coca-Cola West Co., Ltd. 96,000 2,602,223 0.1%
Cocokara fine, Inc. 105,760 4,711,189 0.2%
Create SD Holdings Co., Ltd. 164,400 3,942,167 0.2%
# Daikokutenbussan Co., Ltd. 35,800 1,608,986 0.1%
Dydo Drinco, Inc. 42,700 2,156,527 0.1%
# Earth Chemical Co., Ltd. 57,300 2,383,866 0.1%
Eco's Co., Ltd. 4,600 59,730 0.0%
#* euglena Co., Ltd. 7,400 103,951 0.0%
# Fancl Corp. 137,500 1,835,251 0.1%
Feed One Co., Ltd. 812,440 895,032 0.0%
* First Baking Co., Ltd. 183,000 185,505 0.0%
Fuji Oil Holdings, Inc. 362,600 6,745,014 0.3%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Consumer Staples -- (Continued)
Fujicco Co., Ltd. 120,600 $ 2,568,825 0.1%
* Fujiya Co., Ltd. 26,000 47,180 0.0%
# Genky Stores, Inc. 23,600 735,834 0.0%
Hagoromo Foods Corp. 39,000 435,973 0.0%
#* Hayashikane Sangyo Co., Ltd. 166,000 151,983 0.0%
Heiwado Co., Ltd. 182,000 3,731,288 0.2%
Hokkaido Coca-Cola Bottling Co., Ltd. 87,000 483,964 0.0%
# Hokuto Corp. 131,300 2,560,164 0.1%
# House Foods Group, Inc. 93,600 1,795,981 0.1%
# Inageya Co., Ltd. 175,100 2,293,485 0.1%
Itochu-Shokuhin Co., Ltd. 26,600 1,013,173 0.0%
#* Itoham Yonekyu Holdings, Inc. 886,927 6,743,646 0.3%
J-Oil Mills, Inc. 563,000 1,814,667 0.1%
# Kakiyasu Honten Co., Ltd. 27,100 474,627 0.0%
Kameda Seika Co., Ltd. 72,000 2,900,037 0.1%
Kaneko Seeds Co., Ltd. 2,200 21,603 0.0%
Kansai Super Market, Ltd. 18,300 152,439 0.0%
Kato Sangyo Co., Ltd. 118,000 2,900,997 0.1%
# Kenko Mayonnaise Co., Ltd. 50,300 1,056,461 0.0%
# KEY Coffee, Inc. 109,700 1,858,053 0.1%
Kirindo Holdings Co., Ltd. 29,300 270,843 0.0%
# Kobe Bussan Co., Ltd. 70,600 1,524,810 0.1%
# Kotobuki Spirits Co., Ltd. 91,200 1,774,558 0.1%
# Kusuri No Aoki Co., Ltd. 92,700 4,885,196 0.2%
# Kyokuyo Co., Ltd. 576,000 1,379,862 0.1%
Life Corp. 165,100 4,412,947 0.2%
Mandom Corp. 104,400 4,725,164 0.2%
Marudai Food Co., Ltd. 598,000 2,500,663 0.1%
Maruha Nichiro Corp. 225,007 5,021,615 0.2%
# Maxvalu Nishinihon Co., Ltd. 5,600 81,306 0.0%
# Maxvalu Tokai Co., Ltd. 49,300 785,875 0.0%
# Medical System Network Co., Ltd. 78,200 452,545 0.0%
# Megmilk Snow Brand Co., Ltd. 258,500 5,990,180 0.2%
Meito Sangyo Co., Ltd. 52,200 640,220 0.0%
Milbon Co., Ltd. 66,576 2,917,779 0.1%
# Ministop Co., Ltd. 88,100 1,422,120 0.1%
Mitsubishi Shokuhin Co., Ltd. 79,600 2,054,420 0.1%
Mitsui Sugar Co., Ltd. 533,850 2,407,870 0.1%
# Miyoshi Oil & Fat Co., Ltd. 379,000 433,551 0.0%
Morinaga & Co., Ltd. 1,134,000 5,430,118 0.2%
Morinaga Milk Industry Co., Ltd. 1,134,000 5,946,242 0.2%
Morozoff, Ltd. 154,000 623,623 0.0%
Nagatanien Holdings Co., Ltd. 131,000 1,345,081 0.1%
Nakamuraya Co., Ltd. 184,000 770,955 0.0%
Natori Co., Ltd. 28,800 443,579 0.0%
Nichimo Co., Ltd. 170,000 280,878 0.0%
Nichirei Corp. 1,501,000 13,065,011 0.5%
# Nihon Chouzai Co., Ltd. 27,560 907,031 0.0%
Niitaka Co., Ltd. 2,060 26,795 0.0%
Nippon Beet Sugar Manufacturing Co., Ltd. 608,000 1,046,598 0.0%
Nippon Flour Mills Co., Ltd. 722,000 5,573,939 0.2%
Nippon Suisan Kaisha, Ltd. 1,480,200 8,181,294 0.3%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
Consumer Staples -- (Continued)
Nisshin Oillio Group, Ltd. (The) 679,000 $ 2,885,774 0.1%
# Nissin Sugar Co., Ltd. 57,000 713,021 0.0%
Nitto Fuji Flour Milling Co., Ltd. 64,000 209,102 0.0%
Noevir Holdings Co., Ltd. 61,300 1,741,559 0.1%
Oenon Holdings, Inc. 307,000 621,065 0.0%
# OIE Sangyo Co., Ltd. 20,900 167,378 0.0%
Okuwa Co., Ltd. 117,000 1,253,917 0.1%
Olympic Group Corp. 63,100 338,089 0.0%
OUG Holdings, Inc. 29,000 62,614 0.0%
Prima Meat Packers, Ltd. 859,000 2,365,527 0.1%
Qol Co., Ltd. 52,600 738,596 0.0%
Riken Vitamin Co., Ltd. 74,100 2,896,777 0.1%
# Rock Field Co., Ltd. 117,600 1,763,261 0.1%
Rokko Butter Co., Ltd. 45,600 737,036 0.0%
# S Foods, Inc. 75,562 1,798,768 0.1%
S&B Foods, Inc. 499 21,953 0.0%
Sakata Seed Corp. 182,600 4,614,224 0.2%
San-A Co., Ltd. 98,700 4,542,971 0.2%
# Sapporo Holdings, Ltd. 1,981,000 10,696,831 0.4%
# Shoei Foods Corp. 56,400 706,458 0.0%
Showa Sangyo Co., Ltd. 514,000 2,290,908 0.1%
Sogo Medical Co., Ltd. 55,800 1,618,171 0.1%
ST Corp. 80,200 812,288 0.0%
Starzen Co., Ltd. 36,600 1,061,405 0.0%
Takara Holdings, Inc. 980,300 8,342,244 0.3%
Tobu Store Co., Ltd. 190,000 554,182 0.0%
Toho Co., Ltd. 42,400 945,877 0.0%
# Tohto Suisan Co., Ltd. 173,000 271,529 0.0%
Torigoe Co., Ltd. (The) 80,300 475,212 0.0%
Toyo Sugar Refining Co., Ltd. 157,000 152,705 0.0%
United Super Markets Holdings, Inc. 248,100 2,287,986 0.1%
UNY Group Holdings Co., Ltd. 1,468,300 10,715,245 0.4%
Valor Holdings Co., Ltd. 212,100 5,110,690 0.2%
Warabeya Nichiyo Co., Ltd. 83,460 1,560,754 0.1%
# Yaizu Suisankagaku Industry Co., Ltd. 46,100 432,463 0.0%
YAKUODO Co., Ltd. 600 19,630 0.0%
Yamatane Corp. 520,000 710,249 0.0%
# Yamaya Corp. 25,600 470,955 0.0%
Yaoko Co., Ltd. 102,800 4,546,282 0.2%
# Yokohama Reito Co., Ltd. 263,000 2,571,393 0.1%
Yomeishu Seizo Co., Ltd. 48,500 885,359 0.0%
Yuasa Funashoku Co., Ltd. 121,000 334,889 0.0%
Yutaka Foods Corp. 6,000 103,922 0.0%
------------ ----
Total Consumer Staples 265,259,231 10.1%
------------ ----
Energy -- (0.9%)
# BP Castrol KK 57,400 679,662 0.0%
Cosmo Energy Holdings Co., Ltd. 345,500 4,383,899 0.2%
Fuji Kosan Co., Ltd. 33,100 128,575 0.0%
* Fuji Oil Co., Ltd. 284,800 880,706 0.0%
Itochu Enex Co., Ltd. 302,200 2,474,107 0.1%
# Japan Drilling Co., Ltd. 34,800 789,003 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Energy -- (Continued)
Japan Oil Transportation Co., Ltd. 84,000 $ 179,314 0.0%
Japan Petroleum Exploration Co., Ltd. 27,400 637,857 0.0%
Mitsuuroko Group Holdings Co., Ltd. 181,700 876,169 0.0%
Modec, Inc. 102,100 1,554,012 0.1%
Nippon Coke & Engineering Co., Ltd. 1,272,800 918,440 0.0%
# Nippon Gas Co., Ltd. 182,900 4,257,661 0.2%
# Sala Corp. 124,900 642,682 0.0%
San-Ai Oil Co., Ltd. 310,000 2,172,603 0.1%
# Shinko Plantech Co., Ltd. 237,200 1,804,644 0.1%
Sinanen Holdings Co., Ltd. 260,000 998,825 0.1%
# Toa Oil Co., Ltd. 415,000 489,035 0.0%
Toyo Kanetsu K.K. 568,000 1,182,219 0.1%
----------- ---
Total Energy 25,049,413 1.0%
----------- ---
Financials -- (9.9%)
77 Bank, Ltd. (The) 556,760 1,953,316 0.1%
Aichi Bank, Ltd. (The) 51,700 2,352,670 0.1%
Airport Facilities Co., Ltd. 132,770 588,017 0.0%
Aizawa Securities Co., Ltd. 154,900 820,773 0.0%
Akita Bank, Ltd. (The) 1,079,400 2,883,242 0.1%
Anabuki Kosan, Inc. 22,000 53,092 0.0%
# Anicom Holdings, Inc. 10,100 237,015 0.0%
Aomori Bank, Ltd. (The) 1,186,000 3,632,811 0.1%
# Ardepro Co., Ltd. 270,700 287,592 0.0%
Asax Co., Ltd. 1,700 21,109 0.0%
Ashikaga Holdings Co., Ltd. 128,800 378,972 0.0%
Awa Bank, Ltd. (The) 1,173,000 5,965,308 0.2%
# Bank of Iwate, Ltd. (The) 99,400 3,752,870 0.2%
Bank of Kochi, Ltd. (The) 279,000 288,231 0.0%
# Bank of Nagoya, Ltd. (The) 1,007,297 3,340,579 0.1%
Bank of Okinawa, Ltd. (The) 110,800 3,657,459 0.1%
Bank of Saga, Ltd. (The) 802,000 1,622,579 0.1%
Bank of the Ryukyus, Ltd. 227,380 2,625,763 0.1%
Chiba Kogyo Bank, Ltd. (The) 236,900 1,039,879 0.0%
Chukyo Bank, Ltd. (The) 682,000 1,409,828 0.1%
* Concordia Financial Group, Ltd. 272,829 1,313,887 0.1%
Daibiru Corp. 303,600 2,649,278 0.1%
Daiichi Commodities Co., Ltd. 13,700 46,902 0.0%
Daikyo, Inc. 1,904,000 3,049,031 0.1%
# Daisan Bank, Ltd. (The) 855,000 1,216,788 0.1%
Daishi Bank, Ltd. (The) 2,003,000 6,943,108 0.3%
Daito Bank, Ltd. (The) 873,000 1,396,645 0.1%
# DSB Co., Ltd. 55,800 380,192 0.0%
eGuarantee, Inc. 10,800 234,235 0.0%
# Ehime Bank, Ltd. (The) 938,000 1,946,700 0.1%
Eighteenth Bank, Ltd. (The) 1,048,000 2,474,156 0.1%
FIDEA Holdings Co., Ltd. 874,800 1,377,988 0.1%
# Financial Products Group Co., Ltd. 409,700 4,891,230 0.2%
Fukui Bank, Ltd. (The) 1,301,000 2,498,841 0.1%
# Fukushima Bank, Ltd. (The) 1,421,000 1,198,179 0.1%
Fuyo General Lease Co., Ltd. 81,700 3,430,820 0.1%
# GCA Savvian Corp. 89,900 830,705 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Financials -- (Continued)
# Goldcrest Co., Ltd. 101,790 $ 1,457,506 0.1%
Grandy House Corp. 14,200 43,212 0.0%
Gunma Bank, Ltd. (The) 58,000 229,640 0.0%
Heiwa Real Estate Co., Ltd. 236,600 2,932,873 0.1%
Hokkoku Bank, Ltd. (The) 1,742,000 4,924,510 0.2%
Hokuetsu Bank, Ltd. (The) 1,300,000 2,230,956 0.1%
Hokuhoku Financial Group, Inc. 368,000 463,327 0.0%
Hyakugo Bank, Ltd. (The) 1,491,609 5,498,634 0.2%
# Hyakujushi Bank, Ltd. (The) 1,509,000 4,358,304 0.2%
IBJ Leasing Co., Ltd. 66,500 1,144,890 0.1%
Ichiyoshi Securities Co., Ltd. 229,400 1,891,368 0.1%
# IwaiCosmo Holdings, Inc. 106,900 996,544 0.0%
J Trust Co., Ltd. 10,600 80,349 0.0%
Jaccs Co., Ltd. 45,000 177,349 0.0%
Jafco Co., Ltd. 99,400 2,749,936 0.1%
Japan Property Management Center Co., Ltd. 17,600 253,505 0.0%
Japan Securities Finance Co., Ltd. 16,700 65,068 0.0%
Jimoto Holdings, Inc. 508,400 674,707 0.0%
Juroku Bank, Ltd. (The) 2,002,000 5,910,543 0.2%
# kabu.com Securities Co., Ltd. 1,026,600 3,282,470 0.1%
# Kabuki-Za Co., Ltd. 36,000 1,688,868 0.1%
Kansai Urban Banking Corp. 149,200 1,414,793 0.1%
Keihanshin Building Co., Ltd. 195,400 1,058,079 0.0%
Keiyo Bank, Ltd. (The) 1,418,000 5,183,448 0.2%
Kenedix, Inc. 1,201,100 5,133,496 0.2%
Kita-Nippon Bank, Ltd. (The) 49,506 1,255,197 0.1%
Kiyo Bank, Ltd. (The) 373,590 4,485,310 0.2%
# Kyokuto Securities Co., Ltd. 125,600 1,454,669 0.1%
Kyushu Financial Group, Inc. 1,036,920 5,442,674 0.2%
# Land Business Co., Ltd. 59,500 141,909 0.0%
Leopalace21 Corp. 1,960,700 11,765,227 0.5%
Marusan Securities Co., Ltd. 119,100 1,078,295 0.0%
# Michinoku Bank, Ltd. (The) 840,000 1,374,408 0.1%
Mie Bank, Ltd. (The) 523,000 977,072 0.0%
# Minato Bank, Ltd. (The) 1,084,000 1,553,912 0.1%
Mito Securities Co., Ltd. 338,500 880,702 0.0%
Miyazaki Bank, Ltd. (The) 931,000 2,362,819 0.1%
# Monex Group, Inc. 1,054,800 2,721,086 0.1%
# Money Partners Group Co., Ltd. 33,400 199,182 0.0%
MONEY SQUARE HOLDINGS, Inc. 900 9,491 0.0%
Musashino Bank, Ltd. (The) 199,100 5,014,686 0.2%
# Nagano Bank, Ltd. (The) 512,000 881,950 0.0%
Nanto Bank, Ltd. (The) 1,183,000 3,344,800 0.1%
* New Real Property K.K. 43,900 -- 0.0%
Nihon M&A Center, Inc. 198,100 11,408,571 0.4%
Nishi-Nippon City Bank, Ltd. (The) 1,069,000 1,928,747 0.1%
Nisshin Fudosan Co. 186,100 604,770 0.0%
North Pacific Bank, Ltd. 2,040,300 5,172,560 0.2%
# OAK Capital Corp. 106,300 161,224 0.0%
Ogaki Kyoritsu Bank, Ltd. (The) 1,857,000 5,713,188 0.2%
# Oita Bank, Ltd. (The) 1,014,900 3,100,892 0.1%
# Okasan Securities Group, Inc. 223,000 1,176,748 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
Financials -- (Continued)
Open House Co., Ltd. 121,700 $ 2,586,928 0.1%
# Pocket Card Co., Ltd. 11,200 54,960 0.0%
# Raysum Co., Ltd. 40,300 301,759 0.0%
Relo Holdings, Inc. 62,900 8,042,680 0.3%
Ricoh Leasing Co., Ltd. 96,900 2,799,594 0.1%
# SAMTY Co., Ltd. 76,900 742,435 0.0%
San-In Godo Bank, Ltd. (The) 957,000 6,165,826 0.2%
Sankyo Frontier Co., Ltd. 10,000 78,434 0.0%
Sawada Holdings Co., Ltd. 142,000 1,404,307 0.1%
Senshu Ikeda Holdings, Inc. 1,365,700 5,144,425 0.2%
# Shiga Bank, Ltd. (The) 1,328,000 5,771,771 0.2%
Shikoku Bank, Ltd. (The) 1,210,000 2,352,859 0.1%
Shimane Bank, Ltd. (The) 16,600 178,602 0.0%
Shimizu Bank, Ltd. (The) 48,000 1,011,877 0.0%
Shinoken Group Co., Ltd. 23,500 469,921 0.0%
# Sparx Group Co., Ltd. 573,900 1,101,734 0.0%
Star Mica Co., Ltd. 5,300 79,849 0.0%
Sumitomo Real Estate Sales Co., Ltd. 106,460 2,134,842 0.1%
# Sun Frontier Fudousan Co., Ltd. 148,300 1,371,244 0.1%
Taiko Bank, Ltd. (The) 207,000 382,574 0.0%
# Takagi Securities Co., Ltd. 224,000 275,972 0.0%
# Takara Leben Co., Ltd. 552,800 3,516,714 0.1%
TOC Co., Ltd. 342,950 2,716,797 0.1%
Tochigi Bank, Ltd. (The) 705,000 2,716,838 0.1%
Toho Bank, Ltd. (The) 1,313,200 4,363,389 0.2%
Tohoku Bank, Ltd. (The) 588,000 766,548 0.0%
# Tokai Tokyo Financial Holdings, Inc. 568,200 2,944,877 0.1%
Tokyo Rakutenchi Co., Ltd. 207,000 929,991 0.0%
# Tokyo Theatres Co., Inc. 468,000 511,623 0.0%
Tokyo TY Financial Group, Inc. 150,338 3,825,654 0.2%
Tomato Bank, Ltd. 484,000 656,182 0.0%
TOMONY Holdings, Inc. 913,950 2,600,316 0.1%
Tosei Corp. 201,700 1,412,335 0.1%
Tottori Bank, Ltd. (The) 353,000 542,462 0.0%
Towa Bank, Ltd. (The) 2,036,000 1,668,836 0.1%
Toyo Securities Co., Ltd. 389,000 900,597 0.0%
Tsukuba Bank, Ltd. 495,100 1,294,652 0.1%
# Unizo Holdings Co., Ltd. 69,100 2,926,062 0.1%
# Yamagata Bank, Ltd. (The) 854,500 3,106,321 0.1%
Yamanashi Chuo Bank, Ltd. (The) 976,000 3,614,382 0.1%
Zenkoku Hosho Co., Ltd. 1,600 56,270 0.0%
------------ ----
Total Financials 284,367,693 10.9%
------------ ----
Health Care -- (4.2%)
As One Corp. 86,768 3,128,683 0.1%
# ASKA Pharmaceutical Co., Ltd. 131,300 1,666,435 0.1%
Biofermin Pharmaceutical Co., Ltd. 10,500 332,246 0.0%
BML, Inc. 68,300 2,911,051 0.1%
# CMIC Holdings Co., Ltd. 70,000 1,033,700 0.0%
Create Medic Co., Ltd. 28,000 226,064 0.0%
# Daiken Medical Co., Ltd. 88,900 715,295 0.0%
Daito Pharmaceutical Co., Ltd. 65,780 1,725,567 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ------------ ---------------
Health Care -- (Continued)
Eiken Chemical Co., Ltd. 73,500 $ 1,345,702 0.1%
EPS Holdings, Inc. 164,600 2,061,612 0.1%
FALCO HOLDINGS Co., Ltd. 44,000 551,337 0.0%
# FINDEX, Inc. 88,500 1,091,961 0.0%
Fuji Pharma Co., Ltd. 41,500 731,534 0.0%
Fuso Pharmaceutical Industries, Ltd. 415,000 996,768 0.0%
Hogy Medical Co., Ltd. 71,000 3,954,121 0.2%
Iwaki & Co., Ltd. 154,000 292,375 0.0%
# Japan Medical Dynamic Marketing, Inc. 108,100 667,413 0.0%
Jeol, Ltd. 483,000 2,182,566 0.1%
JMS Co., Ltd. 157,000 419,163 0.0%
Kawasumi Laboratories, Inc. 69,100 505,521 0.0%
Kissei Pharmaceutical Co., Ltd. 63,900 1,469,811 0.1%
KYORIN Holdings, Inc. 276,100 5,447,804 0.2%
# Mani, Inc. 106,400 1,747,646 0.1%
# Mochida Pharmaceutical Co., Ltd. 78,399 5,830,386 0.2%
N Field Co., Ltd. 700 11,940 0.0%
# Nagaileben Co., Ltd. 51,200 1,044,820 0.0%
Nakanishi, Inc. 115,300 3,778,883 0.2%
ND Software Co., Ltd. 5,200 42,804 0.0%
Nichi-iko Pharmaceutical Co., Ltd. 264,250 6,283,186 0.2%
# Nichii Gakkan Co. 284,300 2,142,533 0.1%
Nihon Kohden Corp. 213,900 5,325,348 0.2%
# Nikkiso Co., Ltd. 361,500 2,784,013 0.1%
Nippon Chemiphar Co., Ltd. 171,000 750,995 0.0%
# Nipro Corp. 702,100 6,839,474 0.3%
Nissui Pharmaceutical Co., Ltd. 67,400 794,706 0.0%
Paramount Bed Holdings Co., Ltd. 114,200 4,248,105 0.2%
Rion Co., Ltd. 42,300 598,083 0.0%
Rohto Pharmaceutical Co., Ltd. 499,200 8,497,111 0.3%
Seed Co., Ltd. 8,200 91,152 0.0%
Ship Healthcare Holdings, Inc. 279,700 6,902,548 0.3%
# Shofu, Inc. 35,700 446,576 0.0%
Software Service, Inc. 17,400 672,061 0.0%
# Taiko Pharmaceutical Co., Ltd. 55,700 769,984 0.0%
Techno Medica Co., Ltd. 25,700 538,764 0.0%
# Toho Holdings Co., Ltd. 321,000 7,426,341 0.3%
Tokai Corp/Gifu 54,500 1,564,195 0.1%
Torii Pharmaceutical Co., Ltd. 68,800 1,591,304 0.1%
Towa Pharmaceutical Co., Ltd. 59,100 2,715,949 0.1%
Tsukui Corp. 169,500 2,061,474 0.1%
Tsumura & Co. 348,700 8,973,039 0.3%
# Uchiyama Holdings Co., Ltd. 24,200 129,013 0.0%
# Vital KSK Holdings, Inc. 193,400 1,649,047 0.1%
Wakamoto Pharmaceutical Co., Ltd. 107,000 261,897 0.0%
WIN-Partners Co., Ltd. 4,900 66,596 0.0%
ZERIA Pharmaceutical Co., Ltd. 100,699 1,255,432 0.1%
------------ ---
Total Health Care 121,292,134 4.6%
------------ ---
Industrials -- (25.4%)
#* A&A Material Corp. 127,000 91,763 0.0%
Advan Co., Ltd. 167,700 1,608,017 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Industrials -- (Continued)
Advanex, Inc. 22,099 $ 243,219 0.0%
# Aeon Delight Co., Ltd. 107,400 2,965,352 0.1%
Aica Kogyo Co., Ltd. 314,300 7,013,767 0.3%
Aichi Corp. 171,500 1,292,379 0.1%
# Aida Engineering, Ltd. 317,900 2,900,312 0.1%
AIT Corp. 11,200 92,592 0.0%
# Alinco, Inc. 62,600 590,597 0.0%
Alps Logistics Co., Ltd. 98,600 517,249 0.0%
Altech Corp. 44,750 879,460 0.0%
Anest Iwata Corp. 168,200 1,764,314 0.1%
#* Arrk Corp. 422,400 329,526 0.0%
Asahi Diamond Industrial Co., Ltd. 328,200 3,274,981 0.1%
Asahi Kogyosha Co., Ltd. 122,000 515,680 0.0%
# Asanuma Corp. 383,000 878,553 0.0%
#* Asia Growth Capital, Ltd. 389,900 295,211 0.0%
Asunaro Aoki Construction Co., Ltd. 142,800 878,008 0.0%
Bando Chemical Industries, Ltd. 462,000 2,251,737 0.1%
Benefit One, Inc. 96,900 2,197,268 0.1%
Bunka Shutter Co., Ltd. 309,000 2,604,459 0.1%
Canare Electric Co., Ltd. 2,300 40,897 0.0%
Career Design Center Co., Ltd. 28,800 233,605 0.0%
Central Glass Co., Ltd. 1,214,000 6,767,727 0.3%
Central Security Patrols Co., Ltd. 40,700 832,903 0.0%
Chilled & Frozen Logistics Holdings Co., Ltd. 22,000 164,543 0.0%
# Chiyoda Corp. 309,000 2,343,350 0.1%
Chiyoda Integre Co., Ltd. 73,700 1,473,570 0.1%
Chudenko Corp. 110,500 2,174,316 0.1%
Chugai Ro Co., Ltd. 373,000 664,088 0.0%
CKD Corp. 341,900 2,778,200 0.1%
COMSYS Holdings Corp. 241,700 3,634,099 0.1%
Cosel Co., Ltd. 114,400 1,125,096 0.1%
CTI Engineering Co., Ltd. 72,300 648,362 0.0%
Dai-Dan Co., Ltd. 155,000 1,098,789 0.0%
Daido Kogyo Co., Ltd. 200,000 346,160 0.0%
Daifuku Co., Ltd. 579,400 10,362,482 0.4%
# Daihatsu Diesel Manufacturing Co., Ltd. 84,000 455,350 0.0%
Daihen Corp. 620,000 3,088,650 0.1%
# Daiho Corp. 405,000 1,717,155 0.1%
Daiichi Jitsugyo Co., Ltd. 251,000 1,141,153 0.1%
Daiseki Co., Ltd. 209,463 3,883,863 0.2%
Daiseki Eco. Solution Co., Ltd. 14,400 151,782 0.0%
# Daisue Construction Co., Ltd. 33,700 223,633 0.0%
Daiwa Industries, Ltd. 173,000 1,482,943 0.1%
#* Danto Holdings Corp. 165,000 279,703 0.0%
Denyo Co., Ltd. 85,300 915,036 0.0%
DMG Mori Co., Ltd. 32,000 359,024 0.0%
DMW Corp. 4,800 81,617 0.0%
Duskin Co., Ltd. 222,400 4,046,546 0.2%
Ebara Corp. 307,000 1,397,804 0.1%
# Ebara Jitsugyo Co., Ltd. 39,300 456,808 0.0%
Eidai Co., Ltd. 115,000 436,887 0.0%
en-japan, Inc. 124,800 2,000,839 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Industrials -- (Continued)
Endo Lighting Corp. 60,200 $ 516,835 0.0%
#* Enshu, Ltd. 281,000 181,476 0.0%
Freund Corp. 19,800 224,723 0.0%
# Fudo Tetra Corp. 1,040,800 1,279,412 0.1%
Fuji Machine Manufacturing Co., Ltd. 6,500 66,751 0.0%
Fujikura, Ltd. 1,935,000 9,379,448 0.4%
#* Fujisash Co., Ltd. 436,500 385,815 0.0%
Fujitec Co., Ltd. 436,800 4,319,131 0.2%
Fukuda Corp. 395,000 4,321,367 0.2%
Fukushima Industries Corp. 78,100 1,730,736 0.1%
# Fukuyama Transporting Co., Ltd. 751,400 3,849,218 0.2%
FULLCAST Holdings Co., Ltd. 73,900 490,395 0.0%
Funai Soken Holdings, Inc. 140,760 2,135,589 0.1%
Furukawa Co., Ltd. 1,665,000 2,408,577 0.1%
Furukawa Electric Co., Ltd. 4,628,000 11,330,847 0.4%
Furusato Industries, Ltd. 52,000 783,976 0.0%
# Futaba Corp. 125,100 1,898,932 0.1%
Gecoss Corp. 104,400 1,064,087 0.0%
# Giken, Ltd. 2,400 42,342 0.0%
Glory, Ltd. 268,900 8,806,815 0.3%
GS Yuasa Corp. 1,210,000 4,960,008 0.2%
# Hamakyorex Co., Ltd. 84,400 1,512,621 0.1%
Hanwa Co., Ltd. 1,221,000 5,456,710 0.2%
# Harmonic Drive Systems, Inc. 150,100 3,362,177 0.1%
# Hazama Ando Corp. 1,082,400 5,279,990 0.2%
Hibiya Engineering, Ltd. 117,500 1,634,991 0.1%
Hirakawa Hewtech Corp. 1,800 13,917 0.0%
# Hisaka Works, Ltd. 100,200 730,272 0.0%
Hitachi Koki Co., Ltd. 311,600 2,108,053 0.1%
Hitachi Transport System, Ltd. 278,000 4,658,884 0.2%
Hitachi Zosen Corp. 991,379 5,031,817 0.2%
Hito Communications, Inc. 4,600 84,974 0.0%
Hokuetsu Industries Co., Ltd. 105,900 645,580 0.0%
# Hokuriku Electrical Construction Co., Ltd. 23,000 168,282 0.0%
Hosokawa Micron Corp. 176,000 908,306 0.0%
Howa Machinery, Ltd. 72,100 361,609 0.0%
Ichiken Co., Ltd. 143,000 367,501 0.0%
Ichinen Holdings Co., Ltd. 114,200 1,014,524 0.0%
Idec Corp. 158,800 1,458,100 0.1%
# Iino Kaiun Kaisha, Ltd. 521,100 2,027,988 0.1%
Inaba Denki Sangyo Co., Ltd. 138,700 4,355,009 0.2%
# Inaba Seisakusho Co., Ltd. 49,700 605,860 0.0%
Inabata & Co., Ltd. 296,300 2,886,039 0.1%
# Inui Global Logistics Co., Ltd. 71,880 576,919 0.0%
# Iseki & Co., Ltd. 1,110,000 2,362,189 0.1%
Ishii Iron Works Co., Ltd. 110,000 153,503 0.0%
Itoki Corp. 213,800 1,343,443 0.1%
Iwasaki Electric Co., Ltd. 372,000 634,503 0.0%
Iwatani Corp. 1,087,000 6,385,315 0.3%
JAC Recruitment Co., Ltd. 13,400 165,158 0.0%
# Jalux, Inc. 33,200 631,912 0.0%
# Jamco Corp. 68,400 1,750,190 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Industrials -- (Continued)
Japan Foundation Engineering Co., Ltd. 119,500 $ 467,107 0.0%
Japan Pulp & Paper Co., Ltd. 465,000 1,378,602 0.1%
Japan Steel Works, Ltd. (The) 1,992,000 7,717,303 0.3%
Japan Transcity Corp. 242,000 794,406 0.0%
JK Holdings Co., Ltd. 89,940 385,089 0.0%
# Juki Corp. 183,600 1,615,355 0.1%
Kamei Corp. 148,700 1,339,723 0.1%
Kanaden Corp. 110,600 861,326 0.0%
Kanagawa Chuo Kotsu Co., Ltd. 190,000 1,063,841 0.0%
Kanamoto Co., Ltd. 171,600 4,411,056 0.2%
Kandenko Co., Ltd. 626,000 4,451,351 0.2%
Kanematsu Corp. 2,395,625 3,607,674 0.1%
# Katakura Industries Co., Ltd. 136,100 1,468,369 0.1%
# Kato Works Co., Ltd. 309,000 1,182,615 0.1%
# KAWADA TECHNOLOGIES, Inc. 53,700 1,636,617 0.1%
Kawasaki Kinkai Kisen Kaisha, Ltd. 96,000 281,393 0.0%
# Kawasaki Kisen Kaisha, Ltd. 3,035,000 6,471,281 0.3%
Keihin Co., Ltd. 249,000 307,821 0.0%
#* KI Holdings Co., Ltd. 88,000 251,134 0.0%
Kimura Chemical Plants Co., Ltd. 39,900 135,909 0.0%
King Jim Co., Ltd. 13,000 101,879 0.0%
# Kinki Sharyo Co., Ltd. 153,000 438,289 0.0%
Kintetsu World Express, Inc. 155,600 2,035,882 0.1%
Kitagawa Iron Works Co., Ltd. 496,000 884,485 0.0%
Kitano Construction Corp. 259,000 621,980 0.0%
# Kito Corp. 108,500 747,889 0.0%
Kitz Corp. 543,500 2,203,063 0.1%
* Kobe Electric Railway Co., Ltd. 29,000 97,744 0.0%
Kobelco Eco-Solutions Co., Ltd. 97,000 386,693 0.0%
Koike Sanso Kogyo Co., Ltd. 145,000 330,106 0.0%
# Kokusai Co., Ltd. 40,400 466,610 0.0%
Kokuyo Co., Ltd. 525,125 6,879,869 0.3%
# KOMAIHALTEC, Inc. 227,000 486,365 0.0%
Komatsu Wall Industry Co., Ltd. 40,000 623,580 0.0%
Komori Corp. 348,700 4,100,108 0.2%
Kondotec, Inc. 124,000 1,001,933 0.0%
Konoike Transport Co., Ltd. 70,600 822,811 0.0%
#* Kosaido Co., Ltd. 248,600 746,760 0.0%
KRS Corp. 36,200 898,754 0.0%
Kumagai Gumi Co., Ltd. 1,802,000 4,875,051 0.2%
# Kuroda Electric Co., Ltd. 219,100 3,378,723 0.1%
Kyodo Printing Co., Ltd. 506,000 1,496,123 0.1%
Kyokuto Boeki Kaisha, Ltd. 58,000 113,150 0.0%
Kyokuto Kaihatsu Kogyo Co., Ltd. 185,700 1,828,923 0.1%
Kyoritsu Printing Co., Ltd. 105,300 270,310 0.0%
Kyowa Exeo Corp. 481,800 5,446,633 0.2%
# Kyudenko Corp. 219,000 5,561,305 0.2%
# Link And Motivation, Inc. 251,400 323,301 0.0%
Lonseal Corp. 116,000 159,007 0.0%
# Maeda Corp. 821,000 6,272,059 0.2%
Maeda Kosen Co., Ltd. 102,300 1,072,003 0.0%
Maeda Road Construction Co., Ltd. 387,000 7,050,484 0.3%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Industrials -- (Continued)
Maezawa Industries, Inc. 35,700 $ 96,855 0.0%
Maezawa Kasei Industries Co., Ltd. 45,600 422,433 0.0%
Maezawa Kyuso Industries Co., Ltd. 48,200 628,387 0.0%
# Makino Milling Machine Co., Ltd. 655,000 3,935,199 0.2%
Marubeni Construction Material Lease Co.,
Ltd. 75,000 124,636 0.0%
# Marufuji Sheet Piling Co., Ltd. 58,000 125,068 0.0%
Maruka Machinery Co., Ltd. 32,200 380,219 0.0%
Maruwa Unyu Kikan Co., Ltd. 1,000 24,873 0.0%
Maruyama Manufacturing Co., Inc. 230,000 369,315 0.0%
Maruzen Co., Ltd. 46,000 407,618 0.0%
Maruzen Showa Unyu Co., Ltd. 300,000 1,115,207 0.1%
# Matsuda Sangyo Co., Ltd. 81,082 875,669 0.0%
Matsui Construction Co., Ltd. 124,600 864,755 0.0%
Max Co., Ltd. 191,000 2,037,543 0.1%
Meidensha Corp. 1,171,050 4,890,292 0.2%
Meiji Shipping Co., Ltd. 111,000 372,993 0.0%
# Meisei Industrial Co., Ltd. 251,000 1,140,000 0.1%
# Meitec Corp. 181,300 6,288,930 0.2%
# Meiwa Corp. 158,000 527,304 0.0%
Mesco, Inc. 22,000 169,166 0.0%
Mie Kotsu Group Holdings, Inc. 5,400 28,083 0.0%
Mirait Holdings Corp. 374,085 3,278,968 0.1%
Mitani Corp. 68,200 1,965,195 0.1%
Mitsubishi Kakoki Kaisha, Ltd. 49,000 95,360 0.0%
# Mitsubishi Logistics Corp. 26,000 355,448 0.0%
Mitsubishi Nichiyu Forklift Co., Ltd. 159,600 720,562 0.0%
# Mitsubishi Pencil Co., Ltd. 95,800 4,563,196 0.2%
Mitsuboshi Belting, Ltd. 328,000 2,594,234 0.1%
# Mitsui Engineering & Shipbuilding Co., Ltd. 5,109,000 7,889,678 0.3%
Mitsui Matsushima Co., Ltd. 847,000 879,623 0.0%
Mitsui-Soko Holdings Co., Ltd. 626,000 1,676,012 0.1%
Mitsumura Printing Co., Ltd. 93,000 174,272 0.0%
# Miyaji Engineering Group, Inc. 332,175 454,400 0.0%
Morita Holdings Corp. 227,700 2,714,362 0.1%
# NAC Co., Ltd. 58,900 466,804 0.0%
# Nachi-Fujikoshi Corp. 1,025,000 3,302,313 0.1%
Nagase & Co., Ltd. 374,900 4,157,113 0.2%
Nakabayashi Co., Ltd. 211,000 525,818 0.0%
Nakano Corp. 14,800 67,846 0.0%
Namura Shipbuilding Co., Ltd. 217,228 1,610,504 0.1%
Narasaki Sangyo Co., Ltd. 103,000 220,281 0.0%
NDS Co., Ltd. 241,000 655,035 0.0%
# NEC Capital Solutions, Ltd. 43,800 609,256 0.0%
Nichias Corp. 581,000 3,763,447 0.2%
Nichiban Co., Ltd. 119,000 694,165 0.0%
Nichiden Corp. 22,600 607,257 0.0%
Nichiha Corp. 143,680 2,190,147 0.1%
Nichireki Co., Ltd. 148,000 1,062,923 0.0%
Nihon Flush Co., Ltd. 3,600 33,775 0.0%
Nihon Trim Co., Ltd. 18,200 1,240,802 0.1%
Nikkato Corp. 700 2,411 0.0%
Nikko Co., Ltd. 155,000 464,919 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Industrials -- (Continued)
Nikkon Holdings Co., Ltd. 356,800 $6,626,450 0.3%
Nippo Corp. 142,000 2,354,444 0.1%
Nippon Air Conditioning Services Co., Ltd. 29,800 143,411 0.0%
# Nippon Carbon Co., Ltd. 648,000 1,310,540 0.1%
Nippon Densetsu Kogyo Co., Ltd. 227,300 4,418,958 0.2%
Nippon Filcon Co., Ltd. 70,900 281,408 0.0%
Nippon Hume Corp. 129,400 681,725 0.0%
Nippon Kanzai Co., Ltd. 84,800 1,297,461 0.1%
Nippon Koei Co., Ltd. 390,000 1,255,632 0.1%
# Nippon Parking Development Co., Ltd. 1,197,800 1,328,316 0.1%
Nippon Rietec Co., Ltd. 7,000 54,306 0.0%
Nippon Road Co., Ltd. (The) 384,000 1,780,003 0.1%
Nippon Seisen Co., Ltd. 100,000 414,663 0.0%
#* Nippon Sharyo, Ltd. 422,000 1,021,669 0.0%
* Nippon Sheet Glass Co., Ltd. 5,848,000 4,566,444 0.2%
Nippon Steel & Sumikin Bussan Corp. 955,599 3,375,783 0.1%
Nippon Thompson Co., Ltd. 410,000 1,479,528 0.1%
Nippon Tungsten Co., Ltd. 62,000 98,155 0.0%
Nishi-Nippon Railroad Co., Ltd. 1,196,000 7,294,877 0.3%
Nishimatsu Construction Co., Ltd. 1,794,000 7,834,166 0.3%
Nishio Rent All Co., Ltd. 92,500 2,432,486 0.1%
# Nissei ASB Machine Co., Ltd. 46,700 882,861 0.0%
Nissei Corp. 37,900 327,612 0.0%
Nissei Plastic Industrial Co., Ltd. 184,500 1,089,276 0.0%
# Nissha Printing Co., Ltd. 157,500 2,507,975 0.1%
Nisshinbo Holdings, Inc. 870,500 9,478,429 0.4%
Nissin Corp. 399,000 1,132,766 0.1%
Nissin Electric Co., Ltd. 279,000 3,208,389 0.1%
Nitta Corp. 101,900 2,492,385 0.1%
* Nitto Boseki Co., Ltd. 906,000 2,797,372 0.1%
Nitto Kogyo Corp. 159,700 2,528,498 0.1%
Nitto Kohki Co., Ltd. 68,500 1,348,204 0.1%
Nitto Seiko Co., Ltd. 149,000 391,329 0.0%
# Nittoc Construction Co., Ltd. 96,800 394,383 0.0%
# Nittoku Engineering Co., Ltd. 80,900 733,926 0.0%
NJS Co., Ltd. 30,200 343,442 0.0%
Noda Corp. 153,600 573,295 0.0%
# Nomura Co., Ltd. 216,500 3,612,957 0.1%
Noritake Co., Ltd. 642,000 1,417,184 0.1%
Noritz Corp. 172,400 2,882,529 0.1%
NS United Kaiun Kaisha, Ltd. 599,000 815,550 0.0%
NTN Corp. 852,000 2,640,085 0.1%
Obara Group, Inc. 77,700 2,842,809 0.1%
Obayashi Road Corp. 166,300 1,188,375 0.1%
# Odelic Co., Ltd. 17,900 536,438 0.0%
# Oiles Corp. 151,350 2,454,266 0.1%
Okabe Co., Ltd. 242,100 1,790,899 0.1%
Okamoto Machine Tool Works, Ltd. 205,000 236,629 0.0%
# Okamura Corp. 381,900 3,531,257 0.1%
# OKK Corp. 425,000 414,696 0.0%
# OKUMA Corp. 722,000 5,632,789 0.2%
Okumura Corp. 999,400 5,234,874 0.2%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Industrials -- (Continued)
Onoken Co., Ltd. 84,600 $ 899,043 0.0%
Organo Corp. 228,000 876,443 0.0%
# OSG Corp. 444,300 8,256,700 0.3%
# Outsourcing, Inc. 54,600 1,774,651 0.1%
Oyo Corp. 93,700 991,650 0.0%
Pasco Corp. 124,000 435,152 0.0%
# Pasona Group, Inc. 126,800 774,044 0.0%
# Penta-Ocean Construction Co., Ltd. 1,684,400 7,585,378 0.3%
Pilot Corp. 188,800 7,483,444 0.3%
# Prestige International, Inc. 109,700 1,264,845 0.1%
Pronexus, Inc. 126,400 1,278,291 0.1%
# PS Mitsubishi Construction Co., Ltd. 137,300 501,904 0.0%
Quick Co., Ltd. 7,200 56,938 0.0%
Raito Kogyo Co., Ltd. 300,900 3,188,773 0.1%
Rheon Automatic Machinery Co., Ltd. 95,000 524,982 0.0%
Ryobi, Ltd. 779,200 2,826,654 0.1%
Sakai Heavy Industries, Ltd. 237,000 400,262 0.0%
Sakai Moving Service Co., Ltd. 45,600 1,105,302 0.0%
Sanki Engineering Co., Ltd. 297,600 2,340,792 0.1%
Sanko Metal Industrial Co., Ltd. 136,000 374,926 0.0%
# Sankyo Tateyama, Inc. 166,200 2,300,408 0.1%
Sankyu, Inc. 1,540,000 7,157,381 0.3%
Sanoyas Holdings Corp. 40,600 89,451 0.0%
Sanwa Holdings Corp. 1,232,600 9,563,641 0.4%
Sanyo Denki Co., Ltd. 254,000 1,247,317 0.1%
Sanyo Engineering & Construction, Inc. 48,000 270,673 0.0%
Sanyo Industries, Ltd. 99,000 157,631 0.0%
Sanyo Trading Co., Ltd. 900 11,973 0.0%
# Sata Construction Co., Ltd. 85,399 315,006 0.0%
Sato Holdings Corp. 136,500 2,814,453 0.1%
Sato Shoji Corp. 66,800 397,425 0.0%
# SBS Holdings, Inc. 90,700 558,123 0.0%
Secom Joshinetsu Co., Ltd. 32,900 1,028,388 0.0%
# Seibu Electric Industry Co., Ltd. 70,000 288,248 0.0%
Seika Corp. 313,000 630,166 0.0%
Seikitokyu Kogyo Co., Ltd. 178,300 779,350 0.0%
Seino Holdings Co., Ltd. 120,600 1,225,707 0.1%
Sekisui Jushi Corp. 176,700 2,452,761 0.1%
# Senko Co., Ltd. 547,000 3,499,286 0.1%
Senshu Electric Co., Ltd. 35,100 521,322 0.0%
Shibusawa Warehouse Co., Ltd. (The) 263,000 665,990 0.0%
Shibuya Corp. 89,100 1,053,646 0.0%
# Shima Seiki Manufacturing, Ltd. 161,400 2,648,071 0.1%
Shin Nippon Air Technologies Co., Ltd. 86,280 773,999 0.0%
Shin-Keisei Electric Railway Co., Ltd. 181,000 707,854 0.0%
Shinmaywa Industries, Ltd. 550,000 3,769,198 0.2%
Shinnihon Corp. 186,700 860,908 0.0%
Shinsho Corp. 279,000 503,054 0.0%
Shinwa Co., Ltd. 16,900 215,730 0.0%
#* Shoko Co., Ltd. 198,000 140,227 0.0%
Showa Aircraft Industry Co., Ltd. 15,837 151,120 0.0%
# Sinfonia Technology Co., Ltd. 632,000 839,896 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Industrials -- (Continued)
Sinko Industries, Ltd. 110,700 $1,481,191 0.1%
Sintokogio, Ltd. 265,000 2,240,634 0.1%
Soda Nikka Co., Ltd. 67,000 276,730 0.0%
Sodick Co., Ltd. 191,900 1,486,411 0.1%
Space Co., Ltd. 61,920 749,768 0.0%
# Srg Takamiya Co., Ltd. 106,300 480,037 0.0%
# Star Micronics Co., Ltd. 221,700 2,545,578 0.1%
Subaru Enterprise Co., Ltd. 55,000 194,809 0.0%
Sugimoto & Co., Ltd. 30,500 340,278 0.0%
Sumitomo Densetsu Co., Ltd. 104,400 1,284,074 0.1%
# Sumitomo Mitsui Construction Co., Ltd. 4,537,800 3,931,611 0.2%
Sumitomo Precision Products Co., Ltd. 189,000 582,707 0.0%
Sumitomo Warehouse Co., Ltd. (The) 819,000 4,087,567 0.2%
#* SWCC Showa Holdings Co., Ltd. 1,562,000 946,488 0.0%
Tadano, Ltd. 302,000 2,881,835 0.1%
Taihei Dengyo Kaisha, Ltd. 162,000 1,331,181 0.1%
# Taiheiyo Kouhatsu, Inc. 407,000 276,153 0.0%
Taikisha, Ltd. 147,000 3,356,181 0.1%
Takamatsu Construction Group Co., Ltd. 80,000 1,714,437 0.1%
# Takano Co., Ltd. 49,400 274,039 0.0%
Takaoka Toko Co., Ltd. 43,520 677,664 0.0%
Takara Printing Co., Ltd. 34,055 425,750 0.0%
Takara Standard Co., Ltd. 507,000 4,472,951 0.2%
# Takasago Thermal Engineering Co., Ltd. 319,500 3,979,029 0.2%
Takashima & Co., Ltd. 225,000 351,033 0.0%
# Takeei Corp. 119,500 1,081,080 0.0%
# Takeuchi Manufacturing Co., Ltd. 205,200 3,060,672 0.1%
# Takigami Steel Construction Co., Ltd. (The) 50,000 233,058 0.0%
Takisawa Machine Tool Co., Ltd. 368,000 400,843 0.0%
# Takuma Co., Ltd. 414,000 3,558,835 0.1%
Tanseisha Co., Ltd. 162,449 1,266,464 0.1%
Tatsuta Electric Wire and Cable Co., Ltd. 257,400 808,073 0.0%
TECHNO ASSOCIE Co., Ltd. 56,800 465,161 0.0%
Techno Ryowa, Ltd. 69,390 415,714 0.0%
Teikoku Electric Manufacturing Co., Ltd. 91,100 677,847 0.0%
Teikoku Sen-I Co., Ltd. 102,100 1,434,405 0.1%
# Tekken Corp. 234,000 580,181 0.0%
Teraoka Seisakusho Co., Ltd. 53,600 180,129 0.0%
Toa Corp. 1,103,000 2,432,678 0.1%
TOA ROAD Corp. 266,000 883,131 0.0%
# Tobishima Corp. 1,073,200 1,763,543 0.1%
Tocalo Co., Ltd. 82,300 1,480,446 0.1%
Toda Corp. 1,179,000 5,495,806 0.2%
Toenec Corp. 212,000 1,360,576 0.1%
Togami Electric Manufacturing Co., Ltd. 14,000 53,214 0.0%
# TOKAI Holdings Corp. 528,400 2,961,176 0.1%
# Tokai Lease Co., Ltd. 154,000 301,325 0.0%
Tokyo Energy & Systems, Inc. 139,000 1,041,500 0.0%
Tokyo Keiki, Inc. 354,000 491,777 0.0%
* Tokyo Kikai Seisakusho, Ltd. 256,000 98,317 0.0%
Tokyo Sangyo Co., Ltd. 81,000 281,217 0.0%
Tokyu Construction Co., Ltd. 44,000 360,894 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Industrials -- (Continued)
Toli Corp. 261,000 $ 752,235 0.0%
Tomoe Corp. 152,000 498,649 0.0%
# Tomoe Engineering Co., Ltd. 37,200 499,907 0.0%
Tonami Holdings Co., Ltd. 308,000 788,601 0.0%
Toppan Forms Co., Ltd. 298,500 3,283,128 0.1%
# Torishima Pump Manufacturing Co., Ltd. 117,100 1,112,603 0.1%
# Toshiba Machine Co., Ltd. 663,000 1,975,087 0.1%
# Toshiba Plant Systems & Services Corp. 262,650 3,248,043 0.1%
# Tosho Printing Co., Ltd. 227,000 1,167,890 0.1%
Totetsu Kogyo Co., Ltd. 145,100 4,226,997 0.2%
Toyo Construction Co., Ltd. 377,100 1,612,512 0.1%
Toyo Denki Seizo K.K. 207,000 597,374 0.0%
# Toyo Engineering Corp. 689,400 1,880,306 0.1%
Toyo Machinery & Metal Co., Ltd. 87,400 308,068 0.0%
Toyo Tanso Co., Ltd. 67,000 855,992 0.0%
Toyo Wharf & Warehouse Co., Ltd. 340,000 450,037 0.0%
Trancom Co., Ltd. 42,000 2,490,768 0.1%
Trinity Industrial Corp. 19,000 79,706 0.0%
Trusco Nakayama Corp. 112,700 4,478,154 0.2%
Trust Tech, Inc. 45,600 585,561 0.0%
Tsubakimoto Chain Co. 845,700 5,515,344 0.2%
Tsubakimoto Kogyo Co., Ltd. 117,000 315,312 0.0%
#* Tsudakoma Corp. 294,000 330,825 0.0%
# Tsugami Corp. 395,000 1,647,423 0.1%
Tsukishima Kikai Co., Ltd. 130,700 1,092,785 0.0%
Tsurumi Manufacturing Co., Ltd. 92,200 1,224,291 0.1%
TTK Co., Ltd. 62,000 263,082 0.0%
Uchida Yoko Co., Ltd. 297,000 1,229,614 0.1%
Ueki Corp. 348,000 715,861 0.0%
Union Tool Co. 49,200 1,354,267 0.1%
Ushio, Inc. 409,500 5,569,564 0.2%
Utoc Corp. 98,700 284,131 0.0%
# Wakachiku Construction Co., Ltd. 1,052,000 1,446,712 0.1%
Wakita & Co., Ltd. 219,800 1,525,131 0.1%
WDB Holdings Co., Ltd. 10,000 80,695 0.0%
Weathernews, Inc. 27,800 975,761 0.0%
# World Holdings Co., Ltd. 5,400 64,414 0.0%
# Yahagi Construction Co., Ltd. 159,400 1,133,976 0.1%
YAMABIKO Corp. 184,328 1,308,400 0.1%
Yamato Corp. 82,000 352,997 0.0%
Yamaura Corp. 16,200 74,973 0.0%
Yamazen Corp. 296,900 2,320,625 0.1%
Yasuda Logistics Corp. 94,300 609,070 0.0%
# Yokogawa Bridge Holdings Corp. 177,600 1,601,660 0.1%
Yondenko Corp. 128,800 493,180 0.0%
Yuasa Trading Co., Ltd. 105,000 2,359,641 0.1%
Yuken Kogyo Co., Ltd. 196,000 315,522 0.0%
# Yumeshin Holdings Co., Ltd. 154,700 890,467 0.0%
Yurtec Corp. 249,000 1,788,214 0.1%
# Yusen Logistics Co., Ltd. 109,500 1,288,300 0.1%
Yushin Precision Equipment Co., Ltd. 1,600 27,364 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
Industrials -- (Continued)
# Zuiko Corp. 18,300 $ 749,604 0.0%
------------ ----
Total Industrials 733,722,257 28.1%
------------ ----
Information Technology -- (10.5%)
# A&D Co., Ltd. 113,900 406,323 0.0%
# Advantest Corp. 341,400 3,241,154 0.1%
Ai Holdings Corp. 247,200 7,063,817 0.3%
Aichi Tokei Denki Co., Ltd. 187,000 529,323 0.0%
# Aiphone Co., Ltd. 71,900 1,149,481 0.0%
* Allied Telesis Holdings K.K. 52,400 20,325 0.0%
Alpha Systems, Inc. 32,560 520,509 0.0%
Amano Corp. 374,300 6,123,269 0.2%
# Anritsu Corp. 857,300 5,099,071 0.2%
AOI Electronics Co., Ltd. 26,900 521,743 0.0%
Argo Graphics, Inc. 22,600 367,106 0.0%
# Arisawa Manufacturing Co., Ltd. 192,200 983,385 0.0%
Asahi Net, Inc. 59,600 264,256 0.0%
Ateam, Inc. 6,200 89,155 0.0%
Axell Corp. 44,900 348,347 0.0%
Azbil Corp. 190,300 4,882,770 0.2%
Broadband Tower, Inc. 31,400 55,232 0.0%
Broadleaf Co., Ltd. 118,700 1,173,000 0.1%
CAC Holdings Corp. 50,500 387,696 0.0%
Canon Electronics, Inc. 132,000 1,906,572 0.1%
Capcom Co., Ltd. 294,600 6,786,206 0.3%
Chino Corp. 35,900 331,746 0.0%
#* CMK Corp. 260,100 973,472 0.0%
Computer Engineering & Consulting, Ltd. 74,200 1,075,266 0.0%
CONEXIO Corp. 114,700 1,301,986 0.1%
# COOKPAD, Inc. 287,400 4,109,974 0.2%
Cresco., Ltd. 26,500 424,604 0.0%
#* CROOZ, Inc. 32,400 667,469 0.0%
Dai-ichi Seiko Co., Ltd. 55,600 615,015 0.0%
#* Daishinku Corp. 188,000 417,780 0.0%
Daito Electron Co., Ltd. 5,900 36,856 0.0%
Daiwabo Holdings Co., Ltd. 1,186,000 2,332,701 0.1%
Denki Kogyo Co., Ltd. 251,000 1,120,517 0.0%
Densan System Co., Ltd. 800 11,750 0.0%
Digital Arts, Inc. 13,900 275,085 0.0%
# Digital Garage, Inc. 26,000 520,660 0.0%
Dip Corp. 9,200 216,887 0.0%
DKK-Toa Corp. 38,200 198,654 0.0%
DTS Corp. 122,000 2,414,604 0.1%
Eizo Corp. 104,200 2,602,481 0.1%
Elecom Co., Ltd. 101,400 1,701,147 0.1%
Elematec Corp. 52,271 895,075 0.0%
EM Systems Co., Ltd. 37,000 406,953 0.0%
Enplas Corp. 57,000 1,611,705 0.1%
ESPEC Corp. 98,400 1,315,961 0.1%
# Excel Co., Ltd. 49,300 630,348 0.0%
# F@N Communications, Inc. 194,900 1,367,530 0.1%
Faith, Inc. 27,910 341,751 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ----------- ---------------
Information Technology -- (Continued)
#* FDK Corp. 552,000 $ 464,556 0.0%
Ferrotec Corp. 174,000 1,691,974 0.1%
Fuji Soft, Inc. 116,600 2,644,551 0.1%
Fujitsu Frontech, Ltd. 75,300 687,561 0.0%
Furuno Electric Co., Ltd. 137,500 776,334 0.0%
Furuya Metal Co., Ltd. 11,800 182,970 0.0%
Future Corp. 129,200 871,513 0.0%
GMO internet, Inc. 410,800 4,823,415 0.2%
# GMO Payment Gateway, Inc. 98,500 6,294,127 0.2%
Gree, Inc. 672,200 3,767,232 0.1%
Gurunavi, Inc. 172,800 4,089,274 0.2%
Hakuto Co., Ltd. 80,700 675,440 0.0%
Hioki EE Corp. 45,700 970,298 0.0%
Hitachi Kokusai Electric, Inc. 332,500 3,485,279 0.1%
Hitachi Maxell, Ltd. 6,300 94,713 0.0%
# Hochiki Corp. 140,000 1,548,059 0.1%
# Hokuriku Electric Industry Co., Ltd. 482,000 584,558 0.0%
# Horiba, Ltd. 212,650 8,026,275 0.3%
Hosiden Corp. 257,000 1,620,370 0.1%
I-Net Corp. 53,900 564,961 0.0%
Ibiden Co., Ltd. 241,478 3,038,891 0.1%
Icom, Inc. 46,600 904,214 0.0%
# Ikegami Tsushinki Co., Ltd. 309,000 376,375 0.0%
Imagica Robot Holdings, Inc. 53,800 189,511 0.0%
Ines Corp. 183,900 1,920,594 0.1%
Infocom Corp. 80,400 1,238,783 0.1%
Information Services International-Dentsu,
Ltd. 75,900 1,391,686 0.1%
Innotech Corp. 93,000 365,221 0.0%
Internet Initiative Japan, Inc. 192,400 3,768,753 0.2%
# Iriso Electronics Co., Ltd. 50,500 2,404,861 0.1%
# IT Holdings Corp. 505,101 11,936,378 0.5%
* Itfor, Inc. 56,300 246,419 0.0%
* Iwatsu Electric Co., Ltd. 500,000 327,504 0.0%
Japan Aviation Electronics Industry, Ltd. 131,000 1,748,702 0.1%
Japan Digital Laboratory Co., Ltd. 93,600 1,266,147 0.1%
#* Japan Display, Inc. 801,200 1,533,651 0.1%
# Japan Material Co., Ltd. 13,700 327,865 0.0%
# Japan Radio Co., Ltd. 326,000 821,147 0.0%
# Jastec Co., Ltd. 37,800 324,840 0.0%
# JBCC Holdings, Inc. 87,500 539,190 0.0%
Justsystems Corp. 160,600 1,300,849 0.1%
Kaga Electronics Co., Ltd. 105,100 1,242,597 0.1%
Kanematsu Electronics, Ltd. 72,000 1,248,379 0.1%
#* KLab, Inc. 191,400 1,026,824 0.0%
Koa Corp. 194,100 1,366,036 0.1%
Kyoden Co., Ltd. 1,300 2,329 0.0%
Kyoei Sangyo Co., Ltd. 37,000 42,701 0.0%
Kyosan Electric Manufacturing Co., Ltd. 279,000 869,786 0.0%
Kyowa Electronic Instruments Co., Ltd. 135,100 489,609 0.0%
# LAC Co., Ltd. 82,700 823,241 0.0%
Lasertec Corp. 43,300 562,951 0.0%
Macnica Fuji Electronics Holdings, Inc. 126,550 1,401,371 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Information Technology -- (Continued)
Mamezou Holdings Co., Ltd. 10,100 $ 60,116 0.0%
Marubun Corp. 95,700 657,876 0.0%
Maruwa Co., Ltd. 52,300 1,485,139 0.1%
# Marvelous, Inc. 196,300 1,595,197 0.1%
# Megachips Corp. 107,400 1,104,289 0.0%
* Meiko Electronics Co., Ltd. 111,800 307,900 0.0%
Melco Holdings, Inc. 75,500 1,497,867 0.1%
# Micronics Japan Co., Ltd. 167,000 1,485,506 0.1%
Mimasu Semiconductor Industry Co., Ltd. 92,281 885,649 0.0%
Miraial Co., Ltd. 29,800 209,964 0.0%
Miroku Jyoho Service Co., Ltd. 96,700 957,159 0.0%
Mitsubishi Research Institute, Inc. 32,600 1,032,422 0.0%
Mitsui High-Tec, Inc. 139,000 852,180 0.0%
# Mitsumi Electric Co., Ltd. 405,400 1,965,277 0.1%
# MTI, Ltd. 168,800 1,182,507 0.1%
# Mutoh Holdings Co., Ltd. 126,000 260,637 0.0%
Nagano Keiki Co., Ltd. 5,500 31,580 0.0%
# Nakayo, Inc. 390,000 1,185,805 0.1%
NEC Networks & System Integration Corp. 136,600 2,118,487 0.1%
# NET One Systems Co., Ltd. 525,900 2,730,708 0.1%
* New Japan Radio Co., Ltd. 96,000 365,518 0.0%
# Nexyz Group Corp. 15,000 222,362 0.0%
Nichicon Corp. 324,600 2,186,702 0.1%
NIFTY Corp. 46,100 455,859 0.0%
Nihon Dempa Kogyo Co., Ltd. 102,700 666,607 0.0%
# Nihon Unisys, Ltd. 351,175 4,300,476 0.2%
# Nippon Ceramic Co., Ltd. 62,200 1,120,129 0.0%
# Nippon Chemi-Con Corp. 950,000 1,264,599 0.1%
# Nippon Kodoshi Corp. 25,000 188,972 0.0%
Nippon Signal Co., Ltd. 310,600 2,585,574 0.1%
Nippon Systemware Co., Ltd. 29,400 254,567 0.0%
Nohmi Bosai, Ltd. 132,600 1,856,728 0.1%
Noritsu Koki Co., Ltd. 76,800 435,905 0.0%
NS Solutions Corp. 131,800 2,291,314 0.1%
NSD Co., Ltd. 155,080 2,431,944 0.1%
Nuflare Technology, Inc. 18,500 824,191 0.0%
# Ohara, Inc. 47,600 225,740 0.0%
Oizumi Corp. 16,300 69,538 0.0%
# Okaya Electric Industries Co., Ltd. 73,000 253,750 0.0%
# Oki Electric Industry Co., Ltd. 4,751,000 6,650,083 0.3%
# ONO Sokki Co., Ltd. 58,400 432,068 0.0%
Optex Co., Ltd. 63,900 2,041,840 0.1%
# Origin Electric Co., Ltd. 173,000 441,242 0.0%
Osaki Electric Co., Ltd. 168,000 1,200,779 0.1%
Panasonic Industrial Devices SUNX Co., Ltd. 111,600 576,405 0.0%
PCA Corp. 2,500 30,159 0.0%
Poletowin Pitcrew Holdings, Inc. 18,300 149,928 0.0%
Riken Keiki Co., Ltd. 76,100 720,911 0.0%
Riso Kagaku Corp. 179,500 2,800,143 0.1%
Roland DG Corp. 49,900 990,782 0.0%
Ryoden Trading Co., Ltd. 174,000 1,014,487 0.0%
Ryosan Co., Ltd. 191,900 4,597,862 0.2%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Information Technology -- (Continued)
# Ryoyo Electro Corp. 104,300 $1,248,377 0.1%
# Sanken Electric Co., Ltd. 673,000 2,231,152 0.1%
Sanshin Electronics Co., Ltd. 149,900 1,237,582 0.1%
Satori Electric Co., Ltd. 85,880 589,977 0.0%
Saxa Holdings, Inc. 298,000 547,326 0.0%
SCREEN Holdings Co., Ltd. 1,006,000 7,761,522 0.3%
Shibaura Electronics Co., Ltd. 26,200 361,214 0.0%
# Shibaura Mechatronics Corp. 200,000 382,253 0.0%
Shindengen Electric Manufacturing Co., Ltd. 433,000 1,562,432 0.1%
#* Shinkawa, Ltd. 57,300 218,257 0.0%
Shinko Electric Industries Co., Ltd. 437,900 2,432,249 0.1%
Shinko Shoji Co., Ltd. 121,700 1,187,382 0.1%
Shizuki Electric Co., Inc. 100,000 509,981 0.0%
# Siix Corp. 92,900 2,744,475 0.1%
SMK Corp. 360,000 1,467,766 0.1%
# SMS Co., Ltd. 150,200 2,786,961 0.1%
Softbank Technology Corp. 29,000 446,395 0.0%
* Softbrain Co., Ltd. 161,300 243,205 0.0%
Softcreate Holdings Corp. 4,000 34,110 0.0%
Sourcenext Corp. 17,500 79,099 0.0%
SRA Holdings 47,500 1,102,539 0.0%
Sumco Corp. 77,200 488,880 0.0%
# Sumida Corp. 107,549 671,443 0.0%
Sun-Wa Technos Corp. 35,100 226,363 0.0%
Systena Corp. 116,600 1,749,809 0.1%
Tabuchi Electric Co., Ltd. 145,100 628,723 0.0%
Tachibana Eletech Co., Ltd. 83,160 895,713 0.0%
Taiyo Yuden Co., Ltd. 642,700 6,413,527 0.3%
Tamura Corp. 447,000 1,203,379 0.1%
Teikoku Tsushin Kogyo Co., Ltd. 198,000 297,841 0.0%
TKC Corp. 104,700 2,844,548 0.1%
* Toko, Inc. 208,000 780,909 0.0%
# Tokyo Electron Device, Ltd. 37,200 503,556 0.0%
Tokyo Seimitsu Co., Ltd. 231,900 4,809,106 0.2%
Tomen Devices Corp. 2,400 38,965 0.0%
# Topcon Corp. 171,900 2,116,024 0.1%
Tose Co., Ltd. 22,100 147,208 0.0%
# Toshiba TEC Corp. 806,000 3,044,201 0.1%
Toukei Computer Co., Ltd. 22,710 426,021 0.0%
Towa Corp. 124,500 793,975 0.0%
Toyo Corp. 131,600 1,342,061 0.1%
Transcosmos, Inc. 154,000 4,063,069 0.2%
UKC Holdings Corp. 64,900 1,152,327 0.1%
Ulvac, Inc. 252,600 7,745,140 0.3%
#* Uniden Holdings Corp. 366,000 419,465 0.0%
#* UT Group Co., Ltd. 189,500 749,062 0.0%
# V Technology Co., Ltd. 5,100 211,514 0.0%
# Vitec Holdings Co., Ltd. 36,200 318,336 0.0%
# Wacom Co., Ltd. 920,300 3,825,741 0.2%
# Wellnet Corp. 19,100 639,724 0.0%
# Y A C Co., Ltd. 31,000 297,189 0.0%
Yamaichi Electronics Co., Ltd. 120,500 598,351 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
Information Technology -- (Continued)
Yashima Denki Co., Ltd. 25,600 $ 128,760 0.0%
Yokowo Co., Ltd. 86,200 391,948 0.0%
* Zappallas, Inc. 55,900 204,424 0.0%
Zuken, Inc. 64,400 629,502 0.0%
------------ ----
Total Information Technology 303,972,069 11.6%
------------ ----
Materials -- (10.5%)
Achilles Corp. 909,000 1,161,282 0.1%
ADEKA Corp. 523,000 7,334,470 0.3%
Agro-Kanesho Co., Ltd. 31,900 290,775 0.0%
Aichi Steel Corp. 654,000 2,771,575 0.1%
Alconix Corp. 50,900 735,185 0.0%
Arakawa Chemical Industries, Ltd. 86,300 732,668 0.0%
Araya Industrial Co., Ltd. 268,000 301,443 0.0%
# Asahi Holdings, Inc. 155,550 2,090,546 0.1%
Asahi Printing Co., Ltd. 800 16,147 0.0%
ASAHI YUKIZAI Corp. 412,000 777,488 0.0%
Asia Pile Holdings Corp. 15,700 58,593 0.0%
C Uyemura & Co., Ltd. 23,100 990,896 0.0%
Carlit Holdings Co., Ltd. 71,700 316,687 0.0%
# Chuetsu Pulp & Paper Co., Ltd. 552,000 1,014,213 0.0%
* Chugai Mining Co., Ltd. 1,012,400 205,466 0.0%
Chugoku Marine Paints, Ltd. 345,000 2,444,060 0.1%
# Dai Nippon Toryo Co., Ltd. 740,000 1,293,963 0.1%
Daido Steel Co., Ltd. 920,000 3,108,530 0.1%
# Daiichi Kigenso Kagaku-Kogyo Co., Ltd. 17,600 478,604 0.0%
Daiken Corp. 390,000 1,107,157 0.1%
Daiki Aluminium Industry Co., Ltd. 153,000 386,427 0.0%
Dainichiseika Color & Chemicals
Manufacturing Co., Ltd. 408,000 1,683,646 0.1%
# Daio Paper Corp. 497,300 4,904,451 0.2%
# DC Co., Ltd. 110,700 338,346 0.0%
Denka Co., Ltd. 1,753,000 7,379,361 0.3%
# DKS Co., Ltd. 207,000 644,718 0.0%
Dowa Holdings Co., Ltd. 217,000 1,359,611 0.1%
Dynapac Co., Ltd. 25,000 60,951 0.0%
FP Corp. 148,000 6,546,246 0.3%
Fuji Seal International, Inc. 132,100 4,493,822 0.2%
Fujikura Kasei Co., Ltd. 145,500 655,471 0.0%
Fujimi, Inc. 91,800 1,216,629 0.1%
Fujimori Kogyo Co., Ltd. 75,000 1,738,640 0.1%
# Fumakilla, Ltd. 78,000 471,992 0.0%
Fuso Chemical Co., Ltd. 39,600 608,119 0.0%
Godo Steel, Ltd. 874,000 1,589,237 0.1%
Gun-Ei Chemical Industry Co., Ltd. 286,000 795,418 0.0%
Harima Chemicals Group, Inc. 73,300 337,462 0.0%
# Hodogaya Chemical Co., Ltd. 339,000 688,500 0.0%
Hokkan Holdings, Ltd. 275,000 829,019 0.0%
Hokko Chemical Industry Co., Ltd. 104,000 297,651 0.0%
Hokuetsu Kishu Paper Co., Ltd. 857,799 5,424,236 0.2%
Honshu Chemical Industry Co., Ltd. 14,000 83,486 0.0%
Ihara Chemical Industry Co., Ltd. 199,100 2,548,768 0.1%
Ise Chemicals Corp. 81,000 361,864 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Materials -- (Continued)
* Ishihara Sangyo Kaisha, Ltd. 1,911,500 $1,313,962 0.1%
# Ishizuka Glass Co., Ltd. 119,000 193,321 0.0%
Japan Pure Chemical Co., Ltd. 1,600 29,840 0.0%
# JCU Corp. 27,700 870,060 0.0%
JSP Corp. 71,600 1,232,385 0.1%
# Kanto Denka Kogyo Co., Ltd. 250,000 1,811,533 0.1%
Katakura & Co-op Agri Corp. 39,000 77,302 0.0%
Kawakin Holdings Co., Ltd. 11,000 29,005 0.0%
Kimoto Co., Ltd. 228,000 356,577 0.0%
Koatsu Gas Kogyo Co., Ltd. 158,493 942,250 0.0%
# Kogi Corp. 55,000 81,049 0.0%
Kohsoku Corp. 60,200 468,582 0.0%
Konishi Co., Ltd. 179,400 2,251,630 0.1%
Krosaki Harima Corp. 270,000 597,672 0.0%
Kureha Corp. 764,500 2,622,694 0.1%
Kurimoto, Ltd. 615,000 928,221 0.0%
Kyoei Steel, Ltd. 106,200 1,640,817 0.1%
# Kyowa Leather Cloth Co., Ltd. 43,500 328,287 0.0%
Lintec Corp. 286,700 5,496,005 0.2%
# MEC Co., Ltd. 95,800 678,008 0.0%
Mitani Sekisan Co., Ltd. 24,000 371,646 0.0%
* Mitsubishi Paper Mills, Ltd. 1,679,000 1,278,705 0.1%
Mitsubishi Steel Manufacturing Co., Ltd. 849,000 1,413,983 0.1%
Mitsui Mining & Smelting Co., Ltd. 3,627,000 6,806,839 0.3%
# MORESCO Corp. 39,700 423,730 0.0%
Mory Industries, Inc. 152,000 410,575 0.0%
* Nakayama Steel Works, Ltd. 845,000 520,483 0.0%
Neturen Co., Ltd. 166,900 1,145,017 0.1%
#* New Japan Chemical Co., Ltd. 182,300 298,919 0.0%
Nichia Steel Works, Ltd. 164,900 346,402 0.0%
Nihon Kagaku Sangyo Co., Ltd. 71,000 515,979 0.0%
# Nihon Nohyaku Co., Ltd. 260,400 1,362,032 0.1%
Nihon Parkerizing Co., Ltd. 553,500 4,882,087 0.2%
Nihon Yamamura Glass Co., Ltd. 489,000 735,723 0.0%
# Nippon Carbide Industries Co., Inc. 434,000 635,085 0.0%
Nippon Chemical Industrial Co., Ltd. 477,000 890,331 0.0%
# Nippon Chutetsukan K.K. 79,000 111,771 0.0%
# Nippon Concrete Industries Co., Ltd. 203,100 512,560 0.0%
Nippon Denko Co., Ltd. 673,414 1,079,443 0.0%
Nippon Fine Chemical Co., Ltd. 81,000 557,194 0.0%
# Nippon Kasei Chemical Co., Ltd. 192,000 199,705 0.0%
Nippon Kayaku Co., Ltd. 540,000 5,797,496 0.2%
* Nippon Kinzoku Co., Ltd. 293,000 262,730 0.0%
# Nippon Koshuha Steel Co., Ltd. 460,000 320,561 0.0%
Nippon Light Metal Holdings Co., Ltd. 3,065,900 5,410,388 0.2%
# Nippon Paper Industries Co., Ltd. 288,100 5,536,028 0.2%
Nippon Pillar Packing Co., Ltd. 116,800 981,050 0.0%
Nippon Soda Co., Ltd. 827,000 4,321,408 0.2%
Nippon Synthetic Chemical Industry Co., Ltd.
(The) 287,000 1,731,859 0.1%
Nippon Valqua Industries, Ltd. 489,000 1,278,705 0.1%
#* Nippon Yakin Kogyo Co., Ltd. 831,300 1,074,084 0.0%
# Nisshin Steel Co., Ltd. 582,592 7,799,338 0.3%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Materials -- (Continued)
# Nitta Gelatin, Inc. 37,900 $ 264,155 0.0%
Nittetsu Mining Co., Ltd. 344,000 1,272,035 0.1%
# Nitto FC Co., Ltd. 63,800 532,760 0.0%
NOF Corp. 870,000 6,848,083 0.3%
# Okamoto Industries, Inc. 405,000 2,972,024 0.1%
Okura Industrial Co., Ltd. 284,000 744,594 0.0%
Osaka Organic Chemical Industry, Ltd. 66,000 374,242 0.0%
Osaka Soda Co., Ltd. 424,000 1,608,667 0.1%
Osaka Steel Co., Ltd. 83,300 1,364,471 0.1%
# OSAKA Titanium Technologies Co., Ltd. 113,100 1,528,338 0.1%
#* Pacific Metals Co., Ltd. 924,000 2,956,421 0.1%
Pack Corp. (The) 79,600 1,872,950 0.1%
#* Rasa Industries, Ltd. 480,000 465,846 0.0%
# Rengo Co., Ltd. 1,261,000 6,866,631 0.3%
Riken Technos Corp. 212,600 765,291 0.0%
Sakai Chemical Industry Co., Ltd. 570,000 1,568,539 0.1%
Sakata INX Corp. 235,200 2,656,543 0.1%
Sanyo Chemical Industries, Ltd. 349,000 2,695,187 0.1%
Sanyo Special Steel Co., Ltd. 650,300 2,959,590 0.1%
Sekisui Plastics Co., Ltd. 268,000 855,186 0.0%
Shikoku Chemicals Corp. 225,000 1,864,875 0.1%
Shin-Etsu Polymer Co., Ltd. 190,300 1,127,548 0.1%
Shinagawa Refractories Co., Ltd. 250,000 448,042 0.0%
# Shinko Wire Co., Ltd. 184,000 256,799 0.0%
# Showa Denko KK 4,865,000 5,061,761 0.2%
# Stella Chemifa Corp. 54,300 1,096,912 0.0%
Sumitomo Bakelite Co., Ltd. 1,163,000 4,800,233 0.2%
Sumitomo Osaka Cement Co., Ltd. 2,493,000 10,748,116 0.4%
Sumitomo Seika Chemicals Co., Ltd. 279,000 1,340,617 0.1%
T Hasegawa Co., Ltd. 130,600 2,142,265 0.1%
# T&K Toka Co., Ltd. 78,800 641,300 0.0%
Taisei Lamick Co., Ltd. 28,800 752,195 0.0%
Taiyo Holdings Co., Ltd. 102,100 3,390,246 0.1%
Takasago International Corp. 87,200 1,943,571 0.1%
Takiron Co., Ltd. 295,000 1,442,169 0.1%
* Tanaka Chemical Corp. 7,700 59,589 0.0%
# Tayca Corp. 164,000 726,571 0.0%
Tenma Corp. 79,600 1,184,965 0.1%
Toagosei Co., Ltd. 658,000 5,934,160 0.2%
# Toda Kogyo Corp. 219,000 607,074 0.0%
# Toho Titanium Co., Ltd. 7,600 50,529 0.0%
# Toho Zinc Co., Ltd. 800,000 2,166,177 0.1%
Tokai Carbon Co., Ltd. 1,289,000 3,376,576 0.1%
Tokushu Tokai Paper Co., Ltd. 564,580 1,797,970 0.1%
#* Tokuyama Corp. 2,159,000 3,419,132 0.1%
Tokyo Ohka Kogyo Co., Ltd. 149,200 4,171,568 0.2%
# Tokyo Rope Manufacturing Co., Ltd. 688,000 943,661 0.0%
# Tokyo Steel Manufacturing Co., Ltd. 652,000 4,016,012 0.2%
Tokyo Tekko Co., Ltd. 251,000 851,767 0.0%
# Tomoegawa Co., Ltd. 125,000 214,657 0.0%
# Tomoku Co., Ltd. 335,000 847,101 0.0%
Topy Industries, Ltd. 1,142,000 2,187,879 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
Materials -- (Continued)
# Toyo Ink SC Holdings Co., Ltd. 1,157,000 $ 4,609,380 0.2%
Toyo Kohan Co., Ltd. 286,000 899,859 0.0%
Toyobo Co., Ltd. 5,688,000 9,665,934 0.4%
TYK Corp. 138,000 214,290 0.0%
# UACJ Corp. 1,486,415 3,019,712 0.1%
Ube Industries, Ltd. 5,257,000 9,984,558 0.4%
Wood One Co., Ltd. 164,000 382,879 0.0%
Yamato Kogyo Co., Ltd. 134,800 3,164,364 0.1%
Yodogawa Steel Works, Ltd. 144,700 3,266,881 0.1%
Yotai Refractories Co., Ltd. 8,000 21,226 0.0%
Yuki Gosei Kogyo Co., Ltd. 64,000 146,459 0.0%
Yushiro Chemical Industry Co., Ltd. 61,400 690,807 0.0%
Zeon Corp. 327,000 2,323,390 0.1%
-------------- -----
Total Materials 302,808,204 11.6%
-------------- -----
Telecommunication Services -- (0.0%)
# Okinawa Cellular Telephone Co. 43,200 1,224,066 0.0%
-------------- -----
Utilities -- (0.6%)
Hiroshima Gas Co., Ltd. 30,000 97,261 0.0%
Hokkaido Electric Power Co., Inc. 364,400 3,321,498 0.1%
Hokkaido Gas Co., Ltd. 273,000 700,913 0.0%
Hokuriku Gas Co., Ltd. 99,000 250,513 0.0%
K&O Energy Group, Inc. 75,300 885,047 0.0%
# Okinawa Electric Power Co., Inc. (The) 140,956 3,602,071 0.2%
Saibu Gas Co., Ltd. 1,831,000 4,522,626 0.2%
Shizuoka Gas Co., Ltd. 298,400 2,034,155 0.1%
Toell Co., Ltd. 6,700 47,147 0.0%
# West Holdings Corp. 96,800 579,485 0.0%
-------------- -----
Total Utilities 16,040,716 0.6%
-------------- -----
TOTAL COMMON STOCKS 2,584,182,509 98.8%
-------------- -----
SECURITIES LENDING COLLATERAL -- (10.4%)
(S)@ DFA Short Term Investment Fund 25,960,482 300,362,781 11.5%
-------------- -----
TOTAL INVESTMENTS -- (100.0%) (Cost $2,713,498,459) $2,884,545,290 110.3%
============== =====
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2016, 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 -- $ 530,446,726 -- $ 530,446,726
Consumer Staples $6,743,646 258,515,585 -- 265,259,231
Energy -- 25,049,413 -- 25,049,413
Financials 1,313,887 283,053,806 -- 284,367,693
Health Care -- 121,292,134 -- 121,292,134
Industrials -- 733,722,257 -- 733,722,257
Information Technology -- 303,972,069 -- 303,972,069
Materials -- 302,808,204 -- 302,808,204
Telecommunication Services -- 1,224,066 -- 1,224,066
Utilities -- 16,040,716 -- 16,040,716
Securities Lending Collateral -- 300,362,781 -- 300,362,781
---------- -------------- -- --------------
TOTAL $8,057,533 $2,876,487,757 -- $2,884,545,290
========== ============== == ==============
THE ASIA PACIFIC SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2016
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
COMMON STOCKS -- (82.6%)
AUSTRALIA -- (44.3%)
* AAT Corp., Ltd. 99 $ -- 0.0%
Acrux, Ltd. 660,428 308,626 0.0%
Adelaide Brighton, Ltd. 3,668,074 14,349,269 1.0%
* Aditya Birla Minerals, Ltd. 630,320 140,847 0.0%
* AED Oil, Ltd. 363,401 -- 0.0%
# Ainsworth Game Technology, Ltd. 784,170 1,385,288 0.1%
#* AJ Lucas Group, Ltd. 152,343 23,053 0.0%
* Alkane Resources, Ltd. 1,219,715 193,859 0.0%
# ALS, Ltd. 1,315,878 4,643,520 0.3%
Altium, Ltd. 222,654 1,036,266 0.1%
* Altona Mining, Ltd. 1,108,169 83,084 0.0%
# Alumina, Ltd. 8,122,355 9,171,857 0.7%
AMA Group, Ltd. 174,066 123,991 0.0%
Ansell, Ltd. 542,529 8,188,517 0.6%
* Antares Energy, Ltd. 199,346 8,831 0.0%
AP Eagers, Ltd. 234,655 1,920,694 0.1%
#* APN News & Media, Ltd. 4,904,331 2,291,143 0.2%
APN Outdoor Group, Ltd. 62,079 296,712 0.0%
# ARB Corp., Ltd. 472,048 5,760,741 0.4%
Ardent Leisure Group 188,082 308,791 0.0%
Aristocrat Leisure, Ltd. 834,660 6,309,724 0.5%
#* Arrium, Ltd. 17,951,296 300,284 0.0%
# Asaleo Care, Ltd. 281,419 419,254 0.0%
* ASG Group, Ltd. 898,212 750,135 0.1%
* Atlantic, Ltd. 21,276 49 0.0%
* Atlas Iron, Ltd. 4,541,089 79,101 0.0%
# AUB Group, Ltd. 258,874 1,710,642 0.1%
* Ausdrill, Ltd. 1,723,145 613,461 0.0%
#* Ausenco, Ltd. 302,942 59,125 0.0%
# Austal, Ltd. 1,148,615 1,352,974 0.1%
* Austin Engineering, Ltd. 312,507 28,260 0.0%
#* Australian Agricultural Co., Ltd. 2,385,475 2,592,609 0.2%
Australian Pharmaceutical Industries, Ltd. 2,403,274 3,569,960 0.3%
* Australian Vintage, Ltd. 3,979,004 1,723,648 0.1%
Auswide Bank, Ltd. 91,436 358,058 0.0%
# Automotive Holdings Group, Ltd. 1,464,387 4,346,378 0.3%
* Avanco Resources, Ltd. 2,444,368 129,533 0.0%
Aveo Group 747,286 1,934,913 0.1%
AVJennings, Ltd. 7,051,385 2,867,528 0.2%
#* AWE, Ltd. 3,356,993 1,751,610 0.1%
* Bandanna Energy, Ltd. 337,935 -- 0.0%
# Bank of Queensland, Ltd. 732,266 6,226,838 0.5%
Beach Energy, Ltd. 13,448,071 7,468,464 0.5%
# Beadell Resources, Ltd. 2,424,377 578,003 0.0%
# Bega Cheese, Ltd. 514,153 2,395,494 0.2%
# Bellamy's Australia, Ltd. 183,940 1,403,003 0.1%
Bendigo & Adelaide Bank, Ltd. 801,727 5,643,977 0.4%
BigAir Group, Ltd. 23,037 10,223 0.0%
#* Billabong International, Ltd. 756,968 781,805 0.1%
# Blackmores, Ltd. 81,784 9,959,777 0.7%
Blue Sky Alternative Investments, Ltd. 16,985 90,111 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
AUSTRALIA -- (Continued)
BlueScope Steel, Ltd. 2,315,186 $11,303,541 0.8%
* Boart Longyear, Ltd. 2,658,836 189,220 0.0%
* Boom Logistics, Ltd. 986,820 50,157 0.0%
Boral, Ltd. 2,013,642 9,800,669 0.7%
#* Bradken, Ltd. 1,242,062 854,122 0.1%
# Breville Group, Ltd. 765,489 4,764,107 0.4%
Brickworks, Ltd. 228,958 2,659,312 0.2%
* Broadspectrum, Ltd. 3,089,111 3,447,931 0.3%
BT Investment Management, Ltd. 580,053 4,333,547 0.3%
#* Buccaneer Energy, Ltd. 3,283,586 3,283 0.0%
# Burson Group, Ltd. 242,202 913,497 0.1%
#* Buru Energy, Ltd. 316,943 46,813 0.0%
# Cabcharge Australia, Ltd. 863,423 2,102,769 0.2%
Capilano Honey, Ltd. 2,915 49,866 0.0%
Capitol Health, Ltd. 164,543 21,144 0.0%
* Capral, Ltd. 58,499 4,863 0.0%
# Cardno, Ltd. 817,602 687,064 0.1%
* Carnarvon Petroleum, Ltd. 5,095,141 343,058 0.0%
* Carnegie Wave Energy, Ltd. 563,165 17,119 0.0%
# carsales.com, Ltd. 1,702,940 15,168,334 1.1%
# Cash Converters International, Ltd. 2,335,703 867,826 0.1%
* CDS Technologies, Ltd. 13,276 -- 0.0%
# Cedar Woods Properties, Ltd. 323,002 1,044,240 0.1%
Challenger, Ltd. 1,370,457 9,270,307 0.7%
* ChemGenex Pharmaceuticals, Ltd. 115,291 -- 0.0%
Cleanaway Waste Management, Ltd. 10,319,019 6,162,135 0.5%
#* Clinuvel Pharmaceuticals, Ltd. 46,902 154,921 0.0%
Cochlear, Ltd. 10,800 883,400 0.1%
Codan, Ltd. 400,153 304,429 0.0%
# Collection House, Ltd. 2,104,108 1,851,014 0.1%
Collins Foods, Ltd. 289,927 884,319 0.1%
* Cooper Energy, Ltd. 336,842 62,255 0.0%
# Corporate Travel Management, Ltd. 221,197 2,385,069 0.2%
Coventry Group, Ltd. 87,320 73,126 0.0%
# Cover-More Group, Ltd. 353,468 373,980 0.0%
# Credit Corp. Group, Ltd. 112,480 862,038 0.1%
# CSG, Ltd. 848,751 898,376 0.1%
CSR, Ltd. 3,350,138 8,649,885 0.6%
#* Cudeco, Ltd. 387,893 176,961 0.0%
* Cue Energy Resources, Ltd. 1,158,016 56,164 0.0%
Data#3, Ltd. 556,711 431,325 0.0%
Decmil Group, Ltd. 867,988 503,660 0.0%
* Devine, Ltd. 331,966 151,141 0.0%
# Dick Smith Holdings, Ltd. 91,564 -- 0.0%
# Domino's Pizza Enterprises, Ltd. 286,872 13,436,083 1.0%
* Donaco International, Ltd. 28,566 9,743 0.0%
Downer EDI, Ltd. 2,910,872 8,172,322 0.6%
DuluxGroup, Ltd. 3,101,823 15,022,680 1.1%
DWS, Ltd. 395,621 358,026 0.0%
#* Elders, Ltd. 289,035 747,239 0.1%
* Emeco Holdings, Ltd. 2,411,452 54,807 0.0%
#* Energy Resources of Australia, Ltd. 1,156,799 302,983 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
AUSTRALIA -- (Continued)
#* Energy World Corp., Ltd. 4,185,404 $ 601,354 0.0%
* Enero Group, Ltd. 12,387 10,838 0.0%
EQT Holdings, Ltd. 21,077 242,936 0.0%
# ERM Power, Ltd. 783,474 850,522 0.1%
Estia Health, Ltd. 80,635 352,708 0.0%
Ethane Pipeline Income Fund 190,260 273,393 0.0%
Euroz, Ltd. 101,762 59,442 0.0%
Event Hospitality and Entertainment, Ltd. 466,519 5,313,797 0.4%
Evolution Mining, Ltd. 3,866,425 5,840,936 0.4%
Fairfax Media, Ltd. 14,257,034 8,569,306 0.6%
Fantastic Holdings, Ltd. 326,291 477,784 0.0%
* FAR, Ltd. 1,626,533 102,262 0.0%
Finbar Group, Ltd. 154,390 100,254 0.0%
#* Fleetwood Corp., Ltd. 394,575 506,798 0.0%
# FlexiGroup, Ltd. 952,940 1,722,618 0.1%
# Flight Centre Travel Group, Ltd. 129,605 3,859,058 0.3%
#* Focus Minerals, Ltd. 22,731 6,334 0.0%
# G8 Education, Ltd. 1,026,632 3,055,896 0.2%
Gazal Corp., Ltd. 22,520 41,055 0.0%
GBST Holdings, Ltd. 12,563 45,292 0.0%
Genworth Mortgage Insurance Australia, Ltd. 219,941 397,205 0.0%
* Global Construction Services, Ltd. 4,832 1,503 0.0%
# GrainCorp, Ltd. Class A 1,251,687 7,758,802 0.6%
Grange Resources, Ltd. 1,724,297 124,249 0.0%
# Greencross, Ltd. 142,588 767,352 0.1%
# GUD Holdings, Ltd. 811,568 5,240,762 0.4%
GWA Group, Ltd. 1,861,904 3,253,143 0.2%
Hansen Technologies, Ltd. 117,366 301,812 0.0%
# Harvey Norman Holdings, Ltd. 1,282,453 4,343,072 0.3%
Healthscope, Ltd. 3,182,159 6,553,638 0.5%
HFA Holdings, Ltd. 310,766 539,176 0.0%
* Hillgrove Resources, Ltd. 163,217 6,180 0.0%
Hills, Ltd. 1,277,876 213,238 0.0%
* Horizon Oil, Ltd. 6,691,326 359,480 0.0%
* IDM International, Ltd. 23,969 -- 0.0%
Iluka Resources, Ltd. 1,020,267 4,951,767 0.4%
* Imdex, Ltd. 1,225,370 190,918 0.0%
# IMF Bentham, Ltd. 700,765 712,196 0.1%
# Independence Group NL 1,789,170 4,134,027 0.3%
* Infigen Energy 2,044,271 1,116,540 0.1%
# Infomedia, Ltd. 2,051,811 917,635 0.1%
Integrated Research, Ltd. 327,026 543,572 0.0%
* Invitrocue, Ltd. 9 1 0.0%
# InvoCare, Ltd. 901,024 8,364,885 0.6%
# IOOF Holdings, Ltd. 1,900,338 12,851,732 0.9%
# IRESS, Ltd. 1,073,207 9,450,773 0.7%
# iSelect, Ltd. 102,153 88,699 0.0%
# iSentia Group, Ltd. 102,738 282,308 0.0%
# JB Hi-Fi, Ltd. 836,109 13,909,715 1.0%
* Jupiter Mines, Ltd. 405,443 22,658 0.0%
K&S Corp., Ltd. 265,983 311,822 0.0%
#* Karoon Gas Australia, Ltd. 738,066 810,089 0.1%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
AUSTRALIA -- (Continued)
#* Kingsgate Consolidated, Ltd. 1,717,937 $ 597,314 0.0%
#* Kingsrose Mining, Ltd. 760,046 118,033 0.0%
* Lednium, Ltd. 195,019 -- 0.0%
#* Lonestar Resources, Ltd. 19,612 97,106 0.0%
#* Lynas Corp., Ltd. 3,390,978 191,650 0.0%
# MACA, Ltd. 683,733 573,463 0.0%
* Macmahon Holdings, Ltd. 6,319,933 503,174 0.0%
Macquarie Atlas Roads Group 565,764 2,085,220 0.2%
Magellan Financial Group, Ltd. 466,192 7,562,455 0.6%
# Mantra Group, Ltd. 288,991 808,920 0.1%
Matrix Composites & Engineering, Ltd. 4,523 1,236 0.0%
* Maverick Drilling & Exploration, Ltd. 23,243 1,075 0.0%
# MaxiTRANS Industries, Ltd. 915,613 360,645 0.0%
#* Mayne Pharma Group, Ltd. 3,767,830 3,975,691 0.3%
# McMillan Shakespeare, Ltd. 427,034 3,968,809 0.3%
McPherson's, Ltd. 558,677 373,105 0.0%
#* Medusa Mining, Ltd. 1,179,362 674,575 0.1%
Melbourne IT, Ltd. 441,811 653,687 0.1%
#* Mesoblast, Ltd. 143,272 237,248 0.0%
Metals X, Ltd. 370,222 289,544 0.0%
#* Metcash, Ltd. 4,871,384 6,485,305 0.5%
#* Mincor Resources NL 1,067,643 169,780 0.0%
#* Mineral Deposits, Ltd. 466,063 105,615 0.0%
# Mineral Resources, Ltd. 1,168,088 6,539,330 0.5%
# MMA Offshore, Ltd. 2,189,075 780,380 0.1%
# Monadelphous Group, Ltd. 687,485 3,958,783 0.3%
Money3 Corp., Ltd. 14,619 10,108 0.0%
* Morning Star Gold NL 332,749 177 0.0%
# Mortgage Choice, Ltd. 680,426 874,613 0.1%
#* Mount Gibson Iron, Ltd. 4,484,844 735,060 0.1%
# Myer Holdings, Ltd. 5,669,367 4,437,851 0.3%
MyState, Ltd. 187,162 572,428 0.0%
# Navitas, Ltd. 1,440,089 5,578,335 0.4%
#* Nearmap, Ltd. 1,029,484 401,905 0.0%
* NetComm Wireless, Ltd. 21,593 47,969 0.0%
New Hope Corp., Ltd. 165,508 180,745 0.0%
* Newsat, Ltd. 1,680,867 -- 0.0%
* NEXTDC, Ltd. 36,489 79,548 0.0%
nib holdings, Ltd. 2,713,689 9,384,435 0.7%
Nick Scali, Ltd. 165,818 513,672 0.0%
# Nine Entertainment Co. Holdings, Ltd. 273,418 233,725 0.0%
#* Noble Mineral Resources, Ltd. 8,114 62 0.0%
# Northern Star Resources, Ltd. 4,806,957 14,297,307 1.0%
#* NRW Holdings, Ltd. 1,867,109 326,588 0.0%
Nufarm, Ltd. 1,141,199 6,060,864 0.4%
#* Orocobre, Ltd. 389,899 981,043 0.1%
Orora, Ltd. 3,139,926 6,258,721 0.5%
# OrotonGroup, Ltd. 131,885 275,300 0.0%
OZ Minerals, Ltd. 2,198,276 9,759,508 0.7%
# OzForex Group, Ltd. 529,225 865,188 0.1%
# Pacific Brands, Ltd. 6,093,285 5,265,942 0.4%
# Pacific Current Group, Ltd. 30,242 102,247 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
AUSTRALIA -- (Continued)
Pact Group Holdings, Ltd. 220,277 $ 862,838 0.1%
#* Paladin Energy, Ltd. 9,407,049 1,881,361 0.1%
# Panoramic Resources, Ltd. 1,781,726 175,402 0.0%
Patties Foods, Ltd. 42,099 38,483 0.0%
# Peet, Ltd. 1,645,757 1,181,960 0.1%
* Peninsula Energy, Ltd. 209,095 121,372 0.0%
# Perpetual, Ltd. 356,426 11,523,064 0.8%
* Perseus Mining, Ltd. 3,040,420 1,338,025 0.1%
Platinum Asset Management, Ltd. 292,413 1,340,747 0.1%
* Pluton Resources, Ltd. 20,710 41 0.0%
PMP, Ltd. 2,327,074 981,714 0.1%
Premier Investments, Ltd. 556,867 6,692,242 0.5%
* Prima Biomed, Ltd. 1,409,121 47,160 0.0%
# Primary Health Care, Ltd. 3,292,878 8,645,585 0.6%
Prime Media Group, Ltd. 2,031,951 461,298 0.0%
# Programmed Maintenance Services, Ltd. 1,525,125 1,692,742 0.1%
Qantas Airways, Ltd. 232,534 566,971 0.0%
# Qube Holdings, Ltd. 2,350,344 4,428,781 0.3%
* Quickstep Holdings, Ltd. 86,781 9,227 0.0%
* Ramelius Resources, Ltd. 834,228 266,412 0.0%
# RCG Corp., Ltd. 270,233 280,682 0.0%
# RCR Tomlinson, Ltd. 1,055,209 1,050,406 0.1%
# Reckon, Ltd. 363,914 386,101 0.0%
* Red 5, Ltd. 9,022 648 0.0%
Reece, Ltd. 231,441 6,341,081 0.5%
Regis Healthcare, Ltd. 180,650 697,478 0.1%
Regis Resources, Ltd. 2,504,810 5,570,851 0.4%
# Reject Shop, Ltd. (The) 234,444 2,207,786 0.2%
#* Resolute Mining, Ltd. 3,987,672 2,997,352 0.2%
# Retail Food Group, Ltd. 987,465 4,111,677 0.3%
Ridley Corp., Ltd. 1,331,622 1,343,878 0.1%
* RiverCity Motorway Group 1,563,354 -- 0.0%
* RungePincockMinarco, Ltd. 30,702 8,600 0.0%
Ruralco Holdings, Ltd. 115,893 295,550 0.0%
SAI Global, Ltd. 1,578,339 4,360,809 0.3%
#* Salmat, Ltd. 645,788 274,076 0.0%
Sandfire Resources NL 570,890 2,552,552 0.2%
* Saracen Mineral Holdings, Ltd. 5,111,505 4,159,025 0.3%
Schaffer Corp., Ltd. 3,380 12,813 0.0%
SeaLink Travel Group, Ltd. 20,752 73,229 0.0%
# Seek, Ltd. 101,997 1,262,202 0.1%
# Select Harvests, Ltd. 500,837 1,906,899 0.1%
* Senetas Corp., Ltd. 131,335 10,920 0.0%
#* Senex Energy, Ltd. 6,438,932 1,355,017 0.1%
Servcorp, Ltd. 314,917 1,711,944 0.1%
Service Stream, Ltd. 1,693,203 1,024,867 0.1%
# Seven Group Holdings, Ltd. 559,015 2,471,185 0.2%
# Seven West Media, Ltd. 7,785,820 6,228,963 0.5%
# SG Fleet Group, Ltd. 35,137 91,767 0.0%
Shine Corporate, Ltd. 15,573 14,768 0.0%
Sigma Pharmaceuticals, Ltd. 7,230,980 6,016,741 0.4%
#* Silex Systems, Ltd. 511,695 143,681 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
AUSTRALIA -- (Continued)
# Silver Chef, Ltd. 99,115 $ 742,583 0.1%
#* Silver Lake Resources, Ltd. 2,755,624 783,169 0.1%
# Sims Metal Management, Ltd. 1,382,214 9,884,710 0.7%
Sirtex Medical, Ltd. 412,322 9,275,003 0.7%
# Slater & Gordon, Ltd. 2,016,208 447,831 0.0%
# SMS Management & Technology, Ltd. 575,318 824,198 0.1%
Southern Cross Media Group, Ltd. 3,756,073 3,067,808 0.2%
# Spark Infrastructure Group 11,913,246 18,677,981 1.4%
* Specialty Fashion Group, Ltd. 786,397 385,734 0.0%
Spotless Group Holdings, Ltd. 1,566,487 1,535,301 0.1%
#* St Barbara, Ltd. 2,723,173 4,845,735 0.4%
Star Entertainment Grp, Ltd. (The) 4,207,608 17,966,372 1.3%
# Steadfast Group, Ltd. 1,023,698 1,455,581 0.1%
* Strike Energy, Ltd. 1,471,668 122,793 0.0%
# STW Communications Group, Ltd. 2,447,007 1,982,677 0.1%
#* Sundance Energy Australia, Ltd. 2,512,257 358,585 0.0%
#* Sundance Resources, Ltd. 3,228,863 8,556 0.0%
Sunland Group, Ltd. 729,757 843,620 0.1%
# Super Retail Group, Ltd. 1,280,749 8,192,260 0.6%
Tabcorp Holdings, Ltd. 3,586,818 12,030,842 0.9%
# Tassal Group, Ltd. 901,018 2,662,038 0.2%
Technology One, Ltd. 1,645,166 6,073,066 0.4%
#* Ten Network Holdings, Ltd. 1,289,363 926,963 0.1%
# TFS Corp., Ltd. 2,029,504 2,402,320 0.2%
Thorn Group, Ltd. 568,282 600,657 0.0%
* Tiger Resources, Ltd. 9,447,997 343,054 0.0%
* Toro Energy, Ltd. 70,156 2,933 0.0%
Tox Free Solutions, Ltd. 920,496 2,021,650 0.2%
Treasury Wine Estates, Ltd. 1,165,441 8,206,160 0.6%
* Tribune Resources, Ltd. 3,093 13,236 0.0%
#* Troy Resources, Ltd. 1,647,992 804,973 0.1%
#* UGL, Ltd. 1,185,950 2,837,780 0.2%
Villa World, Ltd. 255,978 414,059 0.0%
Village Roadshow, Ltd. 831,506 3,309,220 0.2%
* Virgin Australia Holdings, Ltd.(B43DQC7) 5,942,525 1,577,011 0.1%
#* Virgin Australia Holdings, Ltd.() 7,648,897 -- 0.0%
# Virtus Health, Ltd. 141,367 723,929 0.1%
Vita Group, Ltd. 84,312 225,764 0.0%
# Vocus Communications, Ltd. 3,781,701 24,698,629 1.8%
# Watpac, Ltd. 760,701 471,165 0.0%
Webjet, Ltd. 511,180 2,341,464 0.2%
Webster, Ltd. 23,507 19,260 0.0%
# Western Areas, Ltd. 1,657,313 3,124,461 0.2%
* White Energy Co., Ltd. 216,241 23,047 0.0%
#* Whitehaven Coal, Ltd. 4,143,411 2,405,760 0.2%
# WorleyParsons, Ltd. 481,861 2,532,272 0.2%
------------ ----
TOTAL AUSTRALIA 738,919,099 53.4%
------------ ----
CHINA -- (0.1%)
Aupu Group Holding Co., Ltd. 2,468,000 666,492 0.1%
* China Daye Non-Ferrous Metals Mining, Ltd. 4,145,837 66,504 0.0%
Chu Kong Shipping Enterprise Group Co., Ltd. 1,558,000 386,322 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
CHINA -- (Continued)
* HNA International Investment Holdings, Ltd. 5,101,065 $ 340,945 0.0%
---------- ---
TOTAL CHINA 1,460,263 0.1%
---------- ---
HONG KONG -- (20.6%)
Aeon Credit Service Asia Co., Ltd. 564,000 377,901 0.0%
Aeon Stores Hong Kong Co., Ltd. 248,000 217,195 0.0%
Agritrade Resources, Ltd. 1,365,000 285,934 0.0%
Alco Holdings, Ltd. 1,426,000 578,598 0.1%
Allan International Holdings 620,000 149,859 0.0%
Allied Group, Ltd. 663,200 3,232,725 0.2%
Allied Properties HK, Ltd. 11,945,857 2,242,457 0.2%
* Anxian Yuan China Holdings, Ltd. 3,100,000 51,850 0.0%
* Apac Resources, Ltd. 29,587,350 358,940 0.0%
* Applied Development Holdings, Ltd. 2,135,000 104,413 0.0%
APT Satellite Holdings, Ltd. 2,884,500 2,289,083 0.2%
Arts Optical International Hldgs, Ltd. 730,000 296,017 0.0%
Asia Financial Holdings, Ltd. 2,404,908 1,267,023 0.1%
Asia Satellite Telecommunications Holdings, Ltd. 934,500 1,319,612 0.1%
Asia Standard Hotel Group, Ltd. 11,437,218 1,515,005 0.1%
Asia Standard International Group 13,041,937 2,115,558 0.2%
# ASM Pacific Technology, Ltd. 220,500 1,584,696 0.1%
Associated International Hotels, Ltd. 952,000 2,622,263 0.2%
* Auto Italia Holdings 1,900,000 46,446 0.0%
#* AVIC Joy Holdings HK, Ltd. 2,920,000 73,142 0.0%
* Bel Global Resources Holdings, Ltd. 2,576,000 -- 0.0%
BEP International Holdings, Ltd. 6,360,000 417,230 0.0%
* Bestway International Holdings, Ltd. 205,000 29,250 0.0%
# Bonjour Holdings, Ltd. 13,758,600 565,807 0.1%
Bossini International Holdings, Ltd. 3,699,500 228,599 0.0%
Bright Smart Securities & Commodities Group, Ltd. 1,642,000 460,938 0.0%
# Brightoil Petroleum Holdings, Ltd. 3,801,000 1,203,340 0.1%
#* Brockman Mining, Ltd. 22,810,814 315,283 0.0%
* Burwill Holdings, Ltd. 27,112,960 995,041 0.1%
Cafe de Coral Holdings, Ltd. 1,980,000 5,977,681 0.4%
#* CAR, Inc. 1,264,000 1,439,857 0.1%
CEC International Holdings, Ltd. 284,000 36,906 0.0%
Century City International Holdings, Ltd. 6,235,460 381,239 0.0%
* Champion Technology Holdings, Ltd. 15,193,089 222,809 0.0%
Chen Hsong Holdings 1,212,000 249,854 0.0%
Cheuk Nang Holdings, Ltd. 631,045 435,154 0.0%
* Cheung Wo International Holdings, Ltd. 1,626,000 165,380 0.0%
Chevalier International Holdings, Ltd. 820,989 1,292,829 0.1%
* China Billion Resources, Ltd. 2,438,000 -- 0.0%
* China Chuanglian Education Group, Ltd. 300,000 8,947 0.0%
* China Digicontent Co., Ltd. 2,710,000 -- 0.0%
#* China Energy Development Holdings, Ltd. 52,140,000 662,349 0.1%
* China Environmental Energy Investment, Ltd. 1,960,000 30,428 0.0%
* China Ever Grand Financial Leasing Group Co., Ltd. 810,000 13,006 0.0%
China Flavors & Fragrances Co., Ltd. 381,028 125,443 0.0%
* China Infrastructure Investment, Ltd. 6,186,000 62,145 0.0%
* China Medical & Healthcare Group, Ltd. 42,916,800 2,481,605 0.2%
China Metal International Holdings, Inc. 2,670,000 818,164 0.1%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ----------- ---------------
HONG KONG -- (Continued)
# China Motor Bus Co., Ltd. 48,600 $ 459,736 0.0%
#* China Public Procurement, Ltd. 4,776,000 87,644 0.0%
* China Smarter Energy Group Holdings, Ltd. 3,110,000 195,814 0.0%
* China Solar Energy Holdings, Ltd. 1,669,500 7,264 0.0%
* China Star Entertainment, Ltd. 1,850,000 168,931 0.0%
#* China Strategic Holdings, Ltd. 28,316,250 849,641 0.1%
* China Ting Group Holdings, Ltd. 2,565,151 125,273 0.0%
Chinney Investments, Ltd. 1,144,000 260,381 0.0%
# Chow Sang Sang Holdings International, Ltd. 2,244,000 3,638,850 0.3%
Chuang's China Investments, Ltd. 5,551,407 235,611 0.0%
Chuang's Consortium International, Ltd. 5,987,043 777,670 0.1%
CITIC Telecom International Holdings, Ltd. 10,816,125 4,490,427 0.3%
# CK Life Sciences Int'l Holdings, Inc. 21,274,000 2,025,666 0.2%
* CNQC International Holdings, Ltd. 310,000 114,839 0.0%
CNT Group, Ltd. 8,077,264 373,617 0.0%
* Continental Holdings, Ltd. 450,000 6,979 0.0%
# Convenience Retail Asia, Ltd. 138,000 60,585 0.0%
* Convoy Financial Holdings, Ltd. 21,474,000 868,511 0.1%
* CP Lotus Corp. 11,880,000 235,548 0.0%
* Crocodile Garments 842,000 137,406 0.0%
# Cross-Harbour Holdings, Ltd. (The) 679,520 920,614 0.1%
CSI Properties, Ltd. 35,276,383 1,071,489 0.1%
* CST Mining Group, Ltd. 101,184,000 1,638,075 0.1%
# CW Group Holdings, Ltd. 2,069,000 610,223 0.1%
Dah Sing Banking Group, Ltd. 3,457,116 6,168,272 0.5%
Dah Sing Financial Holdings, Ltd. 1,184,544 8,094,912 0.6%
Dan Form Holdings Co., Ltd. 3,563,260 692,304 0.1%
Dickson Concepts International, Ltd. 1,222,000 343,150 0.0%
#* Differ Group Holding Co., Ltd. 1,356,000 114,774 0.0%
* Dragonite International, Ltd. 56,000 7,723 0.0%
Eagle Nice International Holdings, Ltd. 1,614,000 419,542 0.0%
EcoGreen International Group, Ltd. 1,322,200 287,866 0.0%
* EganaGoldpfeil Holdings, Ltd. 4,121,757 -- 0.0%
# Emperor Capital Group, Ltd. 10,767,000 952,922 0.1%
Emperor Entertainment Hotel, Ltd. 4,360,000 1,350,006 0.1%
Emperor International Holdings, Ltd. 8,116,753 1,628,916 0.1%
Emperor Watch & Jewellery, Ltd. 25,650,000 586,945 0.1%
* ENM Holdings, Ltd. 14,680,000 706,954 0.1%
* EPI Holdings, Ltd. 1,950,001 42,565 0.0%
#* Esprit Holdings, Ltd. 13,802,950 12,075,796 0.9%
* eSun Holdings, Ltd. 4,344,000 312,662 0.0%
* Eternity Investment, Ltd. 830,000 18,634 0.0%
* Ezcom Holdings, Ltd. 72,576 -- 0.0%
# Fairwood Holdings, Ltd. 620,100 2,195,834 0.2%
Far East Consortium International, Ltd. 8,017,579 2,671,407 0.2%
FIH Mobile, Ltd. 4,441,000 1,907,196 0.1%
First Pacific Co., Ltd. 2,656,000 1,681,931 0.1%
First Shanghai Investments, Ltd. 1,048,000 169,198 0.0%
Fountain SET Holdings, Ltd. 4,758,000 568,526 0.1%
Four Seas Mercantile Holdings, Ltd. 610,000 247,062 0.0%
* Freeman Financial Corp., Ltd. 1,520,000 82,930 0.0%
Fujikon Industrial Holdings, Ltd. 322,000 48,944 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ---------- ---------------
HONG KONG -- (Continued)
# Future Bright Holdings, Ltd. 3,288,000 $ 375,599 0.0%
# G-Resources Group, Ltd. 143,439,600 3,295,381 0.2%
#* GCL New Energy Holdings, Ltd. 8,252,000 408,087 0.0%
#* Get Nice Financial Group, Ltd. 966,600 142,057 0.0%
# Get Nice Holdings, Ltd. 38,664,000 1,391,080 0.1%
Giordano International, Ltd. 9,440,000 4,264,696 0.3%
* Global Brands Group Holding, Ltd. 15,740,000 1,860,958 0.1%
Glorious Sun Enterprises, Ltd. 2,624,000 334,332 0.0%
Gold Peak Industries Holdings, Ltd. 3,029,642 354,961 0.0%
Golden Resources Development International, Ltd. 3,330,500 180,183 0.0%
* Grande Holdings, Ltd. (The) 882,000 8,755 0.0%
Great Eagle Holdings, Ltd. 227,887 923,105 0.1%
Guangnan Holdings, Ltd. 2,363,600 276,274 0.0%
Guoco Group, Ltd. 2,000 22,021 0.0%
# Guotai Junan International Holdings, Ltd. 12,519,797 4,184,554 0.3%
Haitong International Securities Group, Ltd. 9,064,191 5,216,747 0.4%
# Hang Fat Ginseng Holdings Co., Ltd. 630,000 6,973 0.0%
Hanison Construction Holdings, Ltd. 2,103,649 351,144 0.0%
# Hanny Holdings, Ltd.(BYYCZY8) 1,480,000 53,212 0.0%
Hanny Holdings, Ltd.(BYYCZY8) 185,000 6,678 0.0%
* Hao Tian Development Group, Ltd. 8,989,200 530,842 0.0%
Harbour Centre Development, Ltd. 935,500 1,583,947 0.1%
* Hi-Level Technology Holdings, Ltd. 152,640 9,101 0.0%
High Fashion International, Ltd. 268,000 71,641 0.0%
HKR International, Ltd. 5,764,736 2,365,020 0.2%
Hon Kwok Land Investment Co., Ltd. 314,800 119,555 0.0%
* Hong Fok Land, Ltd. 1,210,000 -- 0.0%
Hong Kong Aircraft Engineering Co., Ltd. 86,000 559,324 0.1%
* Hong Kong Building & Loan Agency, Ltd. (The) 200,000 7,708 0.0%
Hong Kong Ferry Holdings Co., Ltd. 824,300 941,041 0.1%
Hong Kong Shanghai Alliance Holdings, Ltd. 1,248,002 125,283 0.0%
* Hong Kong Television Network, Ltd. 2,332,751 500,363 0.0%
Hongkong & Shanghai Hotels, Ltd. (The) 1,371,112 1,633,916 0.1%
Hongkong Chinese, Ltd. 5,038,000 1,049,665 0.1%
Hop Hing Group Holdings, Ltd. 1,812,000 26,230 0.0%
Hopewell Holdings, Ltd. 2,920,000 9,835,186 0.7%
# Hsin Chong Group Holding, Ltd. 6,931,658 723,826 0.1%
* Hua Hong Semiconductor, Ltd. 325,000 326,894 0.0%
Hung Hing Printing Group, Ltd. 2,628,000 326,706 0.0%
Hutchison Telecommunications Hong Kong Holdings, Ltd. 11,164,000 3,919,731 0.3%
* I-CABLE Communications, Ltd. 2,573,000 205,693 0.0%
# IGG, Inc. 915,000 396,683 0.0%
#* Imagi International Holdings, Ltd. 55,488,000 635,069 0.1%
* International Standard Resources Holdings, Ltd. 18,226,250 338,862 0.0%
#* iOne Holdings, Ltd. 10,180,000 261,938 0.0%
IPE Group, Ltd. 3,345,000 718,515 0.1%
* IRC, Ltd. 9,486,266 164,786 0.0%
IT, Ltd. 4,040,532 998,079 0.1%
ITC Corp., Ltd. 1,039,512 85,528 0.0%
# ITC Properties Group, Ltd. 4,537,057 1,851,411 0.1%
* Jinhui Holdings Co., Ltd. 121,000 14,614 0.0%
Johnson Electric Holdings, Ltd. 1,757,750 5,183,327 0.4%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
HONG KONG -- (Continued)
# K Wah International Holdings, Ltd. 8,277,565 $3,999,128 0.3%
* Kader Holdings Co., Ltd. 92,000 8,600 0.0%
Kam Hing International Holdings, Ltd. 1,830,000 148,699 0.0%
* Kantone Holdings, Ltd. 919,364 88,855 0.0%
Keck Seng Investments 878,600 713,094 0.1%
Kerry Logistics Network, Ltd. 1,091,000 1,538,673 0.1%
* King Pacific International Holdings, Ltd. 1,404,200 -- 0.0%
Kingmaker Footwear Holdings, Ltd. 1,618,955 451,903 0.0%
#* Kingston Financial Group, Ltd. 17,047,000 6,347,882 0.5%
#* Ko Yo Chemical Group, Ltd. 2,280,000 79,108 0.0%
* Kong Sun Holdings, Ltd. 175,000 8,799 0.0%
Kowloon Development Co., Ltd. 2,456,000 2,360,128 0.2%
Kwoon Chung Bus Holdings, Ltd. 20,000 10,688 0.0%
L'Occitane International SA 139,750 268,253 0.0%
* L'sea Resources International Holdings, Ltd. 3,070,000 74,885 0.0%
Lai Sun Development Co., Ltd. 78,652,466 1,172,522 0.1%
Lai Sun Garment International, Ltd. 3,321,680 410,868 0.0%
Lam Soon Hong Kong, Ltd. 302,310 249,363 0.0%
Landsea Green Properties Co., Ltd. 948,000 87,875 0.0%
* Leading Spirit High-Tech Holdings Co., Ltd. 2,310,000 -- 0.0%
Lifestyle International Holdings, Ltd. 1,477,500 2,447,512 0.2%
Lippo China Resources, Ltd. 20,922,000 686,923 0.1%
Lippo, Ltd. 1,161,700 723,080 0.1%
Lisi Group Holdings, Ltd. 4,414,000 241,167 0.0%
Liu Chong Hing Investment, Ltd. 1,191,200 1,342,900 0.1%
Luen Thai Holdings, Ltd. 1,207,000 198,820 0.0%
# Luk Fook Holdings International, Ltd. 2,862,000 6,503,401 0.5%
Luks Group Vietnam Holdings Co., Ltd. 514,913 180,099 0.0%
Lung Kee Bermuda Holdings 1,567,875 440,066 0.0%
#* Macau Legend Development, Ltd. 4,179,000 569,516 0.1%
Magnificent Hotel Investment, Ltd. 13,170,000 325,417 0.0%
Man Wah Holdings, Ltd. 5,694,800 6,641,226 0.5%
Man Yue Technology Holdings, Ltd. 16,000 1,848 0.0%
#* Mason Financial Holdings, Ltd. 15,970,000 646,710 0.1%
Matrix Holdings, Ltd. 1,067,414 398,973 0.0%
Melbourne Enterprises, Ltd. 39,500 698,744 0.1%
# Melco International Development, Ltd. 3,744,000 4,307,512 0.3%
#* Midland Holdings, Ltd. 5,182,000 1,648,203 0.1%
Ming Fai International Holdings, Ltd. 1,879,000 215,306 0.0%
Miramar Hotel & Investment 845,000 1,550,970 0.1%
* Mongolian Mining Corp. 8,115,500 71,016 0.0%
NagaCorp, Ltd. 7,684,000 5,504,078 0.4%
Nanyang Holdings, Ltd. 133,500 699,953 0.1%
National Electronic Hldgs 2,668,600 302,527 0.0%
* Neo-Neon Holdings, Ltd. 2,337,500 318,530 0.0%
* Neptune Group, Ltd. 21,300,000 123,282 0.0%
New Century Group Hong Kong, Ltd. 13,351,464 225,933 0.0%
* New Times Energy Corp., Ltd. 1,946,400 39,933 0.0%
Newocean Energy Holdings, Ltd. 7,642,000 2,610,632 0.2%
Next Digital, Ltd. 4,295,183 240,870 0.0%
* O Luxe Holdings, Ltd. 6,778,500 369,045 0.0%
* Orange Sky Golden Harvest Entertainment Holdings, Ltd. 9,489,706 622,566 0.1%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
HONG KONG -- (Continued)
Orient Overseas International, Ltd. 1,008,000 $3,830,998 0.3%
* Orient Power Holdings, Ltd. 804,000 -- 0.0%
Oriental Watch Holdings 3,070,800 371,358 0.0%
* Pacific Andes International Holdings, Ltd. 19,435,067 274,354 0.0%
#* Pacific Basin Shipping, Ltd. 12,498,000 2,105,923 0.2%
Pacific Textiles Holdings, Ltd. 4,820,000 6,193,451 0.5%
Pak Fah Yeow International, Ltd. 5,000 2,508 0.0%
Paliburg Holdings, Ltd. 3,062,830 910,154 0.1%
# Paradise Entertainment, Ltd. 3,652,000 563,700 0.1%
#* Peace Mark Holdings, Ltd. 2,712,022 -- 0.0%
* Pearl Oriental Oil, Ltd. 11,849,400 533,648 0.0%
Pegasus International Holdings, Ltd. 226,000 37,870 0.0%
Perfect Shape Beauty Technology, Ltd. 1,172,000 132,748 0.0%
Pico Far East Holdings, Ltd. 4,892,000 1,335,786 0.1%
Playmates Holdings, Ltd. 686,000 874,213 0.1%
# Playmates Toys, Ltd. 4,796,000 1,247,708 0.1%
# Pokfulam Development Co. 234,000 364,717 0.0%
# Polytec Asset Holdings, Ltd. 11,323,526 978,020 0.1%
Public Financial Holdings, Ltd. 3,102,000 1,417,870 0.1%
PYI Corp., Ltd. 24,147,973 543,391 0.0%
* Pyxis Group, Ltd. 1,936,000 -- 0.0%
Raymond Industrial, Ltd. 30,400 3,795 0.0%
# Regal Hotels International Holdings, Ltd. 2,871,800 1,384,336 0.1%
Rivera Holdings, Ltd. 5,710,000 330,722 0.0%
# SA SA International Holdings, Ltd. 10,127,703 3,086,715 0.2%
Safety Godown Co., Ltd. 386,000 1,259,342 0.1%
SAS Dragon Holdings, Ltd. 2,120,000 354,352 0.0%
# SEA Holdings, Ltd. 1,124,000 3,623,078 0.3%
* SEEC Media Group, Ltd. 1,960,000 32,466 0.0%
Shangri-La Asia, Ltd. 1,564,000 1,912,665 0.1%
# Shenwan Hongyuan HK, Ltd. 3,466,250 1,677,319 0.1%
* Shougang Concord Grand Group, Ltd. 1,158,000 45,298 0.0%
* Shun Ho Technology Holdings, Ltd. 1,254,757 420,381 0.0%
Shun Tak Holdings, Ltd. 11,359,419 3,778,519 0.3%
* Silver base Group Holdings, Ltd. 1,701,677 229,369 0.0%
* Sing Pao Media Enterprises, Ltd. 250,511 -- 0.0%
Sing Tao News Corp., Ltd. 1,974,000 269,471 0.0%
Singamas Container Holdings, Ltd. 10,860,000 1,159,473 0.1%
* Sino-Tech International Holdings, Ltd. 4,950,000 29,247 0.0%
* Sinocan Holdings, Ltd. 350,000 -- 0.0%
SIS International Holdings 34,000 18,294 0.0%
Sitoy Group Holdings, Ltd. 891,000 323,510 0.0%
* Skyway Securities Group, Ltd. 2,130,000 57,172 0.0%
SmarTone Telecommunications Holdings, Ltd. 3,572,531 5,887,379 0.4%
* SOCAM Development, Ltd. 1,718,771 853,522 0.1%
* Solomon Systech International, Ltd. 9,504,000 408,788 0.0%
Soundwill Holdings, Ltd. 408,000 534,424 0.0%
* South China Assets Holdings, Ltd. 5,295,170 108,469 0.0%
* South China Holdings Co., Ltd. 13,104,000 974,846 0.1%
# Stella International Holdings, Ltd. 995,500 2,511,473 0.2%
Stelux Holdings International, Ltd. 3,011,400 266,801 0.0%
* Success Universe Group, Ltd. 6,716,000 147,848 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
HONG KONG -- (Continued)
Sun Hing Vision Group Holdings, Ltd. 358,000 $ 131,793 0.0%
Sun Hung Kai & Co., Ltd. 4,352,429 2,546,670 0.2%
Sunwah Kingsway Capital Holdings, Ltd. 7,690,000 146,254 0.0%
TAI Cheung Holdings, Ltd. 1,961,000 1,500,173 0.1%
Tai Sang Land Development, Ltd. 781,910 412,203 0.0%
# Tan Chong International, Ltd. 1,176,000 395,322 0.0%
Tao Heung Holdings, Ltd. 517,000 133,162 0.0%
* Taung Gold International, Ltd. 14,590,000 137,009 0.0%
Television Broadcasts, Ltd. 1,643,100 6,140,328 0.5%
* Termbray Industries International Holdings, Ltd. 2,304,900 213,448 0.0%
Tern Properties Co., Ltd. 51,200 25,554 0.0%
Texwinca Holdings, Ltd. 4,488,000 4,364,402 0.3%
Tian Teck Land, Ltd. 1,024,000 1,131,874 0.1%
* Titan Petrochemicals Group, Ltd. 13,140,000 847 0.0%
* Tom Group, Ltd. 126,000 31,219 0.0%
Tradelink Electronic Commerce, Ltd. 4,802,000 1,062,054 0.1%
# Transport International Holdings, Ltd. 1,019,741 2,777,881 0.2%
# Trinity, Ltd. 7,614,000 792,418 0.1%
Tristate Holdings, Ltd. 188,000 54,240 0.0%
#* TSC Group Holdings, Ltd. 3,280,000 493,913 0.0%
Tsui Wah Holdings, Ltd. 454,000 88,059 0.0%
* United Laboratories International Holdings, Ltd. (The) 4,354,000 1,809,711 0.1%
#* United Photovoltaics Group, Ltd. 4,110,000 353,602 0.0%
* Universal Technologies Holdings, Ltd. 7,410,000 380,567 0.0%
* Up Energy Development Group, Ltd. 3,929,000 60,217 0.0%
Upbest Group, Ltd. 36,000 10,297 0.0%
* Value Convergence Holdings, Ltd. 2,000,000 331,689 0.0%
# Value Partners Group, Ltd. 5,396,000 5,150,755 0.4%
* Vanke Property Overseas, Ltd. 49,000 34,009 0.0%
Varitronix International, Ltd. 2,039,293 1,627,543 0.1%
Vedan International Holdings, Ltd. 3,272,000 265,027 0.0%
Victory City International Holdings, Ltd. 8,183,663 567,211 0.1%
Vitasoy International Holdings, Ltd. 4,703,000 8,792,048 0.6%
* VS International Group, Ltd. 488,000 32,633 0.0%
# VST Holdings, Ltd. 5,039,600 1,152,540 0.1%
VTech Holdings, Ltd. 493,700 5,102,820 0.4%
Wai Kee Holdings, Ltd. 7,640,738 2,373,403 0.2%
Wang On Group, Ltd. 1,740,000 22,375 0.0%
Win Hanverky Holdings, Ltd. 1,850,000 349,317 0.0%
* Winfull Group Holdings, Ltd. 9,512,000 225,914 0.0%
Wing On Co. International, Ltd. 759,000 2,216,764 0.2%
Wing Tai Properties, Ltd. 1,923,331 1,166,192 0.1%
Wong's International Holdings, Ltd. 737,641 259,751 0.0%
Wong's Kong King International 120,000 11,286 0.0%
Xinyi Glass Holdings, Ltd. 16,280,000 11,047,781 0.8%
Yangtzekiang Garment, Ltd. 606,500 206,776 0.0%
Yau Lee Holdings, Ltd. 534,000 86,360 0.0%
Yeebo International Holdings, Ltd. 572,000 127,211 0.0%
# YGM Trading, Ltd. 447,000 256,460 0.0%
# YT Realty Group, Ltd. 749,000 385,946 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
HONG KONG -- (Continued)
Yugang International, Ltd. 90,818,000 $ 1,691,915 0.1%
------------ ----
TOTAL HONG KONG 342,253,562 24.7%
------------ ----
NEW ZEALAND -- (9.1%)
#* a2 Milk Co., Ltd. 1,254,090 1,542,493 0.1%
# Abano Healthcare Group, Ltd. 30,725 176,284 0.0%
Air New Zealand, Ltd. 3,693,701 6,337,834 0.5%
Briscoe Group, Ltd. 2,235 4,726 0.0%
Chorus, Ltd. 2,089,594 5,830,913 0.4%
Colonial Motor Co., Ltd. (The) 144,588 630,284 0.1%
# Contact Energy, Ltd. 1,951,396 6,923,739 0.5%
# EBOS Group, Ltd. 451,590 5,029,762 0.4%
# Fisher & Paykel Healthcare Corp., Ltd. 4,200,605 26,808,812 1.9%
Fletcher Building, Ltd. 96,387 560,315 0.1%
Freightways, Ltd. 974,609 4,500,203 0.3%
Genesis Energy, Ltd. 359,163 514,271 0.0%
Hallenstein Glasson Holdings, Ltd. 242,445 487,421 0.0%
# Heartland New Zealand, Ltd. 466,243 393,391 0.0%
Hellaby Holdings, Ltd. 384,437 756,588 0.1%
Infratil, Ltd. 3,201,309 7,237,302 0.5%
# Kathmandu Holdings, Ltd. 663,170 735,246 0.1%
# Mainfreight, Ltd. 539,049 6,165,771 0.5%
Methven, Ltd. 93,877 85,107 0.0%
Metlifecare, Ltd. 516,195 1,882,616 0.1%
Michael Hill International, Ltd. 1,490,263 1,145,329 0.1%
# Mighty River Power, Ltd. 608,924 1,284,887 0.1%
Millennium & Copthorne Hotels New Zealand, Ltd. 395,725 470,671 0.0%
* New Zealand Oil & Gas, Ltd. 1,659,791 560,115 0.0%
# New Zealand Refining Co., Ltd. (The) 574,344 1,198,043 0.1%
Nuplex Industries, Ltd. 1,278,378 4,696,939 0.3%
# NZX, Ltd. 952,265 670,886 0.1%
# Opus International Consultants, Ltd. 12,925 12,174 0.0%
* Pacific Edge, Ltd. 442,720 193,988 0.0%
PGG Wrightson, Ltd. 999,976 285,824 0.0%
* Pike River Coal, Ltd. 490,805 -- 0.0%
# Port of Tauranga, Ltd. 515,305 6,732,318 0.5%
Restaurant Brands New Zealand, Ltd. 459,407 1,617,787 0.1%
* Richina Pacific, Ltd. 274,180 -- 0.0%
* Rubicon, Ltd. 1,442,620 251,492 0.0%
# Ryman Healthcare, Ltd. 2,338,582 14,577,975 1.1%
Sanford, Ltd. 382,357 1,564,566 0.1%
Scott Technology, Ltd. 39,805 48,694 0.0%
Skellerup Holdings, Ltd. 544,971 502,119 0.0%
# SKY Network Television, Ltd. 2,080,268 7,721,597 0.6%
# SKYCITY Entertainment Group, Ltd. 4,581,664 15,630,966 1.1%
Steel & Tube Holdings, Ltd. 441,625 689,819 0.1%
Summerset Group Holdings, Ltd. 458,692 1,420,590 0.1%
Tourism Holdings, Ltd. 275,443 522,516 0.0%
Tower, Ltd. 887,040 1,114,475 0.1%
Trade Me Group, Ltd. 1,612,087 5,126,895 0.4%
# TrustPower, Ltd. 73,239 396,157 0.0%
# Vector, Ltd. 1,339,609 3,134,512 0.2%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
NEW ZEALAND -- (Continued)
# Warehouse Group, Ltd. (The) 698,604 $ 1,344,842 0.1%
* Xero, Ltd. 165,232 1,888,452 0.1%
Z Energy, Ltd. 107,261 586,531 0.1%
------------ ----
TOTAL NEW ZEALAND 151,994,237 11.0%
------------ ----
SINGAPORE -- (8.5%)
* Abterra, Ltd. 531,800 125,551 0.0%
Accordia Golf Trust 481,800 230,905 0.0%
Amara Holdings, Ltd. 922,800 292,240 0.0%
Ascendas India Trust 185,800 131,870 0.0%
ASL Marine Holdings, Ltd. 816,600 157,095 0.0%
Aspial Corp., Ltd. 72,959 14,599 0.0%
#* Ausgroup, Ltd. 3,548,500 302,131 0.0%
Baker Technology, Ltd. 1,272,000 161,600 0.0%
# Banyan Tree Holdings, Ltd. 1,022,900 376,055 0.0%
Bonvests Holdings, Ltd. 950,000 847,189 0.1%
* Boustead Projects, Ltd. 497,612 237,747 0.0%
Boustead Singapore, Ltd. 1,679,836 972,681 0.1%
# Breadtalk Group, Ltd. 881,800 717,339 0.1%
* Broadway Industrial Group, Ltd. 1,557,200 174,978 0.0%
Bukit Sembawang Estates, Ltd. 599,603 1,981,139 0.2%
* Bund Center Investment, Ltd. 2,639,300 351,761 0.0%
# Centurion Corp., Ltd. 825,900 229,847 0.0%
China Aviation Oil Singapore Corp., Ltd. 1,540,999 994,789 0.1%
#* China Everbright Water, Ltd. 812,300 391,352 0.0%
# China Merchants Holdings Pacific, Ltd. 1,406,409 894,051 0.1%
# Chip Eng Seng Corp., Ltd. 3,445,300 1,817,054 0.1%
Chuan Hup Holdings, Ltd. 3,853,500 815,893 0.1%
Civmec, Ltd. 53,200 15,465 0.0%
#* COSCO Corp. Singapore, Ltd. 6,805,600 1,710,592 0.1%
* Creative Technology, Ltd. 272,200 214,816 0.0%
CSE Global, Ltd. 3,285,200 1,046,852 0.1%
# CWT, Ltd. 1,403,400 2,158,068 0.2%
#* Del Monte Pacific, Ltd. 1,611,964 357,756 0.0%
* Delong Holdings, Ltd. 236,260 53,574 0.0%
* DMX Technologies Group, Ltd. 2,096,000 209,600 0.0%
# Dyna-Mac Holdings, Ltd. 2,194,400 240,564 0.0%
Elec & Eltek International Co., Ltd. 147,000 132,042 0.0%
Ellipsiz, Ltd. 36,900 9,300 0.0%
EnGro Corp., Ltd. 354,000 240,231 0.0%
Eu Yan Sang International, Ltd. 786,600 314,681 0.0%
#* Ezion Holdings, Ltd. 5,123,460 2,083,694 0.2%
#* Ezra Holdings, Ltd. 16,462,023 1,239,539 0.1%
Falcon Energy Group, Ltd. 2,008,800 257,705 0.0%
Far East Orchard, Ltd. 1,074,985 1,320,959 0.1%
# First Resources, Ltd. 1,769,500 2,500,877 0.2%
First Sponsor Group, Ltd. 440,661 393,197 0.0%
* FJ Benjamin Holdings, Ltd. 794,500 42,348 0.0%
* Food Empire Holdings, Ltd. 1,256,400 233,167 0.0%
# Fragrance Group, Ltd. 6,077,000 793,939 0.1%
Frasers Centrepoint, Ltd. 199,800 247,777 0.0%
Fu Yu Corp., Ltd. 183,300 28,529 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
SINGAPORE -- (Continued)
#* Gallant Venture, Ltd. 4,927,900 $ 768,703 0.1%
#* Geo Energy Resources, Ltd. 432,000 35,225 0.0%
GK Goh Holdings, Ltd. 1,484,065 943,563 0.1%
# GL, Ltd. 3,267,800 2,220,476 0.2%
* Global Premium Hotels, Ltd. 559,480 123,434 0.0%
#* GMG Global, Ltd. 1,788,330 810,692 0.1%
# Golden Agri-Resources, Ltd. 5,950,700 1,765,285 0.1%
GP Batteries International, Ltd. 235,000 146,541 0.0%
GP Industries, Ltd. 2,567,609 1,212,669 0.1%
GSH Corp., Ltd. 60,860 11,086 0.0%
GuocoLand, Ltd. 403,714 555,509 0.1%
* Hanwell Holdings, Ltd. 1,771,219 335,331 0.0%
* HG Metal Manufacturing, Ltd. 433,500 11,546 0.0%
Hi-P International, Ltd. 1,271,600 400,259 0.0%
Hiap Hoe, Ltd. 353,000 176,093 0.0%
* HLH Group, Ltd. 1,798,200 9,409 0.0%
Ho Bee Land, Ltd. 1,604,700 2,633,682 0.2%
# Hong Fok Corp., Ltd. 3,551,394 1,908,838 0.1%
Hong Leong Asia, Ltd. 690,700 397,349 0.0%
Hotel Grand Central, Ltd. 1,461,261 1,383,794 0.1%
Hour Glass, Ltd. (The) 1,814,832 1,010,530 0.1%
#* HTL International Holdings, Ltd. 1,135,343 727,562 0.1%
Hwa Hong Corp., Ltd. 2,123,500 489,800 0.0%
# Hyflux, Ltd. 3,165,300 1,454,143 0.1%
# Indofood Agri Resources, Ltd. 3,368,800 1,337,215 0.1%
* InnoTek, Ltd. 512,500 58,243 0.0%
Innovalues, Ltd. 1,192,800 890,323 0.1%
IPC Corp., Ltd. 275,770 131,039 0.0%
Isetan Singapore, Ltd. 119,000 341,195 0.0%
Japfa, Ltd. 177,300 91,547 0.0%
#* Jurong Technologies Industrial Corp., Ltd. 2,227,680 -- 0.0%
k1 Ventures, Ltd. 990,520 648,417 0.1%
# Keppel Infrastructure Trust 4,939,732 1,799,714 0.1%
Keppel Telecommunications & Transportation, Ltd. 1,369,300 1,378,613 0.1%
Koh Brothers Group, Ltd. 1,432,000 313,209 0.0%
* KrisEnergy, Ltd. 296,200 40,959 0.0%
KSH Holdings, Ltd. 57,200 23,147 0.0%
Lian Beng Group, Ltd. 2,238,100 788,848 0.1%
Low Keng Huat Singapore, Ltd. 889,800 423,077 0.0%
Lum Chang Holdings, Ltd. 1,094,030 292,458 0.0%
M1, Ltd. 847,700 1,554,646 0.1%
Mandarin Oriental International, Ltd. 53,900 80,706 0.0%
* Marco Polo Marine, Ltd. 882,000 120,005 0.0%
* mDR, Ltd. 3,997,000 11,867 0.0%
Metro Holdings, Ltd. 2,041,692 1,532,120 0.1%
Mewah International, Inc. 766,900 166,712 0.0%
# Midas Holdings, Ltd. 7,943,100 1,680,487 0.1%
#* Nam Cheong, Ltd. 6,922,840 461,771 0.0%
#* Neptune Orient Lines, Ltd. 3,386,600 3,231,549 0.2%
Nera Telecommunications, Ltd. 74,300 35,313 0.0%
New Toyo International Holdings, Ltd. 1,624,000 307,983 0.0%
#* Noble Group, Ltd. 16,857,700 5,715,134 0.4%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
SINGAPORE -- (Continued)
NSL, Ltd. 409,900 $ 459,671 0.0%
Olam International, Ltd. 258,000 316,025 0.0%
# OSIM International, Ltd. 1,757,300 1,810,655 0.1%
* Otto Marine, Ltd. 347,735 50,293 0.0%
# OUE, Ltd. 1,809,700 2,244,975 0.2%
# Oxley Holdings, Ltd. 1,093,300 356,948 0.0%
Pacc Offshore Services Holdings, Ltd. 196,400 54,625 0.0%
Pacific Radiance, Ltd. 452,600 109,147 0.0%
Pan-United Corp., Ltd. 1,948,600 969,294 0.1%
# Penguin International, Ltd. 1,577,100 148,040 0.0%
# Petra Foods, Ltd. 788,500 1,446,548 0.1%
# Q&M Dental Group Singapore, Ltd. 1,525,000 769,462 0.1%
QAF, Ltd. 1,255,162 1,011,981 0.1%
# Raffles Education Corp., Ltd. 4,176,710 681,532 0.1%
Raffles Medical Group, Ltd. 646,391 2,256,181 0.2%
Religare Health Trust 544,000 416,203 0.0%
* RH Petrogas, Ltd. 66,800 7,671 0.0%
# Rickmers Maritime 1,008,350 75,691 0.0%
# Riverstone Holdings, Ltd. 236,000 170,905 0.0%
# Rotary Engineering, Ltd. 1,443,100 418,409 0.0%
Roxy-Pacific Holdings, Ltd. 297,500 103,975 0.0%
San Teh, Ltd. 358,087 71,695 0.0%
SATS, Ltd. 1,472,200 4,483,185 0.3%
# SBS Transit, Ltd. 926,200 1,616,844 0.1%
SembCorp Industries, Ltd. 176,800 377,912 0.0%
# SembCorp Marine, Ltd. 790,500 976,655 0.1%
Sheng Siong Group, Ltd. 2,001,100 1,322,942 0.1%
SHS Holdings, Ltd. 2,304,100 461,562 0.0%
SIA Engineering Co., Ltd. 15,200 42,814 0.0%
#* SIIC Environment Holdings, Ltd. 1,440,920 747,469 0.1%
Sim Lian Group, Ltd. 2,216,555 1,308,998 0.1%
# Sinarmas Land, Ltd. 5,780,900 2,015,111 0.2%
Sing Holdings, Ltd. 1,134,000 269,607 0.0%
Sing Investments & Finance, Ltd. 297,675 250,930 0.0%
Singapore Post, Ltd. 2,734,800 3,185,395 0.2%
Singapore Reinsurance Corp., Ltd. 1,514,530 349,292 0.0%
Singapore Shipping Corp., Ltd. 1,640,700 383,957 0.0%
Singapura Finance, Ltd. 348,124 228,682 0.0%
#* Sino Grandness Food Industry Group, Ltd. 2,095,300 952,709 0.1%
# SMRT Corp., Ltd. 2,824,300 3,207,045 0.2%
Stamford Land Corp., Ltd. 3,188,100 1,232,237 0.1%
Straco Corp., Ltd. 130,000 80,462 0.0%
Sunningdale Tech, Ltd. 724,360 619,334 0.1%
* SunVic Chemical Holdings, Ltd. 1,436,145 112,705 0.0%
# Super Group, Ltd. 2,711,700 1,948,190 0.2%
#* Swiber Holdings, Ltd. 2,895,250 408,024 0.0%
# Swissco Holdings, Ltd. 768,400 102,327 0.0%
Tat Hong Holdings, Ltd. 2,013,500 896,444 0.1%
* Thakral Corp., Ltd. 169,165 27,188 0.0%
Tiong Woon Corp. Holding, Ltd. 1,045,325 176,170 0.0%
Tuan Sing Holdings, Ltd. 4,076,571 966,822 0.1%
UMS Holdings, Ltd. 1,888,400 869,747 0.1%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
SINGAPORE -- (Continued)
United Engineers, Ltd. 2,765,928 $ 4,798,686 0.4%
United Industrial Corp., Ltd. 4,800 10,335 0.0%
United Overseas Insurance, Ltd. 181,850 637,706 0.1%
# UOB-Kay Hian Holdings, Ltd. 1,887,972 1,937,274 0.2%
UOL Group, Ltd. 202,400 921,674 0.1%
# UPP Holdings, Ltd. 2,972,500 486,355 0.0%
Valuetronics Holdings, Ltd. 602,100 209,755 0.0%
#* Vard Holdings, Ltd. 3,937,100 530,476 0.1%
Venture Corp., Ltd. 1,654,300 10,287,442 0.8%
# Vibrant Group, Ltd. 1,871,915 458,215 0.0%
Vicom, Ltd. 116,600 528,343 0.0%
# Wee Hur Holdings, Ltd. 2,670,400 526,125 0.0%
# Wheelock Properties Singapore, Ltd. 1,205,900 1,391,725 0.1%
# Wing Tai Holdings, Ltd. 2,762,267 3,844,956 0.3%
Yeo Hiap Seng, Ltd. 223,731 215,482 0.0%
YHI International, Ltd. 574,500 147,172 0.0%
* Yongnam Holdings, Ltd. 1,984,800 514,894 0.0%
Zhongmin Baihui Retail Group, Ltd. 26,900 29,149 0.0%
-------------- ----
TOTAL SINGAPORE 142,097,403 10.3%
-------------- ----
TOTAL COMMON STOCKS 1,376,724,564 99.5%
-------------- ----
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
* Alkane Resources, Ltd. Rights 5/23/16 243,943 927 0.0%
* Centrebet International, Ltd. Claim Units Rights 81,336 -- 0.0%
* Centrebet International, Ltd. Litigation Rights 81,336 -- 0.0%
* Cudeco, Ltd. Rights 5/3/16 96,973 -- 0.0%
-------------- ----
TOTAL AUSTRALIA 927 0.0%
-------------- ----
HONG KONG -- (0.0%)
* Cheuk Nang Holdings, Ltd. Warrants 4/24/17 17,802 3,213 0.0%
* China Billion Resources, Ltd. Rights 5/16/16 4,876,000 -- 0.0%
* Enviro Energy International Holdings, Ltd. Warrants 11/17/16 1,171,800 -- 0.0%
* Glorious Sun Enterprises, Ltd. Rights 5/9/16 1,312,000 15,223 0.0%
* Grande Holdings, Ltd. (The) Rights 4/29/16 2,205,000 -- 0.0%
* International Standard Resources Holdings, Ltd. Warrants 11/30/16 3,015,250 21,768 0.0%
-------------- ----
TOTAL HONG KONG 40,204 0.0%
-------------- ----
SINGAPORE -- (0.0%)
#* Ezion Holdings, Ltd. Warrants 4/24/20 1,024,692 121,910 0.0%
-------------- ----
TOTAL RIGHTS/WARRANTS 163,041 0.0%
-------------- ----
TOTAL INVESTMENT SECURITIES 1,376,887,605
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
VALUE+
--------------
SECURITIES LENDING COLLATERAL -- (17.4%)
(S)@ DFA Short Term Investment Fund 25,081,467 290,192,573 21.0%
-------------- -----
TOTAL INVESTMENTS -- (100.0%) (Cost $1,765,062,043) $1,667,080,178 120.5%
============== =====
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2016, 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 $ 63 $ 738,919,036 -- $ 738,919,099
China -- 1,460,263 -- 1,460,263
Hong Kong 872,561 341,381,001 -- 342,253,562
New Zealand -- 151,994,237 -- 151,994,237
Singapore -- 142,097,403 -- 142,097,403
Rights/Warrants
Australia -- 927 -- 927
Hong Kong -- 40,204 -- 40,204
Singapore -- 121,910 -- 121,910
Securities Lending Collateral -- 290,192,573 -- 290,192,573
Forward Currency Contracts** -- (415) -- (415)
-------- -------------- -- --------------
TOTAL $872,624 $1,666,207,139 -- $1,667,079,763
======== ============== == ==============
** Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
THE UNITED KINGDOM SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2016
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
COMMON STOCKS -- (97.2%)
Consumer Discretionary -- (24.2%)
4imprint Group P.L.C. 95,741 $ 1,844,044 0.1%
888 Holdings P.L.C. 891,140 2,814,499 0.2%
AA P.L.C. 686,028 2,796,368 0.2%
B&M European Value Retail SA 925,440 3,755,570 0.2%
Barratt Developments P.L.C. 180,188 1,403,195 0.1%
Bellway P.L.C. 634,613 22,723,742 1.3%
Berkeley Group Holdings P.L.C. 350,391 15,354,310 0.9%
Bloomsbury Publishing P.L.C. 274,093 621,958 0.0%
Bovis Homes Group P.L.C. 738,776 9,428,686 0.5%
Card Factory P.L.C. 166,519 886,732 0.0%
* Carpetright P.L.C. 82,608 366,416 0.0%
Centaur Media P.L.C. 537,905 417,356 0.0%
Cineworld Group P.L.C. 1,171,913 8,874,223 0.5%
Connect Group P.L.C. 1,254,274 2,838,420 0.2%
Crest Nicholson Holdings P.L.C. 751,712 5,736,259 0.3%
Creston P.L.C. 22,394 34,351 0.0%
Daily Mail & General Trust P.L.C. 1,271,481 12,991,119 0.7%
Darty P.L.C. 1,332,051 3,276,401 0.2%
Debenhams P.L.C. 6,544,475 7,516,002 0.4%
Dignity P.L.C. 249,726 8,921,815 0.5%
Domino's Pizza Group P.L.C. 845,611 11,368,947 0.6%
Dunelm Group P.L.C. 358,865 4,633,935 0.3%
* Enterprise Inns P.L.C. 2,861,188 3,629,019 0.2%
Entertainment One, Ltd. 525,999 1,423,946 0.1%
Euromoney Institutional Investor P.L.C. 282,895 3,981,331 0.2%
* Findel P.L.C. 303,005 752,985 0.0%
* Forminster P.L.C. 43,333 -- 0.0%
Fuller Smith & Turner P.L.C. Class A 134,418 2,037,054 0.1%
* Future P.L.C. 1,301,863 163,920 0.0%
Games Workshop Group P.L.C. 98,402 677,164 0.0%
Greene King P.L.C. 1,786,209 21,377,373 1.2%
GVC Holdings P.L.C. 655,163 5,186,823 0.3%
Halfords Group P.L.C. 1,080,557 6,668,019 0.4%
Headlam Group P.L.C. 375,573 2,635,523 0.1%
Henry Boot P.L.C. 417,992 1,245,699 0.1%
Home Retail Group P.L.C. 3,986,671 9,951,089 0.6%
* Hornby P.L.C. 8,354 4,235 0.0%
Howden Joinery Group P.L.C. 3,165,528 22,898,154 1.3%
Huntsworth P.L.C. 938,084 588,635 0.0%
Inchcape P.L.C. 2,190,976 21,732,306 1.2%
Informa P.L.C. 3,309,192 31,703,441 1.8%
ITE Group P.L.C. 1,347,357 3,052,097 0.2%
# J D Wetherspoon P.L.C. 459,179 4,449,919 0.2%
JD Sports Fashion P.L.C. 465,078 8,498,229 0.5%
John Menzies P.L.C. 297,070 2,160,395 0.1%
* Johnston Press P.L.C. 20,800 12,462 0.0%
Ladbrokes P.L.C. 5,357,119 9,191,191 0.5%
Laura Ashley Holdings P.L.C. 1,465,488 524,329 0.0%
Lookers P.L.C. 1,889,052 3,849,943 0.2%
Marston's P.L.C. 3,319,120 6,972,886 0.4%
Millennium & Copthorne Hotels P.L.C. 1,000,376 6,734,287 0.4%
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
Consumer Discretionary -- (Continued)
Mitchells & Butlers P.L.C. 1,003,645 $ 3,941,290 0.2%
MJ Gleeson P.L.C. 189,171 1,550,955 0.1%
* Mothercare P.L.C. 596,178 1,062,757 0.1%
N Brown Group P.L.C. 869,150 3,407,166 0.2%
#* Ocado Group P.L.C. 2,072,450 8,968,199 0.5%
Paddy Power Betfair P.L.C. 87,973 11,770,611 0.7%
Pendragon P.L.C. 5,409,636 2,689,887 0.1%
Pets at Home Group P.L.C. 692,122 2,455,668 0.1%
Photo-Me International P.L.C. 795,338 1,938,327 0.1%
Poundland Group P.L.C. 548,303 1,379,831 0.1%
* Punch Taverns P.L.C. 133,442 220,337 0.0%
Rank Group P.L.C. 312,111 1,099,545 0.1%
Redrow P.L.C. 1,390,578 7,787,535 0.4%
Restaurant Group P.L.C. (The) 977,184 3,932,125 0.2%
* Sportech P.L.C. 371,065 352,181 0.0%
SSP Group P.L.C. 351,414 1,478,135 0.1%
STV Group P.L.C. 4,868 27,847 0.0%
SuperGroup P.L.C. 239,090 4,262,606 0.2%
Ted Baker P.L.C. 149,410 5,206,124 0.3%
* Thomas Cook Group P.L.C. 6,943,222 8,977,385 0.5%
Topps Tiles P.L.C. 916,897 1,821,667 0.1%
Tribal Group P.L.C. 302,158 198,537 0.0%
Trinity Mirror P.L.C. 1,631,721 2,696,250 0.2%
UBM P.L.C. 2,115,221 17,623,332 1.0%
Vitec Group P.L.C. (The) 159,205 1,271,282 0.1%
WH Smith P.L.C. 680,498 16,670,851 0.9%
William Hill P.L.C. 4,105,574 18,796,616 1.0%
Wilmington P.L.C. 334,384 1,250,398 0.1%
Wireless Group P.L.C. 322,510 852,284 0.0%
------------ ----
Total Consumer Discretionary 444,396,530 24.7%
------------ ----
Consumer Staples -- (5.6%)
A.G. Barr P.L.C. 417,894 3,416,717 0.2%
Anglo-Eastern Plantations P.L.C. 104,452 771,203 0.0%
Booker Group P.L.C. 7,505,064 17,796,981 1.0%
Britvic P.L.C. 1,120,971 11,548,616 0.6%
Cranswick P.L.C. 263,709 8,633,617 0.5%
Dairy Crest Group P.L.C. 743,682 6,140,574 0.3%
Devro P.L.C. 930,843 3,796,797 0.2%
Greencore Group P.L.C. 2,050,312 10,819,881 0.6%
Greggs P.L.C. 539,599 8,161,847 0.5%
Hilton Food Group P.L.C. 24,794 204,135 0.0%
McBride P.L.C. 860,692 1,953,556 0.1%
McColl's Retail Group P.L.C. 12,698 29,630 0.0%
* Premier Foods P.L.C. 3,975,693 2,270,551 0.1%
# PZ Cussons P.L.C. 1,342,993 6,329,307 0.4%
# REA Holdings P.L.C. 50,639 228,931 0.0%
Stock Spirits Group P.L.C. 488,048 1,150,518 0.1%
Tate & Lyle P.L.C. 2,291,490 19,728,657 1.1%
------------ ----
Total Consumer Staples 102,981,518 5.7%
------------ ----
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Energy -- (4.5%)
# Afren P.L.C. 5,446,344 $ 1,631 0.0%
Amec Foster Wheeler P.L.C. 1,933,881 14,013,409 0.8%
Anglo Pacific Group P.L.C. 578,701 638,854 0.0%
* Cairn Energy P.L.C. 2,794,636 9,162,593 0.5%
#* EnQuest P.L.C. 3,295,344 1,938,064 0.1%
* Fortune Oil CVR 6,238,485 -- 0.0%
Gulf Marine Services P.L.C. 31,549 22,617 0.0%
Hunting P.L.C. 662,594 3,561,369 0.2%
James Fisher & Sons P.L.C. 238,889 4,937,898 0.3%
John Wood Group P.L.C. 1,820,460 16,653,701 0.9%
* Lamprell P.L.C. 1,281,770 1,626,052 0.1%
* Ophir Energy P.L.C. 1,943,628 2,148,356 0.1%
Petrofac, Ltd. 1,141,776 14,146,026 0.8%
* Premier Oil P.L.C. 2,339,312 2,531,227 0.2%
Soco International P.L.C. 966,138 2,092,189 0.1%
Stobart Group, Ltd. 764,861 1,152,606 0.1%
* Tullow Oil P.L.C. 1,839,693 7,559,767 0.4%
----------- ---
Total Energy 82,186,359 4.6%
----------- ---
Financials -- (15.2%)
Aberdeen Asset Management P.L.C. 1,062,735 4,649,292 0.3%
Arrow Global Group P.L.C. 403,359 1,515,487 0.1%
# Ashmore Group P.L.C. 1,737,896 7,810,199 0.4%
Beazley P.L.C. 2,740,810 13,063,536 0.7%
BGEO Group P.L.C. 150,919 5,057,176 0.3%
Brewin Dolphin Holdings P.L.C. 1,510,826 6,055,622 0.3%
Capital & Counties Properties P.L.C. 1,739,772 9,001,402 0.5%
Charles Stanley Group P.L.C. 122,025 556,401 0.0%
Charles Taylor P.L.C. 192,071 736,680 0.0%
Chesnara P.L.C. 585,048 2,609,238 0.1%
Close Brothers Group P.L.C. 722,784 12,818,372 0.7%
* CLS Holdings P.L.C. 3,014 69,626 0.0%
Countrywide P.L.C. 594,599 3,091,441 0.2%
Daejan Holdings P.L.C. 32,667 2,682,562 0.2%
esure Group P.L.C. 822,173 3,228,920 0.2%
Foxtons Group P.L.C. 666,089 1,406,032 0.1%
Grainger P.L.C. 379,744 1,235,359 0.1%
# Hansard Global P.L.C. 16,468 26,040 0.0%
* Harworth Group P.L.C. 306,801 45,951 0.0%
Helical Bar P.L.C. 630,825 3,540,137 0.2%
Henderson Group P.L.C. 5,474,341 20,493,952 1.1%
Hiscox, Ltd. 1,480,745 19,517,311 1.1%
ICAP P.L.C. 2,606,844 17,871,842 1.0%
IG Group Holdings P.L.C. 1,792,534 20,280,929 1.1%
* Industrial & Commercial Holdings P.L.C. 5,000 -- 0.0%
Intermediate Capital Group P.L.C. 972,972 8,746,792 0.5%
International Personal Finance P.L.C. 724,581 2,833,769 0.2%
* IP Group P.L.C. 1,406,086 3,534,601 0.2%
Jardine Lloyd Thompson Group P.L.C. 619,442 7,843,591 0.4%
JRP Group P.L.C. 204,740 411,844 0.0%
Jupiter Fund Management P.L.C. 1,855,025 11,435,970 0.6%
Lancashire Holdings, Ltd. 1,084,204 8,714,640 0.5%
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
Financials -- (Continued)
LSL Property Services P.L.C. 328,694 $ 1,416,208 0.1%
Man Group P.L.C. 7,936,721 17,166,966 1.0%
Novae Group P.L.C. 310,612 3,636,938 0.2%
OneSavings Bank P.L.C. 122,755 514,414 0.0%
Paragon Group of Cos. P.L.C. (The) 432,309 1,879,810 0.1%
Phoenix Group Holdings 1,073,440 13,506,771 0.8%
Rathbone Brothers P.L.C. 171,584 5,102,824 0.3%
* Raven Russia, Ltd. 1,086,511 516,623 0.0%
S&U P.L.C. 20,417 635,327 0.0%
Saga P.L.C. 720,661 2,208,575 0.1%
Savills P.L.C. 686,012 7,440,761 0.4%
St. Modwen Properties P.L.C. 1,015,579 4,544,048 0.3%
Tullett Prebon P.L.C. 1,214,381 6,020,449 0.3%
U & I Group P.L.C. 624,657 1,816,298 0.1%
UNITE Group P.L.C. (The) 1,189,599 11,000,266 0.6%
Virgin Money Holdings UK P.L.C. 206,735 1,105,314 0.1%
* Waterloo Investment Holdings, Ltd. 5,979 612 0.0%
------------ ----
Total Financials 279,396,918 15.5%
------------ ----
Health Care -- (2.9%)
#* Alizyme P.L.C. 660,805 -- 0.0%
Bioquell P.L.C. 90,893 227,054 0.0%
#* BTG P.L.C. 1,430,962 12,406,159 0.7%
Cambian Group P.L.C. 63,163 56,414 0.0%
#* Circassia Pharmaceuticals P.L.C. 134,445 529,715 0.0%
Consort Medical P.L.C. 238,317 3,443,946 0.2%
Dechra Pharmaceuticals P.L.C. 428,975 6,939,288 0.4%
Genus P.L.C. 291,166 6,391,492 0.4%
Indivior P.L.C. 1,882,074 4,432,064 0.2%
* Skyepharma P.L.C. 322,164 2,207,367 0.1%
Spire Healthcare Group P.L.C. 196,286 941,242 0.1%
UDG Healthcare P.L.C. 1,186,662 10,627,549 0.6%
* Vectura Group P.L.C. 1,990,316 5,002,510 0.3%
------------ ----
Total Health Care 53,204,800 3.0%
------------ ----
Industrials -- (23.8%)
Aggreko P.L.C. 588,719 9,370,893 0.5%
Air Partner P.L.C. 40,969 258,917 0.0%
Alumasc Group P.L.C. (The) 120,110 297,413 0.0%
Avon Rubber P.L.C. 101,804 1,104,090 0.1%
* Balfour Beatty P.L.C. 3,549,781 12,403,455 0.7%
BBA Aviation P.L.C. 5,623,297 16,465,969 0.9%
Berendsen P.L.C. 823,219 14,223,318 0.8%
Bodycote P.L.C. 1,121,708 9,792,143 0.5%
Braemar Shipping Services P.L.C. 84,411 556,342 0.0%
# Brammer P.L.C. 618,328 1,576,650 0.1%
Cape P.L.C. 655,560 2,204,818 0.1%
# Carillion P.L.C. 2,315,551 9,966,493 0.6%
Carr's Group P.L.C. 343,111 739,697 0.0%
Castings P.L.C. 157,187 1,136,837 0.1%
Chemring Group P.L.C. 1,639,093 3,425,052 0.2%
Clarkson P.L.C. 73,839 2,578,774 0.1%
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Industrials -- (Continued)
Cobham P.L.C. 5,276,532 $11,904,933 0.7%
Communisis P.L.C. 1,025,909 637,712 0.0%
Costain Group P.L.C. 408,045 1,875,106 0.1%
DCC P.L.C. 151,417 13,429,949 0.7%
De La Rue P.L.C. 512,292 3,631,520 0.2%
#* Dialight P.L.C. 103,553 858,821 0.1%
Diploma P.L.C. 579,262 6,198,345 0.3%
Fenner P.L.C. 1,016,768 2,139,652 0.1%
* Firstgroup P.L.C. 5,943,374 8,686,997 0.5%
* Flybe Group P.L.C. 320,823 276,023 0.0%
G4S P.L.C. 1,622,280 4,473,466 0.3%
Galliford Try P.L.C. 397,924 7,438,728 0.4%
Go-Ahead Group P.L.C. 220,066 8,241,818 0.5%
Goodwin P.L.C. 383 11,671 0.0%
Grafton Group P.L.C. 951,619 9,622,375 0.5%
Harvey Nash Group P.L.C. 46,693 49,140 0.0%
Hays P.L.C. 6,566,676 12,320,222 0.7%
Hogg Robinson Group P.L.C. 134,014 134,028 0.0%
HomeServe P.L.C. 1,369,369 8,298,580 0.5%
IMI P.L.C. 973,182 13,317,848 0.7%
Interserve P.L.C. 758,481 4,739,585 0.3%
John Laing Group P.L.C. 78,243 242,865 0.0%
Keller Group P.L.C. 371,761 4,798,452 0.3%
Kier Group P.L.C. 438,069 7,627,224 0.4%
Lavendon Group P.L.C. 812,054 1,646,210 0.1%
Management Consulting Group P.L.C. 1,467,589 348,218 0.0%
Mears Group P.L.C. 544,440 3,165,979 0.2%
Meggitt P.L.C. 1,816,080 10,918,916 0.6%
Melrose Industries P.L.C. 786,721 4,298,572 0.2%
Michael Page International P.L.C. 1,368,971 8,148,591 0.5%
Mitie Group P.L.C. 1,849,555 7,345,138 0.4%
Morgan Advanced Materials P.L.C. 1,484,937 5,126,675 0.3%
Morgan Sindall Group P.L.C. 191,927 2,252,244 0.1%
National Express Group P.L.C. 2,195,042 10,424,252 0.6%
Norcros P.L.C. 27,976 72,109 0.0%
Northgate P.L.C. 698,430 4,121,884 0.2%
PayPoint P.L.C. 246,900 3,042,523 0.2%
Polypipe Group P.L.C. 179,995 771,722 0.0%
QinetiQ Group P.L.C. 3,243,810 10,623,744 0.6%
Regus P.L.C. 3,349,423 14,331,210 0.8%
* Renold P.L.C. 193,435 118,687 0.0%
Rentokil Initial P.L.C. 8,861,710 22,836,352 1.3%
Ricardo P.L.C. 271,798 3,225,285 0.2%
Robert Walters P.L.C. 381,498 1,856,295 0.1%
Rotork P.L.C. 3,621,656 9,907,880 0.6%
RPS Group P.L.C. 1,241,176 3,163,278 0.2%
Senior P.L.C. 2,105,362 6,715,670 0.4%
* Serco Group P.L.C. 341,883 480,954 0.0%
Severfield P.L.C. 1,262,597 963,140 0.1%
Shanks Group P.L.C. 2,388,845 2,800,315 0.2%
SIG P.L.C. 3,113,733 6,174,053 0.3%
Speedy Hire P.L.C. 2,785,594 1,497,409 0.1%
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
OF NET
SHARES VALUE++ ASSETS**
--------- ------------ ----------
Industrials -- (Continued)
Spirax-Sarco Engineering P.L.C. 355,118 $ 17,742,816 1.0%
St. Ives P.L.C. 654,912 1,074,598 0.1%
Stagecoach Group P.L.C. 2,052,864 7,729,819 0.4%
Sthree P.L.C. 407,731 2,027,059 0.1%
T Clarke P.L.C. 147,457 181,013 0.0%
Tarsus Group P.L.C. 207,820 800,534 0.0%
Trifast P.L.C. 447,201 887,299 0.1%
Tyman P.L.C. 113,806 483,932 0.0%
# UK Mail Group P.L.C. 189,686 812,787 0.0%
Ultra Electronics Holdings P.L.C. 365,324 9,433,882 0.5%
Vesuvius P.L.C. 1,374,189 6,478,843 0.4%
* Volex P.L.C. 307,047 146,800 0.0%
Vp P.L.C. 160,962 1,695,750 0.1%
Weir Group P.L.C. (The) 570,171 10,015,416 0.6%
* Wincanton P.L.C. 612,048 1,499,201 0.1%
* Wizz Air Holdings P.L.C. 9,364 257,890 0.0%
WS Atkins P.L.C. 502,623 9,807,807 0.5%
XP Power, Ltd. 74,988 1,840,268 0.1%
------------ ----
Total Industrials 436,348,940 24.3%
------------ ----
Information Technology -- (9.5%)
Acal P.L.C. 202,289 778,972 0.1%
AVEVA Group P.L.C. 322,264 7,589,183 0.4%
Computacenter P.L.C. 389,033 4,745,623 0.3%
E2V Technologies P.L.C. 798,868 2,485,196 0.1%
Electrocomponents P.L.C. 2,369,706 8,946,891 0.5%
FDM Group Holdings P.L.C. 4,973 40,232 0.0%
Fidessa Group P.L.C. 170,433 5,941,743 0.3%
Halma P.L.C. 1,951,180 25,464,562 1.4%
#* Imagination Technologies Group P.L.C. 1,293,437 2,946,272 0.2%
Laird P.L.C. 1,454,587 7,404,999 0.4%
Micro Focus International P.L.C. 637,349 14,255,898 0.8%
Moneysupermarket.com Group P.L.C. 2,068,485 9,501,835 0.5%
NCC Group P.L.C. 745,824 2,847,373 0.2%
Oxford Instruments P.L.C. 210,872 2,033,823 0.1%
* Paysafe Group P.L.C. 358,952 2,002,746 0.1%
Playtech P.L.C. 960,141 11,306,981 0.6%
Premier Farnell P.L.C. 1,988,181 3,528,461 0.2%
Renishaw P.L.C. 171,571 4,752,719 0.3%
Rightmove P.L.C. 477,301 26,974,776 1.5%
RM P.L.C. 318,504 636,364 0.0%
SDL P.L.C. 388,032 2,299,154 0.1%
Sepura P.L.C. 322,176 334,511 0.0%
Spectris P.L.C. 573,376 15,297,327 0.9%
Spirent Communications P.L.C. 2,870,632 3,292,918 0.2%
TT Electronics P.L.C. 828,017 1,876,546 0.1%
Xaar P.L.C. 369,039 2,613,894 0.2%
* Xchanging P.L.C. 1,317,646 3,641,052 0.2%
Zoopla Property Group P.L.C. 67,419 290,778 0.0%
------------ ----
Total Information Technology 173,830,829 9.7%
------------ ----
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
Materials -- (7.7%)
Acacia Mining P.L.C. 753,040 $ 3,865,461 0.2%
British Polythene Industries P.L.C. 135,206 1,383,780 0.1%
Carclo P.L.C. 213,640 463,877 0.0%
Centamin P.L.C. 5,929,854 10,486,329 0.6%
Croda International P.L.C. 335,389 14,774,736 0.8%
DS Smith P.L.C. 4,938,232 27,541,954 1.5%
Elementis P.L.C. 2,298,950 7,254,753 0.4%
Essentra P.L.C. 1,251,793 14,887,331 0.8%
* Evraz P.L.C. 1,345,685 2,794,097 0.2%
Ferrexpo P.L.C. 820,068 450,518 0.0%
Gem Diamonds, Ltd. 553,189 1,097,305 0.1%
Hill & Smith Holdings P.L.C. 414,294 5,652,640 0.3%
* Hochschild Mining P.L.C. 1,157,189 2,642,086 0.1%
* KAZ Minerals P.L.C. 1,271,344 3,187,336 0.2%
Low & Bonar P.L.C. 1,119,286 1,013,517 0.1%
Marshalls P.L.C. 987,153 4,630,814 0.3%
Petra Diamonds, Ltd. 2,122,486 3,667,106 0.2%
#* Petropavlovsk P.L.C. 13,998,500 1,700,110 0.1%
Rexam P.L.C. 95,851 876,624 0.1%
RPC Group P.L.C. 1,506,799 16,079,536 0.9%
Synthomer P.L.C. 1,277,033 6,505,236 0.4%
# Vedanta Resources P.L.C. 424,917 2,622,047 0.1%
Victrex P.L.C. 371,614 7,619,391 0.4%
Zotefoams P.L.C. 93,537 384,346 0.0%
-------------- -----
Total Materials 141,580,930 7.9%
-------------- -----
Telecommunication Services -- (1.9%)
Cable & Wireless Communications P.L.C. 17,713,479 19,097,936 1.0%
KCOM Group P.L.C. 3,118,278 4,714,391 0.3%
# TalkTalk Telecom Group P.L.C. 2,586,447 10,126,104 0.6%
-------------- -----
Total Telecommunication Services 33,938,431 1.9%
-------------- -----
Utilities -- (1.9%)
Dee Valley Group P.L.C. 12,109 233,991 0.0%
# Drax Group P.L.C. 2,006,082 9,382,072 0.5%
Pennon Group P.L.C. 1,817,348 21,597,022 1.2%
# Telecom Plus P.L.C. 275,149 3,748,044 0.2%
-------------- -----
Total Utilities 34,961,129 1.9%
-------------- -----
TOTAL COMMON STOCKS 1,782,826,384 99.2%
-------------- -----
PREFERRED STOCKS -- (0.0%)
McBride 10,328,304 15,091 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES 1,782,841,475
--------------
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
SECURITIES LENDING COLLATERAL -- (2.8%)
(S)@ DFA Short Term Investment Fund 4,423,370 $ 51,178,392 2.8%
-------------- -----
TOTAL INVESTMENTS -- (100.0%) (Cost $1,541,981,444) $1,834,019,867 102.0%
============== =====
THE CONTINENTAL SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2016
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
COMMON STOCKS -- (86.7%)
AUSTRIA -- (2.8%)
Agrana Beteiligungs AG 16,785 $ 1,637,895 0.0%
AMAG Austria Metall AG 3,703 136,071 0.0%
Andritz AG 208,091 11,680,597 0.3%
Atrium European Real Estate, Ltd. 670,173 2,839,509 0.1%
Austria Technologie & Systemtechnik AG 154,803 2,144,081 0.1%
BUWOG AG 263,308 5,543,006 0.1%
CA Immobilien Anlagen AG 294,597 5,627,330 0.1%
* Conwert Immobilien Invest SE 338,470 5,356,302 0.1%
DO & CO AG 29,001 3,287,560 0.1%
EVN AG 199,009 2,387,753 0.1%
* FACC AG 15,746 90,025 0.0%
* IMMOFINANZ AG 2,711,777 6,396,991 0.1%
Josef Manner & Co. AG 870 49,395 0.0%
Kapsch TrafficCom AG 30,685 1,055,323 0.0%
# Lenzing AG 51,632 3,996,114 0.1%
# Mayr Melnhof Karton AG 49,358 5,808,130 0.1%
Oberbank AG 41,134 2,632,281 0.1%
Oesterreichische Post AG 194,685 7,608,147 0.1%
Palfinger AG 76,783 2,353,725 0.1%
POLYTEC Holding AG 92,160 846,749 0.0%
Porr Ag 47,954 1,518,122 0.0%
* Raiffeisen Bank International AG 496,713 7,951,050 0.2%
# RHI AG 137,992 2,970,081 0.1%
# Rosenbauer International AG 18,560 1,267,885 0.0%
S IMMO AG 308,031 3,023,344 0.1%
# Schoeller-Bleckmann Oilfield Equipment AG 52,123 3,516,917 0.1%
# Semperit AG Holding 69,369 2,492,463 0.1%
SHS Flughafen Wien AG 18,382 2,104,832 0.1%
Strabag SE 99,312 3,121,903 0.1%
Telekom Austria AG 352,144 2,209,774 0.1%
UBM Development AG 314 12,727 0.0%
UNIQA Insurance Group AG 570,563 4,124,839 0.1%
# Verbund AG 287,335 4,013,851 0.1%
Vienna Insurance Group AG Wiener Versicherung Gruppe 93,982 2,120,449 0.1%
Voestalpine AG 49,659 1,791,938 0.0%
Wienerberger AG 552,075 10,904,409 0.2%
Wolford AG 11,252 313,041 0.0%
# Zumtobel Group AG 166,510 2,167,037 0.1%
------------ ---
TOTAL AUSTRIA 127,101,646 3.1%
------------ ---
BELGIUM -- (3.8%)
#* Ablynx NV 303,349 4,593,700 0.1%
Ackermans & van Haaren NV 134,383 17,517,650 0.4%
* AGFA-Gevaert NV 965,465 3,838,988 0.1%
# Atenor Group SA 7,383 380,467 0.0%
Banque Nationale de Belgique 986 3,386,300 0.1%
Barco NV 65,535 4,575,993 0.1%
Bekaert SA 183,930 8,100,129 0.2%
bpost SA 369,646 10,438,655 0.3%
* Celyad SA 8,628 401,530 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
BELGIUM -- (Continued)
Cie d'Entreprises CFE 49,147 $ 4,884,883 0.1%
Cie Immobiliere de Belgique SA 14,788 780,118 0.0%
Co.Br.Ha Societe Commerciale de Brasserie SA 111 362,462 0.0%
D'ieteren SA 131,557 5,835,632 0.2%
* Dalenys 18,045 143,522 0.0%
Deceuninck NV 358,205 920,030 0.0%
Econocom Group SA 343,333 3,705,898 0.1%
Elia System Operator SA 169,789 8,784,051 0.2%
Euronav NV 679,242 7,481,250 0.2%
EVS Broadcast Equipment SA 74,156 2,514,740 0.1%
# Exmar NV 174,456 1,499,073 0.0%
# Fagron 127,980 935,753 0.0%
* Galapagos NV 148,075 6,732,048 0.2%
Gimv NV 20,571 1,143,135 0.0%
Ion Beam Applications 115,719 4,773,530 0.1%
Jensen-Group NV 13,482 416,680 0.0%
Kinepolis Group NV 94,699 4,178,105 0.1%
Lotus Bakeries 1,454 2,809,696 0.1%
#* MDxHealth 180,487 766,189 0.0%
Melexis NV 113,838 6,300,228 0.2%
* Mobistar SA 167,280 3,661,238 0.1%
#* Nyrstar NV 7,455,408 5,901,058 0.2%
Ontex Group NV 204,456 6,271,539 0.2%
Picanol 28,800 1,918,834 0.1%
RealDolmen 8,137 165,920 0.0%
RealDolmen NV 120 3 0.0%
Recticel SA 199,901 1,304,853 0.0%
Resilux 5,006 802,636 0.0%
* Roularta Media Group NV 10,263 291,693 0.0%
Sioen Industries NV 50,430 1,039,618 0.0%
Sipef SA 25,871 1,473,234 0.0%
TER Beke SA 2,260 283,303 0.0%
* Tessenderlo Chemie NV 190,301 6,549,547 0.2%
#* ThromboGenics NV 159,152 597,207 0.0%
# Umicore SA 434,045 21,667,333 0.5%
Van de Velde NV 36,017 2,528,323 0.1%
#* Viohalco SA 583,796 738,924 0.0%
------------ ---
TOTAL BELGIUM 173,395,698 4.3%
------------ ---
DENMARK -- (4.3%)
ALK-Abello A.S. 30,494 4,960,306 0.1%
Alm Brand A.S. 468,716 3,485,519 0.1%
# Ambu A.S. Class B 124,859 4,305,652 0.1%
Arkil Holding A.S. Class B 504 87,713 0.0%
#* Bang & Olufsen A.S. 167,328 1,815,628 0.0%
BankNordik P/F 1,753 30,506 0.0%
* Bavarian Nordic A.S. 143,640 5,490,772 0.1%
* BoConcept Holding A.S. Class B 1,682 111,309 0.0%
Brodrene Hartmann A.S. 13,519 546,531 0.0%
#* D/S Norden A.S. 132,398 2,318,900 0.1%
DFDS A.S. 156,210 6,234,252 0.2%
Djurslands Bank A.S. 8,970 297,309 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
DENMARK -- (Continued)
FE Bording A.S. 126 $ 15,072 0.0%
# FLSmidth & Co. A.S. 260,041 10,107,772 0.3%
Fluegger A.S. Class B 4,198 231,930 0.0%
#* Genmab A.S. 217,338 32,246,608 0.8%
GN Store Nord A.S. 826,732 16,268,578 0.4%
* GPV Industri A.S. Series B 2,200 -- 0.0%
Gronlandsbanken A.S. 1,125 103,491 0.0%
#* H Lundbeck A.S. 69,382 2,318,258 0.1%
* H+H International A.S. Class B 40,093 444,624 0.0%
Harboes Bryggeri A.S. Class B 16,516 289,722 0.0%
IC Group A.S. 38,440 1,300,266 0.0%
#* Jeudan A.S. 5,970 680,309 0.0%
Jyske Bank A.S. 271,315 11,103,444 0.3%
Lan & Spar Bank 4,981 294,829 0.0%
Matas A.S. 112,620 2,149,148 0.1%
NKT Holding A.S. 121,196 6,909,913 0.2%
# Nordjyske Bank A.S. 36,553 527,403 0.0%
* Parken Sport & Entertainment A.S. 33,556 322,723 0.0%
PER Aarsleff A.S. Class B 107,320 2,965,942 0.1%
Ringkjoebing Landbobank A.S. 23,199 4,885,647 0.1%
Roblon A.S. Class B 2,700 90,941 0.0%
Rockwool International A.S. Class B 30,771 5,129,512 0.1%
Royal Unibrew A.S. 227,860 10,294,959 0.3%
# RTX A.S. 29,629 403,846 0.0%
* Santa Fe Group A.S. 127,806 1,230,001 0.0%
Schouw & Co. 71,589 4,187,443 0.1%
SimCorp A.S. 209,269 9,414,015 0.2%
Solar A.S. Class B 26,813 1,377,863 0.0%
Spar Nord Bank A.S. 351,498 2,869,865 0.1%
Sydbank A.S. 351,217 9,934,158 0.3%
TDC A.S. 1,261,353 6,458,469 0.2%
Tivoli A.S. 9,370 671,067 0.0%
* TK Development A.S. 608,784 632,755 0.0%
* Topdanmark A.S. 491,266 13,008,717 0.3%
Tryg A.S. 29,836 563,776 0.0%
# United International Enterprises 10,218 1,521,757 0.0%
* Vestjysk Bank A.S. 53,413 74,874 0.0%
* William Demant Holding A.S. 73,082 7,514,983 0.2%
#* Zealand Pharma A.S. 62,015 1,231,809 0.0%
------------ ---
TOTAL DENMARK 199,460,886 4.9%
------------ ---
FINLAND -- (5.6%)
Ahlstrom Oyj 46,794 421,755 0.0%
# Aktia Bank Oyj 65,892 661,953 0.0%
Alandsbanken Abp Class B 21,354 368,035 0.0%
Alma Media Oyj 42,130 175,380 0.0%
Amer Sports Oyj 641,324 18,985,674 0.5%
Apetit Oyj 18,766 266,977 0.0%
# Aspo Oyj 92,762 724,588 0.0%
# Atria Oyj 42,958 440,760 0.0%
#* BasWare Oyj 43,305 1,909,976 0.0%
# Bittium Oyj 82,495 570,978 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
FINLAND -- (Continued)
Cargotec Oyj Class B 235,592 $ 8,916,969 0.2%
Caverion Corp. 522,975 3,838,251 0.1%
Citycon Oyj 2,156,160 5,467,045 0.1%
Comptel Oyj 326,527 617,809 0.0%
Cramo Oyj 181,445 3,635,917 0.1%
Digia Oyj 48,912 412,383 0.0%
Elisa Oyj 734,075 27,448,502 0.7%
# F-Secure Oyj 524,454 1,538,577 0.0%
* Finnair Oyj 450,180 2,680,924 0.1%
Fiskars Oyj Abp 190,312 3,694,624 0.1%
* GeoSentric Oyj 244,900 -- 0.0%
* Glaston Oyj Abp 46,084 20,631 0.0%
HKScan Oyj Class A 172,657 623,035 0.0%
# Huhtamaki Oyj 467,536 18,390,549 0.5%
Ilkka-Yhtyma Oyj 61,503 147,352 0.0%
Kemira Oyj 637,200 7,731,162 0.2%
Kesko Oyj Class A 3,015 120,656 0.0%
Kesko Oyj Class B 345,206 13,807,712 0.3%
# Konecranes Oyj 262,339 6,024,138 0.2%
Lassila & Tikanoja Oyj 171,857 2,990,493 0.1%
Lemminkainen Oyj 30,098 461,563 0.0%
Metsa Board Oyj 1,498,878 9,423,739 0.2%
Metso Oyj 435,774 10,496,636 0.3%
# Munksjo Oyj 24,345 277,682 0.0%
Neste Oyj 66,182 2,120,771 0.1%
Nokian Renkaat Oyj 623,433 23,027,091 0.6%
Okmetic Oyj 66,625 697,632 0.0%
Olvi Oyj Class A 68,749 1,911,091 0.1%
Oriola-KD Oyj Class A 6,054 30,202 0.0%
Oriola-KD Oyj Class B 628,439 3,110,046 0.1%
# Orion Oyj Class A 126,645 4,357,595 0.1%
Orion Oyj Class B 420,544 14,687,385 0.4%
#* Outokumpu Oyj 3,022,031 12,720,816 0.3%
#* Outotec Oyj 44,017 175,602 0.0%
# PKC Group Oyj 115,436 2,077,615 0.1%
Ponsse Oy 45,516 1,163,991 0.0%
* Poyry Oyj 188,253 733,496 0.0%
Raisio Oyj Class V 548,453 2,704,988 0.1%
Ramirent Oyj 336,343 2,352,594 0.1%
Rapala VMC Oyj 109,543 545,324 0.0%
# Revenio Group Oyj 23,248 687,257 0.0%
Saga Furs Oyj 368 6,346 0.0%
# Sanoma Oyj 754,064 3,691,190 0.1%
Sponda Oyj 337,682 1,470,507 0.0%
SRV Group Oyj 15,301 61,887 0.0%
* Stockmann Oyj Abp Class A 42,474 301,572 0.0%
#* Stockmann Oyj Abp Class B 141,026 979,203 0.0%
Technopolis Oyj 572,771 2,473,300 0.1%
Teleste Oyj 46,406 448,412 0.0%
Tieto Oyj 295,694 7,770,311 0.2%
Tikkurila Oyj 190,569 3,345,112 0.1%
Uponor Oyj 283,661 4,376,464 0.1%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
FINLAND -- (Continued)
Vaisala Oyj Class A 44,325 $ 1,262,339 0.0%
Valmet Oyj 342,154 4,296,499 0.1%
Viking Line Abp 10,366 255,288 0.0%
YIT Oyj 107,539 734,181 0.0%
------------ ---
TOTAL FINLAND 257,868,532 6.4%
------------ ---
FRANCE -- (11.5%)
ABC Arbitrage 85,081 588,855 0.0%
# Actia Group 48,398 294,923 0.0%
#* Air France-KLM 1,111,495 9,958,037 0.3%
Akka Technologies 51,152 1,649,393 0.1%
Albioma SA 84,560 1,378,648 0.0%
Altamir 100,902 1,260,379 0.0%
Alten SA 135,328 8,355,741 0.2%
Altran Technologies SA 771,932 11,456,927 0.3%
April SA 74,473 1,022,810 0.0%
#* Archos 111,720 231,127 0.0%
Arkema SA 300,862 24,013,744 0.6%
# Assystem 63,007 1,635,009 0.0%
Aubay 23,726 534,573 0.0%
Axway Software SA 28,746 632,926 0.0%
Bastide le Confort Medical 8,920 185,394 0.0%
# Beneteau SA 193,357 2,246,474 0.1%
BioMerieux 71,574 9,238,178 0.2%
Boiron SA 38,334 3,072,780 0.1%
Bollore SA(4572709) 33,291 131,839 0.0%
* Bollore SA(BZ0G303) 2,744 10,695 0.0%
Bonduelle SCA 76,003 2,243,489 0.1%
# Bourbon SA 18,501 273,019 0.0%
Burelle SA 3,739 3,467,909 0.1%
Catering International Services 14,124 229,756 0.0%
* Cegedim SA 23,645 648,931 0.0%
Cegid Group SA 26,749 1,891,684 0.1%
#* CGG SA 3,104,352 2,917,246 0.1%
Chargeurs SA 95,815 977,957 0.0%
Cie des Alpes 38,937 677,654 0.0%
* Coface SA 56,345 455,133 0.0%
Derichebourg SA 554,692 1,768,539 0.1%
Devoteam SA 26,531 1,237,417 0.0%
Dom Security 2,414 94,506 0.0%
# Edenred 843,271 16,634,039 0.4%
Eiffage SA 229,296 18,241,039 0.5%
Electricite de Strasbourg SA 21,168 2,336,658 0.1%
# Elior Group 263,213 5,658,038 0.1%
Elis SA 5,498 100,984 0.0%
#* Eramet 28,909 1,152,401 0.0%
* Esso SA Francaise 14,895 674,917 0.0%
* Etablissements Maurel et Prom 415,136 1,672,886 0.1%
Euler Hermes Group 56,627 5,383,291 0.1%
Eurofins Scientific SE 47,119 17,482,363 0.4%
Euronext NV 171,538 7,251,234 0.2%
Exel Industries Class A 10,330 907,096 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ----------- ---------------
FRANCE -- (Continued)
Faiveley Transport SA 34,183 $ 3,720,565 0.1%
Faurecia 306,467 12,662,589 0.3%
Fimalac 13,741 1,543,595 0.0%
Fleury Michon SA 5,962 411,691 0.0%
* Futuren SA 639,522 476,388 0.0%
* GameLoft SE 217,331 1,841,263 0.1%
Gaumont SA 13,521 719,073 0.0%
# Gaztransport Et Technigaz SA 69,131 2,565,272 0.1%
GEA 2,433 214,446 0.0%
#* GECI International 59,392 13,601 0.0%
Gevelot SA 3,466 485,737 0.0%
GFI Informatique SA 868 8,420 0.0%
GL Events 46,718 896,075 0.0%
Groupe Crit 23,459 1,546,332 0.0%
* Groupe Flo 35,502 58,269 0.0%
* Groupe Fnac SA 43,883 2,531,918 0.1%
# Groupe Gorge 20,272 498,869 0.0%
Groupe Open 26,685 547,733 0.0%
Guerbet 33,267 2,185,123 0.1%
Haulotte Group SA 71,617 1,117,002 0.0%
Havas SA 305,254 2,559,470 0.1%
Herige SADCS 4,147 102,093 0.0%
#* Hipay Group SA 24,579 292,172 0.0%
* ID Logistics Group 1,031 124,068 0.0%
Imerys SA 152,734 11,279,139 0.3%
# Interparfums SA 48,452 1,281,635 0.0%
Ipsen SA 170,560 10,311,871 0.3%
IPSOS 161,750 4,823,161 0.1%
Jacquet Metal Service 67,512 1,003,250 0.0%
Korian SA 191,713 6,041,766 0.2%
Lagardere SCA 619,304 16,434,996 0.4%
Lanson-BCC 8,795 302,286 0.0%
Laurent-Perrier 12,372 1,051,904 0.0%
* Le Noble Age 24,612 841,231 0.0%
Lectra 116,672 1,773,323 0.1%
Linedata Services 2,607 119,303 0.0%
LISI 91,883 2,629,128 0.1%
Maisons France Confort SA 15,298 717,620 0.0%
# Manitou BF SA 48,399 839,973 0.0%
Manutan International 14,076 758,355 0.0%
Mersen 117,956 1,885,158 0.1%
#* METabolic EXplorer SA 151,621 389,217 0.0%
Metropole Television SA 293,607 5,569,819 0.1%
MGI Coutier 56,309 1,199,412 0.0%
Mr Bricolage 30,731 466,825 0.0%
#* Naturex 30,862 2,602,336 0.1%
# Neopost SA 173,646 4,253,745 0.1%
* Nexans SA 178,799 8,318,021 0.2%
Nexity SA 159,595 8,554,450 0.2%
#* Nicox 61,088 596,989 0.0%
* NRJ Group 71,278 729,987 0.0%
# Oeneo SA 97,415 806,814 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
FRANCE -- (Continued)
#* Onxeo SA(B04P0G6) 126,372 $ 486,991 0.0%
#* Onxeo SA(BPFJVR0) 48,958 187,724 0.0%
Orpea 167,853 13,847,723 0.4%
* Parrot SA 4,891 98,538 0.0%
* Pierre & Vacances SA 25,491 999,070 0.0%
# Plastic Omnium SA 318,364 10,549,579 0.3%
PSB Industries SA 8,161 448,761 0.0%
# Rallye SA 120,177 2,308,883 0.1%
#* Recylex SA 46,552 125,651 0.0%
Remy Cointreau SA 22,934 1,906,932 0.1%
Rexel SA 1,044,821 15,842,176 0.4%
Robertet SA 3,063 900,811 0.0%
Rothschild & Co. 21,428 536,366 0.0%
Rubis SCA 195,671 15,285,650 0.4%
Saft Groupe SA 156,473 4,861,152 0.1%
Samse SA 8,068 1,090,490 0.0%
Sartorius Stedim Biotech 17,869 6,828,666 0.2%
Savencia SA 33,142 2,200,212 0.1%
SEB SA 120,657 13,517,744 0.3%
Seche Environnement SA 11,799 421,449 0.0%
#* Sequana SA 289,137 901,018 0.0%
* Societe des Bains de Mer et du Cercle des Etrangers a Monaco 60,258 2,239,618 0.1%
#* Societe Internationale de Plantations d'Heveas SA 7,523 305,449 0.0%
Societe Marseillaise du Tunnel Prado-Carenage SA 3,434 129,289 0.0%
Societe pour l'Informatique Industrielle 39,566 451,910 0.0%
# Societe Television Francaise 1 621,656 7,487,759 0.2%
#* SOITEC 964,682 651,937 0.0%
#* Solocal Group 170,329 1,017,590 0.0%
# Somfy SA 21,025 7,676,868 0.2%
Sopra Steria Group 74,501 8,665,983 0.2%
* Spir Communication SA 452 3,622 0.0%
* Stallergenes Greer P.L.C. 12,201 371,748 0.0%
#* Ste Industrielle d'Aviation Latecoere SA 297,158 1,221,098 0.0%
Stef SA 28,166 2,125,873 0.1%
STMicroelectronics NV 1,463,195 8,996,328 0.2%
#* Store Electronic 12,202 307,398 0.0%
Sword Group 31,975 858,712 0.0%
Synergie SA 70,320 2,122,921 0.1%
Tarkett SA 34,069 1,111,424 0.0%
Technicolor SA 1,482,868 10,171,382 0.3%
Technip SA 17,170 1,006,335 0.0%
Teleperformance 348,982 31,346,308 0.8%
Tessi SA 6,807 1,128,296 0.0%
# TFF Group 5,065 554,199 0.0%
# Thermador Groupe 13,179 1,204,133 0.0%
# Total Gabon 1,515 244,202 0.0%
* Touax SA 4,773 49,091 0.0%
Trigano SA 46,958 2,754,347 0.1%
* UBISOFT Entertainment 521,852 15,146,787 0.4%
Union Financiere de France BQE SA 16,855 504,041 0.0%
# Vallourec SA 640,094 3,333,312 0.1%
#* Valneva SE 218,939 850,162 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ------------ ---------------
FRANCE -- (Continued)
Vetoquinol SA 16,625 $ 688,593 0.0%
Vicat SA 76,047 5,293,866 0.1%
VIEL & Cie SA 161,700 651,120 0.0%
# Vilmorin & Cie SA 26,220 1,876,585 0.1%
Virbac SA 22,063 4,023,522 0.1%
Vranken-Pommery Monopole SA 18,262 518,365 0.0%
* Worldline SA 6,840 191,795 0.0%
Zodiac Aerospace 84,967 1,993,460 0.1%
------------ ----
TOTAL FRANCE 527,601,130 13.1%
------------ ----
GERMANY -- (14.3%)
Aareal Bank AG 409,233 14,568,747 0.4%
Adler Modemaerkte AG 41,855 397,775 0.0%
#* ADLER Real Estate AG 27,317 362,068 0.0%
* ADVA Optical Networking SE 194,362 2,074,077 0.1%
#* AIXTRON SE 396,410 1,974,500 0.1%
* Aligna AG 318,087 -- 0.0%
All for One Steeb AG 569 37,029 0.0%
Allgeier SE 26,260 476,041 0.0%
Amadeus Fire AG 29,384 2,209,026 0.1%
* AS Creation Tapeten 7,109 245,264 0.0%
Aurubis AG 178,175 9,683,128 0.2%
# Axel Springer SE 191,414 10,703,301 0.3%
Basler AG 3,576 198,326 0.0%
Bauer AG 33,835 553,169 0.0%
# BayWa AG(5838057) 73,868 2,582,328 0.1%
BayWa AG(5838068) 124 4,606 0.0%
Bechtle AG 80,333 8,401,613 0.2%
# Bertrandt AG 27,357 3,166,416 0.1%
Bijou Brigitte AG 19,236 1,241,708 0.0%
Bilfinger SE 168,907 7,373,199 0.2%
# Biotest AG 60,306 1,153,086 0.0%
* BKN International AG 33,408 -- 0.0%
# Borussia Dortmund GmbH & Co. KGaA 473,904 2,130,371 0.1%
BRAAS Monier Building Group SA 5,502 152,954 0.0%
CANCOM SE 77,352 3,946,907 0.1%
Carl Zeiss Meditec AG 160,352 5,238,134 0.1%
CAT Oil AG 6,474 56,811 0.0%
CENIT AG 50,676 1,206,561 0.0%
CENTROTEC Sustainable AG 40,533 671,281 0.0%
Cewe Stiftung & Co. KGAA 30,523 1,924,884 0.1%
# Clere AG 16,113 491,308 0.0%
Comdirect Bank AG 173,523 1,976,470 0.1%
CompuGroup Medical SE 118,345 4,650,820 0.1%
* Constantin Medien AG 340,089 823,911 0.0%
* CropEnergies AG 114,550 565,041 0.0%
CTS Eventim AG & Co. KGaA 216,083 7,583,412 0.2%
Data Modul AG 11,455 527,472 0.0%
* DEAG Deutsche Entertainment AG 13,697 60,927 0.0%
# Delticom AG 28,981 531,764 0.0%
Deutsche Beteiligungs AG 44,710 1,323,042 0.0%
Deutsche EuroShop AG 141,015 6,579,443 0.2%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
GERMANY -- (Continued)
# Deutsche Lufthansa AG 28,830 $ 448,879 0.0%
Deutz AG 599,311 3,063,664 0.1%
* Dialog Semiconductor P.L.C. 364,163 12,700,715 0.3%
DIC Asset AG 204,453 1,885,320 0.1%
DMG Mori AG 308,295 14,779,471 0.4%
Dr Hoenle AG 25,078 661,728 0.0%
Draegerwerk AG & Co. KGaA 9,114 554,705 0.0%
# Drillisch AG 220,824 9,132,454 0.2%
Duerr AG 133,802 10,736,120 0.3%
Eckert & Ziegler AG 17,297 383,866 0.0%
Elmos Semiconductor AG 53,117 666,815 0.0%
ElringKlinger AG 130,170 3,195,525 0.1%
* Euromicron AG 32,612 295,536 0.0%
#* Evotec AG 1,103,203 4,404,361 0.1%
Fielmann AG 120,175 8,879,936 0.2%
* First Sensor AG 19,888 241,615 0.0%
Francotyp-Postalia Holding AG Class A 53,729 238,524 0.0%
# Fraport AG Frankfurt Airport Services Worldwide 96,706 5,862,578 0.2%
# Freenet AG 652,809 19,983,370 0.5%
Fuchs Petrolub SE 152,541 5,629,344 0.1%
Gerresheimer AG 201,267 15,010,802 0.4%
# Gerry Weber International AG 92,101 1,330,866 0.0%
Gesco AG 14,489 1,210,608 0.0%
GFK SE 76,236 2,971,106 0.1%
GFT Technologies SE 93,571 2,300,285 0.1%
# Grammer AG 79,765 3,089,986 0.1%
Grenkeleasing AG 38,535 7,605,658 0.2%
* H&R AG 10,743 126,857 0.0%
Hamburger Hafen und Logistik AG 40,251 632,038 0.0%
#* Heidelberger Druckmaschinen AG 1,385,127 3,130,534 0.1%
Hella KGaA Hueck & Co. 64,333 2,462,681 0.1%
Highlight Communications AG 94,846 632,073 0.0%
Hochtief AG 79,951 10,271,481 0.3%
Hornbach Baumarkt AG 19,981 619,801 0.0%
Hugo Boss AG 64,854 4,138,727 0.1%
Indus Holding AG 131,598 6,715,500 0.2%
# Init Innovation In Traffic Systems AG 23,180 377,236 0.0%
Isra Vision AG 18,038 1,280,181 0.0%
Jenoptik AG 237,664 3,717,941 0.1%
# K+S AG 636,597 15,889,634 0.4%
* Kampa AG 7,101 276 0.0%
KION Group AG 256,895 14,028,397 0.4%
# Kloeckner & Co. SE 555,392 6,483,285 0.2%
* Koenig & Bauer AG 66,442 2,490,138 0.1%
#* Kontron AG 437,004 1,443,805 0.0%
Krones AG 75,044 8,571,043 0.2%
KSB AG 3,466 1,232,821 0.0%
# KUKA AG 137,716 13,602,370 0.3%
KWS Saat SE 16,076 5,578,625 0.1%
Lanxess AG 467,967 24,507,252 0.6%
LEG Immobilien AG 289,571 26,861,807 0.7%
Leifheit AG 12,090 775,955 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ----------- ---------------
GERMANY -- (Continued)
# Leoni AG 157,919 $ 5,706,939 0.1%
# LPKF Laser & Electronics AG 112,621 938,121 0.0%
#* Manz AG 17,759 747,399 0.0%
* MasterFlex SE 19,347 122,023 0.0%
* Mediclin AG 88,966 534,958 0.0%
#* Medigene AG 49,009 510,382 0.0%
MLP AG 238,272 928,510 0.0%
# MTU Aero Engines AG 247,538 23,403,930 0.6%
MVV Energie AG 25,729 578,411 0.0%
Nemetschek SE 110,040 6,157,720 0.2%
# Nexus AG 49,542 868,619 0.0%
* Nordex SE 307,691 8,658,844 0.2%
Norma Group SE 180,888 9,339,715 0.2%
# OHB SE 34,489 760,562 0.0%
Osram Licht AG 343,036 17,912,967 0.5%
#* Paion AG 134,475 315,470 0.0%
* Patrizia Immobilien AG 202,336 4,692,620 0.1%
Pfeiffer Vacuum Technology AG 54,190 5,836,800 0.2%
PNE Wind AG 367,537 920,938 0.0%
Progress-Werk Oberkirch AG 7,571 320,575 0.0%
#* PSI AG Gesellschaft Fuer Produkte und Systeme der Informationstechnologie 27,232 404,649 0.0%
# Puma SE 10,528 2,400,719 0.1%
* PVA TePla AG 46,019 138,267 0.0%
* QIAGEN NV 780,158 17,546,244 0.4%
# QSC AG 313,074 486,276 0.0%
# R Stahl AG 14,952 507,650 0.0%
Rational AG 14,996 7,620,979 0.2%
Rheinmetall AG 223,411 17,503,624 0.4%
RHOEN-KLINIKUM AG 261,051 8,121,807 0.2%
# RIB Software AG 86,109 910,919 0.0%
# SAF-Holland SA 248,917 2,938,505 0.1%
Salzgitter AG 196,440 6,658,718 0.2%
# Schaltbau Holding AG 28,415 1,532,930 0.0%
Schloss Wachenheim AG 7,479 118,050 0.0%
* SER Systems AG 9,400 -- 0.0%
#* SGL Carbon SE 290,083 3,400,000 0.1%
SHW AG 23,927 691,514 0.0%
* Singulus Technologies AG 103,211 21,699 0.0%
Sixt SE 80,910 4,692,600 0.1%
* SKW Stahl-Metallurgie Holding AG 19,751 108,535 0.0%
#* SMA Solar Technology AG 59,062 3,143,054 0.1%
#* SMT Scharf AG 18,103 227,966 0.0%
Softing AG 21,576 344,785 0.0%
Software AG 309,788 11,859,451 0.3%
#* Solarworld AG 13,177 120,817 0.0%
* Stabilus SA 7,185 359,151 0.0%
Stada Arzneimittel AG 277,925 11,816,851 0.3%
STRATEC Biomedical AG 27,911 1,601,200 0.0%
# Stroeer SE & Co KGaA 116,515 5,747,820 0.2%
Suedzucker AG 431,457 7,618,685 0.2%
* Suess MicroTec AG 105,674 1,124,571 0.0%
Surteco SE 23,681 604,273 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
GERMANY -- (Continued)
# TAG Immobilien AG 728,668 $ 9,688,682 0.2%
Takkt AG 160,610 3,356,788 0.1%
Technotrans AG 32,047 661,198 0.0%
TLG Immobilien AG 72,667 1,539,248 0.0%
#* Tom Tailor Holding AG 108,631 555,523 0.0%
* Tomorrow Focus AG 114,390 340,591 0.0%
USU Software AG 3,377 65,320 0.0%
VERBIO Vereinigte BioEnergie AG 112,806 1,095,856 0.0%
#* Vossloh AG 52,719 3,653,247 0.1%
# VTG AG 80,128 2,488,607 0.1%
# Wacker Chemie AG 77,716 7,467,024 0.2%
Wacker Neuson SE 113,712 1,926,244 0.1%
Washtec AG 16,215 657,325 0.0%
* Wincor Nixdorf AG 158,021 8,648,686 0.2%
# XING AG 15,678 2,976,489 0.1%
Zeal Network SE 31,533 1,461,793 0.0%
------------ ----
TOTAL GERMANY 656,891,648 16.3%
------------ ----
GREECE -- (0.0%)
* Alfa Alfa Energy SA 3,810 -- 0.0%
* Alysida SA 2,376 -- 0.0%
* Atlantic Supermarkets SA 34,730 -- 0.0%
* Babis Vovos International Construction SA 21,073 -- 0.0%
* Balafas SA 15,200 -- 0.0%
* Elektroniki Athinon SA 7,497 773 0.0%
* Etma Rayon SA 11,242 -- 0.0%
* Informatics SA 3,778 -- 0.0%
* Ipirotiki Software & Publications SA 22,110 -- 0.0%
* Lan-Net SA 12,688 -- 0.0%
* Neorion Holdings SA 14,991 -- 0.0%
* Promota Hellas SA 8,860 -- 0.0%
* T Bank SA 228,007 -- 0.0%
* Themeliodomi SA 37,422 -- 0.0%
------------ ----
TOTAL GREECE 773 0.0%
------------ ----
IRELAND -- (1.7%)
C&C Group P.L.C.(B010DT8) 399,607 1,807,221 0.1%
C&C Group P.L.C.(B011Y09) 1,077,904 4,854,404 0.1%
Datalex P.L.C. 47,003 158,042 0.0%
* FBD Holdings P.L.C. 125,728 946,602 0.0%
Glanbia P.L.C.(0066950) 700,613 13,298,414 0.3%
Glanbia P.L.C.(4058629) 83,878 1,583,206 0.0%
IFG Group P.L.C. 302,015 719,243 0.0%
* Independent News & Media P.L.C. 1,593,163 292,063 0.0%
Irish Continental Group P.L.C.(BLP5857) 361,886 2,137,227 0.1%
Irish Continental Group P.L.C.(BLP59W1) 234,200 1,395,191 0.0%
Kingspan Group P.L.C. 580,389 15,295,504 0.4%
Paddy Power Betfair P.L.C. 142,584 19,162,586 0.5%
Smurfit Kappa Group P.L.C. 546,377 14,502,738 0.4%
------------ ----
TOTAL IRELAND 76,152,441 1.9%
------------ ----
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
ISRAEL -- (1.6%)
* ADO Group, Ltd. 22,944 $ 295,677 0.0%
#* Africa Israel Investments, Ltd. 1,160,746 491,936 0.0%
Africa Israel Properties, Ltd. 72,055 1,034,734 0.0%
Africa Israel Residences, Ltd. 594 10,536 0.0%
#* Airport City, Ltd. 316,100 3,093,727 0.1%
Albaad Massuot Yitzhak, Ltd. 466 4,803 0.0%
#* Allot Communications, Ltd. 103,066 536,635 0.0%
Alrov Properties and Lodgings, Ltd. 43,834 972,314 0.0%
Amot Investments, Ltd. 387,692 1,409,168 0.1%
Arad, Ltd. 1,053 9,082 0.0%
Ashtrom Properties, Ltd. 3,851 12,229 0.0%
* AudioCodes, Ltd. 163,675 691,102 0.0%
Avgol Industries 1953, Ltd. 407,132 449,123 0.0%
* Azorim-Investment Development & Construction Co., Ltd. 380,820 316,694 0.0%
Bayside Land Corp. 3,215 1,116,353 0.0%
Big Shopping Centers, Ltd. 12,817 764,294 0.0%
#* BioLine RX, Ltd. 59,630 57,381 0.0%
# Blue Square Real Estate, Ltd. 21,115 739,641 0.0%
Brack Capital Properties NV 5,116 380,887 0.0%
#* Brainsway, Ltd. 39,554 176,290 0.0%
* Cellcom Israel, Ltd. 240,677 1,783,329 0.1%
* Ceragon Networks, Ltd. 95,438 109,673 0.0%
#* Clal Biotechnology Industries, Ltd. 174,162 138,842 0.0%
* Clal Insurance Enterprises Holdings, Ltd. 84,865 1,047,893 0.0%
* Cohen Development & Industrial Buildings, Ltd. 2,564 49,470 0.0%
#* Compugen, Ltd. 183,598 1,256,708 0.0%
Delek Automotive Systems, Ltd. 155,451 1,446,598 0.1%
# Delta-Galil Industries, Ltd. 45,852 1,261,759 0.0%
Direct Insurance Financial Investments, Ltd. 60,191 460,872 0.0%
# El Al Israel Airlines 803,092 657,007 0.0%
Electra, Ltd. 8,000 1,048,343 0.0%
* Elron Electronic Industries, Ltd. 62,094 280,628 0.0%
* Equital, Ltd. 7,312 125,460 0.0%
#* Evogene, Ltd. 70,559 518,932 0.0%
# First International Bank Of Israel, Ltd. 164,901 2,089,140 0.1%
# FMS Enterprises Migun, Ltd. 10,489 231,050 0.0%
Formula Systems 1985, Ltd. 39,602 1,269,340 0.0%
# Fox Wizel, Ltd. 17,221 302,705 0.0%
Frutarom Industries, Ltd. 110,103 5,725,241 0.2%
#* Gilat Satellite Networks, Ltd. 94,515 414,059 0.0%
Golf & Co., Ltd. 8,832 11,403 0.0%
#* Hadera Paper, Ltd. 10,176 289,907 0.0%
Harel Insurance Investments & Financial Services, Ltd. 462,997 1,820,621 0.1%
Hilan, Ltd. 18,062 249,124 0.0%
IDI Insurance Co., Ltd. 13,660 710,830 0.0%
# Industrial Buildings Corp., Ltd. 475,849 459,953 0.0%
* Israel Discount Bank, Ltd. Class A 2,847,609 4,752,502 0.1%
Israel Land Development Co., Ltd. (The) 22,310 135,340 0.0%
Ituran Location and Control, Ltd. 10,954 233,342 0.0%
* Jerusalem Oil Exploration 41,987 1,758,896 0.1%
#* Kamada, Ltd. 121,949 472,668 0.0%
#* Kenon Holdings, Ltd. 15,336 136,578 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
ISRAEL -- (Continued)
Kerur Holdings, Ltd. 2,133 $ 39,191 0.0%
Klil Industries, Ltd. 394 25,132 0.0%
Maabarot Products, Ltd. 21,999 336,234 0.0%
Magic Software Enterprises, Ltd. 91,003 603,140 0.0%
# Matrix IT, Ltd. 176,473 1,203,236 0.0%
Maytronics, Ltd. 107,947 305,701 0.0%
#* Mazor Robotics, Ltd. 180,104 1,097,099 0.0%
Meitav DS Investments, Ltd. 38,130 110,301 0.0%
# Melisron, Ltd. 52,894 2,053,818 0.1%
* Menora Mivtachim Holdings, Ltd. 121,401 1,057,859 0.0%
Migdal Insurance & Financial Holding, Ltd. 369,964 271,584 0.0%
# Mivtach Shamir Holdings, Ltd. 22,547 472,275 0.0%
* Naphtha Israel Petroleum Corp., Ltd. 158,384 808,159 0.0%
Neto ME Holdings, Ltd. 5,411 424,519 0.0%
* Nova Measuring Instruments, Ltd. 111,079 1,222,917 0.0%
* Oil Refineries, Ltd. 5,367,932 1,951,274 0.1%
#* Partner Communications Co., Ltd. 379,431 1,969,494 0.1%
Paz Oil Co., Ltd. 20,754 3,239,717 0.1%
* Perion Network, Ltd. 16,455 27,968 0.0%
* Phoenix Holdings, Ltd. (The) 270,273 698,629 0.0%
# Plasson Industries, Ltd. 13,484 361,383 0.0%
Rami Levy Chain Stores Hashikma Marketing 2006, Ltd. 32,629 1,340,398 0.1%
Sapiens International Corp. NV 83,378 1,040,810 0.0%
# Shikun & Binui, Ltd. 928,938 1,775,770 0.1%
Shufersal, Ltd. 369,124 1,252,779 0.0%
* Space Communication, Ltd. 17,611 176,807 0.0%
# Strauss Group, Ltd. 121,404 1,946,862 0.1%
* Summit Real Estate Holdings, Ltd. 58,613 310,737 0.0%
* Tower Semiconductor, Ltd. 228,562 2,663,516 0.1%
* Union Bank of Israel 126,346 462,305 0.0%
----------- ---
TOTAL ISRAEL 73,060,433 1.8%
----------- ---
ITALY -- (8.5%)
* A.S. Roma SpA 100,049 51,643 0.0%
# A2A SpA 6,379,077 9,117,973 0.2%
ACEA SpA 277,652 4,083,980 0.1%
* Aedes SIIQ SpA 691,904 337,796 0.0%
#* Aeffe SpA 167,738 215,435 0.0%
# Alerion Cleanpower SpA 119,152 265,071 0.0%
Amplifon SpA 459,258 4,229,180 0.1%
Anima Holding SpA 690,273 4,902,338 0.1%
Ansaldo STS SpA 567,271 6,886,462 0.2%
* Arnoldo Mondadori Editore SpA 694,646 793,544 0.0%
Ascopiave SpA 351,354 960,548 0.0%
# Astaldi SpA 250,433 1,229,381 0.0%
* Autogrill SpA 625,210 5,305,953 0.1%
Azimut Holding SpA 573,550 14,477,174 0.4%
#* Banca Carige SpA 1,893,751 1,553,588 0.1%
Banca Finnat Euramerica SpA 616,149 284,072 0.0%
Banca Generali SpA 257,872 7,673,515 0.2%
Banca IFIS SpA 147,336 4,223,420 0.1%
Banca Mediolanum SpA 807,202 6,655,897 0.2%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
ITALY -- (Continued)
#* Banca Monte dei Paschi di Siena SpA 1,988,429 $ 1,611,842 0.1%
Banca Popolare dell'Emilia Romagna SC 2,548,728 14,944,638 0.4%
#* Banca Popolare dell'Etruria e del Lazio SC 1,058,027 -- 0.0%
Banca Popolare di Milano Scarl 22,383,595 17,034,516 0.4%
Banca Popolare di Sondrio SCARL 2,020,211 7,556,300 0.2%
# Banca Profilo SpA 1,221,744 317,145 0.0%
# Banco di Desio e della Brianza SpA 224,677 633,600 0.0%
Banco Popolare SC 1,297,814 9,189,579 0.2%
BasicNet SpA 163,532 669,882 0.0%
* Beghelli SpA 403,187 183,317 0.0%
BI Esse SpA 58,289 887,961 0.0%
Brembo SpA 161,253 8,675,704 0.2%
# Brunello Cucinelli SpA 97,526 1,914,923 0.1%
Buzzi Unicem SpA 409,864 7,785,182 0.2%
# Cairo Communication SpA 130,659 728,775 0.0%
* Caltagirone Editore SpA 6,277 6,334 0.0%
* Carraro SpA 76,764 123,402 0.0%
Cembre SpA 39,007 609,526 0.0%
Cementir Holding SpA 325,211 1,716,913 0.1%
Cerved Information Solutions SpA 396,222 3,194,191 0.1%
* CIR-Compagnie Industriali Riunite SpA 1,860,505 2,320,314 0.1%
Credito Emiliano SpA 397,014 2,872,384 0.1%
* Credito Valtellinese SC 5,732,088 4,488,319 0.1%
#* d'Amico International Shipping SA 830,428 422,696 0.0%
Danieli & C Officine Meccaniche SpA 64,484 1,415,426 0.0%
Datalogic SpA 101,262 1,844,630 0.1%
Davide Campari-Milano SpA 1,476,589 14,283,967 0.4%
De' Longhi SpA 269,813 6,228,867 0.2%
DeA Capital SpA 299,369 447,706 0.0%
DiaSorin SpA 105,633 6,174,922 0.2%
Ei Towers SpA 85,321 5,008,701 0.1%
El.En. SpA 11,798 583,703 0.0%
Elica SpA 4,665 10,419 0.0%
Engineering SpA 25,068 1,897,153 0.1%
ERG SpA 268,637 3,502,242 0.1%
Esprinet SpA 158,082 1,382,825 0.0%
* Eurotech SpA 90,850 154,252 0.0%
Falck Renewables SpA 592,587 658,971 0.0%
* Fincantieri SpA 559,159 230,881 0.0%
FinecoBank Banca Fineco SpA 568,678 4,581,099 0.1%
FNM SpA 627,039 341,619 0.0%
#* Geox SpA 377,829 1,222,603 0.0%
* Gruppo Editoriale L'Espresso SpA 381,600 408,756 0.0%
# Gruppo MutuiOnline SpA 99,336 827,446 0.0%
Hera SpA 2,988,539 9,001,555 0.2%
#* IMMSI SpA 1,202,186 601,078 0.0%
Industria Macchine Automatiche SpA 59,958 3,499,813 0.1%
* Intek Group SpA 1,768,514 461,790 0.0%
Interpump Group SpA 353,040 5,094,774 0.1%
Iren SpA 2,540,951 4,705,122 0.1%
Italcementi SpA 926,791 10,997,639 0.3%
Italmobiliare SpA 45,336 1,975,321 0.1%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
ITALY -- (Continued)
* Juventus Football Club SpA 1,857,497 $ 544,608 0.0%
La Doria SpA 54,136 788,844 0.0%
* Landi Renzo SpA 49,032 28,499 0.0%
#* Maire Tecnimont SpA 628,389 1,912,961 0.1%
MARR SpA 169,025 3,443,216 0.1%
Mediaset SpA 3,479,950 15,721,235 0.4%
Moleskine SpA 115,443 266,265 0.0%
Moncler SpA 300,019 4,876,434 0.1%
Nice SpA 71,162 205,354 0.0%
# Parmalat SpA 1,492,162 4,161,705 0.1%
# Piaggio & C SpA 851,089 1,891,640 0.1%
#* Prelios SpA 127,326 13,054 0.0%
# Prima Industrie SpA 15,358 193,739 0.0%
Prysmian SpA 991,595 23,459,993 0.6%
# Recordati SpA 474,431 12,072,344 0.3%
* Reno de Medici SpA 840,050 339,460 0.0%
Reply SpA 21,983 3,130,397 0.1%
#* Retelit SpA 670,793 500,227 0.0%
* Richard-Ginori 1735 SpA 8,489 -- 0.0%
#* Rizzoli Corriere Della Sera Mediagroup SpA 1,025,850 662,191 0.0%
# Sabaf SpA 25,688 301,503 0.0%
SAES Getters SpA 30,068 369,468 0.0%
* Safilo Group SpA 159,815 1,412,251 0.0%
#* Saipem SpA 26,968,903 12,958,676 0.3%
Salini Impregilo SpA 1,045,957 4,587,491 0.1%
# Salvatore Ferragamo SpA 206,532 4,787,053 0.1%
#* Saras SpA 1,268,265 2,215,261 0.1%
SAVE SpA 85,250 1,314,734 0.0%
Servizi Italia SpA 34,833 138,784 0.0%
#* Snai SpA 117,457 96,866 0.0%
Societa Cattolica di Assicurazioni SCRL 691,509 4,813,958 0.1%
Societa Iniziative Autostradali e Servizi SpA 319,349 3,340,143 0.1%
* Sogefi SpA 243,264 444,919 0.0%
SOL SpA 161,050 1,421,047 0.0%
# Tamburi Investment Partners SpA 271,633 976,744 0.0%
* Tiscali SpA 9,160,788 566,615 0.0%
# Tod's SpA 64,208 4,448,108 0.1%
# Trevi Finanziaria Industriale SpA 351,628 568,108 0.0%
# TXT e-solutions SpA 28,342 243,758 0.0%
Unione di Banche Italiane SpA 1,418,008 6,027,383 0.2%
Unipol Gruppo Finanziario SpA 2,012,503 8,640,341 0.2%
Vittoria Assicurazioni SpA 121,004 1,232,673 0.0%
* Yoox Net-A-Porter Group SpA 280,998 8,244,723 0.2%
Zignago Vetro SpA 142,878 946,957 0.0%
------------ ---
TOTAL ITALY 392,987,423 9.7%
------------ ---
NETHERLANDS -- (4.8%)
Aalberts Industries NV 558,677 19,172,991 0.5%
Accell Group 131,423 2,785,244 0.1%
AFC Ajax NV 18,134 180,436 0.0%
AMG Advanced Metallurgical Group NV 155,390 1,693,911 0.0%
Amsterdam Commodities NV 92,796 2,504,460 0.1%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
NETHERLANDS -- (Continued)
# APERAM SA 270,393 $ 10,644,682 0.3%
# Arcadis NV 353,162 6,053,505 0.2%
# ASM International NV 290,828 11,879,665 0.3%
* Atag Group NV 4,630 -- 0.0%
BE Semiconductor Industries NV 162,042 4,881,253 0.1%
Beter Bed Holding NV 99,987 2,428,157 0.1%
BinckBank NV 263,185 1,550,941 0.0%
Boskalis Westminster 240,661 10,036,292 0.3%
# Brunel International NV 103,416 2,331,041 0.1%
Corbion NV 334,113 8,534,224 0.2%
# Delta Lloyd NV 2,607,684 13,302,812 0.3%
* Fugro NV 301,565 6,142,274 0.2%
# Gemalto NV 171,086 11,120,896 0.3%
#* Heijmans NV 105,501 995,207 0.0%
Hunter Douglas NV 8,530 429,818 0.0%
IMCD Group NV 5,542 224,200 0.0%
KAS Bank NV 80,799 840,730 0.0%
Kendrion NV 67,325 1,647,685 0.0%
Koninklijke BAM Groep NV 1,401,173 6,744,501 0.2%
Koninklijke Vopak NV 222,669 12,106,332 0.3%
Nederland Apparatenfabriek 27,865 972,661 0.0%
* OCI NV 171,738 3,393,557 0.1%
#* Ordina NV 866,273 1,313,231 0.0%
* PostNL NV 2,511,108 10,991,878 0.3%
SBM Offshore NV 936,863 12,548,734 0.3%
Sligro Food Group NV 132,450 5,280,541 0.1%
# SNS Reaal NV 705,718 -- 0.0%
Telegraaf Media Groep NV 170,034 718,572 0.0%
# TKH Group NV 216,865 8,574,000 0.2%
* TNT Express NV 2,218,089 20,135,316 0.5%
#* TomTom NV 575,952 5,247,403 0.1%
USG People NV 430,618 8,595,953 0.2%
Van Lanschot NV 12,581 267,234 0.0%
Wessanen 469,148 4,842,107 0.1%
------------ ---
TOTAL NETHERLANDS 221,112,444 5.5%
------------ ---
NORWAY -- (1.9%)
# ABG Sundal Collier Holding ASA 1,766,651 1,232,503 0.0%
AF Gruppen ASA 18,869 309,353 0.0%
#* Akastor ASA 917,989 1,274,803 0.0%
# Aker ASA Class A 87,316 1,799,937 0.1%
* Aker Solutions ASA 78,860 301,467 0.0%
# American Shipping Co. ASA 196,875 672,711 0.0%
Arendals Fossekompani A.S. 90 25,831 0.0%
# Atea ASA 330,693 3,102,595 0.1%
Austevoll Seafood ASA 425,892 3,583,053 0.1%
#* Axactor AB 1,589,997 357,420 0.0%
Bakkafrost P/F 169,646 6,001,167 0.2%
#* Biotec Pharmacon ASA 139,685 211,783 0.0%
Bonheur ASA 93,826 675,291 0.0%
Borregaard ASA 332,651 2,489,785 0.1%
BW LPG, Ltd. 240,508 1,445,355 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ----------- ---------------
NORWAY -- (Continued)
# BW Offshore, Ltd. 3,202,396 $ 697,882 0.0%
* Deep Sea Supply P.L.C. 451,136 58,398 0.0%
#* Det Norske Oljeselskap ASA 465,731 4,143,632 0.1%
#* DNO ASA 1,539,886 1,769,277 0.1%
* DOF ASA 83,891 44,358 0.0%
Ekornes ASA 111,584 1,302,498 0.0%
#* Electromagnetic GeoServices ASA 164,483 4,683 0.0%
Farstad Shipping ASA 63,512 102,354 0.0%
* Fred Olsen Energy ASA 124,661 537,123 0.0%
Frontline, Ltd. 88,927 737,373 0.0%
Ganger Rolf ASA 56,880 326,452 0.0%
Grieg Seafood ASA 176,846 873,843 0.0%
#* Hexagon Composites ASA 344,201 1,051,395 0.0%
# Hoegh LNG Holdings Ltd 183,008 2,136,023 0.1%
* Kongsberg Automotive ASA 1,995,646 1,617,181 0.1%
# Kvaerner ASA 1,616,475 1,603,009 0.1%
#* Nordic Semiconductor ASA 580,588 3,376,988 0.1%
#* Norske Skogindustrier ASA 709,859 196,414 0.0%
#* Norwegian Air Shuttle ASA 149,161 6,871,608 0.2%
* Norwegian Property ASA 80,190 89,612 0.0%
# Ocean Yield ASA 30,268 204,729 0.0%
* Odfjell SE Class A 134,257 532,383 0.0%
# Olav Thon Eiendomsselskap ASA 115,054 1,985,231 0.1%
Opera Software ASA 514,924 4,206,559 0.1%
# Petroleum Geo-Services ASA 545,070 1,922,044 0.1%
#* PhotoCure ASA 52,582 258,147 0.0%
# Prosafe SE 1,049,727 632,327 0.0%
# Protector Forsikring ASA 111,932 1,094,398 0.0%
#* Q-Free ASA 179,836 233,289 0.0%
#* REC Silicon ASA 14,281,005 3,127,276 0.1%
Salmar ASA 101,001 2,509,550 0.1%
#* Seadrill, Ltd. 50,672 243,043 0.0%
Selvaag Bolig ASA 8,101 26,354 0.0%
#* Sevan Marine ASA 124,800 304,947 0.0%
Solstad Offshore ASA 62,524 121,040 0.0%
#* Songa Offshore 4,267,071 169,124 0.0%
SpareBank 1 SMN 131,684 809,703 0.0%
SpareBank 1 SR-Bank ASA 189,181 921,651 0.0%
Stolt-Nielsen, Ltd. 119,555 1,581,047 0.0%
* Storebrand ASA 15,790 66,874 0.0%
TGS Nopec Geophysical Co. ASA 30,710 512,354 0.0%
# Tomra Systems ASA 647,834 7,525,533 0.2%
# Veidekke ASA 383,880 5,266,886 0.1%
# Wilh Wilhelmsen ASA 249,256 1,329,193 0.0%
# Wilh Wilhelmsen Holding ASA Class A 61,068 1,144,518 0.0%
XXL ASA 30,580 369,058 0.0%
----------- ---
TOTAL NORWAY 88,120,415 2.2%
----------- ---
PORTUGAL -- (1.2%)
Altri SGPS SA 577,518 2,249,817 0.1%
* Banco BPI SA 2,302,313 2,885,265 0.1%
#* Banco Comercial Portugues SA Class R 315,057,219 13,997,348 0.4%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
PORTUGAL -- (Continued)
* Banco Espirito Santo SA 4,777,921 $ -- 0.0%
Corticeira Amorim SGPS SA 56,497 397,367 0.0%
CTT-Correios de Portugal SA 466,284 4,311,852 0.1%
EDP Renovaveis SA 633,543 4,938,701 0.1%
Ibersol SGPS SA 20,401 239,841 0.0%
#* Impresa SGPS SA 187,798 73,419 0.0%
# Mota-Engil SGPS SA 604,493 1,251,551 0.0%
# Navigator Co SA (The) 2,010,412 7,173,991 0.2%
NOS SGPS SA 1,025,253 7,350,971 0.2%
Novabase SGPS SA 65,729 161,414 0.0%
# REN--Redes Energeticas Nacionais SGPS SA 1,280,761 3,841,083 0.1%
Semapa-Sociedade de Investimento e Gestao 38,907 493,159 0.0%
Sonae Capital SGPS SA 108,442 84,049 0.0%
* Sonae Industria SGPS SA 32,429,684 167,621 0.0%
Sonae SGPS SA 4,447,452 4,939,021 0.1%
Teixeira Duarte SA 710,639 185,358 0.0%
----------- ---
TOTAL PORTUGAL 54,741,828 1.4%
----------- ---
SPAIN -- (5.1%)
Acciona SA 137,766 11,055,926 0.3%
# Acerinox SA 785,298 9,305,150 0.2%
# Adveo Group International SA 104,096 547,750 0.0%
Almirall SA 289,516 4,766,037 0.1%
#* Amper SA(5744228) 1,376,346 184,605 0.0%
# Amper SA(BD6R4N6) 20,775 2,783 0.0%
Applus Services SA 268,069 2,480,383 0.1%
# Atresmedia Corp de Medios de Comunicacion SA 314,885 4,112,254 0.1%
Azkoyen SA 64,022 313,001 0.0%
Banco Popular Espanol SA 382,461 1,042,847 0.0%
Bankinter SA 298,301 2,276,871 0.1%
* Baron de Ley 13,454 1,573,409 0.0%
# Bolsas y Mercados Espanoles SHMSF SA 410,153 13,906,596 0.4%
#* Caja de Ahorros del Mediterraneo 116,412 -- 0.0%
#* Cementos Portland Valderrivas SA 68,410 477,430 0.0%
Cia de Distribucion Integral Logista Holdings SA 94,013 2,072,875 0.1%
Cie Automotive SA 249,123 4,507,684 0.1%
Clinica Baviera SA 3,698 23,268 0.0%
Construcciones y Auxiliar de Ferrocarriles SA 8,201 2,664,206 0.1%
* Deoleo SA 897,309 225,878 0.0%
# Distribuidora Internacional de Alimentacion SA 2,594,077 14,434,384 0.4%
# Duro Felguera SA 249,634 450,321 0.0%
Ebro Foods SA 366,900 8,325,016 0.2%
#* eDreams ODIGEO SA 248,042 677,353 0.0%
Elecnor SA 191,752 1,732,630 0.0%
Ence Energia y Celulosa SA 1,137,185 3,290,510 0.1%
* Ercros SA 747,576 529,901 0.0%
Faes Farma SA 1,344,376 4,236,594 0.1%
# Fluidra SA 159,343 702,304 0.0%
#* Fomento de Construcciones y Contratas SA 948,998 8,261,031 0.2%
Gamesa Corp. Tecnologica SA 1,266,922 25,019,115 0.6%
Grupo Catalana Occidente SA 198,219 6,288,267 0.2%
#* Grupo Ezentis SA 807,544 389,382 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
SPAIN -- (Continued)
Iberpapel Gestion SA 36,518 $ 770,775 0.0%
#* Indra Sistemas SA 564,890 6,633,780 0.2%
* Inmobiliaria Colonial SA 8,392,310 6,447,198 0.2%
Inmobiliaria del Sur SA 2,902 29,081 0.0%
# Laboratorios Farmaceuticos Rovi SA 68,607 1,159,173 0.0%
* Liberbank SA 1,775,702 2,139,155 0.1%
# Mediaset Espana Comunicacion SA 879,043 11,445,889 0.3%
# Melia Hotels International SA 439,152 5,541,233 0.1%
Miquel y Costas & Miquel SA 38,054 1,541,806 0.0%
* NH Hotel Group SA 1,249,728 6,032,054 0.2%
Nmas1 Dinamia SA 20,438 183,798 0.0%
# Obrascon Huarte Lain SA 624,563 4,438,729 0.1%
Papeles y Cartones de Europa SA 277,855 1,723,610 0.0%
* Pescanova SA 68,547 -- 0.0%
* Pharma Mar SA 983,996 3,111,129 0.1%
Prim SA 39,424 398,152 0.0%
#* Promotora de Informaciones SA Class A 265,465 1,882,652 0.1%
# Prosegur Cia de Seguridad SA 1,278,572 7,406,516 0.2%
#* Quabit Inmobiliaria SA 6,377,966 278,131 0.0%
#* Realia Business SA 755,842 957,226 0.0%
# Sacyr SA 1,083,278 2,313,717 0.1%
* Sociedad Nacional de Industrias Apicaciones Celulosa Espanola SA 75,494 36,998 0.0%
#* Solaria Energia y Medio Ambiente SA 207,171 161,634 0.0%
# Tecnicas Reunidas SA 162,010 5,461,145 0.1%
* Tecnocom Telecomunicaciones y Energia SA 146,125 253,507 0.0%
Tubacex SA 628,121 1,639,907 0.0%
# Tubos Reunidos SA 510,636 415,392 0.0%
# Vidrala SA 80,878 4,819,124 0.1%
Viscofan SA 229,641 12,900,792 0.3%
* Vocento SA 231,302 367,276 0.0%
Zardoya Otis SA 671,651 7,136,954 0.2%
------------ ---
TOTAL SPAIN 233,502,294 5.8%
------------ ---
SWEDEN -- (7.9%)
AAK AB 127,270 9,625,528 0.2%
# Acando AB 340,887 730,162 0.0%
* AddLife AB(BYZ0FM9) 68,296 863,214 0.0%
AddLife AB(BYSZWX1) 17,073 215,792 0.0%
AddNode Group AB 22,737 149,000 0.0%
# AddTech AB Class B 273,182 3,434,323 0.1%
AF AB Class B 289,822 4,971,087 0.1%
#* Anoto Group AB 2,431,411 79,720 0.0%
* Arcam AB 6,436 140,479 0.0%
* Arise AB 36,861 72,974 0.0%
# Atrium Ljungberg AB Class B 95,870 1,519,838 0.0%
Avanza Bank Holding AB 95,405 3,751,585 0.1%
# Axfood AB 302,491 5,608,581 0.1%
B&B Tools AB Class B 112,175 2,257,334 0.1%
* BE Group AB 26,705 5,513 0.0%
# Beijer Alma AB 109,736 2,590,952 0.1%
Beijer Electronics AB 53,995 327,037 0.0%
Beijer Ref AB Class B 71,389 1,619,001 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
SWEDEN -- (Continued)
Betsson AB 443,610 $ 6,004,589 0.2%
Bilia AB Class A 219,410 5,254,927 0.1%
BillerudKorsnas AB 463,510 7,208,190 0.2%
BioGaia AB Class B 80,262 2,032,219 0.1%
Biotage AB 262,854 881,247 0.0%
Bjorn Borg AB 13,429 57,097 0.0%
# Bulten AB 78,904 753,871 0.0%
Bure Equity AB 316,106 2,757,060 0.1%
Byggmax Group AB 293,974 2,381,923 0.1%
# Castellum AB 752,169 12,048,649 0.3%
Catena AB 53,725 827,242 0.0%
Cavotec SA 16,457 46,895 0.0%
Clas Ohlson AB Class B 174,360 3,520,473 0.1%
Cloetta AB Class B 1,128,959 3,799,820 0.1%
Com Hem Holding AB 131,853 1,170,317 0.0%
Concentric AB 205,043 2,324,136 0.1%
# Concordia Maritime AB Class B 100,760 201,503 0.0%
Corem Property Group AB Class B 2,296 8,099 0.0%
Dios Fastigheter AB 216,408 1,583,703 0.0%
* Doro AB 144,591 1,315,077 0.0%
Duni AB 203,817 2,967,979 0.1%
Dustin Group AB 8,569 62,704 0.0%
* East Capital Explorer AB 47,726 362,578 0.0%
# Elekta AB Class B 1,531,365 11,199,258 0.3%
* Eltel AB 20,976 251,403 0.0%
Enea AB 63,008 703,613 0.0%
#* Eniro AB 1,790,180 159,401 0.0%
Fabege AB 651,224 10,875,019 0.3%
Fagerhult AB 61,437 1,432,411 0.0%
* Fastighets AB Balder 273,718 6,981,751 0.2%
Fenix Outdoor International AG 8,198 420,230 0.0%
#* Fingerprint Cards AB Class B 74,900 4,491,670 0.1%
Granges AB 50,028 369,381 0.0%
Gunnebo AB 149,602 824,853 0.0%
Haldex AB 218,762 1,854,429 0.1%
Heba Fastighets AB Class B 42,288 580,471 0.0%
Hemfosa Fastigheter AB 558,822 5,829,617 0.2%
Hexpol AB 1,036,985 10,732,168 0.3%
HIQ International AB 265,970 1,666,253 0.0%
HMS Networks AB 7,040 193,569 0.0%
Holmen AB Class B 264,932 9,135,514 0.2%
Hufvudstaden AB Class A 363,811 5,645,796 0.1%
# Indutrade AB 125,845 7,061,108 0.2%
* Infant Bacterial Therapeutics AB 8,026 61,467 0.0%
Intrum Justitia AB 385,511 13,857,731 0.4%
Inwido AB 112,532 1,417,719 0.0%
ITAB Shop Concept AB Class B 11,402 354,303 0.0%
# JM AB 384,329 11,117,718 0.3%
KappAhl AB 276,407 1,148,449 0.0%
* Karolinska Development AB Class B 90,079 81,391 0.0%
Klovern AB Class B 2,195,171 2,579,793 0.1%
KNOW IT AB 53,052 381,880 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
SWEDEN -- (Continued)
Kungsleden AB 790,576 $ 5,442,008 0.1%
Lagercrantz Group AB Class B 235,329 2,175,485 0.1%
Lindab International AB 333,403 2,656,381 0.1%
Loomis AB Class B 308,465 8,568,291 0.2%
* Medivir AB Class B 112,463 778,633 0.0%
# Mekonomen AB 112,051 2,850,423 0.1%
Modern Times Group MTG AB Class B 264,332 7,936,156 0.2%
MQ Holding AB 165,718 825,249 0.0%
Mycronic AB 377,276 2,950,449 0.1%
NCC AB Class A 9,901 337,843 0.0%
NCC AB Class B 107,157 3,665,821 0.1%
Nederman Holding AB 4,621 111,971 0.0%
#* Net Insight AB Class B 1,229,052 965,252 0.0%
# NetEnt AB 146,096 9,200,226 0.2%
# New Wave Group AB Class B 228,803 1,055,068 0.0%
Nibe Industrier AB Class B 367,650 12,783,663 0.3%
Nobia AB 644,291 7,357,708 0.2%
# Nolato AB Class B 135,571 3,664,529 0.1%
# Nordnet AB Class B 388,808 1,338,668 0.0%
OEM International AB Class B 44,190 710,147 0.0%
# Opus Group AB 794,761 430,370 0.0%
* Oriflame Holding AG 138,456 2,787,884 0.1%
Peab AB 798,464 6,672,645 0.2%
# Pricer AB Class B 768,155 837,405 0.0%
Proact IT Group AB 39,943 616,756 0.0%
Probi AB 8,661 170,759 0.0%
#* Qliro Group AB 377,271 402,459 0.0%
# Ratos AB Class B 1,069,160 6,260,157 0.2%
* RaySearch Laboratories AB 69,336 1,002,377 0.0%
# Recipharm AB Class B 52,401 878,362 0.0%
Rezidor Hotel Group AB 404,430 1,715,185 0.1%
# Saab AB Class B 263,513 9,025,921 0.2%
# Sagax AB Class B 82,078 711,127 0.0%
#* SAS AB 764,131 2,189,553 0.1%
Scandi Standard AB 162,945 1,151,817 0.0%
#* Seamless Distribution AB 16,641 20,032 0.0%
Sectra AB Class B 58,461 804,776 0.0%
# Semcon AB 100,425 485,995 0.0%
#* Sensys Gatso Group AB 223,860 70,974 0.0%
SkiStar AB 110,113 1,527,240 0.0%
#* SSAB AB Class A(B17H0S8) 1,028,423 4,333,074 0.1%
* SSAB AB Class A(BPRBWK4) 189,016 803,670 0.0%
* SSAB AB Class B(B17H3F6) 622,369 2,160,277 0.1%
* SSAB AB Class B(BPRBWM6) 515,343 1,795,956 0.1%
# Sweco AB Class B 307,843 4,769,614 0.1%
Swedol AB Class B 37,176 86,058 0.0%
# Systemair AB 48,630 620,303 0.0%
Thule Group AB (The) 66,213 953,123 0.0%
Transcom Worldwide AB 35,939 280,424 0.0%
Unibet Group P.L.C. 1,048,368 11,840,487 0.3%
VBG Group AB Class B 137 1,909 0.0%
#* Victoria Park AB Class A 53,347 125,568 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ------------ ---------------
SWEDEN -- (Continued)
Victoria Park AB Class B 204,272 $ 483,890 0.0%
Vitrolife AB 70,710 3,467,859 0.1%
Wallenstam AB Class B 785,619 6,608,208 0.2%
# Wihlborgs Fastigheter AB 333,847 6,783,130 0.2%
------------ ---
TOTAL SWEDEN 365,190,099 9.0%
------------ ---
SWITZERLAND -- (11.7%)
* AFG Arbonia-Forster Holding AG 183,624 2,557,546 0.1%
Allreal Holding AG 59,118 8,241,300 0.2%
# Alpiq Holding AG 13,713 916,602 0.0%
# ALSO Holding AG 15,664 1,114,707 0.0%
ams AG 372,640 9,873,783 0.2%
APG SGA SA 7,581 3,181,816 0.1%
Aryzta AG 189,303 7,363,155 0.2%
Ascom Holding AG 212,982 3,490,139 0.1%
Autoneum Holding AG 16,300 3,892,956 0.1%
Bachem Holding AG Class B 23,344 1,558,841 0.0%
Baloise Holding AG 183,625 22,761,500 0.6%
Bank Coop AG 30,632 1,309,059 0.0%
Banque Cantonale de Geneve 3,968 1,212,562 0.0%
Banque Cantonale du Jura SA 4,442 259,822 0.0%
Banque Cantonale Vaudoise 9,876 6,819,027 0.2%
Barry Callebaut AG 1,514 1,781,114 0.0%
# Basler Kantonalbank 5,896 424,601 0.0%
Belimo Holding AG 2,156 6,165,426 0.2%
Bell AG 4,060 1,607,408 0.0%
Bellevue Group AG 49,926 736,263 0.0%
# Berner Kantonalbank AG 22,478 4,608,057 0.1%
BFW Liegenschaften AG 620 25,797 0.0%
BKW AG 64,177 2,792,228 0.1%
Bobst Group SA 44,716 2,443,032 0.1%
# Bossard Holding AG Class A 32,905 3,577,940 0.1%
Bucher Industries AG 32,790 7,876,349 0.2%
Burckhardt Compression Holding AG 11,640 4,148,971 0.1%
Burkhalter Holding AG 20,988 2,613,346 0.1%
Calida Holding AG 25,084 863,120 0.0%
Carlo Gavazzi Holding AG 1,415 332,163 0.0%
Cembra Money Bank AG 81,837 5,615,062 0.1%
Cham Paper Holding AG 1,894 572,680 0.0%
#* Charles Voegele Holding AG 41,895 268,549 0.0%
* Cicor Technologies 5,936 152,847 0.0%
Cie Financiere Tradition SA 9,458 648,126 0.0%
Clariant AG 849,328 16,091,854 0.4%
Coltene Holding AG 20,758 1,299,222 0.0%
Conzzeta AG 6,093 3,936,768 0.1%
* Cosmo Pharmaceuticals SA 8,144 1,345,933 0.0%
Daetwyler Holding AG 37,940 5,644,148 0.1%
DKSH Holding AG 91,087 5,961,403 0.2%
dorma+kaba Holding AG Class B 16,675 10,828,382 0.3%
* Dufry AG 95,942 12,646,872 0.3%
Edmond de Rothschild Suisse SA 152 2,527,359 0.1%
EFG International AG 295,881 1,849,596 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
SWITZERLAND -- (Continued)
Emmi AG 12,810 $ 7,679,376 0.2%
Energiedienst Holding AG 68,912 1,630,752 0.0%
Feintool International Holding AG 7,642 773,390 0.0%
Flughafen Zuerich AG 22,078 20,282,315 0.5%
Forbo Holding AG 6,853 8,350,067 0.2%
GAM Holding AG 925,197 12,087,670 0.3%
Gategroup Holding AG 146,738 8,092,389 0.2%
Georg Fischer AG 22,511 18,301,967 0.5%
Gurit Holding AG 1,979 1,252,921 0.0%
Helvetia Holding AG 36,269 19,534,116 0.5%
HOCHDORF Holding AG 2,463 491,920 0.0%
Huber & Suhner AG 68,604 3,365,582 0.1%
Implenia AG 85,074 5,679,927 0.1%
Inficon Holding AG 9,382 3,099,808 0.1%
Interroll Holding AG 3,127 2,777,526 0.1%
Intershop Holding AG 7,425 3,484,266 0.1%
Jungfraubahn Holding AG 3,320 353,355 0.0%
Kardex AG 36,063 2,910,680 0.1%
Komax Holding AG 18,811 4,159,841 0.1%
Kudelski SA 195,049 3,328,099 0.1%
* Kuoni Reisen Holding AG 19,325 7,433,467 0.2%
LEM Holding SA 3,773 3,383,558 0.1%
Liechtensteinische Landesbank AG 27,968 1,157,959 0.0%
* LifeWatch AG 10,818 141,114 0.0%
# Logitech International SA 703,059 10,802,168 0.3%
Lonza Group AG 11,914 1,987,115 0.1%
Luzerner Kantonalbank AG 16,857 7,237,107 0.2%
MCH Group AG 1,404 93,395 0.0%
Metall Zug AG 866 2,656,450 0.1%
#* Meyer Burger Technology AG 395,076 1,814,679 0.0%
Mobilezone Holding AG 137,467 1,943,346 0.1%
Mobimo Holding AG 30,596 7,010,572 0.2%
OC Oerlikon Corp. AG 929,429 8,991,378 0.2%
#* Orascom Development Holding AG 60,240 516,760 0.0%
#* Orell Fuessli Holding AG 5,028 653,033 0.0%
Orior AG 27,189 1,736,946 0.0%
Panalpina Welttransport Holding AG 63,044 7,375,169 0.2%
* Parco Industriale e Immobiliare SA 600 -- 0.0%
Phoenix Mecano AG 2,998 1,472,941 0.0%
* Plazza AG 5,852 1,262,897 0.0%
PSP Swiss Property AG 201,709 19,453,682 0.5%
Rieter Holding AG 17,376 3,601,902 0.1%
Romande Energie Holding SA 2,625 2,912,055 0.1%
Schaffner Holding AG 2,950 646,018 0.0%
* Schmolz + Bickenbach AG 2,475,132 1,808,454 0.0%
Schweiter Technologies AG 4,417 4,177,712 0.1%
SFS Group AG 12,077 869,748 0.0%
Siegfried Holding AG 21,833 4,095,405 0.1%
St Galler Kantonalbank AG Class A 11,448 4,742,294 0.1%
Straumann Holding AG 55,594 19,301,424 0.5%
Sulzer AG 122,816 11,211,292 0.3%
Sunrise Communications Group AG 9,404 575,974 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- -------------- ---------------
SWITZERLAND -- (Continued)
Swiss Prime Site AG 222,234 $ 19,482,424 0.5%
Swissquote Group Holding SA 45,894 1,139,374 0.0%
Tamedia AG 14,493 2,336,642 0.1%
Tecan Group AG 37,394 5,197,759 0.1%
Temenos Group AG 318,043 16,504,548 0.4%
Thurgauer Kantonalbank 153 13,636 0.0%
U-Blox AG 30,554 6,076,033 0.2%
Valiant Holding AG 83,882 9,307,928 0.2%
Valora Holding AG 15,963 3,898,866 0.1%
Vaudoise Assurances Holding SA 5,091 2,657,418 0.1%
Vetropack Holding AG 856 1,338,570 0.0%
* Von Roll Holding AG 250,484 179,880 0.0%
Vontobel Holding AG 136,975 5,939,757 0.2%
VP Bank AG 4,503 439,543 0.0%
# VZ Holding AG 8,355 2,599,656 0.1%
Walliser Kantonalbank 16,716 1,363,095 0.0%
Walter Meier AG 22,913 777,462 0.0%
Ypsomed Holding AG 16,382 2,443,274 0.1%
* Zehnder Group AG 57,019 2,412,347 0.1%
Zug Estates Holding AG Class B 612 1,014,261 0.0%
Zuger Kantonalbank AG 606 3,120,193 0.1%
-------------- ----
TOTAL SWITZERLAND 540,882,078 13.4%
-------------- ----
TOTAL COMMON STOCKS 3,988,069,768 98.8%
-------------- ----
PREFERRED STOCKS -- (0.6%)
GERMANY -- (0.6%)
# Biotest AG 40,612 737,866 0.0%
# Draegerwerk AG & Co. KGaA 15,936 1,058,927 0.0%
Fuchs Petrolub SE 219,110 9,382,454 0.2%
Jungheinrich AG 81,837 7,720,978 0.2%
# Sartorius AG 26,367 6,515,872 0.2%
Sixt SE 40,522 1,774,914 0.1%
STO SE & Co. KGaA 5,775 713,222 0.0%
Villeroy & Boch AG 41,209 640,669 0.0%
-------------- ----
TOTAL GERMANY 28,544,902 0.7%
-------------- ----
TOTAL PREFERRED STOCKS 28,544,902 0.7%
-------------- ----
RIGHTS/WARRANTS -- (0.0%)
AUSTRIA -- (0.0%)
#* Intercell AG Rights 254,689 -- 0.0%
-------------- ----
FRANCE -- (0.0%)
* GECI International 59,392 8,841 0.0%
-------------- ----
GERMANY -- (0.0%)
#* Manz AG Rights 5/19/16 17,759 19,318 0.0%
-------------- ----
NORWAY -- (0.0%)
* Norske Skog Rights 6/10/16 136,648 -- 0.0%
-------------- ----
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------------- ---------------
SWEDEN -- (0.0%)
* ANOTO GROUP AB RIGHT 2,431,411 $ 34,213 0.0%
* Hemfosa Fastigheter AB Rights 5/10/16 558,822 201,805 0.0%
---------------- ------
TOTAL SWEDEN 236,018 0.0%
---------------- ------
TOTAL RIGHTS/WARRANTS 264,177 0.0%
---------------- ------
TOTAL INVESTMENT SECURITIES 4,016,878,847
----------------
VALUE+
----------------
SECURITIES LENDING COLLATERAL -- (12.7%)
(S)@ DFA Short Term Investment Fund 50,602,726 585,473,541 14.5%
---------------- ------
TOTAL INVESTMENTS -- (100.0%) (Cost $3,924,188,407) $ 4,602,352,388 114.0%
================ ======
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2016, 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 -- $ 127,101,646 -- $ 127,101,646
Belgium -- 173,395,698 -- 173,395,698
Denmark $ 671,067 198,789,819 -- 199,460,886
Finland -- 257,868,532 -- 257,868,532
France 13,601 527,587,529 -- 527,601,130
Germany -- 656,891,648 -- 656,891,648
Greece -- 773 -- 773
Ireland -- 76,152,441 -- 76,152,441
Israel -- 73,060,433 -- 73,060,433
Italy -- 392,987,423 -- 392,987,423
Netherlands -- 221,112,444 -- 221,112,444
Norway 357,420 87,762,995 -- 88,120,415
Portugal -- 54,741,828 -- 54,741,828
Spain 39,781 233,462,513 -- 233,502,294
Sweden 1,140,473 364,049,626 -- 365,190,099
Switzerland 7,433,467 533,448,611 -- 540,882,078
Preferred Stocks
Germany -- 28,544,902 -- 28,544,902
Rights/Warrants
Austria -- -- -- --
France -- 8,841 -- 8,841
Germany -- 19,318 -- 19,318
Norway -- -- -- --
Sweden -- 236,018 -- 236,018
Securities Lending Collateral -- 585,473,541 -- 585,473,541
---------- -------------- -- --------------
TOTAL $9,655,809 $4,592,696,579 -- $4,602,352,388
========== ============== == ==============
THE CANADIAN SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2016
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ------------ ---------------
COMMON STOCKS -- (80.9%)
Consumer Discretionary -- (7.5%)
Aimia, Inc. 171,864 $ 1,172,516 0.2%
#* Amaya, Inc. 17,000 230,469 0.0%
# AutoCanada, Inc. 130,981 2,143,174 0.3%
# BMTC Group, Inc. 17,481 194,915 0.0%
* BRP, Inc. 41,500 659,859 0.1%
Chesswood Group, Ltd. 1,200 10,033 0.0%
Cineplex, Inc. 169,535 6,700,598 0.9%
Cogeco, Inc. 36,765 1,503,770 0.2%
# Corus Entertainment, Inc. Class B 468,941 4,675,581 0.6%
DHX Media, Ltd.(BRF12N3) 2,500 15,243 0.0%
DHX Media, Ltd.(BRF12P5) 132,910 807,184 0.1%
Dorel Industries, Inc. Class B 169,797 3,778,379 0.5%
# EnerCare, Inc. 438,600 5,558,094 0.7%
# Gamehost, Inc. 41,992 374,839 0.0%
# Glacier Media, Inc. 137,300 76,600 0.0%
# goeasy, Ltd. 3,600 54,257 0.0%
* Great Canadian Gaming Corp. 299,800 4,343,958 0.6%
#* IMAX Corp. 259,917 8,317,344 1.1%
* Indigo Books & Music, Inc. 2,302 30,731 0.0%
* Intertain Group, Ltd. (The) 10,000 89,105 0.0%
# Leon's Furniture, Ltd. 138,475 1,663,201 0.2%
Martinrea International, Inc. 476,656 3,605,217 0.5%
MTY Food Group, Inc. 71,063 1,883,195 0.2%
#* Performance Sports Group, Ltd. 66,703 248,269 0.0%
# Pizza Pizza Royalty Corp. 84,426 923,861 0.1%
Reitmans Canada, Ltd. Class A 260,312 946,061 0.1%
RONA, Inc. 676,245 12,870,591 1.7%
#* Sears Canada, Inc. 50,217 196,113 0.0%
# Torstar Corp. Class B 283,089 471,552 0.1%
* TVA Group, Inc. Class B 7,000 21,758 0.0%
Uni-Select, Inc. 22,835 1,168,594 0.2%
Whistler Blackcomb Holdings, Inc. 178,805 3,723,739 0.5%
* Yellow Pages, Ltd. 147,535 2,452,841 0.3%
------------ ---
Total Consumer Discretionary 70,911,641 9.2%
------------ ---
Consumer Staples -- (3.4%)
AGT Food & Ingredients, Inc. 125,802 4,066,732 0.5%
Andrew Peller, Ltd. Class A 3,400 76,796 0.0%
Clearwater Seafoods, Inc. 80,257 886,556 0.1%
Corby Spirit and Wine, Ltd. 70,767 1,057,529 0.1%
Cott Corp. 509,721 6,755,926 0.9%
High Liner Foods, Inc. 83,191 1,130,475 0.1%
# Liquor Stores N.A., Ltd. 162,911 1,137,404 0.2%
Maple Leaf Foods, Inc. 167,164 3,461,322 0.5%
* Neptune Technologies & Bioressources, Inc. 22,102 25,366 0.0%
North West Co., Inc. (The) 242,310 5,386,169 0.7%
Premium Brands Holdings Corp. 106,943 4,612,860 0.6%
# Rogers Sugar, Inc. 505,571 2,018,738 0.3%
#* SunOpta, Inc. 288,340 1,546,607 0.2%
------------ ---
Total Consumer Staples 32,162,480 4.2%
------------ ---
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Energy -- (17.0%)
* Advantage Oil & Gas, Ltd. 1,100,531 $6,306,542 0.8%
#* Africa Oil Corp. 158,130 276,006 0.0%
AKITA Drilling, Ltd. Class A 40,600 258,867 0.0%
#* Athabasca Oil Corp. 828,343 884,657 0.1%
* Bankers Petroleum, Ltd. 1,376,399 2,084,289 0.3%
# Baytex Energy Corp. 538,462 2,755,181 0.4%
#* Bellatrix Exploration, Ltd. 967,258 1,079,271 0.1%
* Birchcliff Energy, Ltd. 561,498 2,336,032 0.3%
#* BlackPearl Resources, Inc. 1,397,501 1,069,260 0.1%
# Bonavista Energy Corp. 1,035,276 2,607,374 0.3%
Bonterra Energy Corp. 175,395 3,782,728 0.5%
# Calfrac Well Services, Ltd. 389,570 580,614 0.1%
#* Canacol Energy, Ltd. 452,342 1,452,886 0.2%
# Canadian Energy Services & Technology Corp. 953,842 2,911,624 0.4%
Canyon Services Group, Inc. 313,070 1,217,647 0.2%
#* Cequence Energy, Ltd. 863,916 199,678 0.0%
#* Chinook Energy, Inc. 496,199 213,555 0.0%
* Corridor Resources, Inc. 1,246 447 0.0%
* Crew Energy, Inc. 820,275 3,321,110 0.4%
#* Delphi Energy Corp. 901,739 848,053 0.1%
#* Denison Mines Corp. 2,178,471 1,319,549 0.2%
# Enbridge Income Fund Holdings, Inc. 251,755 5,816,831 0.8%
Enerflex, Ltd. 445,163 4,271,748 0.6%
#* Energy Fuels, Inc. 76,572 181,253 0.0%
Enerplus Corp. 364,233 2,003,035 0.3%
Ensign Energy Services, Inc. 758,725 4,595,768 0.6%
#* Epsilon Energy, Ltd. 260,061 673,626 0.1%
* Essential Energy Services Trust 628,241 355,504 0.1%
# Freehold Royalties, Ltd. 128,951 1,286,735 0.2%
* GASFRAC Energy Services, Inc. 91,560 9 0.0%
# Gibson Energy, Inc. 411,174 6,111,736 0.8%
* Gran Tierra Energy, Inc. 1,405,819 4,145,637 0.5%
Granite Oil Corp. 195,608 1,200,431 0.2%
#* Ithaca Energy, Inc. 1,599,055 1,045,051 0.1%
#* Kelt Exploration, Ltd. 251,041 968,390 0.1%
#* Lightstream Resources, Ltd. 1,035,197 268,143 0.0%
#* Long Run Exploration, Ltd. 849,601 311,482 0.0%
McCoy Global, Inc. 51,537 84,204 0.0%
* MEG Energy Corp. 76,100 403,335 0.1%
# Mullen Group, Ltd. 536,825 6,250,907 0.8%
Newalta Corp. 272,371 410,282 0.1%
North American Energy Partners, Inc. 129,534 284,940 0.0%
Northern Blizzard Resources, Inc. 23,400 74,227 0.0%
* NuVista Energy, Ltd. 707,869 3,351,193 0.4%
#* Pacific Exploration and Production Corp. 463,400 88,046 0.0%
* Painted Pony Petroleum, Ltd. 524,254 2,473,566 0.3%
* Parex Resources, Inc. 586,904 5,879,799 0.8%
Parkland Fuel Corp. 414,677 7,908,839 1.0%
Pason Systems, Inc. 356,252 5,178,956 0.7%
# Pengrowth Energy Corp. 2,540,243 4,170,639 0.6%
# Penn West Petroleum, Ltd. 651,436 742,451 0.1%
* Perpetual Energy, Inc. 29,075 28,271 0.0%
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
Energy -- (Continued)
* Petrus Resources, Ltd. 19,582 $ 38,392 0.0%
# PHX Energy Services Corp. 135,274 312,660 0.0%
# Precision Drilling Corp. 1,736,481 9,009,716 1.2%
# Pulse Seismic, Inc. 268,280 487,510 0.1%
* Questerre Energy Corp. Class A 745,460 109,915 0.0%
* Raging River Exploration, Inc. 420,616 3,409,313 0.5%
* RMP Energy, Inc. 689,211 1,005,225 0.1%
#* Rock Energy, Inc. 237,075 245,634 0.0%
# Savanna Energy Services Corp. 520,779 726,359 0.1%
# Secure Energy Services, Inc. 631,339 4,543,709 0.6%
ShawCor, Ltd. 233,800 6,316,904 0.8%
* Spartan Energy Corp. 382,958 875,978 0.1%
#* Sprott Resource Corp. 455,390 199,621 0.0%
Strad Energy Services, Ltd. 39,947 52,533 0.0%
# Surge Energy, Inc. 1,264,658 2,479,524 0.3%
TORC Oil & Gas, Ltd. 584,855 3,943,471 0.5%
Total Energy Services, Inc. 176,178 1,852,066 0.2%
# TransGlobe Energy Corp. 448,945 865,902 0.1%
#* Trican Well Service, Ltd. 790,196 1,102,130 0.2%
#* Trilogy Energy Corp. 136,142 591,356 0.1%
Trinidad Drilling, Ltd. 1,372,323 2,657,802 0.4%
# Veresen, Inc. 650,639 4,708,538 0.6%
Western Energy Services Corp. 406,097 945,089 0.1%
# Whitecap Resources, Inc. 966,741 7,250,365 1.0%
* Xtreme Drilling & Coil Services Corp. 224,819 435,411 0.1%
ZCL Composites, Inc. 96,300 632,432 0.1%
------------ ----
Total Energy 160,867,959 21.0%
------------ ----
Financials -- (7.1%)
# AGF Management, Ltd. Class B 444,369 1,841,650 0.2%
# Alaris Royalty Corp. 104,015 2,487,838 0.3%
# Altus Group, Ltd. 195,097 3,437,949 0.5%
# Brookfield Real Estate Services, Inc. 8,075 92,997 0.0%
Callidus Capital Corp. 17,300 188,898 0.0%
Canaccord Genuity Group, Inc. 623,378 2,076,767 0.3%
# Canadian Western Bank 436,532 9,630,354 1.3%
Clairvest Group, Inc. 1,900 41,636 0.0%
# Clarke, Inc. 17,242 134,259 0.0%
Colliers International Group, Inc. 161,848 6,694,757 0.9%
E-L Financial Corp., Ltd. 1,700 963,358 0.1%
# Echelon Financial Holdings, Inc. 14,650 164,633 0.0%
# Equitable Group, Inc. 54,395 2,599,012 0.3%
* Equity Financial Holdings, Inc. 800 5,738 0.0%
Fiera Capital Corp. 139,137 1,482,635 0.2%
Firm Capital Mortgage Investment Corp. 12,046 123,369 0.0%
# First National Financial Corp. 17,760 403,411 0.1%
FirstService Corp. 150,648 6,769,374 0.9%
# Genesis Land Development Corp. 76,842 162,295 0.0%
# Genworth MI Canada, Inc. 97,087 2,513,259 0.3%
Gluskin Sheff + Associates, Inc. 160,621 2,286,356 0.3%
# GMP Capital, Inc. 288,387 1,169,913 0.2%
Guardian Capital Group, Ltd. Class A 15,665 231,348 0.0%
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ------------ ---------------
Financials -- (Continued)
# Home Capital Group, Inc. 213,780 $ 6,404,710 0.8%
* Kingsway Financial Services, Inc. 14,370 67,344 0.0%
Laurentian Bank of Canada 191,320 7,590,587 1.0%
#* Mainstreet Equity Corp. 25,463 742,561 0.1%
# Melcor Developments, Ltd. 41,240 456,214 0.1%
Morguard Corp. 898 106,290 0.0%
# Sprott, Inc. 828,988 1,803,727 0.2%
* Street Capital Group, Inc. 120,227 133,192 0.0%
TMX Group, Ltd. 101,389 4,197,943 0.6%
------------ ---
Total Financials 67,004,374 8.7%
------------ ---
Health Care -- (1.3%)
* Aralez Pharmaceuticals, Inc. 15,123 59,131 0.0%
* Concordia Healthcare Corp.(206519100) 6,500 189,410 0.0%
# Concordia Healthcare Corp.(BHCVT91) 47,100 1,369,417 0.2%
# Extendicare, Inc. 561,871 4,142,271 0.5%
* Knight Therapeutics, Inc. 125,875 811,611 0.1%
# Medical Facilities Corp. 164,269 2,226,999 0.3%
* Merus Labs International, Inc. 182,476 301,048 0.0%
* QLT, Inc. 219,010 336,885 0.1%
# Sienna Senior Living, Inc. 215,004 2,757,165 0.4%
* Theratechnologies, Inc. 10,101 17,067 0.0%
Zenith Epigenetics Corp. 111,820 7,219 0.0%
------------ ---
Total Health Care 12,218,223 1.6%
------------ ---
Industrials -- (10.3%)
Aecon Group, Inc. 408,101 5,441,563 0.7%
# Ag Growth International, Inc. 88,737 2,619,605 0.3%
* Air Canada 260,400 1,936,345 0.3%
Algoma Central Corp. 25,790 254,878 0.0%
* ATS Automation Tooling Systems, Inc. 522,530 4,835,079 0.6%
# Badger Daylighting, Ltd. 213,881 3,983,740 0.5%
#* Ballard Power Systems, Inc. 134,734 215,841 0.0%
# Bird Construction, Inc. 204,133 1,892,139 0.3%
# Black Diamond Group, Ltd. 231,141 806,884 0.1%
# CanWel Building Materials Group, Ltd. 82,513 331,446 0.1%
# Cervus Equipment Corp. 34,597 322,891 0.0%
# DirectCash Payments, Inc. 78,722 809,368 0.1%
* exactEarth, Ltd. 89,065 191,660 0.0%
# Exchange Income Corp. 76,907 1,766,526 0.2%
Exco Technologies, Ltd. 128,615 1,378,713 0.2%
* Heroux-Devtek, Inc. 125,954 1,507,794 0.2%
HNZ Group, Inc. 23,088 193,213 0.0%
# Horizon North Logistics, Inc. 483,483 543,326 0.1%
# K-Bro Linen, Inc. 29,653 948,886 0.1%
# MacDonald Dettwiler & Associates, Ltd. 38,059 2,666,284 0.4%
Magellan Aerospace Corp. 73,376 1,032,188 0.1%
Morneau Shepell, Inc. 264,411 3,708,961 0.5%
New Flyer Industries, Inc. 254,471 7,498,042 1.0%
* Ovivo, Inc. Class A 93,231 148,611 0.0%
Richelieu Hardware, Ltd. 231,855 4,111,559 0.5%
# Rocky Mountain Dealerships, Inc. 82,555 417,150 0.1%
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
Industrials -- (Continued)
# Russel Metals, Inc. 350,655 $ 6,243,431 0.8%
# Stantec, Inc. 281,329 7,210,919 0.9%
Stuart Olson, Inc. 88,659 472,019 0.1%
# Student Transportation, Inc. 466,965 2,314,914 0.3%
Toromont Industries, Ltd. 376,225 11,277,455 1.5%
Transcontinental, Inc. Class A 359,276 5,646,707 0.7%
TransForce, Inc. 432,009 8,153,322 1.1%
Wajax Corp. 100,638 1,456,592 0.2%
WestJet Airlines, Ltd. 6,379 106,766 0.0%
#* Westport Innovations, Inc. 3,750 9,205 0.0%
# Westshore Terminals Investment Corp. 318,149 4,650,397 0.6%
------------ ----
Total Industrials 97,104,419 12.6%
------------ ----
Information Technology -- (3.4%)
#* 5N Plus, Inc. 333,314 539,274 0.1%
Absolute Software Corp. 234,888 1,269,260 0.2%
#* Avigilon Corp. 161,993 2,081,236 0.3%
Calian Group, Ltd. 20,637 312,507 0.0%
* Celestica, Inc. 401,190 4,300,634 0.6%
# Computer Modelling Group, Ltd. 370,857 2,967,565 0.4%
* Descartes Systems Group, Inc. (The) 255,838 4,716,293 0.6%
Enghouse Systems, Ltd. 97,257 4,065,617 0.5%
# Evertz Technologies, Ltd. 136,281 1,844,307 0.2%
#* EXFO, Inc. 686 2,936 0.0%
Mediagrif Interactive Technologies, Inc. 9,626 123,518 0.0%
#* Mitel Networks Corp. 318,586 2,224,286 0.3%
* Points International, Ltd. 36,359 354,114 0.1%
Pure Technologies, Ltd. 6,715 26,064 0.0%
#* Redknee Solutions, Inc. 76,611 120,897 0.0%
Sandvine Corp. 1,036,169 2,238,000 0.3%
#* Sierra Wireless, Inc. 159,192 2,571,788 0.3%
* Solium Capital, Inc. 87,806 489,172 0.1%
Vecima Networks, Inc. 6,059 56,934 0.0%
Wi-Lan, Inc. 780,333 1,797,372 0.2%
------------ ----
Total Information Technology 32,101,774 4.2%
------------ ----
Materials -- (24.3%)
Acadian Timber Corp. 30,788 435,552 0.1%
AirBoss of America Corp. 80,062 1,020,955 0.1%
* Alacer Gold Corp. 1,475,888 3,999,378 0.5%
Alamos Gold, Inc. Class A 1,545,462 11,147,233 1.5%
#* Almaden Minerals, Ltd. Class B 98,343 108,948 0.0%
# Altius Minerals Corp. 108,800 972,931 0.1%
* Amerigo Resources, Ltd. 354 45 0.0%
#* Argonaut Gold, Inc. 677,649 1,587,860 0.2%
* Asanko Gold, Inc. 262,544 849,549 0.1%
#* AuRico Metals, Inc. 679,583 487,467 0.1%
#* B2Gold Corp. 5,268,073 11,714,293 1.5%
#* Banro Corp. 51,909 19,238 0.0%
Canam Group, Inc. 237,796 2,507,405 0.3%
# Canexus Corp. 683,986 812,257 0.1%
* Canfor Corp. 214,500 2,345,533 0.3%
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Materials -- (Continued)
Canfor Pulp Products, Inc. 206,915 $ 1,678,803 0.2%
#* Capstone Mining Corp. 2,111,821 1,329,671 0.2%
Cascades, Inc. 477,193 3,377,280 0.4%
Centerra Gold, Inc. 999,634 5,529,178 0.7%
#* China Gold International Resources Corp., Ltd. 929,460 1,881,588 0.3%
* Claude Resources, Inc. 1,023,200 1,753,312 0.2%
#* Copper Mountain Mining Corp. 643,331 307,642 0.0%
* Detour Gold Corp. 291,290 6,247,401 0.8%
Dominion Diamond Corp. 487,201 5,595,414 0.7%
#* Dundee Precious Metals, Inc. 646,222 1,436,965 0.2%
#* Eastern Platinum, Ltd. 310,296 217,630 0.0%
* EcoSynthetix, Inc. 1,500 1,554 0.0%
Eldorado Gold Corp. 345,567 1,456,961 0.2%
#* Endeavour Mining Corp. 273,838 3,686,234 0.5%
* Endeavour Silver Corp. 536,376 2,227,241 0.3%
* Exeter Resource Corp. 70,137 70,433 0.0%
#* First Majestic Silver Corp. 652,877 6,951,813 0.9%
#* Fortress Paper, Ltd. Class A 16,706 46,602 0.0%
* Fortuna Silver Mines, Inc. 876,406 5,608,942 0.7%
#* Golden Star Resources, Ltd. 966,462 670,138 0.1%
* Great Panther Silver, Ltd. 700,801 1,485,718 0.2%
* Guyana Goldfields, Inc. 76,886 446,107 0.1%
* Hanfeng Evergreen, Inc. 45,837 46 0.0%
HudBay Minerals, Inc. 1,398,004 6,974,978 0.9%
* IAMGOLD Corp. 2,443,241 8,314,847 1.1%
#* Imperial Metals Corp. 236,915 1,093,280 0.1%
* Interfor Corp. 381,931 3,321,007 0.4%
* International Tower Hill Mines, Ltd. 13,001 9,533 0.0%
Intertape Polymer Group, Inc. 324,227 5,098,429 0.7%
* Katanga Mining, Ltd. 52,044 6,222 0.0%
* Kinross Gold Corp. 484,119 2,758,788 0.4%
#* Kirkland Lake Gold, Inc. 531,235 4,051,900 0.5%
# Labrador Iron Ore Royalty Corp. 50,500 591,655 0.1%
Lucara Diamond Corp. 1,384,065 3,529,934 0.5%
* Lundin Mining Corp. 250,173 982,986 0.1%
* Lydian International, Ltd. 45,286 10,287 0.0%
Major Drilling Group International, Inc. 559,212 3,494,239 0.5%
Mandalay Resources Corp. 1,149,842 1,035,563 0.1%
Minco Base Metals Corp. 2,780 -- 0.0%
* Nautilus Minerals, Inc. 227,078 28,052 0.0%
Nevsun Resources, Ltd. 1,171,411 4,378,670 0.6%
* New Gold, Inc. 2,304,655 10,837,224 1.4%
Norbord, Inc. 115,280 2,297,884 0.3%
#* Northern Dynasty Minerals, Ltd. 148,624 63,965 0.0%
#* Novagold Resources, Inc. 550,799 3,577,757 0.5%
OceanaGold Corp. 2,038,216 7,293,847 1.0%
Osisko Gold Royalties, Ltd. 219,842 2,943,602 0.4%
Pan American Silver Corp. 990,673 15,530,834 2.0%
* Platinum Group Metals, Ltd. 24,189 80,006 0.0%
#* Polymet Mining Corp. 613,665 562,457 0.1%
* Pretium Resources, Inc. 63,300 521,152 0.1%
* Primero Mining Corp. 1,071,138 2,014,732 0.3%
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
Materials -- (Continued)
#* RB Energy, Inc. 396,013 $ 1,426 0.0%
* Richmont Mines, Inc. 231,043 1,797,226 0.2%
#* Sabina Gold & Silver Corp. 400,555 577,831 0.1%
* Sandstorm Gold, Ltd. 634,160 2,734,363 0.4%
#* Seabridge Gold, Inc. 111,235 1,589,578 0.2%
* SEMAFO, Inc. 1,595,446 7,108,108 0.9%
# Sherritt International Corp. 1,970,361 1,476,161 0.2%
#* Silver Standard Resources, Inc. 571,298 5,363,745 0.7%
Stella-Jones, Inc. 187,800 7,180,016 0.9%
#* Stornoway Diamond Corp. 297,297 246,425 0.0%
Tahoe Resources, Inc. 504,323 7,122,506 0.9%
#* Tanzanian Royalty Exploration Corp. 298,950 117,941 0.0%
#* Taseko Mines, Ltd. 960,266 619,921 0.1%
#* Tembec, Inc. 403,476 286,199 0.0%
#* Teranga Gold Corp. 1,907,763 1,520,494 0.2%
#* Thompson Creek Metals Co., Inc. 1,092,468 574,662 0.1%
#* Timmins Gold Corp. 1,403,903 593,025 0.1%
* Trevali Mining Corp. 126,500 62,509 0.0%
* Wesdome Gold Mines, Ltd. 314,464 426,069 0.1%
# Western Forest Products, Inc. 2,201,509 3,947,872 0.5%
Winpak, Ltd. 111,223 3,837,446 0.5%
Yamana Gold, Inc. 187,357 928,796 0.1%
------------ ----
Total Materials 229,531,466 29.9%
------------ ----
Real Estate Investment Trusts -- (0.1%)
Killam Apartment Real Estate Investment Trust 54,791 513,979 0.1%
------------ ----
Telecommunication Services -- (0.5%)
Axia NetMedia Corp. 185,467 623,791 0.1%
# Manitoba Telecom Services, Inc. 161,284 4,221,381 0.5%
------------ ----
Total Telecommunication Services 4,845,172 0.6%
------------ ----
Utilities -- (6.0%)
Algonquin Power & Utilities Corp. 1,054,815 9,213,973 1.2%
#* Alterra Power Corp. 1,104,421 404,905 0.1%
Boralex, Inc. Class A 167,168 2,189,025 0.3%
Capital Power Corp. 523,509 7,414,326 1.0%
Capstone Infrastructure Corp. 555,800 2,166,145 0.3%
# Innergex Renewable Energy, Inc. 512,927 5,661,942 0.7%
# Just Energy Group, Inc. 727,176 4,630,698 0.6%
#* Maxim Power Corp. 92,234 219,062 0.0%
# Northland Power, Inc. 536,896 8,904,763 1.1%
# Superior Plus Corp. 689,743 6,003,023 0.8%
TransAlta Corp. 848,477 4,436,127 0.6%
# TransAlta Renewables, Inc. 135,346 1,335,446 0.2%
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
Utilities -- (Continued)
# Valener, Inc. 267,146 $ 4,664,995 0.6%
------------ -----
Total Utilities 57,244,430 7.5%
------------ -----
TOTAL COMMON STOCKS 764,505,917 99.6%
------------ -----
SECURITIES LENDING COLLATERAL -- (19.1%)
(S)@ DFA Short Term Investment Fund 15,623,575 180,764,765 23.5%
------------ -----
TOTAL INVESTMENTS -- (100.0%) (Cost $1,175,753,730) $945,270,682 123.1%
============ =====
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2016, 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 $ 70,911,641 -- -- $ 70,911,641
Consumer Staples 32,162,480 -- -- 32,162,480
Energy 160,779,904 $ 88,055 -- 160,867,959
Financials 67,004,374 -- -- 67,004,374
Health Care 12,211,004 7,219 -- 12,218,223
Industrials 97,104,419 -- -- 97,104,419
Information Technology 32,101,774 -- -- 32,101,774
Materials 229,529,994 1,472 -- 229,531,466
Real Estate Investment Trusts 513,979 -- -- 513,979
Telecommunication Services 4,845,172 -- -- 4,845,172
Utilities 57,244,430 -- -- 57,244,430
Securities Lending Collateral -- 180,764,765 -- 180,764,765
Forward Currency Contracts** -- (115) -- (115)
------------ ------------ -- ------------
TOTAL $764,409,171 $180,861,396 -- $945,270,567
============ ============ == ============
** Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
THE EMERGING MARKETS SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2016
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
COMMON STOCKS -- (93.1%)
BRAZIL -- (5.2%)
AMBEV SA 855,320 $ 4,822,172 0.1%
AMBEV SA ADR 5,984,451 33,453,081 0.7%
Banco Bradesco SA 932,732 7,618,068 0.2%
Banco do Brasil SA 943,306 6,064,257 0.1%
Banco Santander Brasil SA 479,757 2,589,021 0.1%
BB Seguridade Participacoes SA 1,087,473 9,485,844 0.2%
BM&FBovespa SA--Bolsa de Valores Mercadorias e Futuros 1,804,083 9,011,891 0.2%
Braskem SA Sponsored ADR 165,709 2,361,353 0.1%
BRF SA 577,166 8,256,616 0.2%
BRF SA ADR 539,479 7,671,391 0.2%
BTG Pactual Group 26,800 153,121 0.0%
CCR SA 1,910,468 8,987,824 0.2%
* Centrais Eletricas Brasileiras SA 368,500 834,663 0.0%
Centrais Eletricas Brasileiras SA ADR 86,923 323,354 0.0%
* Centrais Eletricas Brasileiras SA Sponsored ADR 100,200 221,442 0.0%
CETIP SA--Mercados Organizados 492,000 6,039,759 0.1%
Cia de Saneamento Basico do Estado de Sao Paulo 424,900 3,261,572 0.1%
Cia de Saneamento Basico do Estado de Sao Paulo ADR 178,668 1,365,023 0.0%
Cia Energetica de Minas Gerais 96,887 199,732 0.0%
Cia Siderurgica Nacional SA Sponsored ADR 241,268 911,993 0.0%
Cielo SA 1,506,864 14,677,606 0.3%
Cosan Logistica SA(BR17H74) 177,069 42,217 0.0%
* Cosan Logistica SA(BYYP8M6) 476,979 110,949 0.0%
Cosan SA Industria e Comercio 243,308 2,252,505 0.1%
* CPFL Energia SA 215,566 1,244,162 0.0%
* CPFL Energia SA ADR 65,545 759,011 0.0%
Embraer SA ADR 287,837 6,649,035 0.1%
Equatorial Energia SA 26,800 331,489 0.0%
Fibria Celulose SA Sponsored ADR 488,398 4,327,206 0.1%
Gerdau SA 186,232 306,483 0.0%
Gerdau SA Sponsored ADR 577,984 1,288,904 0.0%
Hypermarcas SA 561,762 4,955,691 0.1%
Itau Unibanco Holding SA 388,933 3,230,883 0.1%
JBS SA 2,515,848 6,612,856 0.1%
Klabin SA 996,400 5,049,721 0.1%
Kroton Educacional SA 2,467,259 9,182,501 0.2%
Lojas Americanas SA 297,764 958,421 0.0%
Lojas Renner SA 1,404,820 8,483,859 0.2%
M Dias Branco SA 40,100 930,430 0.0%
Multiplan Empreendimentos Imobiliarios SA 85,700 1,468,929 0.0%
Natura Cosmeticos SA 262,650 1,947,394 0.0%
* Petroleo Brasileiro SA 2,305,200 8,894,382 0.2%
* Petroleo Brasileiro SA Sponsored ADR 1,005,405 7,751,672 0.2%
Porto Seguro SA 283,513 2,283,437 0.1%
Raia Drogasil SA 388,800 6,222,157 0.1%
Tim Participacoes SA 1,162,813 2,583,090 0.1%
Tim Participacoes SA ADR 63,679 706,200 0.0%
Tractebel Energia SA 250,101 2,774,254 0.1%
Ultrapar Participacoes SA 394,184 8,300,300 0.2%
Ultrapar Participacoes SA Sponsored ADR 254,308 5,335,382 0.1%
Vale SA 398,300 2,280,301 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ------------ ---------------
BRAZIL -- (Continued)
Vale SA Sponsored ADR 1,209,916 $ 6,860,224 0.2%
WEG SA 736,650 3,251,391 0.1%
------------ ---
TOTAL BRAZIL 245,685,219 5.4%
------------ ---
CHILE -- (1.5%)
AES Gener SA 4,178,916 2,123,775 0.1%
Aguas Andinas SA Class A 4,491,454 2,607,660 0.1%
Banco de Chile 1,377,643 150,465 0.0%
Banco de Chile ADR 52,624 3,465,817 0.1%
Banco de Credito e Inversiones 74,661 3,215,421 0.1%
Banco Santander Chile ADR 258,123 5,007,586 0.1%
Cencosud SA 2,142,959 5,774,088 0.1%
Cencosud SA ADR 1,648 13,547 0.0%
Cia Cervecerias Unidas SA 92,470 1,038,313 0.0%
Cia Cervecerias Unidas SA Sponsored ADR 61,058 1,368,920 0.0%
Colbun SA 11,492,940 3,125,448 0.1%
Embotelladora Andina SA Class A ADR 22,244 420,634 0.0%
Embotelladora Andina SA Class B ADR 21,587 441,454 0.0%
Empresa Nacional de Electricidad SA Sponsored ADR 148,697 4,141,212 0.1%
Empresa Nacional de Telecomunicaciones SA 107,920 947,021 0.0%
Empresas CMPC SA 2,386,070 5,393,060 0.1%
Empresas COPEC SA 441,781 4,413,627 0.1%
Endesa Americas SA ADR 148,697 2,101,089 0.0%
Enersis Americas SA Sponsored ADR 610,581 5,226,573 0.1%
Enersis Chile SA ADR 610,581 3,889,401 0.1%
Inversiones Aguas Metropolitanas SA 343,821 556,311 0.0%
Itau CorpBanca(45033E105) 30,902 419,031 0.0%
Itau CorpBanca(BYT25P4) 302,429,974 2,755,172 0.1%
* Latam Airlines Group SA 8,686 61,943 0.0%
* Latam Airlines Group SA Sponsored ADR 597,796 4,292,175 0.1%
SACI Falabella 707,908 5,363,906 0.1%
Sigdo Koppers SA 120,434 169,644 0.0%
Sociedad Quimica y Minera de Chile SA Sponsored ADR 153,936 3,206,487 0.1%
------------ ---
TOTAL CHILE 71,689,780 1.6%
------------ ---
CHINA -- (13.6%)
AAC Technologies Holdings, Inc. 634,000 4,388,337 0.1%
Agricultural Bank of China, Ltd. Class H 18,363,000 6,627,445 0.2%
Air China, Ltd. Class H 1,832,000 1,386,978 0.0%
#* Alibaba Health Information Technology, Ltd. 1,098,000 737,957 0.0%
#* Alibaba Pictures Group, Ltd. 7,240,000 1,691,398 0.0%
* Aluminum Corp. of China, Ltd. ADR 107,180 904,599 0.0%
#* Aluminum Corp. of China, Ltd. Class H 650,000 217,328 0.0%
# Angang Steel Co., Ltd. Class H 1,234,000 580,424 0.0%
# Anhui Conch Cement Co., Ltd. Class H 985,500 2,596,859 0.1%
Anta Sports Products, Ltd. 809,000 2,060,708 0.1%
AviChina Industry & Technology Co., Ltd. Class H 2,186,000 1,523,723 0.0%
BAIC Motor Corp., Ltd. Class H 65,500 54,745 0.0%
Bank of China, Ltd. Class H 63,274,181 25,619,359 0.6%
Bank of Communications Co., Ltd. Class H 6,226,515 3,924,369 0.1%
BBMG Corp. Class H 1,016,000 741,218 0.0%
Beijing Capital International Airport Co., Ltd. Class H 1,372,000 1,477,312 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
CHINA -- (Continued)
Beijing Enterprises Holdings, Ltd. 437,972 $ 2,292,625 0.1%
# Beijing Enterprises Water Group, Ltd. 2,788,000 1,662,862 0.0%
Belle International Holdings, Ltd. 7,315,000 4,461,097 0.1%
Brilliance China Automotive Holdings, Ltd. 1,976,000 1,951,553 0.0%
#* Byd Co., Ltd. Class H 358,886 2,098,800 0.1%
CGN Power Co., Ltd. Class H 3,781,000 1,211,353 0.0%
China Cinda Asset Management Co., Ltd. Class H 5,921,000 1,938,916 0.0%
* China CITIC Bank Corp., Ltd. Class H 4,384,928 2,755,648 0.1%
# China Coal Energy Co., Ltd. Class H 3,038,777 1,442,695 0.0%
China Communications Construction Co., Ltd. Class H 3,529,000 4,235,982 0.1%
China Conch Venture Holdings, Ltd. 283,500 575,074 0.0%
China Construction Bank Corp. Class H 69,620,590 44,217,920 1.0%
#* China COSCO Holdings Co., Ltd. Class H 1,197,000 465,831 0.0%
* China Eastern Airlines Corp., Ltd. ADR 2,200 58,080 0.0%
#* China Eastern Airlines Corp., Ltd. Class H 1,734,000 947,984 0.0%
China Everbright Bank Co., Ltd. Class H 4,802,000 2,165,125 0.1%
China Everbright International, Ltd. 2,508,000 2,817,438 0.1%
China Everbright, Ltd. 474,000 933,273 0.0%
China Galaxy Securities Co., Ltd. Class H 2,798,000 2,454,098 0.1%
# China Gas Holdings, Ltd. 1,362,000 1,969,870 0.1%
# China Hongqiao Group, Ltd. 2,120,000 1,551,669 0.0%
# China Huishan Dairy Holdings Co., Ltd. 2,347,000 873,153 0.0%
China International Marine Containers Group Co., Ltd. Class H 420,200 657,899 0.0%
China Life Insurance Co., Ltd. ADR 849,036 9,772,404 0.2%
China Longyuan Power Group Corp., Ltd. Class H 3,194,000 2,201,563 0.1%
China Machinery Engineering Corp. Class H 180,000 122,060 0.0%
China Mengniu Dairy Co., Ltd. 1,984,000 3,355,184 0.1%
China Merchants Bank Co., Ltd. Class H 3,120,554 6,843,978 0.2%
China Merchants Holdings International Co., Ltd. 1,141,348 3,392,802 0.1%
China Minsheng Banking Corp., Ltd. Class H 4,658,500 4,369,714 0.1%
China Mobile, Ltd. 164,000 1,882,845 0.0%
China Mobile, Ltd. Sponsored ADR 918,178 52,813,599 1.2%
China Molybdenum Co., Ltd. Class H 1,392,966 233,451 0.0%
# China Oilfield Services, Ltd. Class H 1,632,000 1,419,959 0.0%
China Overseas Land & Investment, Ltd. 3,626,000 11,509,888 0.3%
#* China Overseas Property Holdings, Ltd. 1,459,999 204,010 0.0%
China Pacific Insurance Group Co., Ltd. Class H 1,547,400 5,425,870 0.1%
China Petroleum & Chemical Corp. ADR 132,615 9,385,142 0.2%
China Petroleum & Chemical Corp. Class H 5,394,800 3,808,506 0.1%
China Power International Development, Ltd. 3,319,000 1,416,612 0.0%
China Railway Construction Corp., Ltd. Class H 1,572,000 2,000,485 0.1%
China Railway Group, Ltd. Class H 3,186,000 2,521,811 0.1%
China Resources Beer Holdings Company, Ltd. 868,710 1,904,441 0.0%
China Resources Gas Group, Ltd. 690,000 1,952,590 0.0%
China Resources Land, Ltd. 3,234,666 7,938,272 0.2%
China Resources Power Holdings Co., Ltd. 1,954,517 3,296,900 0.1%
China Shenhua Energy Co., Ltd. Class H 1,817,000 3,064,198 0.1%
#* China Shipping Container Lines Co., Ltd. Class H 2,324,000 533,511 0.0%
# China Shipping Development Co., Ltd. Class H 1,056,000 751,180 0.0%
China Southern Airlines Co., Ltd. Class H 2,638,000 1,654,138 0.0%
China Southern Airlines Co., Ltd. Sponsored ADR 14,306 441,340 0.0%
China State Construction International Holdings, Ltd. 976,000 1,517,811 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
CHINA -- (Continued)
* China Taiping Insurance Holdings Co., Ltd. 1,501,906 $ 3,056,652 0.1%
China Telecom Corp., Ltd. ADR 56,720 2,815,581 0.1%
China Telecom Corp., Ltd. Class H 4,088,000 2,029,073 0.1%
China Unicom Hong Kong, Ltd. 8,124,000 9,507,420 0.2%
China Unicom Hong Kong, Ltd. ADR 589,865 6,901,420 0.2%
China Vanke Co., Ltd. Class H 1,624,300 4,066,804 0.1%
Chongqing Rural Commercial Bank Co., Ltd. Class H 3,597,000 1,895,133 0.0%
CITIC Securities Co., Ltd. Class H 2,805,000 6,164,772 0.1%
CITIC, Ltd. 5,705,000 8,319,570 0.2%
CNOOC, Ltd. 5,051,000 6,239,603 0.1%
CNOOC, Ltd. Sponsored ADR 127,716 15,763,986 0.4%
Cosco Pacific, Ltd. 1,779,804 1,892,692 0.0%
Country Garden Holdings Co., Ltd. 8,308,686 3,267,695 0.1%
CRRC Corp, Ltd. Class H 1,865,000 1,814,784 0.0%
CSPC Pharmaceutical Group, Ltd. 2,312,000 2,045,929 0.1%
#* CSSC Offshore and Marine Engineering Group Co., Ltd. Class H 96,000 148,146 0.0%
# Dalian Port PDA Co., Ltd. Class H 504,000 218,818 0.0%
Datang International Power Generation Co., Ltd. Class H 2,866,000 814,209 0.0%
# Dongfang Electric Corp., Ltd. Class H 297,600 230,991 0.0%
Dongfeng Motor Group Co., Ltd. Class H 3,044,000 3,326,448 0.1%
ENN Energy Holdings, Ltd. 776,000 3,785,047 0.1%
# Evergrande Real Estate Group, Ltd. 10,542,000 7,816,909 0.2%
Far East Horizon, Ltd. 87,000 68,947 0.0%
Fosun International, Ltd. 1,706,222 2,357,516 0.1%
* Fullshare Holdings, Ltd. 1,715,000 546,899 0.0%
# GCL-Poly Energy Holdings, Ltd. 5,289,814 788,306 0.0%
Geely Automobile Holdings, Ltd. 4,345,000 2,159,863 0.1%
Great Wall Motor Co., Ltd. Class H 3,076,500 2,314,416 0.1%
Guangdong Investment, Ltd. 2,834,000 4,001,781 0.1%
Guangshen Railway Co., Ltd. Sponsored ADR 27,717 706,784 0.0%
Guangzhou Automobile Group Co., Ltd. Class H 974,259 1,134,664 0.0%
# Guangzhou Baiyunshan Pharmaceutical Holdings Co., Ltd. Class H 98,000 207,349 0.0%
Guangzhou R&F Properties Co., Ltd. Class H 1,787,600 2,497,431 0.1%
Haier Electronics Group Co., Ltd. 1,155,000 1,939,856 0.0%
Haitong Securities Co., Ltd. Class H 2,064,000 3,411,004 0.1%
* Hanergy Thin Film Power Group, Ltd. 5,416,000 150,340 0.0%
Hengan International Group Co., Ltd. 647,000 5,796,997 0.1%
Huadian Power International Corp., Ltd. Class H 1,628,000 836,878 0.0%
Huaneng Power International, Inc. Class H 1,516,000 1,083,241 0.0%
Huaneng Power International, Inc. Sponsored ADR 34,452 978,092 0.0%
* Huatai Securities Co., Ltd. Class H 239,000 504,756 0.0%
# Huishang Bank Corp., Ltd. Class H 1,038,000 500,842 0.0%
Industrial & Commercial Bank of China, Ltd. Class H 71,229,185 38,136,168 0.8%
# Jiangsu Expressway Co., Ltd. Class H 1,244,000 1,641,235 0.0%
Jiangxi Copper Co., Ltd. Class H 1,276,000 1,559,525 0.0%
# Kunlun Energy Co., Ltd. 6,128,000 5,319,705 0.1%
Lenovo Group, Ltd. 7,261,278 5,716,403 0.1%
Longfor Properties Co., Ltd. 1,973,500 2,778,794 0.1%
#* Maanshan Iron & Steel Co., Ltd. Class H 1,406,000 323,100 0.0%
Metallurgical Corp. of China, Ltd. Class H 1,583,000 475,652 0.0%
New China Life Insurance Co., Ltd. Class H 439,800 1,436,519 0.0%
People's Insurance Co. Group of China, Ltd. (The) Class H 8,480,000 3,399,499 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
CHINA -- (Continued)
PetroChina Co., Ltd. ADR 125,562 $ 9,173,560 0.2%
PetroChina Co., Ltd. Class H 2,090,000 1,529,106 0.0%
PICC Property & Casualty Co., Ltd. Class H 3,548,132 6,436,144 0.1%
Ping An Insurance Group Co. of China, Ltd. Class H 4,622,500 21,693,760 0.5%
* Semiconductor Manufacturing International Corp. 15,409,000 1,246,951 0.0%
* Semiconductor Manufacturing International Corp. ADR 4,792 19,839 0.0%
Shandong Weigao Group Medical Polymer Co., Ltd. Class H 788,000 473,056 0.0%
# Shanghai Electric Group Co., Ltd. Class H 1,458,000 609,465 0.0%
# Shanghai Fosun Pharmaceutical Group Co., Ltd. Class H 292,500 795,051 0.0%
Shanghai Pharmaceuticals Holding Co., Ltd. Class H 496,900 1,054,487 0.0%
Shenzhou International Group Holdings, Ltd. 373,000 1,925,835 0.0%
Shimao Property Holdings, Ltd. 3,034,871 4,188,622 0.1%
Sino Biopharmaceutical, Ltd. 3,945,000 2,795,444 0.1%
Sino-Ocean Land Holdings, Ltd. 3,854,743 1,728,668 0.0%
Sinopec Engineering Group Co., Ltd. Class H 615,000 567,270 0.0%
* Sinopec Oilfield Service Corp. Class H 1,818,000 397,174 0.0%
* Sinopec Shanghai Petrochemical Co., Ltd. Class H 633,000 311,315 0.0%
* Sinopec Shanghai Petrochemical Co., Ltd. Sponsored ADR 7,418 361,232 0.0%
Sinopharm Group Co., Ltd. Class H 1,224,000 5,231,663 0.1%
# Sun Art Retail Group, Ltd. 2,962,500 2,223,683 0.1%
Tencent Holdings, Ltd. 4,351,400 88,543,644 2.0%
# Tingyi Cayman Islands Holding Corp. 2,860,000 3,346,358 0.1%
Travelsky Technology, Ltd. Class H 454,000 843,681 0.0%
# Tsingtao Brewery Co., Ltd. Class H 256,000 969,491 0.0%
Uni-President China Holdings, Ltd. 324,000 301,731 0.0%
# Want Want China Holdings, Ltd. 5,137,000 3,933,475 0.1%
# Weichai Power Co., Ltd. Class H 861,400 1,036,612 0.0%
# Xinjiang Goldwind Science & Technology Co., Ltd. Class H 314,600 518,125 0.0%
# Yanzhou Coal Mining Co., Ltd. Class H 718,000 407,790 0.0%
Yanzhou Coal Mining Co., Ltd. Sponsored ADR 106,215 596,928 0.0%
Zhejiang Expressway Co., Ltd. Class H 1,470,000 1,501,880 0.0%
Zhuzhou CRRC Times Electric Co., Ltd. Class H 351,000 1,997,098 0.1%
# Zijin Mining Group Co., Ltd. Class H 3,699,000 1,229,262 0.0%
# Zoomlion Heavy Industry Science and Technology Co., Ltd. Class H 1,589,400 536,256 0.0%
# ZTE Corp. Class H 553,285 860,797 0.0%
------------ ----
TOTAL CHINA 638,285,665 14.0%
------------ ----
COLOMBIA -- (0.6%)
Almacenes Exito SA 77,155 433,892 0.0%
Banco de Bogota SA 35,006 773,927 0.0%
Bancolombia SA 331,749 2,969,646 0.1%
Bancolombia SA Sponsored ADR 140,271 5,427,085 0.1%
Cementos Argos SA 427,348 1,737,181 0.0%
* Cemex Latam Holdings SA 138,849 636,562 0.0%
Corp. Financiera Colombiana SA(B000C92) 73,662 997,609 0.0%
* Corp. Financiera Colombiana SA(BYPK1V0) 1,012 13,712 0.0%
Ecopetrol SA 2,771,514 1,376,665 0.0%
Ecopetrol SA Sponsored ADR 220,479 2,191,561 0.1%
Empresa de Energia de Bogota SA ESP 1,425,504 925,753 0.0%
Grupo Argos SA 32,075 211,680 0.0%
Grupo Aval Acciones y Valores SA ADR 112,983 914,032 0.0%
Grupo de Inversiones Suramericana SA 243,024 3,284,466 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
COLOMBIA -- (Continued)
Grupo Nutresa SA 201,423 $ 1,838,388 0.0%
Interconexion Electrica SA ESP 609,290 1,860,793 0.1%
Isagen SA ESP 1,309,791 1,887,426 0.1%
----------- ---
TOTAL COLOMBIA 27,480,378 0.6%
----------- ---
CZECH REPUBLIC -- (0.2%)
CEZ A.S. 256,338 5,005,955 0.1%
Komercni banka A.S. 13,396 2,755,159 0.1%
O2 Czech Republic A.S. 17,569 178,600 0.0%
Pegas Nonwovens SA 5,839 205,260 0.0%
Philip Morris CR A.S. 689 361,630 0.0%
* Unipetrol A.S. 45,807 370,616 0.0%
----------- ---
TOTAL CZECH REPUBLIC 8,877,220 0.2%
----------- ---
EGYPT -- (0.1%)
Commercial International Bank Egypt SAE GDR 1,260,257 4,706,699 0.1%
* Egyptian Financial Group-Hermes Holding Co. GDR 774 1,280 0.0%
* Global Telecom Holding SAE GDR 640,757 1,057,645 0.0%
----------- ---
TOTAL EGYPT 5,765,624 0.1%
----------- ---
GREECE -- (0.3%)
Aegean Airlines SA 38,061 349,203 0.0%
* Alpha Bank AE 105,217 228,620 0.0%
Athens Water Supply & Sewage Co. SA (The) 31,795 167,587 0.0%
* Eurobank Ergasias SA 331 280 0.0%
FF Group 34,149 703,259 0.0%
* Hellenic Petroleum SA 112,224 496,106 0.0%
Hellenic Telecommunications Organization SA 340,319 3,313,126 0.1%
* JUMBO SA 168,373 2,205,374 0.1%
Metka SA 2,055 15,724 0.0%
Motor Oil Hellas Corinth Refineries SA 96,253 1,099,057 0.0%
Mytilineos Holdings SA 3,958 15,893 0.0%
* National Bank of Greece SA 128,189 38,292 0.0%
OPAP SA 278,698 2,106,809 0.1%
* Piraeus Bank SA 20,676 6,126 0.0%
Public Power Corp. SA 144,358 479,422 0.0%
Titan Cement Co. SA 61,385 1,400,294 0.0%
----------- ---
TOTAL GREECE 12,625,172 0.3%
----------- ---
HUNGARY -- (0.3%)
* Magyar Telekom Telecommunications P.L.C. 773,065 1,342,778 0.1%
MOL Hungarian Oil & Gas P.L.C. 86,115 5,261,715 0.1%
OTP Bank P.L.C. 218,678 5,794,328 0.1%
Richter Gedeon Nyrt 213,864 4,248,532 0.1%
----------- ---
TOTAL HUNGARY 16,647,353 0.4%
----------- ---
INDIA -- (11.7%)
ABB India, Ltd. 33,317 647,011 0.0%
ACC, Ltd. 64,891 1,407,517 0.0%
Adani Ports & Special Economic Zone, Ltd. 735,627 2,630,626 0.1%
* Adani Transmissions, Ltd. 260,707 123,705 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
INDIA -- (Continued)
* Aditya Birla Fashion and Retail, Ltd. 690,196 $ 1,532,398 0.0%
Aditya Birla Nuvo, Ltd. 132,730 1,706,688 0.0%
Ajanta Pharma, Ltd. 5,556 126,165 0.0%
Alembic Pharmaceuticals, Ltd. 15,209 137,188 0.0%
Alstom T&D India, Ltd. 17,621 100,169 0.0%
Amara Raja Batteries, Ltd. 79,101 1,143,171 0.0%
Ambuja Cements, Ltd. 1,004,466 3,337,685 0.1%
Apollo Hospitals Enterprise, Ltd. 129,872 2,559,766 0.1%
Ashok Leyland, Ltd. 1,234,034 1,990,179 0.0%
Asian Paints, Ltd. 474,671 6,204,150 0.1%
Aurobindo Pharma, Ltd. 625,132 7,123,941 0.2%
Axis Bank, Ltd. 2,058,467 14,584,815 0.3%
Bajaj Auto, Ltd. 155,378 5,815,124 0.1%
Bajaj Finance, Ltd. 38,219 3,935,619 0.1%
Bajaj Finserv, Ltd. 63,353 1,770,879 0.0%
Bajaj Holdings & Investment, Ltd. 53,068 1,150,286 0.0%
Bank of Baroda 910,704 2,156,172 0.1%
Berger Paints India, Ltd. 236,486 914,024 0.0%
Bharat Electronics, Ltd. 51,903 919,028 0.0%
Bharat Forge, Ltd. 240,753 2,892,920 0.1%
Bharat Heavy Electricals, Ltd. 1,315,511 2,480,981 0.1%
Bharat Petroleum Corp., Ltd. 243,122 3,582,313 0.1%
Bharti Airtel, Ltd. 1,447,872 7,931,348 0.2%
Blue Dart Express, Ltd. 5,432 463,127 0.0%
Bosch, Ltd. 8,365 2,466,727 0.1%
Britannia Industries, Ltd. 26,712 1,149,388 0.0%
Cadila Healthcare, Ltd. 362,605 1,780,548 0.0%
Cairn India, Ltd. 655,103 1,438,109 0.0%
Castrol India, Ltd. 38,740 230,447 0.0%
Cipla, Ltd. 567,858 4,593,057 0.1%
Colgate-Palmolive India, Ltd. 142,544 1,808,593 0.0%
Container Corp. Of India, Ltd. 55,130 1,123,424 0.0%
CRISIL, Ltd. 6,904 203,407 0.0%
Cummins India, Ltd. 94,559 1,257,639 0.0%
Dabur India, Ltd. 743,476 3,076,755 0.1%
Divi's Laboratories, Ltd. 186,164 2,939,919 0.1%
DLF, Ltd. 371,230 724,101 0.0%
Dr Reddy's Laboratories, Ltd. 71,015 3,275,965 0.1%
Dr Reddy's Laboratories, Ltd. ADR 148,465 6,770,004 0.2%
Eicher Motors, Ltd. 20,610 6,191,565 0.1%
Emami, Ltd. 90,332 1,366,823 0.0%
Exide Industries, Ltd. 307,619 680,798 0.0%
GAIL India, Ltd. 575,655 3,105,784 0.1%
GAIL India, Ltd. GDR 28,791 924,482 0.0%
Gillette India, Ltd. 3,761 235,272 0.0%
GlaxoSmithKline Consumer Healthcare, Ltd. 14,937 1,328,345 0.0%
GlaxoSmithKline Pharmaceuticals, Ltd. 13,217 741,595 0.0%
Glenmark Pharmaceuticals, Ltd. 316,017 3,937,344 0.1%
Godrej Consumer Products, Ltd. 168,863 3,349,652 0.1%
Godrej Industries, Ltd. 48,714 256,549 0.0%
Grasim Industries, Ltd. 6,300 387,584 0.0%
Havells India, Ltd. 407,089 2,035,264 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
INDIA -- (Continued)
HCL Technologies, Ltd. 786,097 $ 8,873,880 0.2%
HDFC Bank, Ltd. 1,530,953 25,879,410 0.6%
Hero MotoCorp, Ltd. 156,975 6,852,667 0.2%
Hindalco Industries, Ltd. 1,549,771 2,239,810 0.1%
Hindustan Petroleum Corp., Ltd. 115,630 1,452,133 0.0%
Hindustan Unilever, Ltd. 1,148,145 15,033,549 0.3%
Housing Development Finance Corp., Ltd. 716,490 11,757,987 0.3%
ICICI Bank, Ltd. 1,656,257 5,872,043 0.1%
ICICI Bank, Ltd. Sponsored ADR 1,043,395 7,355,935 0.2%
Idea Cellular, Ltd. 2,689,000 4,805,076 0.1%
* IDFC Bank, Ltd. 601,656 430,359 0.0%
Indiabulls Housing Finance, Ltd. 546,591 5,736,546 0.1%
Indian Oil Corp., Ltd. 612,255 3,983,727 0.1%
IndusInd Bank, Ltd. 390,301 6,154,722 0.1%
Infosys, Ltd. 1,886,232 34,259,997 0.8%
Infosys, Ltd. Sponsored ADR 847,888 15,940,294 0.4%
ITC, Ltd. 3,264,295 16,012,953 0.4%
JSW Energy, Ltd. 804,897 813,632 0.0%
JSW Steel, Ltd. 366,359 7,564,170 0.2%
Kansai Nerolac Paints, Ltd. 4,919 21,178 0.0%
* KAYA, Ltd. 2,327 30,344 0.0%
Kotak Mahindra Bank, Ltd. 494,765 5,333,311 0.1%
Larsen & Toubro, Ltd. 363,180 6,838,616 0.2%
LIC Housing Finance, Ltd. 847,563 5,901,192 0.1%
Lupin, Ltd. 355,461 8,578,117 0.2%
Mahindra & Mahindra Financial Services, Ltd. 268,646 1,213,025 0.0%
Mahindra & Mahindra, Ltd. 678,651 13,595,934 0.3%
Marico, Ltd. 748,884 2,932,084 0.1%
Maruti Suzuki India, Ltd. 138,331 7,896,447 0.2%
Max Financial Services, Ltd. 75,452 412,149 0.0%
MAX India, Ltd. 75,452 142,664 0.0%
* Max Ventures & Industries, Ltd. 15,090 16,135 0.0%
Motherson Sumi Systems, Ltd. 542,274 2,045,189 0.1%
MRF, Ltd. 2,969 1,508,403 0.0%
Nestle India, Ltd. 37,106 3,193,513 0.1%
NHPC, Ltd. 2,310,835 718,534 0.0%
NTPC, Ltd. 1,434,092 3,012,621 0.1%
Oil & Natural Gas Corp., Ltd. 989,305 3,238,067 0.1%
Oil India, Ltd. 221,777 1,105,960 0.0%
Oracle Financial Services Software, Ltd. 27,493 1,492,836 0.0%
Page Industries, Ltd. 9,049 1,709,551 0.0%
Petronet LNG, Ltd. 398,083 1,576,156 0.0%
Pidilite Industries, Ltd. 196,824 1,788,262 0.0%
Piramal Enterprises, Ltd. 97,504 1,771,013 0.0%
Power Finance Corp., Ltd. 773,284 2,080,797 0.1%
Power Grid Corp. of India, Ltd. 1,556,300 3,360,227 0.1%
Procter & Gamble Hygiene & Health Care, Ltd. 10,286 976,979 0.0%
Rajesh Exports, Ltd. 124,035 1,105,732 0.0%
* Reliance Communications, Ltd. 3,093,773 2,602,697 0.1%
Reliance Industries, Ltd. 1,625,226 23,982,462 0.5%
Reliance Power, Ltd. 327,864 250,493 0.0%
Rural Electrification Corp., Ltd. 756,926 2,026,597 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
INDIA -- (Continued)
Shree Cement, Ltd. 10,928 $ 2,098,311 0.1%
Shriram Transport Finance Co., Ltd. 268,934 3,866,760 0.1%
Siemens, Ltd. 65,181 1,109,689 0.0%
State Bank of India 1,858,229 5,276,368 0.1%
Sun Pharmaceutical Industries, Ltd. 1,259,691 15,406,140 0.3%
Sun TV Network, Ltd. 162,689 910,475 0.0%
Sundaram Finance, Ltd. 11,848 225,427 0.0%
Tata Consultancy Services, Ltd. 720,066 27,544,405 0.6%
* Tata Motors, Ltd. 1,818,079 11,124,203 0.2%
* Tata Motors, Ltd. Sponsored ADR 84,855 2,577,895 0.1%
Tata Power Co., Ltd. 2,105,165 2,224,211 0.1%
Tata Steel, Ltd. 683,642 3,626,239 0.1%
Tech Mahindra, Ltd. 955,950 6,969,725 0.2%
Titan Co., Ltd. 329,228 1,762,007 0.0%
Torrent Pharmaceuticals, Ltd. 94,358 2,034,583 0.0%
Ultratech Cement, Ltd. 43,023 2,045,085 0.1%
United Breweries, Ltd. 96,720 1,103,910 0.0%
* United Spirits, Ltd. 58,173 2,077,249 0.1%
UPL, Ltd. 812,040 6,594,838 0.2%
Vedanta, Ltd. 3,139,759 4,901,626 0.1%
Vedanta, Ltd. ADR 42,052 264,087 0.0%
Wipro, Ltd. 732,279 6,090,907 0.1%
* Wockhardt, Ltd. 44,985 668,412 0.0%
Yes Bank, Ltd. 271,196 3,836,307 0.1%
Zee Entertainment Enterprises, Ltd. 719,876 4,497,965 0.1%
------------ ----
TOTAL INDIA 549,059,134 12.1%
------------ ----
INDONESIA -- (3.1%)
Adaro Energy Tbk PT 37,523,800 2,068,313 0.0%
AKR Corporindo Tbk PT 1,809,000 888,631 0.0%
Astra Agro Lestari Tbk PT 1,001,000 1,219,520 0.0%
Astra International Tbk PT 23,646,410 11,999,477 0.3%
Bank Central Asia Tbk PT 15,447,700 15,245,332 0.3%
Bank Danamon Indonesia Tbk PT 5,763,579 1,435,876 0.0%
Bank Mandiri Persero Tbk PT 11,092,217 8,063,201 0.2%
Bank Negara Indonesia Persero Tbk PT 14,471,622 5,010,541 0.1%
* Bank Pan Indonesia Tbk PT 4,179,900 248,217 0.0%
Bank Rakyat Indonesia Persero Tbk PT 15,742,100 12,302,222 0.3%
* Bank Tabungan Pensiunan Nasional Tbk PT 690,400 140,103 0.0%
* Bayan Resources Tbk PT 79,500 47,937 0.0%
Bumi Serpong Damai Tbk PT 15,448,500 2,156,616 0.1%
Charoen Pokphand Indonesia Tbk PT 10,504,800 2,947,274 0.1%
Ciputra Development Tbk PT 12,854,895 1,209,069 0.0%
Gudang Garam Tbk PT 675,500 3,539,947 0.1%
Holcim Indonesia Tbk PT 677,000 53,033 0.0%
Indocement Tunggal Prakarsa Tbk PT 2,000,200 2,979,634 0.1%
Indofood CBP Sukses Makmur Tbk PT 1,728,400 1,998,083 0.0%
Indofood Sukses Makmur Tbk PT 11,903,400 6,398,012 0.1%
* Indosat Tbk PT 1,720,800 874,124 0.0%
Jasa Marga Persero Tbk PT 3,626,900 1,494,476 0.0%
Kalbe Farma Tbk PT 32,614,300 3,391,182 0.1%
Lippo Karawaci Tbk PT 40,640,200 3,122,564 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
INDONESIA -- (Continued)
Matahari Department Store Tbk PT 1,100,700 $ 1,578,253 0.0%
Mayora Indah Tbk PT 862,133 2,303,502 0.1%
Media Nusantara Citra Tbk PT 12,992,900 2,302,698 0.1%
* MNC Sky Vision Tbk PT 143,100 14,027 0.0%
Pakuwon Jati Tbk PT 58,500,300 2,317,848 0.1%
* Panasia Indo Resources Tbk PT 56,500 3,299 0.0%
Pembangunan Perumahan Persero Tbk PT 2,790,800 773,499 0.0%
Perusahaan Gas Negara Persero Tbk 13,090,800 2,586,849 0.1%
Sawit Sumbermas Sarana Tbk PT 4,401,900 618,603 0.0%
Semen Indonesia Persero Tbk PT 6,596,100 4,930,473 0.1%
Sinar Mas Agro Resources & Technology Tbk PT 1,116,500 249,436 0.0%
Sumber Alfaria Trijaya Tbk PT 255,200 11,610 0.0%
Summarecon Agung Tbk PT 21,383,500 2,522,848 0.1%
Surya Citra Media Tbk PT 10,255,200 2,477,679 0.1%
Telekomunikasi Indonesia Persero Tbk PT 39,175,700 10,510,560 0.2%
Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR 98,384 5,250,754 0.1%
* Tower Bersama Infrastructure Tbk PT 2,884,000 1,292,196 0.0%
* Trada Maritime Tbk PT 1,271,100 4,819 0.0%
Unilever Indonesia Tbk PT 2,121,800 6,833,835 0.2%
United Tractors Tbk PT 4,899,996 5,546,916 0.1%
* Vale Indonesia Tbk PT 3,171,900 445,541 0.0%
Waskita Karya Persero Tbk PT 6,283,179 1,113,124 0.0%
* XL Axiata Tbk PT 7,703,800 2,052,930 0.0%
------------ ---
TOTAL INDONESIA 144,574,683 3.2%
------------ ---
MALAYSIA -- (4.2%)
Aeon Co. M Bhd 339,500 244,865 0.0%
Affin Holdings Bhd 1,020,700 605,351 0.0%
Alliance Financial Group Bhd 2,238,000 2,291,487 0.1%
AMMB Holdings Bhd 5,459,859 6,323,457 0.1%
Astro Malaysia Holdings Bhd 2,488,700 1,760,253 0.0%
Axiata Group Bhd 3,812,314 5,506,549 0.1%
Batu Kawan Bhd 105,400 485,278 0.0%
* Berjaya Land Bhd 53,000 9,438 0.0%
BIMB Holdings Bhd 1,143,255 1,125,785 0.0%
Boustead Holdings Bhd 309,086 307,615 0.0%
British American Tobacco Malaysia Bhd 212,600 2,495,156 0.1%
* Bumi Armada Bhd 2,858,800 577,221 0.0%
Bursa Malaysia Bhd 394,500 848,683 0.0%
Cahya Mata Sarawak Bhd 669,400 657,147 0.0%
CIMB Group Holdings Bhd 6,394,272 7,630,032 0.2%
Dialog Group Bhd 4,981,118 2,024,203 0.1%
DiGi.Com Bhd 5,805,020 6,532,523 0.1%
Felda Global Ventures Holdings Bhd 379,100 140,451 0.0%
Gamuda Bhd 2,395,200 2,910,603 0.1%
Genting Bhd 3,866,300 8,740,308 0.2%
Genting Malaysia Bhd 3,837,600 4,384,715 0.1%
Genting Plantations Bhd 325,000 890,027 0.0%
HAP Seng Consolidated Bhd 1,066,700 2,091,852 0.1%
Hartalega Holdings Bhd 1,084,200 1,190,569 0.0%
Hong Leong Bank Bhd 1,040,166 3,580,387 0.1%
Hong Leong Financial Group Bhd 744,483 2,843,103 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
MALAYSIA -- (Continued)
IHH Healthcare Bhd 2,243,200 $ 3,757,779 0.1%
IJM Corp. Bhd 7,006,462 6,183,559 0.1%
IOI Corp. Bhd 4,711,405 5,319,273 0.1%
IOI Properties Group Bhd 2,347,943 1,453,030 0.0%
Kuala Lumpur Kepong Bhd 504,800 3,088,025 0.1%
* Kulim Malaysia Bhd 548,200 555,716 0.0%
Lafarge Malaysia Bhd 659,480 1,477,754 0.0%
LPI Capital Bhd 25,950 101,711 0.0%
Magnum Bhd 139,300 86,619 0.0%
Malayan Banking Bhd 5,792,259 13,223,798 0.3%
Malaysia Airports Holdings Bhd 1,492,441 2,558,613 0.1%
Maxis Bhd 2,881,400 4,123,232 0.1%
MISC Bhd 1,298,098 2,805,948 0.1%
MMC Corp. Bhd 1,978,300 1,063,935 0.0%
Nestle Malaysia Bhd 47,800 917,009 0.0%
Oriental Holdings Bhd 24,100 42,862 0.0%
Petronas Chemicals Group Bhd 3,567,800 6,126,161 0.1%
Petronas Dagangan Bhd 367,500 2,242,349 0.1%
Petronas Gas Bhd 890,500 5,006,693 0.1%
PPB Group Bhd 900,800 3,724,511 0.1%
Public Bank Bhd 3,537,614 16,921,955 0.4%
QL Resources Bhd 630,900 705,865 0.0%
RHB Capital Bhd 1,179,179 1,845,635 0.0%
Sapurakencana Petroleum Bhd 10,900,700 4,587,737 0.1%
Sime Darby Bhd 3,639,627 7,163,485 0.2%
SP Setia Bhd Group 1,038,380 855,652 0.0%
Sunway Bhd 1,710,000 1,370,119 0.0%
Sunway Construction Group Bhd 182,400 75,578 0.0%
Telekom Malaysia Bhd 1,435,664 2,443,251 0.1%
Tenaga Nasional Bhd 4,375,250 16,072,346 0.4%
Top Glove Corp. Bhd 773,600 981,552 0.0%
UEM Sunrise Bhd 2,331,937 606,926 0.0%
UMW Holdings Bhd 1,515,766 2,542,640 0.1%
United Plantations Bhd 61,000 418,584 0.0%
Westports Holdings Bhd 1,509,000 1,600,249 0.0%
YTL Corp. Bhd 16,425,686 6,555,314 0.1%
YTL Power International Bhd 3,177,547 1,219,270 0.0%
------------ ---
TOTAL MALAYSIA 196,021,793 4.3%
------------ ---
MEXICO -- (5.7%)
Alfa S.A.B. de C.V. Class A 8,197,783 15,419,102 0.3%
America Movil S.A.B. de C.V. Series L 46,329,297 32,798,740 0.7%
America Movil S.A.B. de C.V. Series L ADR 22,528 318,997 0.0%
Arca Continental S.A.B. de C.V. 688,801 4,751,442 0.1%
* Cemex S.A.B. de C.V. 10,756,422 7,990,112 0.2%
* Cemex S.A.B. de C.V. Sponsored ADR 1,691,965 12,605,141 0.3%
Coca-Cola Femsa S.A.B. de C.V. Series L 510,276 4,448,582 0.1%
Coca-Cola Femsa S.A.B. de C.V. Sponsored ADR 36,634 3,197,782 0.1%
* Corp Interamericana de Entretenimiento SAB de CV Class B 8,726 7,851 0.0%
El Puerto de Liverpool S.A.B. de C.V. 185,660 2,109,909 0.0%
Fomento Economico Mexicano S.A.B. de C.V. 1,793,669 16,720,400 0.4%
Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR 39,796 3,709,385 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
MEXICO -- (Continued)
Gruma S.A.B. de C.V. Class B 541,859 $ 7,898,295 0.2%
Grupo Aeroportuario del Pacifico S.A.B. de C.V. ADR 15,027 1,418,849 0.0%
Grupo Aeroportuario del Pacifico S.A.B. de C.V. Class B 469,811 4,436,056 0.1%
Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR 32,867 5,056,259 0.1%
Grupo Bimbo S.A.B. de C.V. Series A 2,480,779 7,554,238 0.2%
Grupo Carso S.A.B. de C.V. Series A1 911,747 4,391,631 0.1%
Grupo Elektra S.A.B. de C.V. 86,674 1,629,736 0.0%
Grupo Financiero Banorte S.A.B. de C.V. Class O 4,709,628 26,777,401 0.6%
Grupo Financiero Inbursa S.A.B. de C.V. Class O 3,529,863 6,918,303 0.1%
Grupo Financiero Santander Mexico S.A.B. de C.V. Class B 3,362,943 6,168,942 0.1%
Grupo Financiero Santander Mexico S.A.B. de C.V. Class B ADR 84,444 771,818 0.0%
Grupo Lala S.A.B. de C.V. 964,251 2,578,674 0.1%
Grupo Mexico S.A.B. de C.V. Series B 6,024,993 15,324,560 0.3%
* Grupo Qumma SA de C.V. Series B 1,591 -- 0.0%
Grupo Sanborns S.A.B. de C.V. 28,885 39,908 0.0%
Grupo Televisa S.A.B. Series CPO 3,292,769 19,196,248 0.4%
Grupo Televisa S.A.B. Sponsored ADR 132,800 3,881,744 0.1%
* Impulsora del Desarrollo y El Empleo en America Latina S.A.B. de C.V. 2,362,916 3,254,998 0.1%
Industrias Penoles S.A.B. de C.V. 252,581 3,946,099 0.1%
Infraestructura Energetica Nova S.A.B. de C.V. 410,039 1,599,435 0.0%
Kimberly-Clark de Mexico S.A.B. de C.V. Class A 2,348,560 5,583,148 0.1%
* La Comer S.A.B. de C.V. 758,975 794,062 0.0%
Megacable Holdings S.A.B. de C.V. 89,863 415,556 0.0%
Mexichem S.A.B. de C.V. 2,745,879 6,936,259 0.2%
* Minera Frisco S.A.B. de C.V. 91,909 65,868 0.0%
* Organizacion Soriana S.A.B. de C.V. Class B 1,102,476 2,653,558 0.1%
Promotora y Operadora de Infraestructura S.A.B. de C.V. 389,314 4,935,484 0.1%
* Savia SA Class A 120,000 -- 0.0%
* Telesites SAB de C.V. 1,313,595 809,322 0.0%
Wal-Mart de Mexico S.A.B. de C.V. 7,054,235 17,434,012 0.4%
------------ ---
TOTAL MEXICO 266,547,906 5.8%
------------ ---
PERU -- (0.3%)
Cementos Pacasmayo SAA ADR 6,659 59,465 0.0%
* Cia de Minas Buenaventura SAA ADR 139,674 1,417,691 0.0%
Credicorp, Ltd. 76,489 11,123,030 0.3%
Grana y Montero SAA Sponsored ADR 62,484 430,515 0.0%
------------ ---
TOTAL PERU 13,030,701 0.3%
------------ ---
PHILIPPINES -- (1.8%)
Aboitiz Equity Ventures, Inc. 2,259,870 3,194,740 0.1%
Aboitiz Power Corp. 2,462,500 2,355,745 0.1%
Alliance Global Group, Inc. 7,817,700 2,413,702 0.1%
Ayala Corp. 284,537 4,673,179 0.1%
Ayala Land, Inc. 9,207,218 6,793,301 0.1%
Bank of the Philippine Islands 1,179,853 2,276,237 0.0%
BDO Unibank, Inc. 2,525,651 5,380,521 0.1%
DMCI Holdings, Inc. 9,941,400 2,639,819 0.1%
Emperador, Inc. 1,850,900 313,060 0.0%
Energy Development Corp. 26,284,600 3,301,510 0.1%
* Fwbc Holdings, Inc. 2,006,957 -- 0.0%
Globe Telecom, Inc. 52,815 2,467,410 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
PHILIPPINES -- (Continued)
GT Capital Holdings, Inc. 131,905 $ 3,839,673 0.1%
International Container Terminal Services, Inc. 1,287,400 1,782,349 0.0%
JG Summit Holdings, Inc. 1,717,070 2,978,587 0.1%
Jollibee Foods Corp. 695,840 3,404,066 0.1%
LT Group, Inc. 3,963,600 1,300,207 0.0%
Manila Electric Co. 317,750 2,324,263 0.1%
Megaworld Corp. 23,849,800 1,913,012 0.0%
Metro Pacific Investments Corp. 24,178,700 2,991,278 0.1%
Metropolitan Bank & Trust Co. 686,545 1,188,852 0.0%
Philippine Long Distance Telephone Co. 90,610 3,312,511 0.1%
Philippine Long Distance Telephone Co. Sponsored ADR 50,043 1,846,587 0.0%
* Philippine National Bank 349,148 381,023 0.0%
Puregold Price Club, Inc. 1,430,300 1,225,990 0.0%
Robinsons Land Corp. 3,952,800 2,281,399 0.0%
Robinsons Retail Holdings, Inc. 360,960 591,690 0.0%
San Miguel Corp. 1,277,170 1,824,181 0.0%
Security Bank Corp. 42,540 154,062 0.0%
Semirara Mining & Power Corp. 503,180 1,361,450 0.0%
SM Investments Corp. 188,622 3,789,357 0.1%
SM Prime Holdings, Inc. 8,486,110 4,092,156 0.1%
* Top Frontier Investment Holdings, Inc. 42,789 127,690 0.0%
Universal Robina Corp. 1,282,840 5,696,604 0.1%
----------- ---
TOTAL PHILIPPINES 84,216,211 1.8%
----------- ---
POLAND -- (1.6%)
* Alior Bank SA 68,031 1,230,858 0.0%
Bank Handlowy w Warszawie SA 41,312 801,317 0.0%
* Bank Millennium SA 981,408 1,285,548 0.0%
Bank Pekao SA 111,545 4,536,223 0.1%
Bank Zachodni WBK SA 50,450 3,508,585 0.1%
Budimex SA 505 25,802 0.0%
CCC SA 25,137 1,120,901 0.0%
* Cyfrowy Polsat SA 393,451 2,504,986 0.1%
Enea SA 317,846 982,673 0.0%
Energa SA 214,565 699,081 0.0%
Eurocash SA 112,176 1,602,748 0.0%
* Grupa Azoty SA 78,276 1,782,620 0.0%
* Grupa Lotos SA 137,497 1,068,996 0.0%
ING Bank Slaski SA 39,521 1,263,275 0.0%
KGHM Polska Miedz SA 408,675 7,967,567 0.2%
LPP SA 1,578 2,329,407 0.1%
* mBank SA 26,866 2,269,626 0.1%
Orange Polska SA 1,116,971 1,820,228 0.1%
PGE Polska Grupa Energetyczna SA 2,528,965 8,732,650 0.2%
Polski Koncern Naftowy Orlen SA 649,675 11,717,192 0.3%
Polskie Gornictwo Naftowe i Gazownictwo SA 2,283,734 3,041,826 0.1%
* Powszechna Kasa Oszczednosci Bank Polski SA 964,323 6,179,519 0.1%
Powszechny Zaklad Ubezpieczen SA 780,760 7,066,840 0.2%
Synthos SA 848,438 904,748 0.0%
Tauron Polska Energia SA 2,120,002 1,643,410 0.0%
----------- ---
TOTAL POLAND 76,086,626 1.7%
----------- ---
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
RUSSIA -- (1.9%)
Gazprom PAO Sponsored ADR 5,279,647 $27,432,935 0.6%
LUKOIL PJSC ADR 257,005 10,950,368 0.3%
Magnitogorsk Iron & Steel Works OJSC GDR 197,103 948,222 0.0%
* Mail.ru Group, Ltd. GDR 41,223 835,929 0.0%
MegaFon PJSC GDR 90,639 1,044,043 0.0%
MMC Norilsk Nickel PJSC ADR 406,377 6,005,144 0.1%
NOVATEK OAO GDR 41,632 4,017,691 0.1%
Novolipetsk Steel PJSC GDR 123,601 1,678,930 0.1%
Phosagro OAO GDR 65,933 1,022,504 0.0%
Ros Agro P.L.C. GDR 24,028 365,212 0.0%
Rosneft OAO GDR 833,683 4,575,342 0.1%
Rostelecom PJSC Sponsored ADR 78,867 710,271 0.0%
RusHydro PJSC ADR 1,329,772 1,357,255 0.0%
Sberbank of Russia PJSC Sponsored ADR 1,818,206 14,618,609 0.3%
Severstal PAO GDR 216,701 2,523,759 0.1%
Tatneft PAO Sponsored ADR 266,980 8,416,292 0.2%
VTB Bank PJSC GDR 1,308,239 2,810,928 0.1%
----------- ---
TOTAL RUSSIA 89,313,434 2.0%
----------- ---
SOUTH AFRICA -- (8.6%)
* African Bank Investments, Ltd. 709,671 2,896 0.0%
* Anglo American Platinum, Ltd. 128,669 3,729,335 0.1%
* AngloGold Ashanti, Ltd. Sponsored ADR 1,637,102 26,930,328 0.6%
Aspen Pharmacare Holdings, Ltd. 447,818 10,564,836 0.2%
AVI, Ltd. 706,767 4,385,146 0.1%
Barclays Africa Group, Ltd. 994,882 10,074,399 0.2%
Bidvest Group, Ltd. (The) 778,465 19,778,039 0.4%
* Brait SE 207,165 2,317,909 0.1%
Capitec Bank Holdings, Ltd. 74,284 3,082,316 0.1%
Coronation Fund Managers, Ltd. 175,196 910,240 0.0%
Discovery, Ltd. 618,693 5,537,324 0.1%
Distell Group, Ltd. 70,509 787,935 0.0%
Exxaro Resources, Ltd. 89,766 569,726 0.0%
FirstRand, Ltd. 4,730,180 15,203,319 0.3%
Foschini Group, Ltd. (The) 573,748 6,163,550 0.1%
Gold Fields, Ltd. Sponsored ADR 2,642,178 12,418,237 0.3%
* Impala Platinum Holdings, Ltd. 529,779 2,206,250 0.0%
Imperial Holdings, Ltd. 618,348 6,461,456 0.1%
Investec, Ltd. 841,341 6,495,602 0.1%
* Kumba Iron Ore, Ltd. 96,985 788,199 0.0%
Liberty Holdings, Ltd. 488,177 4,795,429 0.1%
Life Healthcare Group Holdings, Ltd. 2,602,500 6,827,139 0.2%
Mediclinic International P.L.C. 508,102 6,708,540 0.1%
MMI Holdings, Ltd. 3,434,229 5,723,342 0.1%
Mondi, Ltd. 273,651 5,268,818 0.1%
Mr. Price Group, Ltd. 545,010 6,928,551 0.2%
MTN Group, Ltd. 2,516,919 26,348,362 0.6%
Naspers, Ltd. Class N 370,571 50,994,756 1.1%
Nedbank Group, Ltd. 634,489 8,108,013 0.2%
Netcare, Ltd. 2,630,152 6,706,572 0.1%
Pick n Pay Stores, Ltd. 473,477 2,456,264 0.1%
Pioneer Foods Group, Ltd. 225,369 2,638,631 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
SOUTH AFRICA -- (Continued)
PSG Group, Ltd. 140,989 $ 1,969,026 0.0%
Sanlam, Ltd. 2,701,304 13,118,521 0.3%
Santam, Ltd. 27,273 450,230 0.0%
* Sappi, Ltd. 935,580 4,057,674 0.1%
Sasol, Ltd. 130,693 4,274,988 0.1%
Sasol, Ltd. Sponsored ADR 778,314 25,520,916 0.6%
Shoprite Holdings, Ltd. 951,195 11,447,554 0.3%
Spar Group, Ltd. (The) 284,382 4,250,330 0.1%
Standard Bank Group, Ltd. 1,835,594 16,484,257 0.4%
Steinhoff International Holdings NV 3,126,745 19,559,450 0.4%
Telkom SA SOC, Ltd. 838,393 3,342,747 0.1%
Tiger Brands, Ltd. 227,557 5,633,884 0.1%
Truworths International, Ltd. 949,415 7,089,479 0.2%
Tsogo Sun Holdings, Ltd. 311,671 582,819 0.0%
Vodacom Group, Ltd. 520,334 6,049,893 0.1%
Woolworths Holdings, Ltd. 1,765,305 11,367,319 0.3%
------------ ---
TOTAL SOUTH AFRICA 407,110,546 8.9%
------------ ---
SOUTH KOREA -- (14.2%)
Amorepacific Corp. 38,725 13,810,860 0.3%
AMOREPACIFIC Group 35,323 5,185,184 0.1%
BGF retail Co., Ltd. 136 22,126 0.0%
BNK Financial Group, Inc. 620,267 5,044,715 0.1%
* Celltrion, Inc. 65,022 5,720,835 0.1%
Cheil Worldwide, Inc. 73,456 1,080,045 0.0%
CJ CGV Co., Ltd. 16,235 1,625,828 0.0%
CJ CheilJedang Corp. 16,081 5,341,682 0.1%
CJ Corp. 27,709 5,185,950 0.1%
CJ E&M Corp. 19,443 1,144,033 0.0%
* CJ Korea Express Corp. 4,508 767,618 0.0%
* Com2uSCorp 8,809 996,618 0.0%
Coway Co., Ltd. 70,382 6,093,512 0.1%
Daelim Industrial Co., Ltd. 45,910 3,633,252 0.1%
* Daewoo Engineering & Construction Co., Ltd. 133,508 740,726 0.0%
Daewoo Securities Co., Ltd. 220,071 1,583,849 0.0%
* Daewoo Shipbuilding & Marine Engineering Co., Ltd. 165,407 796,435 0.0%
DGB Financial Group, Inc. 246,269 1,977,228 0.1%
Dongbu Insurance Co., Ltd. 76,322 4,678,208 0.1%
Dongsuh Cos Inc. 21,475 605,702 0.0%
Dongwon F&B Co., Ltd. 571 147,181 0.0%
# Dongwon Systems Corp. 2,204 152,376 0.0%
# Doosan Corp. 23,998 2,255,548 0.1%
Doosan Heavy Industries & Construction Co., Ltd. 115,996 2,640,739 0.1%
E-MART, Inc. 23,438 3,764,682 0.1%
Grand Korea Leisure Co., Ltd. 38,572 974,783 0.0%
Green Cross Corp. 3,906 590,334 0.0%
Green Cross Holdings Corp. 18,294 563,102 0.0%
* GS Engineering & Construction Corp. 78,050 2,105,911 0.1%
GS Holdings Corp. 87,075 4,203,714 0.1%
GS Retail Co., Ltd. 21,329 997,965 0.0%
Hana Financial Group, Inc. 477,076 10,698,214 0.2%
Hankook Tire Co., Ltd. 166,875 7,761,922 0.2%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ----------- ---------------
SOUTH KOREA -- (Continued)
Hanmi Pharm Co., Ltd. 2,680 $ 1,396,647 0.0%
Hanmi Science Co., Ltd. 7,396 877,017 0.0%
Hanon Systems 189,125 1,702,624 0.0%
Hansae Co., Ltd. 20,705 932,722 0.0%
Hanssem Co., Ltd. 12,225 2,042,564 0.1%
Hanwha Chemical Corp. 119,694 2,621,091 0.1%
Hanwha Corp. 97,318 3,210,363 0.1%
Hanwha Life Insurance Co., Ltd. 395,871 2,316,475 0.1%
Hanwha Techwin Co., Ltd. 38,062 1,385,504 0.0%
Hite Jinro Co., Ltd. 33,704 825,741 0.0%
Hotel Shilla Co., Ltd. 38,111 2,442,979 0.1%
Hyosung Corp. 58,732 6,283,718 0.1%
Hyundai Department Store Co., Ltd. 23,924 3,087,103 0.1%
Hyundai Development Co-Engineering & Construction 52,307 2,304,284 0.1%
* Hyundai Elevator Co., Ltd. 10,664 539,203 0.0%
Hyundai Engineering & Construction Co., Ltd. 140,523 4,922,723 0.1%
Hyundai Glovis Co., Ltd. 23,344 3,880,150 0.1%
Hyundai Greenfood Co., Ltd. 44,457 776,325 0.0%
* Hyundai Heavy Industries Co., Ltd. 68,236 6,903,460 0.2%
Hyundai Marine & Fire Insurance Co., Ltd. 158,591 4,414,361 0.1%
Hyundai Mobis Co., Ltd. 57,294 13,057,395 0.3%
Hyundai Motor Co. 175,874 22,067,187 0.5%
# Hyundai Securities Co., Ltd. 227,051 1,405,755 0.0%
Hyundai Steel Co. 164,371 9,015,999 0.2%
Hyundai Wia Corp. 26,227 2,214,554 0.1%
Industrial Bank of Korea 468,370 4,978,509 0.1%
Kakao Corp. 13,040 1,147,101 0.0%
Kangwon Land, Inc. 95,731 3,578,592 0.1%
KB Financial Group, Inc. 378,420 11,578,551 0.3%
KB Financial Group, Inc. ADR 103,883 3,159,082 0.1%
KB Insurance Co., Ltd. 68,080 1,848,361 0.0%
KCC Corp. 7,792 2,897,339 0.1%
# KEPCO Plant Service & Engineering Co., Ltd. 27,560 1,822,107 0.0%
Kia Motors Corp. 293,465 12,308,414 0.3%
Kolon Industries, Inc. 11,973 733,550 0.0%
# Korea Aerospace Industries, Ltd. 49,936 2,957,862 0.1%
Korea Electric Power Corp. 220,479 11,976,144 0.3%
Korea Electric Power Corp. Sponsored ADR 79,658 2,142,800 0.1%
Korea Gas Corp. 40,921 1,480,514 0.0%
Korea Investment Holdings Co., Ltd. 60,382 2,428,684 0.1%
Korea Kolmar Co., Ltd. 17,594 1,339,141 0.0%
Korea Zinc Co., Ltd. 7,147 3,099,156 0.1%
* Korean Air Lines Co., Ltd. 93,709 2,394,203 0.1%
Korean Reinsurance Co. 14,728 171,581 0.0%
KT Corp. Sponsored ADR 95,200 1,295,672 0.0%
KT&G Corp. 132,438 14,268,223 0.3%
Kumho Petrochemical Co., Ltd. 20,929 1,247,294 0.0%
Kwangju Bank 9,543 75,264 0.0%
LG Chem, Ltd. 42,069 10,912,448 0.2%
LG Corp. 105,265 6,273,743 0.1%
LG Display Co., Ltd. 363,272 7,561,752 0.2%
LG Display Co., Ltd. ADR 808,137 8,283,404 0.2%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ------------ ---------------
SOUTH KOREA -- (Continued)
LG Electronics, Inc. 205,019 $ 10,432,372 0.2%
LG Household & Health Care, Ltd. 11,853 10,436,181 0.2%
LG Innotek Co., Ltd. 35,915 2,312,047 0.1%
LG Uplus Corp. 539,707 5,294,391 0.1%
* Loen Entertainment, Inc. 7,273 492,031 0.0%
Lotte Chemical Corp. 15,734 4,013,260 0.1%
Lotte Chilsung Beverage Co., Ltd. 684 1,182,061 0.0%
Lotte Shopping Co., Ltd. 17,857 4,251,467 0.1%
LS Corp. 21,498 952,637 0.0%
LS Industrial Systems Co., Ltd. 6,817 311,378 0.0%
Macquarie Korea Infrastructure Fund 447,213 3,323,769 0.1%
Mando Corp. 9,354 1,543,129 0.0%
Medy-Tox, Inc. 5,027 1,858,304 0.1%
Meritz Financial Group, Inc. 34,705 384,191 0.0%
Meritz Fire & Marine Insurance Co., Ltd. 54,827 775,743 0.0%
Meritz Securities Co., Ltd. 249,896 786,174 0.0%
Mirae Asset Securities Co., Ltd. 90,054 1,934,851 0.1%
Muhak Co., Ltd. 10,101 284,277 0.0%
NAVER Corp. 33,801 20,032,066 0.4%
NCSoft Corp. 12,200 2,444,727 0.1%
NH Investment & Securities Co., Ltd. 176,033 1,526,425 0.0%
# NongShim Co., Ltd. 3,534 1,157,330 0.0%
* OCI Co., Ltd. 27,861 2,758,092 0.1%
Orion Corp. 4,535 3,689,590 0.1%
Ottogi Corp. 973 695,468 0.0%
Paradise Co., Ltd. 26,633 403,685 0.0%
POSCO 44,452 9,313,365 0.2%
POSCO ADR 87,705 4,562,414 0.1%
Posco Daewoo Corp. 68,720 1,486,522 0.0%
S-1 Corp. 14,503 1,182,887 0.0%
# S-Oil Corp. 52,028 3,954,294 0.1%
Samlip General Foods Co., Ltd. 2,676 498,735 0.0%
Samsung C&T Corp. 43,806 5,020,186 0.1%
Samsung Card Co., Ltd. 41,989 1,426,873 0.0%
Samsung Electro-Mechanics Co., Ltd. 94,120 4,284,412 0.1%
Samsung Electronics Co., Ltd. 97,289 106,028,534 2.3%
Samsung Electronics Co., Ltd. GDR 52,509 28,672,951 0.6%
Samsung Fire & Marine Insurance Co., Ltd. 48,145 12,410,969 0.3%
* Samsung Heavy Industries Co., Ltd. 296,549 2,761,198 0.1%
Samsung Life Insurance Co., Ltd. 68,654 6,586,119 0.2%
Samsung SDI Co., Ltd. 72,952 7,265,240 0.2%
Samsung SDS Co., Ltd. 2,556 381,116 0.0%
Samsung Securities Co., Ltd. 53,061 1,822,329 0.0%
Samyang Holdings Corp. 3,274 466,438 0.0%
Shinhan Financial Group Co., Ltd. 347,482 12,740,756 0.3%
Shinhan Financial Group Co., Ltd. ADR 86,082 3,147,158 0.1%
Shinsegae Co., Ltd. 8,850 1,636,418 0.0%
SK Chemicals Co., Ltd. 10,422 663,583 0.0%
SK Holdings Co., Ltd. 43,128 8,452,662 0.2%
SK Hynix, Inc. 705,494 17,304,220 0.4%
SK Innovation Co., Ltd. 54,300 7,333,612 0.2%
SK Networks Co., Ltd. 173,269 1,029,148 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
SOUTH KOREA -- (Continued)
SK Telecom Co., Ltd. 9,917 $ 1,800,918 0.0%
Woori Bank 543,488 4,993,586 0.1%
Woori Bank Sponsored ADR 1,026 28,292 0.0%
Young Poong Corp. 416 394,434 0.0%
Youngone Corp. 20,576 822,928 0.0%
Yuhan Corp. 4,547 1,161,411 0.0%
------------ ----
TOTAL SOUTH KOREA 668,385,666 14.7%
------------ ----
TAIWAN -- (13.6%)
* Acer, Inc. 5,322,811 1,888,298 0.1%
Advanced Semiconductor Engineering, Inc. 12,317,929 11,852,744 0.3%
Advantech Co., Ltd. 400,254 2,820,889 0.1%
Airtac International Group 122,850 811,771 0.0%
Asia Cement Corp. 4,279,758 3,807,620 0.1%
Asustek Computer, Inc. 956,180 8,382,225 0.2%
AU Optronics Corp. 24,425,873 6,989,517 0.2%
AU Optronics Corp. Sponsored ADR 326,626 914,553 0.0%
Casetek Holdings, Ltd. 313,000 1,405,637 0.0%
Catcher Technology Co., Ltd. 996,429 6,973,847 0.2%
Cathay Financial Holding Co., Ltd. 8,176,450 9,155,891 0.2%
Cathay Real Estate Development Co., Ltd. 309,000 136,774 0.0%
Chailease Holding Co., Ltd. 1,710,840 2,863,071 0.1%
Chang Hwa Commercial Bank, Ltd. 8,362,160 4,359,368 0.1%
Cheng Shin Rubber Industry Co., Ltd. 2,492,965 5,172,800 0.1%
Chicony Electronics Co., Ltd. 996,570 2,387,315 0.1%
* China Airlines, Ltd. 8,737,536 2,852,015 0.1%
China Development Financial Holding Corp. 24,213,121 6,159,304 0.1%
China Life Insurance Co., Ltd. 5,701,293 4,284,846 0.1%
China Motor Corp. 649,000 454,191 0.0%
China Steel Chemical Corp. 135,000 450,670 0.0%
China Steel Corp. 14,809,932 10,382,839 0.2%
Chipbond Technology Corp. 1,422,000 1,886,807 0.0%
ChipMOS TECHNOLOGIES, Inc. 21,000 20,290 0.0%
Chunghwa Telecom Co., Ltd. 1,608,000 5,428,987 0.1%
Chunghwa Telecom Co., Ltd. ADR 246,757 8,414,414 0.2%
Compal Electronics, Inc. 9,936,541 5,832,633 0.1%
CTBC Financial Holding Co., Ltd. 17,409,977 8,822,948 0.2%
CTCI Corp. 829,000 1,078,441 0.0%
Cub Elecparts, Inc. 15,000 181,261 0.0%
Delta Electronics, Inc. 2,347,486 10,873,843 0.2%
E.Sun Financial Holding Co., Ltd. 10,733,637 5,940,988 0.1%
Eclat Textile Co., Ltd. 253,336 2,883,494 0.1%
Epistar Corp. 1,764,000 1,129,692 0.0%
Eternal Materials Co., Ltd. 703,510 702,897 0.0%
* Eva Airways Corp. 5,768,324 2,855,217 0.1%
Evergreen Marine Corp. Taiwan, Ltd. 3,219,261 1,185,088 0.0%
Far Eastern Department Stores, Ltd. 1,717,592 919,088 0.0%
Far Eastern International Bank 707,000 205,153 0.0%
Far Eastern New Century Corp. 5,821,085 4,347,089 0.1%
Far EasTone Telecommunications Co., Ltd. 2,601,000 5,865,023 0.1%
Farglory Land Development Co., Ltd. 644,393 770,710 0.0%
Feng TAY Enterprise Co., Ltd. 411,093 1,766,400 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
TAIWAN -- (Continued)
First Financial Holding Co., Ltd. 17,022,129 $ 8,324,663 0.2%
Formosa Chemicals & Fibre Corp. 3,034,518 7,732,518 0.2%
Formosa International Hotels Corp. 1,808 10,950 0.0%
Formosa Petrochemical Corp. 979,000 2,776,802 0.1%
Formosa Plastics Corp. 3,539,153 8,789,518 0.2%
Formosa Taffeta Co., Ltd. 948,000 867,274 0.0%
Foxconn Technology Co., Ltd. 1,772,899 3,647,092 0.1%
Fubon Financial Holding Co., Ltd. 8,611,233 10,430,948 0.2%
Giant Manufacturing Co., Ltd. 342,506 2,053,642 0.1%
Gigasolar Materials Corp. 31,800 527,908 0.0%
Ginko International Co., Ltd. 45,000 486,817 0.0%
Gourmet Master Co., Ltd. 39,000 313,560 0.0%
Highwealth Construction Corp. 1,880,190 2,818,387 0.1%
Hiwin Technologies Corp. 364,711 1,599,483 0.0%
Hon Hai Precision Industry Co., Ltd. 15,697,867 37,393,311 0.8%
Hotai Motor Co., Ltd. 322,000 3,170,790 0.1%
HTC Corp. 1,198,235 3,045,658 0.1%
Hua Nan Financial Holdings Co., Ltd. 11,616,768 5,628,276 0.1%
Innolux Corp. 27,802,241 8,580,077 0.2%
* Inotera Memories, Inc. 7,543,000 6,826,905 0.2%
Inventec Corp. 5,430,551 3,580,737 0.1%
Kenda Rubber Industrial Co., Ltd. 1,061,149 1,846,088 0.0%
King Slide Works Co., Ltd. 81,000 958,484 0.0%
King Yuan Electronics Co., Ltd. 1,471,000 1,294,690 0.0%
King's Town Bank Co., Ltd. 1,220,000 848,784 0.0%
Kinsus Interconnect Technology Corp. 683,000 1,319,207 0.0%
Largan Precision Co., Ltd. 133,860 9,343,972 0.2%
* LCY Chemical Corp. 156,123 185,106 0.0%
Lite-On Technology Corp. 4,872,094 5,917,738 0.1%
Lung Yen Life Service Corp. 125,000 210,951 0.0%
Makalot Industrial Co., Ltd. 222,576 1,185,865 0.0%
MediaTek, Inc. 1,387,995 9,843,668 0.2%
Mega Financial Holding Co., Ltd. 12,391,369 8,781,676 0.2%
Mercuries Life Insurance Co., Ltd. 515,241 247,783 0.0%
Merida Industry Co., Ltd. 226,287 927,030 0.0%
Micro-Star International Co., Ltd. 631,000 1,004,308 0.0%
* Nan Kang Rubber Tire Co., Ltd. 90,780 76,611 0.0%
Nan Ya Plastics Corp. 4,192,599 8,193,864 0.2%
Nanya Technology Corp. 881,010 1,024,840 0.0%
Novatek Microelectronics Corp. 1,179,000 4,108,206 0.1%
PChome Online, Inc. 103,196 1,090,728 0.0%
Pegatron Corp. 4,604,345 9,699,804 0.2%
Phison Electronics Corp. 200,000 1,664,250 0.0%
Pou Chen Corp. 3,298,487 4,146,471 0.1%
Powertech Technology, Inc. 2,158,819 4,356,933 0.1%
Poya International Co., Ltd. 53,000 560,414 0.0%
President Chain Store Corp. 831,831 5,881,361 0.1%
Quanta Computer, Inc. 3,586,000 5,764,016 0.1%
Radiant Opto-Electronics Corp. 775,170 1,112,514 0.0%
Realtek Semiconductor Corp. 531,950 1,485,523 0.0%
Ruentex Development Co., Ltd. 1,036,709 1,165,909 0.0%
Ruentex Industries, Ltd. 408,182 568,404 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
TAIWAN -- (Continued)
ScinoPharm Taiwan, Ltd. 144,467 $ 189,434 0.0%
Shin Kong Financial Holding Co., Ltd. 15,207,656 3,069,276 0.1%
Siliconware Precision Industries Co., Ltd. 2,123,637 3,144,312 0.1%
Siliconware Precision Industries Co., Ltd. Sponsored ADR 21,813 157,817 0.0%
Simplo Technology Co., Ltd. 690,000 2,321,742 0.1%
SinoPac Financial Holdings Co., Ltd. 17,364,662 5,130,884 0.1%
St Shine Optical Co., Ltd. 11,000 205,396 0.0%
Standard Foods Corp. 420,633 1,018,192 0.0%
Synnex Technology International Corp. 1,631,756 1,616,141 0.0%
Taichung Commercial Bank Co., Ltd. 157,000 44,440 0.0%
Tainan Spinning Co., Ltd. 320,412 129,425 0.0%
Taishin Financial Holding Co., Ltd. 18,266,197 6,890,954 0.2%
* Taiwan Business Bank 7,922,039 2,040,498 0.1%
Taiwan Cement Corp. 6,626,720 6,740,679 0.2%
Taiwan Cooperative Financial Holding Co., Ltd. 12,285,590 5,417,834 0.1%
Taiwan FamilyMart Co., Ltd. 89,000 578,011 0.0%
Taiwan Fertilizer Co., Ltd. 1,415,000 1,920,564 0.1%
* Taiwan Glass Industry Corp. 1,537,253 653,252 0.0%
Taiwan Mobile Co., Ltd. 2,075,300 6,840,920 0.2%
Taiwan Secom Co., Ltd. 362,670 1,020,803 0.0%
Taiwan Semiconductor Manufacturing Co., Ltd. 25,188,808 115,726,652 2.6%
Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR 1,672,158 39,446,207 0.9%
Teco Electric and Machinery Co., Ltd. 3,316,000 2,614,413 0.1%
Ton Yi Industrial Corp. 1,228,000 588,612 0.0%
Transcend Information, Inc. 320,181 898,461 0.0%
Tripod Technology Corp. 713,870 1,305,444 0.0%
Uni-President Enterprises Corp. 7,340,033 13,213,443 0.3%
United Microelectronics Corp. 38,130,000 14,144,850 0.3%
Vanguard International Semiconductor Corp. 1,671,000 2,546,172 0.1%
Voltronic Power Technology Corp. 25,000 393,565 0.0%
* Walsin Lihwa Corp. 4,619,000 1,207,142 0.0%
Wan Hai Lines, Ltd. 1,237,800 679,313 0.0%
* Winbond Electronics Corp. 6,597,000 1,708,656 0.0%
Wintek Corp. 604,760 6,433 0.0%
Wistron Corp. 4,373,281 2,581,725 0.1%
WPG Holdings, Ltd. 3,035,869 3,239,325 0.1%
Yageo Corp. 1,226,278 1,995,257 0.1%
* Yang Ming Marine Transport Corp. 3,045,300 803,221 0.0%
Yuanta Financial Holding Co., Ltd. 17,684,806 5,820,629 0.1%
Yulon Motor Co., Ltd. 1,682,000 1,474,757 0.0%
Zhen Ding Technology Holding, Ltd. 903,700 1,894,004 0.1%
------------ ----
TOTAL TAIWAN 640,456,017 14.1%
------------ ----
THAILAND -- (2.7%)
Advanced Info Service PCL 1,440,700 6,434,274 0.2%
Airports of Thailand PCL 578,400 6,491,062 0.2%
Bangchak Petroleum PCL (The) 765,700 679,551 0.0%
Bangkok Bank PCL(6077019) 271,700 1,291,217 0.0%
Bangkok Bank PCL(6368360) 318,600 1,495,860 0.0%
Bangkok Dusit Medical Services PCL Class F 6,818,900 4,646,144 0.1%
Bangkok Life Assurance PCL 653,900 716,051 0.0%
Banpu PCL 1,740,700 637,875 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
THAILAND -- (Continued)
BEC World PCL 1,165,700 $ 867,684 0.0%
Berli Jucker PCL 1,130,600 1,213,785 0.0%
Big C Supercenter PCL(6763932) 24,600 176,066 0.0%
Big C Supercenter PCL(6368434) 447,500 3,202,834 0.1%
Bumrungrad Hospital PCL 402,600 2,339,760 0.1%
Central Pattana PCL 1,779,300 2,687,033 0.1%
Central Plaza Hotel PCL 1,046,100 1,153,016 0.0%
CH Karnchang PCL 543,900 393,171 0.0%
Charoen Pokphand Foods PCL 3,632,900 2,475,323 0.1%
CP ALL PCL 4,313,700 5,649,922 0.1%
Delta Electronics Thailand PCL 656,900 1,354,045 0.0%
Electricity Generating PCL 319,300 1,622,552 0.0%
Energy Absolute PCL 1,391,300 848,402 0.0%
Glow Energy PCL 826,500 2,094,052 0.1%
Home Product Center PCL 10,007,413 2,306,318 0.1%
Indorama Ventures PCL 3,391,500 2,767,184 0.1%
Intouch Holdings PCL 859,000 1,297,230 0.0%
IRPC PCL 13,474,400 1,967,347 0.1%
* Italian-Thai Development PCL 3,103,700 630,869 0.0%
Kasikornbank PCL(6364766) 210,900 1,002,273 0.0%
Kasikornbank PCL(6888794) 1,146,600 5,481,884 0.1%
KCE Electronics PCL 382,700 860,062 0.0%
Krung Thai Bank PCL 5,429,887 2,720,384 0.1%
Land & Houses PCL(6581930) 790,000 194,503 0.0%
Land & Houses PCL(6581941) 2,454,540 593,784 0.0%
Minor International PCL 1,746,270 1,862,255 0.1%
MK Restaurants Group PCL 421,700 624,763 0.0%
Pruksa Real Estate PCL 2,722,600 2,007,070 0.1%
PTT Exploration & Production PCL(B1359J0) 2,414,655 5,201,912 0.1%
PTT Exploration & Production PCL(B1359L2) 65,409 140,911 0.0%
PTT Global Chemical PCL 1,807,472 3,234,097 0.1%
PTT PCL 1,634,600 14,226,121 0.3%
Ratchaburi Electricity Generating Holding PCL 824,700 1,192,309 0.0%
Robinson Department Store PCL 485,500 715,810 0.0%
Siam Cement PCL (The)(6609906) 166,400 2,334,269 0.1%
Siam Cement PCL (The)(6609928) 230,100 3,214,681 0.1%
Siam City Cement PCL 163,213 1,513,914 0.0%
Siam Commercial Bank PCL (The) 1,140,966 4,360,692 0.1%
Siam Global House PCL 851,898 270,715 0.0%
* Singha Estate PCL 2,331,800 337,120 0.0%
Sino-Thai Engineering & Construction PCL 788,000 516,610 0.0%
Srisawad Power 1979 PCL Class F 251,637 304,371 0.0%
Supalai PCL 577,900 339,163 0.0%
Thai Oil PCL 1,120,300 2,116,799 0.1%
Thai Union Group PCL Class F 2,705,940 1,603,577 0.0%
Thaicom PCL 683,600 562,654 0.0%
Thanachart Capital PCL 1,044,400 1,039,018 0.0%
Tipco Asphalt PCL 1,065,300 750,254 0.0%
TMB Bank PCL 19,741,000 1,288,562 0.0%
Total Access Communication PCL(B1YWK08) 1,459,300 1,410,002 0.0%
Total Access Communication PCL(B231MK7) 214,100 206,867 0.0%
TPI Polene PCL 12,385,600 886,459 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
THAILAND -- (Continued)
True Corp. PCL 20,695,132 $ 4,413,935 0.1%
TTW PCL 2,370,300 698,943 0.0%
-------------- ----
TOTAL THAILAND 125,665,370 2.8%
-------------- ----
TURKEY -- (1.9%)
Akbank TAS 2,209,103 6,787,751 0.2%
Akcansa Cimento A.S. 54,101 279,424 0.0%
Anadolu Efes Biracilik Ve Malt Sanayii A.S. 267,527 2,103,283 0.1%
Arcelik A.S. 540,990 3,632,061 0.1%
Aselsan Elektronik Sanayi Ve Ticaret A.S. 166,671 1,188,517 0.0%
Aygaz A.S. 23,546 97,015 0.0%
BIM Birlesik Magazalar A.S. 342,629 7,540,088 0.2%
Coca-Cola Icecek A.S. 113,782 1,667,976 0.0%
Enka Insaat ve Sanayi A.S. 521,425 905,168 0.0%
Eregli Demir ve Celik Fabrikalari TAS 3,425,354 5,713,734 0.1%
Ford Otomotiv Sanayi A.S. 118,255 1,589,711 0.0%
KOC Holding A.S. 683,402 3,570,734 0.1%
* Migros Ticaret A.S. 43,765 305,695 0.0%
* Petkim Petrokimya Holding A.S. 1,293,596 1,899,046 0.0%
Soda Sanayii A.S. 177,200 298,116 0.0%
TAV Havalimanlari Holding A.S. 282,373 1,645,542 0.0%
Tofas Turk Otomobil Fabrikasi A.S. 212,178 1,678,654 0.0%
Tupras Turkiye Petrol Rafinerileri A.S. 261,144 6,887,792 0.2%
* Turk Hava Yollari AO 2,046,901 5,044,538 0.1%
Turk Telekomunikasyon A.S. 699,083 1,688,371 0.0%
Turk Traktor ve Ziraat Makineleri A.S. 25,657 759,790 0.0%
Turkcell Iletisim Hizmetleri A.S. 1,142,611 4,944,552 0.1%
Turkcell Iletisim Hizmetleri A.S. ADR 73,838 797,450 0.0%
Turkiye Garanti Bankasi A.S. 3,265,633 10,052,320 0.2%
Turkiye Halk Bankasi A.S. 1,181,282 4,536,569 0.1%
Turkiye Is Bankasi Class C 2,548,532 4,468,452 0.1%
Turkiye Sinai Kalkinma Bankasi A.S. 40,017 25,026 0.0%
Turkiye Sise ve Cam Fabrikalari A.S. 2,530,969 3,535,206 0.1%
Turkiye Vakiflar Bankasi Tao Class D 1,445,842 2,551,795 0.1%
Ulker Biskuvi Sanayi A.S. 244,375 1,945,779 0.1%
* Yapi ve Kredi Bankasi A.S. 2,464,502 3,768,058 0.1%
-------------- ----
TOTAL TURKEY 91,908,213 2.0%
-------------- ----
TOTAL COMMON STOCKS 4,379,432,711 96.3%
-------------- ----
PREFERRED STOCKS -- (2.4%)
BRAZIL -- (2.3%)
Banco Bradesco SA 2,270,614 17,099,339 0.4%
Braskem SA Class A 73,800 526,798 0.0%
Centrais Eletricas Brasileiras SA Class B 303,700 1,131,176 0.0%
Cia Brasileira de Distribuicao 310,022 4,562,103 0.1%
Cia Energetica de Minas Gerais 1,188,324 2,366,801 0.1%
* Empresa Nacional de Comercio Redito e Participacoes SA 380 3,646 0.0%
Gerdau SA 836,068 1,898,580 0.1%
Itau Unibanco Holding SA 3,924,570 37,508,357 0.8%
Lojas Americanas SA 899,139 4,190,797 0.1%
* Petroleo Brasileiro SA 2,825,761 8,405,186 0.2%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
BRAZIL -- (Continued)
* Petroleo Brasileiro SA Sponsored ADR 1,440,006 $ 8,496,035 0.2%
Suzano Papel e Celulose SA Class A 798,971 3,050,226 0.1%
Telefonica Brasil SA 465,063 5,728,013 0.1%
Vale SA 1,990,191 9,108,267 0.2%
Vale SA Sponsored ADR 364,278 1,653,822 0.0%
-------------- -----
TOTAL BRAZIL 105,729,146 2.4%
-------------- -----
CHILE -- (0.0%)
Embotelladora Andina SA Class B 113,824 386,855 0.0%
-------------- -----
COLOMBIA -- (0.1%)
Banco Davivienda SA 209,529 1,974,156 0.1%
Bancolombia SA 30,330 288,321 0.0%
Grupo Argos SA 15,531 95,409 0.0%
Grupo Aval Acciones y Valores SA 4,185,719 1,748,525 0.0%
Grupo de Inversiones Suramericana SA 105,209 1,403,432 0.0%
-------------- -----
TOTAL COLOMBIA 5,509,843 0.1%
-------------- -----
TOTAL PREFERRED STOCKS 111,625,844 2.5%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
BRAZIL -- (0.0%)
* Cia de Transmissao de Energia Eletrica Paulista Rights 05/05/16 96 311 0.0%
-------------- -----
THAILAND -- (0.0%)
* Banpu Public Co., Ltd. Rights 05/31/16 870,350 388,705 0.0%
* True Corp. PCL Rights 06/30/16 6,953,001 59,716 0.0%
-------------- -----
TOTAL THAILAND 448,421 0.0%
-------------- -----
TOTAL RIGHTS/WARRANTS 448,732 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES 4,491,507,287
--------------
VALUE+
--------------
SECURITIES LENDING COLLATERAL -- (4.5%)
(S)@ DFA Short Term Investment Fund 18,338,278 212,173,878 4.7%
-------------- -----
TOTAL INVESTMENTS -- (100.0%) (Cost $4,038,294,827) $4,703,681,165 103.5%
============== =====
THE EMERGING MARKETS SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2016, 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 $ 245,685,219 -- -- $ 245,685,219
Chile 33,993,926 $ 37,695,854 -- 71,689,780
China 110,692,586 527,593,079 -- 638,285,665
Colombia 27,466,666 13,712 -- 27,480,378
Czech Republic -- 8,877,220 -- 8,877,220
Egypt -- 5,765,624 -- 5,765,624
Greece -- 12,625,172 -- 12,625,172
Hungary -- 16,647,353 -- 16,647,353
India 32,908,215 516,150,919 -- 549,059,134
Indonesia 5,255,573 139,319,110 -- 144,574,683
Malaysia -- 196,021,793 -- 196,021,793
Mexico 266,540,055 7,851 -- 266,547,906
Peru 13,030,701 -- -- 13,030,701
Philippines 1,846,587 82,369,624 -- 84,216,211
Poland -- 76,086,626 -- 76,086,626
Russia -- 89,313,434 -- 89,313,434
South Africa 71,578,021 335,532,525 -- 407,110,546
South Korea 22,618,822 645,766,844 -- 668,385,666
Taiwan 48,932,991 591,523,026 -- 640,456,017
Thailand 125,665,370 -- -- 125,665,370
Turkey 797,450 91,110,763 -- 91,908,213
Preferred Stocks
Brazil 105,725,500 3,646 -- 105,729,146
Chile -- 386,855 -- 386,855
Colombia 5,509,843 -- -- 5,509,843
Rights/Warrants
Brazil -- 311 -- 311
Thailand -- 448,421 -- 448,421
Securities Lending Collateral -- 212,173,878 -- 212,173,878
Futures Contracts** 1,130,445 -- -- 1,130,445
Forward Currency Contracts** -- 258 -- 258
-------------- -------------- -- --------------
TOTAL $1,119,377,970 $3,585,433,898 -- $4,704,811,868
============== ============== == ==============
** Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
THE EMERGING MARKETS SMALL CAP SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2016
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
COMMON STOCKS -- (86.2%)
BELGIUM -- (0.0%)
* Viohalco SA 47,201 $ 61,671 0.0%
----------- ---
BRAZIL -- (7.2%)
AES Tiete Energia SA 1,826,439 7,498,530 0.2%
Aliansce Shopping Centers SA 821,141 3,674,452 0.1%
Alupar Investimento SA 908,445 3,499,861 0.1%
Arezzo Industria e Comercio SA 474,635 3,346,630 0.1%
* B2W Cia Digital 1,281,225 5,103,668 0.1%
BR Malls Participacoes SA 5,634,717 27,737,373 0.6%
* Brasil Brokers Participacoes SA 1,993,011 1,060,467 0.0%
BrasilAgro - Co. Brasileira de Propriedades Agricolas 79,900 278,782 0.0%
* Centrais Eletricas Brasileiras SA 714,247 1,617,790 0.0%
CETIP SA - Mercados Organizados 945,300 11,604,439 0.2%
Cia de Saneamento de Minas Gerais-COPASA 834,321 5,215,643 0.1%
Cia Energetica de Minas Gerais 34,700 71,534 0.0%
Cia Hering 1,619,336 6,620,008 0.1%
Cia Paranaense de Energia 139,600 754,573 0.0%
# Cia Paranaense de Energia Sponsored ADR 291,900 2,414,013 0.1%
Cia Siderurgica Nacional SA 6,531,808 24,955,428 0.5%
CVC Brasil Operadora e Agencia de Viagens SA 238,186 1,315,849 0.0%
Cyrela Brazil Realty SA Empreendimentos e Participacoes 3,156,434 9,425,479 0.2%
Cyrela Commercial Properties SA Empreendimentos e Participacoes 41,900 118,783 0.0%
Dimed SA Distribuidora da Medicamentos 1,100 109,384 0.0%
Direcional Engenharia SA 1,155,409 2,066,080 0.1%
Duratex SA 4,137,733 9,420,208 0.2%
EcoRodovias Infraestrutura e Logistica SA 3,278,707 7,149,903 0.2%
EDP--Energias do Brasil SA 2,848,595 10,601,735 0.2%
Equatorial Energia SA 2,371,958 29,338,691 0.6%
Estacio Participacoes SA 3,477,890 12,003,360 0.2%
Eternit SA 1,435,078 692,660 0.0%
Even Construtora e Incorporadora SA 3,197,888 3,403,146 0.1%
Ez Tec Empreendimentos e Participacoes SA 728,026 3,535,085 0.1%
Fleury SA 946,758 6,876,504 0.1%
Fras-Le SA 37,875 40,857 0.0%
GAEC Educacao SA 250,000 762,521 0.0%
Gafisa SA 2,775,200 1,872,055 0.0%
# Gafisa SA ADR 1,115,368 1,472,286 0.0%
Gerdau SA 67,400 110,921 0.0%
# Gol Linhas Aereas Inteligentes SA ADR 7,677 54,200 0.0%
Grendene SA 1,055,417 5,213,792 0.1%
Guararapes Confeccoes SA 87,800 1,480,416 0.0%
Helbor Empreendimentos SA 1,579,693 693,563 0.0%
Iguatemi Empresa de Shopping Centers SA 920,237 7,144,095 0.1%
* Industria de Bebidas Antarctica Polar SA 23,000 -- 0.0%
* International Meal Co. Alimentacao SA 598,794 731,245 0.0%
Iochpe Maxion SA 1,133,484 4,795,287 0.1%
* JHSF Participacoes SA 680,347 292,771 0.0%
* Joao Fortes Engenharia SA 66,552 43,346 0.0%
JSL SA 685,800 1,838,504 0.0%
Kepler Weber SA 135,346 622,963 0.0%
Light SA 769,607 2,304,849 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
BRAZIL -- (Continued)
Linx SA 250,812 $ 3,449,417 0.1%
Localiza Rent a Car SA 1,730,775 16,606,985 0.3%
* Log-in Logistica Intermodal SA 174,150 72,916 0.0%
LPS Brasil Consultoria de Imoveis SA 539,479 470,578 0.0%
M Dias Branco SA 249,100 5,779,801 0.1%
* Magnesita Refratarios SA 423,891 1,725,513 0.0%
Mahle-Metal Leve SA 645,376 4,246,524 0.1%
* Marfrig Global Foods SA 4,834,229 9,122,380 0.2%
Marisa Lojas SA 552,620 1,385,065 0.0%
* Mills Estruturas e Servicos de Engenharia SA 966,926 1,183,618 0.0%
* Minerva SA 1,446,269 4,444,883 0.1%
MRV Engenharia e Participacoes SA 4,019,180 14,046,825 0.3%
Multiplan Empreendimentos Imobiliarios SA 592,100 10,148,810 0.2%
Multiplus SA 571,584 6,307,076 0.1%
Odontoprev SA 3,036,496 9,235,080 0.2%
* Oi SA 997,800 249,504 0.0%
* Paranapanema SA 1,636,856 847,162 0.0%
Porto Seguro SA 135,700 1,092,939 0.0%
Portobello SA 206,100 149,815 0.0%
* Prumo Logistica SA 123,070 250,488 0.0%
QGEP Participacoes SA 1,154,494 1,369,582 0.0%
Qualicorp SA 2,859,505 12,388,348 0.3%
* Restoque Comercio e Confeccoes de Roupas SA 862,054 1,055,244 0.0%
Rodobens Negocios Imobiliarios SA 136,138 211,772 0.0%
* Rumo Logistica Operadora Multimodal SA 7,157,474 8,907,171 0.2%
Santos Brasil Participacoes SA 532,188 2,003,877 0.0%
Sao Carlos Empreendimentos e Participacoes SA 50,159 406,756 0.0%
Sao Martinho SA 734,862 9,557,426 0.2%
Ser Educacional SA 176,100 586,275 0.0%
SLC Agricola SA 660,213 2,979,285 0.1%
Smiles SA 505,800 5,867,971 0.1%
Sonae Sierra Brasil SA 278,046 1,390,533 0.0%
Sul America SA 2,958,965 14,410,891 0.3%
T4F Entretenimento SA 11,800 26,075 0.0%
Technos SA 221,800 316,005 0.0%
Tecnisa SA 968,526 780,059 0.0%
* Tereos Internacional SA 5,892 98,758 0.0%
Totvs SA 1,433,226 11,751,684 0.2%
TPI - Triunfo Participacoes e Investimentos SA 264,501 414,527 0.0%
Transmissora Alianca de Energia Eletrica SA 1,918,518 10,911,161 0.2%
* Usinas Siderurgicas de Minas Gerais SA(BD20MD5) 231,190 162,003 0.0%
Usinas Siderurgicas de Minas Gerais SA(2193696) 42,600 55,739 0.0%
Valid Solucoes e Servicos de Seguranca em Meios de Pagamento e Identificacao
S.A 812,887 8,272,456 0.2%
Via Varejo SA(B7VY430) 205,862 177,774 0.0%
Via Varejo SA(BGSHPP4) 591,141 1,053,629 0.0%
------------ ---
TOTAL BRAZIL 416,954,109 8.1%
------------ ---
CHILE -- (1.5%)
Banmedica SA 1,745,593 2,956,153 0.1%
Besalco SA 2,277,748 781,974 0.0%
CAP SA 859,019 3,055,286 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ----------- ---------------
CHILE -- (Continued)
Cementos BIO BIO SA 352,724 $ 308,406 0.0%
* Cia Sud Americana de Vapores SA 77,167,071 1,631,279 0.0%
Clinica LAS Condes SA 349 20,370 0.0%
Cristalerias de Chile SA 130,323 943,064 0.0%
E.CL SA 5,691,360 9,896,384 0.2%
Embotelladora Andina SA Class B ADR 37,519 767,264 0.0%
Empresa Nacional de Telecomunicaciones SA 531,638 4,665,235 0.1%
* Empresas AquaChile SA 1,281,212 408,716 0.0%
Empresas Hites SA 1,224,251 528,342 0.0%
* Empresas La Polar SA 6,810,432 336,512 0.0%
Enjoy SA 1,016,659 82,687 0.0%
Forus SA 835,481 2,519,443 0.1%
Gasco SA 234,817 1,826,146 0.1%
Grupo Security SA 2,389,108 734,551 0.0%
Inversiones Aguas Metropolitanas SA 4,172,539 6,751,274 0.1%
Inversiones La Construccion SA 253,791 2,992,888 0.1%
Itau CorpBanca(45033E105) 16,497 223,699 0.0%
Itau CorpBanca(BYT25P4) 124,912,341 1,137,966 0.0%
* Latam Airlines Group SA 132,719 875,210 0.0%
Masisa SA 14,224,085 486,863 0.0%
Multiexport Foods SA 3,589,977 768,929 0.0%
Parque Arauco SA 7,790,869 15,148,663 0.3%
PAZ Corp. SA 1,320,749 846,126 0.0%
Ripley Corp. SA 9,264,270 4,549,442 0.1%
Salfacorp SA 2,470,708 1,752,308 0.0%
Sigdo Koppers SA 743,543 1,047,359 0.0%
Sociedad Matriz SAAM SA 35,758,124 2,778,455 0.1%
Socovesa SA 2,895,998 639,890 0.0%
Sonda SA 2,049,748 4,083,237 0.1%
* Tech Pack SA 153,812 79,829 0.0%
Vina Concha y Toro SA 5,560,304 9,325,135 0.2%
Vina Concha y Toro SA Sponsored ADR 2,025 68,546 0.0%
----------- ---
TOTAL CHILE 85,017,631 1.7%
----------- ---
CHINA -- (12.1%)
361 Degrees International, Ltd. 5,384,000 1,927,286 0.0%
Agile Property Holdings, Ltd. 9,807,500 5,569,250 0.1%
Ajisen China Holdings, Ltd. 3,844,000 1,626,061 0.0%
AMVIG Holdings, Ltd. 2,428,000 999,746 0.0%
Anhui Expressway Co., Ltd. Class H 2,770,000 2,209,277 0.1%
#* Anton Oilfield Services Group 7,446,000 736,253 0.0%
* Anxin-China Holdings, Ltd. 16,347,000 152,155 0.0%
# Asia Cement China Holdings Corp. 2,769,000 601,724 0.0%
#* Asian Citrus Holdings, Ltd. 2,314,000 169,542 0.0%
Aupu Group Holding Co., Ltd. 100,000 27,005 0.0%
* Ausnutria Dairy Corp., Ltd. 365,000 109,165 0.0%
* AVIC International Holding HK, Ltd. 1,578,000 119,407 0.0%
# AVIC International Holdings, Ltd. Class H 1,756,000 960,972 0.0%
# Bank of Chongqing Co., Ltd. Class H 1,643,500 1,298,230 0.0%
# Baoxin Auto Group, Ltd. 5,324,000 3,368,358 0.1%
Baoye Group Co., Ltd. Class H 1,860,000 1,224,597 0.0%
Beijing Capital International Airport Co., Ltd. Class H 2,974,000 3,202,278 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
CHINA -- (Continued)
Beijing Capital Land, Ltd. Class H 8,676,500 $3,431,840 0.1%
* Beijing Development HK, Ltd. 55,000 11,808 0.0%
Beijing Jingneng Clean Energy Co., Ltd. Class H 9,484,000 2,980,119 0.1%
Beijing North Star Co., Ltd. Class H 7,248,000 2,311,313 0.1%
#* Beijing Properties Holdings, Ltd. 5,768,000 400,421 0.0%
Beijing Urban Construction Design & Development Group Co., Ltd. Class H 971,000 562,105 0.0%
Best Pacific International Holdings, Ltd. 212,000 125,806 0.0%
Besunyen Holdings Co., Ltd. 1,155,000 115,498 0.0%
Billion Industrial Holdings, Ltd. 26,000 16,018 0.0%
# Biostime International Holdings, Ltd. 1,246,000 3,461,154 0.1%
# Bloomage Biotechnology Corp., Ltd. 1,095,000 2,144,710 0.1%
# Boer Power Holdings, Ltd. 1,853,000 1,039,331 0.0%
# Bolina Holding Co., Ltd. 3,018,000 692,206 0.0%
# Bosideng International Holdings, Ltd. 19,098,000 1,546,862 0.0%
# Boyaa Interactive International, Ltd. 1,505,000 589,827 0.0%
Bracell, Ltd. 328,000 41,024 0.0%
Brilliant Circle Holdings International, Ltd. 250,000 43,491 0.0%
Broad Greenstate International Co., Ltd. 2,696,000 550,468 0.0%
* BYD Electronic International Co., Ltd. 5,206,315 2,981,621 0.1%
C C Land Holdings, Ltd. 9,242,343 2,690,960 0.1%
#* C.banner International Holdings, Ltd. 1,786,000 726,539 0.0%
# Cabbeen Fashion, Ltd. 984,000 399,517 0.0%
* Capital Environment Holdings, Ltd. 1,154,000 42,205 0.0%
Carrianna Group Holdings Co., Ltd. 1,855,257 202,959 0.0%
CECEP COSTIN New Materials Group, Ltd. 5,220,000 476,813 0.0%
Central China Real Estate, Ltd. 4,703,626 896,087 0.0%
# Central China Securities Co., Ltd. Class H 2,549,000 1,260,331 0.0%
# Century Sunshine Group Holdings, Ltd. 10,700,000 530,351 0.0%
* CGN Meiya Power Holdings Co., Ltd. 2,192,000 330,617 0.0%
Changshouhua Food Co., Ltd. 1,773,000 866,730 0.0%
Chanjet Information Technology Co., Ltd. Class H 8,400 12,519 0.0%
#* Chaowei Power Holdings, Ltd. 3,718,000 2,377,530 0.1%
* Chia Tai Enterprises International, Ltd. 128,065 34,289 0.0%
* Chigo Holding, Ltd. 21,682,000 267,525 0.0%
# China Aerospace International Holdings, Ltd. 14,262,500 1,830,787 0.0%
#* China Agri-Industries Holdings, Ltd. 14,676,800 5,009,703 0.1%
# China Aircraft Leasing Group Holdings, Ltd. 761,500 796,724 0.0%
# China All Access Holdings, Ltd. 4,932,000 1,581,723 0.0%
* China Animal Healthcare, Ltd. 3,671,000 461,425 0.0%
China Aoyuan Property Group, Ltd. 7,554,000 1,495,573 0.0%
* China Automation Group, Ltd. 2,618,000 374,632 0.0%
China BlueChemical, Ltd. Class H 11,532,000 2,683,580 0.1%
China Child Care Corp., Ltd. 3,583,000 276,001 0.0%
* China City Infrastructure Group, Ltd. 1,220,000 87,810 0.0%
#* China City Railway Transportation Technology Holdings Co., Ltd. 1,308,000 226,527 0.0%
China Communications Services Corp., Ltd. Class H 13,876,000 6,549,376 0.1%
#* China Datang Corp. Renewable Power Co., Ltd. Class H 14,673,000 1,732,770 0.0%
China Dongxiang Group Co., Ltd. 19,151,985 3,969,097 0.1%
* China Dredging Environment Protection Holdings, Ltd. 2,546,000 353,371 0.0%
* China Dynamics Holdings, Ltd. 6,850,000 321,195 0.0%
# China Electronics Corp. Holdings Co., Ltd. 2,768,000 821,111 0.0%
China Energine International Holdings, Ltd. 2,798,000 215,546 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
CHINA -- (Continued)
China Everbright, Ltd. 1,768,000 $3,481,070 0.1%
#* China Fiber Optic Network System Group, Ltd. 9,167,999 1,070,899 0.0%
China Financial Services Holdings, Ltd. 5,130,000 455,120 0.0%
* China First Capital Group, Ltd. 112,000 73,086 0.0%
#* China Foods, Ltd. 6,178,000 2,260,745 0.1%
* China Glass Holdings, Ltd. 4,522,000 581,151 0.0%
* China Grand Pharmaceutical and Healthcare Holdings, Ltd. Class A 340,000 72,226 0.0%
* China Greenland Rundong Auto Group, Ltd. 615,000 225,688 0.0%
#* China Hanking Holdings, Ltd. 1,522,000 158,564 0.0%
# China Harmony New Energy Auto Holding, Ltd. 5,590,000 3,459,998 0.1%
* China High Precision Automation Group, Ltd. 1,289,000 38,012 0.0%
* China High Speed Transmission Equipment Group Co., Ltd. 6,761,000 5,204,927 0.1%
* China Household Holdings, Ltd. 10,675,000 146,832 0.0%
* China Huiyuan Juice Group, Ltd. 4,932,500 2,181,371 0.1%
* China ITS Holdings Co., Ltd. 4,003,412 282,602 0.0%
China Jinmao Holdings Group, Ltd. 23,818,300 6,849,939 0.1%
# China Jiuhao Health Industry Corp., Ltd. 5,180,000 558,230 0.0%
China Lesso Group Holdings, Ltd. 6,975,000 3,817,025 0.1%
China Lilang, Ltd. 3,294,000 2,110,055 0.1%
* China Longevity Group Co., Ltd. 1,076,350 35,661 0.0%
China LotSynergy Holdings, Ltd. 20,440,000 838,894 0.0%
#* China Lumena New Materials Corp. 14,530,000 -- 0.0%
China Machinery Engineering Corp. Class H 4,068,000 2,758,559 0.1%
China Maple Leaf Educational Systems, Ltd. 206,000 162,791 0.0%
China Medical System Holdings, Ltd. 5,985,500 7,767,372 0.2%
# China Merchants Land, Ltd. 7,594,000 1,151,100 0.0%
#* China Metal Recycling Holdings, Ltd. 2,401,686 -- 0.0%
# China Modern Dairy Holdings, Ltd. 12,885,000 2,364,804 0.1%
# China National Building Material Co., Ltd. Class H 16,766,000 8,687,033 0.2%
China National Materials Co., Ltd. Class H 7,830,000 2,067,551 0.1%
#* China New Town Development Co., Ltd. 7,978,148 317,977 0.0%
* China NT Pharma Group Co., Ltd. 3,587,000 1,055,482 0.0%
#* China Oil & Gas Group, Ltd. 29,338,000 2,109,893 0.1%
China Outfitters Holdings, Ltd. 24,000 1,240 0.0%
# China Overseas Grand Oceans Group, Ltd. 6,028,500 1,918,229 0.0%
# China Pioneer Pharma Holdings, Ltd. 1,704,000 402,929 0.0%
China Power International Development, Ltd. 6,199,000 2,645,851 0.1%
# China Power New Energy Development Co., Ltd. 32,320,000 2,535,859 0.1%
#* China Precious Metal Resources Holdings Co., Ltd. 22,350,318 719,596 0.0%
* China Properties Group, Ltd. 2,640,000 597,860 0.0%
* China Rare Earth Holdings, Ltd. 9,804,799 743,221 0.0%
* China Resources and Transportation Group, Ltd. 600,000 10,319 0.0%
# China Resources Cement Holdings, Ltd. 11,460,000 3,741,492 0.1%
* China Ruifeng Renewable Energy Holdings, Ltd. 2,072,000 188,935 0.0%
#* China Sanjiang Fine Chemicals Co., Ltd. 3,648,000 680,044 0.0%
China SCE Property Holdings, Ltd. 8,498,200 1,793,263 0.0%
#* China Shanshui Cement Group, Ltd. 11,268,000 3,947,119 0.1%
* China Shengmu Organic Milk, Ltd. 2,970,000 696,025 0.0%
China Shineway Pharmaceutical Group, Ltd. 2,279,200 2,604,862 0.1%
# China Silver Group, Ltd. 4,102,000 917,898 0.0%
# China Singyes Solar Technologies Holdings, Ltd. 3,075,200 1,129,889 0.0%
# China South City Holdings, Ltd. 15,418,000 2,950,425 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
CHINA -- (Continued)
China Starch Holdings, Ltd. 5,040,000 $ 116,632 0.0%
# China Suntien Green Energy Corp., Ltd. Class H 10,975,000 1,248,611 0.0%
* China Taifeng Beddings Holdings, Ltd. 1,336,000 34,877 0.0%
#* China Tian Lun Gas Holdings, Ltd. 1,077,000 806,794 0.0%
#* China Traditional Chinese Medicine Co., Ltd. 8,612,000 4,040,679 0.1%
China Travel International Investment Hong Kong, Ltd. 14,807,900 4,353,680 0.1%
* China Vanadium Titano - Magnetite Mining Co., Ltd. 4,798,000 178,812 0.0%
China Vast Industrial Urban Development Co., Ltd. 225,000 72,147 0.0%
# China Water Affairs Group, Ltd. 6,752,000 3,345,907 0.1%
#* China Water Industry Group, Ltd. 2,784,000 475,926 0.0%
China Yongda Automobiles Services Holdings, Ltd. 1,532,500 818,180 0.0%
#* China Yurun Food Group, Ltd. 9,108,000 1,552,711 0.0%
* China Zenith Chemical Group, Ltd. 4,990,000 186,068 0.0%
China ZhengTong Auto Services Holdings, Ltd. 6,220,500 2,541,677 0.1%
# China Zhongwang Holdings, Ltd. 7,248,400 3,609,488 0.1%
#* Chinasoft International, Ltd. 10,968,000 3,951,660 0.1%
* Chinese People Holdings Co., Ltd. 1,855,709 33,311 0.0%
* Chongqing Iron & Steel Co., Ltd. Class H 495,400 83,287 0.0%
Chongqing Machinery & Electric Co., Ltd. Class H 7,586,000 897,798 0.0%
* Chu Kong Petroleum & Natural Gas Steel Pipe Holdings, Ltd. 2,662,000 438,449 0.0%
CIFI Holdings Group Co., Ltd. 8,938,000 2,068,332 0.1%
# CIMC Enric Holdings, Ltd. 3,760,000 1,974,384 0.0%
#* CITIC Dameng Holdings, Ltd. 3,212,000 200,103 0.0%
#* CITIC Resources Holdings, Ltd. 17,098,600 1,515,048 0.0%
#* Citychamp Watch & Jewellery Group, Ltd. 11,754,000 1,998,825 0.1%
# Clear Media, Ltd. 298,000 280,442 0.0%
* Coastal Greenland, Ltd. 5,286,000 126,060 0.0%
* Cogobuy Group 2,083,000 3,014,327 0.1%
# Colour Life Services Group Co., Ltd. 518,000 399,276 0.0%
# Comba Telecom Systems Holdings, Ltd. 7,004,412 1,231,218 0.0%
* Comtec Solar Systems Group, Ltd. 4,958,000 401,817 0.0%
Concord New Energy Group, Ltd. 26,294,964 1,412,655 0.0%
Consun Pharmaceutical Group, Ltd. 1,015,000 496,204 0.0%
* Coolpad Group, Ltd. 18,832,800 3,703,336 0.1%
Cosco International Holdings, Ltd. 2,815,000 1,512,957 0.0%
COSCO Pacific, Ltd. 4,276,604 4,547,857 0.1%
* Coslight Technology International Group Co., Ltd. 320,000 108,390 0.0%
# Cosmo Lady China Holdings Co., Ltd. 1,521,000 1,180,456 0.0%
# CP Pokphand Co., Ltd. 33,356,594 3,556,120 0.1%
# CPMC Holdings, Ltd. 2,548,000 1,147,127 0.0%
# CT Environmental Group, Ltd. 13,252,000 3,865,303 0.1%
Da Ming International Holdings, Ltd. 862,000 283,102 0.0%
* DaChan Food Asia, Ltd. 1,523,955 172,830 0.0%
# Dah Chong Hong Holdings, Ltd. 5,535,000 2,283,920 0.1%
# Dalian Port PDA Co., Ltd. Class H 2,248,000 975,998 0.0%
#* Daphne International Holdings, Ltd. 7,022,000 1,055,270 0.0%
Dawnrays Pharmaceutical Holdings, Ltd. 2,914,943 2,393,343 0.1%
#* DBA Telecommunication Asia Holdings, Ltd. 2,108,000 17,827 0.0%
# Digital China Holdings, Ltd. 5,764,800 3,987,339 0.1%
# Dongjiang Environmental Co., Ltd. Class H 364,575 527,823 0.0%
Dongpeng Holdings Co., Ltd. 551,000 297,277 0.0%
# Dongyue Group, Ltd. 7,432,000 1,312,617 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
CHINA -- (Continued)
* Dynagreen Environmental Protection Group Co., Ltd. Class H 1,199,000 $ 548,173 0.0%
#* Dynasty Fine Wines Group, Ltd. 1,614,000 56,180 0.0%
Embry Holdings, Ltd. 473,000 237,487 0.0%
#* Enerchina Holdings, Ltd. 8,388,000 343,813 0.0%
# EVA Precision Industrial Holdings, Ltd. 6,538,435 932,152 0.0%
#* EverChina International Holdings Co., Ltd. 11,510,000 344,321 0.0%
* Evergreen International Holdings, Ltd. 1,208,000 117,683 0.0%
* Extrawell Pharmaceutical Holdings, Ltd. 1,337,921 51,565 0.0%
# Fantasia Holdings Group Co., Ltd. 12,480,000 1,651,175 0.0%
# Far East Horizon, Ltd. 5,430,000 4,303,236 0.1%
Feiyu Technology International Co., Ltd. 1,168,500 324,655 0.0%
# First Tractor Co., Ltd. Class H 497,176 279,499 0.0%
* Forgame Holdings, Ltd. 74,700 115,372 0.0%
Freetech Road Recycling Technology Holdings, Ltd. 2,164,000 258,560 0.0%
# Fu Shou Yuan International Group, Ltd. 2,801,000 1,965,157 0.0%
# Fufeng Group, Ltd. 6,363,600 1,989,175 0.1%
# Fuguiniao Co., Ltd. Class H 2,406,200 1,229,468 0.0%
# Future Land Development Holdings, Ltd. 6,874,000 980,108 0.0%
# GCL-Poly Energy Holdings, Ltd. 71,822,000 10,703,162 0.2%
* Global Bio-Chem Technology Group Co., Ltd. 1,058,800 24,276 0.0%
* Glorious Property Holdings, Ltd. 16,951,501 1,961,664 0.0%
Goldbond Group Holdings, Ltd. 210,000 7,954 0.0%
# Golden Eagle Retail Group, Ltd. 3,444,000 3,964,950 0.1%
# Golden Meditech Holdings, Ltd. 5,976,789 776,418 0.0%
* Goldin Properties Holdings, Ltd. 472,000 195,251 0.0%
Goldlion Holdings, Ltd. 1,674,962 668,737 0.0%
# Goldpac Group, Ltd. 1,738,000 699,406 0.0%
# GOME Electrical Appliances Holding, Ltd. 69,632,000 8,930,471 0.2%
Good Friend International Holdings, Inc. 398,667 85,239 0.0%
#* Goodbaby International Holdings, Ltd. 4,793,000 2,690,704 0.1%
# Greatview Aseptic Packaging Co., Ltd. 5,685,000 2,879,030 0.1%
#* Greenland Hong Kong Holdings, Ltd. 5,124,000 1,810,299 0.0%
* Greentown China Holdings, Ltd. 4,469,648 3,315,812 0.1%
* Guangdong Land Holdings, Ltd. 4,498,800 1,300,748 0.0%
Guangdong Yueyun Transportation Co., Ltd. Class H 873,000 532,821 0.0%
Guangzhou R&F Properties Co., Ltd. Class H 1,332,000 1,860,918 0.0%
#* Guodian Technology & Environment Group Corp., Ltd. Class H 5,284,000 332,178 0.0%
* Haichang Ocean Park Holdings, Ltd. 2,248,000 485,573 0.0%
Haitian International Holdings, Ltd. 3,343,000 5,669,340 0.1%
* Hanergy Thin Film Power Group, Ltd. 17,084,000 474,226 0.0%
Harbin Bank Co., Ltd. Class H 66,000 18,680 0.0%
# Harbin Electric Co., Ltd. Class H 4,873,413 1,994,651 0.1%
#* HC International, Inc. 424,000 286,424 0.0%
Henderson Investment, Ltd. 596,000 49,872 0.0%
# Hengdeli Holdings, Ltd. 16,377,399 1,704,131 0.0%
* Hi Sun Technology China, Ltd. 4,296,000 763,991 0.0%
* Hidili Industry International Development, Ltd. 1,329,339 33,418 0.0%
# Hilong Holding, Ltd. 4,323,000 499,109 0.0%
* Hisense Kelon Electrical Holdings Co., Ltd. Class H 291,000 135,757 0.0%
* HKC Holdings, Ltd. 19,289,447 351,243 0.0%
* HL Technology Group, Ltd. 1,748,000 467,540 0.0%
HNA Infrastructure Co., Ltd. Class H 603,000 644,825 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
CHINA -- (Continued)
#* Honghua Group, Ltd. 10,418,000 $ 507,974 0.0%
Honworld Group, Ltd. 240,500 152,609 0.0%
Hopefluent Group Holdings, Ltd. 909,670 240,814 0.0%
# Hopewell Highway Infrastructure, Ltd. 4,163,000 2,074,535 0.1%
* Hopson Development Holdings, Ltd. 4,088,000 3,885,124 0.1%
# HOSA International, Ltd. 3,514,000 1,144,391 0.0%
# Hua Han Health Industry Holdings, Ltd. 24,975,698 2,629,843 0.1%
#* Huabao International Holdings, Ltd. 13,262,014 5,200,866 0.1%
# Huadian Fuxin Energy Corp., Ltd. Class H 14,732,000 3,190,227 0.1%
Huaneng Renewables Corp., Ltd. Class H 22,328,000 6,588,641 0.1%
* Huiyin Smart Community Co., Ltd. 1,878,000 180,833 0.0%
Hydoo International Holding, Ltd. 1,634,000 191,341 0.0%
Inspur International, Ltd. 2,056,000 338,398 0.0%
# Intime Retail Group Co., Ltd. 6,959,000 6,257,060 0.1%
# Jiangnan Group, Ltd. 8,158,000 1,374,278 0.0%
* Jinchuan Group International Resources Co., Ltd. 965,000 39,718 0.0%
Ju Teng International Holdings, Ltd. 5,126,000 2,294,384 0.1%
* Kai Yuan Holdings, Ltd. 13,400,000 93,219 0.0%
#* Kaisa Group Holdings, Ltd. 9,828,000 370,598 0.0%
#* Kangda International Environmental Co., Ltd. 1,132,000 255,596 0.0%
* Kasen International Holdings, Ltd. 1,073,000 171,164 0.0%
Kingboard Chemical Holdings, Ltd. 4,134,421 7,919,728 0.2%
Kingboard Laminates Holdings, Ltd. 5,527,500 2,825,830 0.1%
# Kingdee International Software Group Co., Ltd. 13,089,200 4,228,165 0.1%
Koradior Holdings, Ltd. 607,000 1,051,977 0.0%
KWG Property Holding, Ltd. 10,280,950 6,638,598 0.1%
#* Labixiaoxin Snacks Group, Ltd. 1,729,000 162,294 0.0%
Lai Fung Holdings, Ltd. 28,358,229 444,868 0.0%
Le Saunda Holdings, Ltd. 2,049,799 448,144 0.0%
Lee & Man Chemical Co., Ltd. 998,785 325,180 0.0%
Lee & Man Paper Manufacturing, Ltd. 9,066,000 5,965,417 0.1%
# Lee's Pharmaceutical Holdings, Ltd. 713,000 575,999 0.0%
Leoch International Technology, Ltd. 953,000 112,500 0.0%
#* Lianhua Supermarket Holdings Co., Ltd. Class H 2,445,600 939,095 0.0%
#* Lifetech Scientific Corp. 9,528,000 1,614,638 0.0%
* Lingbao Gold Co., Ltd. Class H 282,000 57,932 0.0%
Livzon Pharmaceutical Group, Inc. Class H 337,180 1,557,783 0.0%
# Logan Property Holdings Co., Ltd. 3,434,000 1,308,050 0.0%
Lonking Holdings, Ltd. 12,956,000 2,162,738 0.1%
#* Loudong General Nice Resources China Holdings, Ltd. 9,144,140 469,672 0.0%
#* Luye Pharma Group, Ltd. 3,681,000 2,554,303 0.1%
#* Maanshan Iron & Steel Co., Ltd. Class H 5,268,000 1,210,590 0.0%
Maoye International Holdings, Ltd. 7,468,000 777,410 0.0%
Merry Garden Holdings, Ltd. 4,650,000 108,484 0.0%
* Microport Scientific Corp. 1,631,000 847,715 0.0%
* MIE Holdings Corp. 7,418,000 782,665 0.0%
MIN XIN Holdings, Ltd. 716,000 672,389 0.0%
#* Mingfa Group International Co., Ltd. 7,108,000 1,731,893 0.0%
* Mingyuan Medicare Development Co., Ltd. 6,950,000 38,617 0.0%
Minmetals Land, Ltd. 7,084,000 727,692 0.0%
Minth Group, Ltd. 3,475,000 9,110,644 0.2%
#* MMG, Ltd. 9,838,000 2,213,752 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ----------- ---------------
CHINA -- (Continued)
MOBI Development Co., Ltd. 1,014,000 $ 135,705 0.0%
Nature Home Holding Co., Ltd. 520,000 72,953 0.0%
# NetDragon Websoft, Inc. 364,544 1,131,994 0.0%
New World Department Store China, Ltd. 2,838,462 401,297 0.0%
Nexteer Automotive Group, Ltd. 1,813,000 1,913,272 0.0%
Nine Dragons Paper Holdings, Ltd. 8,304,000 5,939,392 0.1%
#* North Mining Shares Co., Ltd. 31,950,000 345,437 0.0%
#* NVC Lighting Holdings, Ltd. 7,010,000 739,269 0.0%
* O-Net Technologies Group, Ltd. 1,268,000 415,617 0.0%
Optics Valley Union Holding Co, Ltd. 1,012,000 107,845 0.0%
Ourgame International Holdings, Ltd. 141,000 74,754 0.0%
Overseas Chinese Town Asia Holdings, Ltd. 1,484,183 553,631 0.0%
# Pacific Online, Ltd. 3,004,365 894,414 0.0%
# Parkson Retail Group, Ltd. 7,237,000 790,112 0.0%
# PAX Global Technology, Ltd. 4,873,000 4,202,982 0.1%
Peak Sport Products Co., Ltd. 4,319,000 1,192,976 0.0%
# Phoenix Healthcare Group Co., Ltd. 2,646,500 4,019,102 0.1%
# Phoenix Satellite Television Holdings, Ltd. 7,926,000 1,821,160 0.0%
# Poly Culture Group Corp., Ltd. Class H 191,500 450,850 0.0%
# Poly Property Group Co., Ltd. 14,782,000 3,946,233 0.1%
#* Pou Sheng International Holdings, Ltd. 13,507,806 3,608,497 0.1%
Powerlong Real Estate Holdings, Ltd. 8,297,000 1,791,101 0.0%
#* Prosperity International Holdings HK, Ltd. 8,560,000 223,536 0.0%
#* PW Medtech Group, Ltd. 4,540,000 1,224,700 0.0%
Qingdao Port International Co., Ltd. Class H 571,000 272,178 0.0%
Qingling Motors Co., Ltd. 2,524,000 824,896 0.0%
Qinhuangdao Port Co., Ltd. Class H 258,000 96,317 0.0%
* Qunxing Paper Holdings Co., Ltd. 669,913 32,645 0.0%
* Real Gold Mining, Ltd. 300,500 10,189 0.0%
Real Nutriceutical Group, Ltd. 5,191,000 599,561 0.0%
Redco Properties Group, Ltd. 342,000 241,844 0.0%
#* Renhe Commercial Holdings Co., Ltd. 102,985,000 3,508,067 0.1%
# REXLot Holdings, Ltd. 59,701,502 1,062,126 0.0%
Road King Infrastructure, Ltd. 1,817,000 1,504,529 0.0%
Samson Holding, Ltd. 3,644,000 417,637 0.0%
#* Sany Heavy Equipment International Holdings Co., Ltd. 6,295,000 1,254,903 0.0%
* Scud Group, Ltd. 1,876,000 47,161 0.0%
* Semiconductor Manufacturing International Corp. 37,964,000 3,072,182 0.1%
Shandong Chenming Paper Holdings, Ltd. Class H 2,074,500 1,633,154 0.0%
# Shandong Weigao Group Medical Polymer Co., Ltd. Class H 8,900,000 5,342,894 0.1%
* Shanghai Fudan Microelectronics Group Co., Ltd. Class H 550,000 467,672 0.0%
# Shanghai Fudan-Zhangjiang Bio-Pharmaceutical Co., Ltd. Class H 597,000 487,391 0.0%
Shanghai Industrial Holdings, Ltd. 3,006,000 6,865,076 0.1%
# Shanghai Industrial Urban Development Group, Ltd. 11,610,000 2,282,419 0.1%
Shanghai Jin Jiang International Hotels Group Co., Ltd. Class H 6,956,000 2,855,733 0.1%
Shanghai Prime Machinery Co., Ltd. Class H 4,968,000 791,508 0.0%
#* Shanghai Zendai Property, Ltd. 8,390,000 177,804 0.0%
Sheen Tai Holdings Grp Co., Ltd. 2,386,000 301,098 0.0%
* Shengli Oil & Gas Pipe Holdings, Ltd. 2,272,500 118,276 0.0%
Shenguan Holdings Group, Ltd. 6,676,000 693,833 0.0%
Shenzhen Expressway Co., Ltd. Class H 4,024,400 3,571,675 0.1%
Shenzhen International Holdings, Ltd. 6,618,751 10,783,923 0.2%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
CHINA -- (Continued)
Shenzhen Investment, Ltd. 18,463,378 $ 7,423,964 0.2%
* Shougang Concord International Enterprises Co., Ltd. 29,384,000 917,859 0.0%
# Shougang Fushan Resources Group, Ltd. 18,812,000 2,828,329 0.1%
# Shui On Land, Ltd. 22,826,643 5,986,328 0.1%
* Shunfeng International Clean Energy, Ltd. 8,484,000 1,599,665 0.0%
# Sichuan Expressway Co., Ltd. Class H 4,984,000 1,653,422 0.0%
Sihuan Pharmaceutical Holdings Group, Ltd. 11,270,000 2,600,691 0.1%
Silver Grant International Industries, Ltd. 4,622,000 534,190 0.0%
* SIM Technology Group, Ltd. 1,050,000 51,255 0.0%
#* Sino Oil And Gas Holdings, Ltd. 72,867,766 1,705,966 0.0%
#* Sino-I Technology, Ltd. 3,950,000 52,645 0.0%
# Sinofert Holdings, Ltd. 14,045,327 1,915,891 0.0%
#* Sinolink Worldwide Holdings, Ltd. 11,520,800 1,258,307 0.0%
# SinoMedia Holding, Ltd. 1,126,000 292,153 0.0%
Sinopec Engineering Group Co., Ltd. Class H 1,853,500 1,709,649 0.0%
# Sinopec Kantons Holdings, Ltd. 4,858,000 2,563,863 0.1%
# Sinosoft Technology Group, Ltd. 2,772,000 1,513,443 0.0%
# Sinotrans Shipping, Ltd. 3,770,586 663,221 0.0%
Sinotrans, Ltd. Class H 10,900,000 5,037,814 0.1%
Sinotruk Hong Kong, Ltd. 4,416,000 2,229,263 0.1%
SITC International Holdings Co., Ltd. 6,549,000 3,539,546 0.1%
# Skyworth Digital Holdings, Ltd. 11,311,641 7,405,214 0.2%
# SMI Holdings Group, Ltd. 14,404,066 1,387,482 0.0%
# SOHO China, Ltd. 10,523,500 5,317,855 0.1%
* Solargiga Energy Holdings, Ltd. 3,716,000 81,258 0.0%
* Sound Global, Ltd. 494,000 189,782 0.0%
#* Sparkle Roll Group, Ltd. 6,040,000 364,354 0.0%
Springland International Holdings, Ltd. 4,080,000 734,004 0.0%
#* SPT Energy Group, Inc. 4,970,000 376,314 0.0%
* SRE Group, Ltd. 21,198,346 652,224 0.0%
# SSY Group, Ltd. 13,169,152 4,525,483 0.1%
* Sun King Power Electronics Group 896,000 134,846 0.0%
Sunac China Holdings, Ltd. 12,913,000 8,239,196 0.2%
# Sunny Optical Technology Group Co., Ltd. 3,644,000 11,239,024 0.2%
* Sunshine 100 China Holdings, Ltd. 130,000 57,604 0.0%
* Symphony Holdings, Ltd. 670,000 73,228 0.0%
* Synertone Communication Corp. 888,000 18,285 0.0%
TCC International Holdings, Ltd. 10,116,647 2,027,539 0.1%
# TCL Communication Technology Holdings, Ltd. 3,492,198 2,264,478 0.1%
# TCL Multimedia Technology Holdings, Ltd. 3,700,510 2,200,665 0.1%
#* Technovator International, Ltd. 1,336,000 678,949 0.0%
Tenfu Cayman Holdings Co., Ltd. 185,000 59,724 0.0%
# Tenwow International Holdings, Ltd. 2,237,000 655,945 0.0%
Texhong Textile Group, Ltd. 2,107,500 2,061,487 0.1%
Tian An China Investment Co., Ltd. 1,383,000 735,565 0.0%
* Tian Ge Interactive Holdings, Ltd. 61,000 49,897 0.0%
Tian Shan Development Holdings, Ltd. 1,742,000 698,105 0.0%
Tiande Chemical Holdings, Ltd. 64,000 11,480 0.0%
# Tiangong International Co., Ltd. 9,268,000 750,540 0.0%
Tianjin Capital Environmental Protection Group Co., Ltd. Class H 1,936,000 1,076,318 0.0%
Tianjin Development Holdings, Ltd. 2,742,000 1,359,825 0.0%
* Tianjin Jinran Public Utilities Co., Ltd. Class H 2,230,000 200,607 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
CHINA -- (Continued)
Tianjin Port Development Holdings, Ltd. 11,658,800 $1,767,098 0.0%
#* Tianneng Power International, Ltd. 2,250,048 1,840,006 0.0%
* Tianyi Summi Holdings, Ltd. 3,572,000 468,469 0.0%
# Tibet Water Resources, Ltd. 9,336,000 2,668,870 0.1%
Time Watch Investments, Ltd. 1,456,000 194,682 0.0%
Times Property Holdings, Ltd. 958,000 395,682 0.0%
# Tomson Group, Ltd. 1,178,575 343,013 0.0%
Tong Ren Tang Technologies Co., Ltd. Class H 3,857,000 6,052,147 0.1%
# Tongda Group Holdings, Ltd. 19,080,000 3,919,299 0.1%
Tonly Electronics Holdings, Ltd. 431,176 199,407 0.0%
Top Spring International Holdings, Ltd. 292,500 126,262 0.0%
# Towngas China Co., Ltd. 6,572,000 3,400,312 0.1%
TPV Technology, Ltd. 4,981,964 807,173 0.0%
Travelsky Technology, Ltd. Class H 200,090 371,833 0.0%
# Trigiant Group, Ltd. 3,684,000 625,193 0.0%
* Trony Solar Holdings Co., Ltd. 1,757,000 26,728 0.0%
# Truly International Holdings, Ltd. 8,919,573 3,482,329 0.1%
# Uni-President China Holdings, Ltd. 6,080,000 5,662,110 0.1%
#* United Energy Group, Ltd. 13,424,450 718,137 0.0%
# Universal Health International Group Holding, Ltd. 7,123,000 640,658 0.0%
# V1 Group, Ltd. 20,671,600 1,140,859 0.0%
Wanguo International Mining Group, Ltd. 154,000 28,873 0.0%
# Wasion Group Holdings, Ltd. 3,300,000 1,834,405 0.0%
Weiqiao Textile Co. Class H 2,512,000 1,876,178 0.0%
Welling Holding, Ltd. 6,472,000 1,079,560 0.0%
# West China Cement, Ltd. 16,556,000 3,472,449 0.1%
# Wisdom Sports Group 4,651,000 1,809,027 0.0%
#* Wuzhou International Holdings, Ltd. 9,890,000 1,070,577 0.0%
# Xiamen International Port Co., Ltd. Class H 6,324,000 1,298,771 0.0%
#* Xinchen China Power Holdings, Ltd. 1,901,000 297,464 0.0%
Xingda International Holdings, Ltd. 6,017,000 1,259,162 0.0%
Xinhua Winshare Publishing and Media Co., Ltd. Class H 2,727,103 2,538,494 0.1%
* Xinjiang Xinxin Mining Industry Co., Ltd. Class H 4,629,598 499,719 0.0%
# Xinyi Solar Holdings, Ltd. 13,648,000 5,361,852 0.1%
Xiwang Special Steel Co., Ltd. 3,286,000 325,516 0.0%
XTEP International Holdings, Ltd. 5,240,500 3,097,875 0.1%
* Yanchang Petroleum International, Ltd. 28,970,000 603,433 0.0%
Yangtze Optical Fibre and Cable Joint Stock, Ltd. Co. Class H 19,000 23,560 0.0%
# Yashili International Holdings, Ltd. 663,000 159,853 0.0%
# Yestar International Holdings Co., Ltd. 1,702,500 682,388 0.0%
Yida China Holdings, Ltd. 954,000 379,656 0.0%
# Yingde Gases Group Co., Ltd. 6,502,000 2,428,922 0.1%
# Yip's Chemical Holdings, Ltd. 1,886,000 656,023 0.0%
Youyuan International Holdings, Ltd. 2,461,070 570,094 0.0%
Yuanda China Holdings, Ltd. 12,884,000 402,653 0.0%
# Yuexiu Property Co., Ltd. 47,444,284 6,887,767 0.1%
# Yuexiu Transport Infrastructure, Ltd. 4,322,018 2,898,311 0.1%
Yuzhou Properties Co., Ltd. 9,250,120 2,538,749 0.1%
# Zall Development Group, Ltd. 13,914,000 5,698,891 0.1%
# Zhaojin Mining Industry Co., Ltd. Class H 5,620,000 4,856,189 0.1%
# Zhengzhou Coal Mining Machinery Group Co., Ltd. Class H 1,244,600 521,994 0.0%
* Zhong An Real Estate, Ltd. 6,952,400 634,873 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
CHINA -- (Continued)
# Zhongsheng Group Holdings, Ltd. 3,983,000 $ 2,039,981 0.1%
Zhuhai Holdings Investment Group, Ltd. 950,000 147,882 0.0%
------------ ----
TOTAL CHINA 703,315,482 13.7%
------------ ----
COLOMBIA -- (0.2%)
Almacenes Exito SA 327,049 1,839,205 0.0%
Bolsa de Valores de Colombia 29,054,344 182,565 0.0%
Celsia SA ESP 862,107 1,165,136 0.0%
* Cemex Latam Holdings SA 840,285 3,852,340 0.1%
Constructora Conconcreto SA 293,150 126,061 0.0%
Corp. Financiera Colombiana SA(B000C92) 17,125 231,925 0.0%
* Corp. Financiera Colombiana SA(BYPK1V0) 235 3,188 0.0%
Empresa de Telecomunicaciones de Bogota 2,862,868 613,036 0.0%
* Grupo Odinsa SA 19,092 55,460 0.0%
Interconexion Electrica SA ESP 67,599 206,450 0.0%
Isagen SA ESP 1,603,357 2,310,459 0.1%
Mineros SA 102,961 88,912 0.0%
------------ ----
TOTAL COLOMBIA 10,674,737 0.2%
------------ ----
GREECE -- (0.3%)
Aegean Airlines SA 224,579 2,060,473 0.1%
* Astir Palace Vouliagmeni SA 16,695 60,550 0.0%
Athens Water Supply & Sewage Co. SA (The) 125,722 662,662 0.0%
Bank of Greece 142,930 1,637,511 0.1%
* Ellaktor SA 909,399 1,326,312 0.0%
* Fourlis Holdings SA 283,268 1,023,092 0.0%
* Frigoglass SAIC 124,748 30,713 0.0%
* GEK Terna Holding Real Estate Construction SA 475,188 931,134 0.0%
Hellenic Exchanges--Athens Stock Exchange SA 536,300 3,053,972 0.1%
* Iaso SA 282,999 168,309 0.0%
* Intracom Holdings SA 664,642 253,717 0.0%
* Intralot SA-Integrated Lottery Systems & Services 865,039 1,011,084 0.0%
* Lamda Development SA 92,510 401,515 0.0%
* Marfin Investment Group Holdings SA 6,110,771 980,915 0.0%
Metka SA 188,318 1,440,944 0.1%
Motor Oil Hellas Corinth Refineries SA 23,203 264,942 0.0%
Mytilineos Holdings SA 339,544 1,363,383 0.0%
Piraeus Port Authority SA 42,172 584,533 0.0%
Sarantis SA 96,712 965,339 0.0%
Terna Energy SA 257,713 816,107 0.0%
------------ ----
TOTAL GREECE 19,037,207 0.4%
------------ ----
HONG KONG -- (0.0%)
* Landing International Development, Ltd. 14,260,000 404,787 0.0%
------------ ----
HUNGARY -- (0.0%)
#* FHB Mortgage Bank P.L.C. 27,009 72,448 0.0%
------------ ----
INDIA -- (12.0%)
* 3M India, Ltd. 6,044 1,216,036 0.0%
Aarti Industries 203,184 1,623,880 0.0%
Aban Offshore, Ltd. 137,519 456,781 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
INDIA -- (Continued)
Accelya Kale Solutions, Ltd. 2,647 $ 36,348 0.0%
Adani Enterprises, Ltd. 1,058,583 1,373,097 0.0%
* Adani Power, Ltd. 6,723,751 3,226,865 0.1%
Aditya Birla Nuvo, Ltd. 67,784 871,590 0.0%
* Advanta, Ltd. 206,926 1,687,668 0.0%
Aegis Logistics, Ltd. 1,171,370 2,031,974 0.1%
Agro Tech Foods, Ltd. 62,964 440,108 0.0%
AIA Engineering, Ltd. 231,459 3,425,512 0.1%
Ajanta Pharma, Ltd. 312,626 7,099,049 0.2%
Akzo Nobel India, Ltd. 73,197 1,470,266 0.0%
Alembic Pharmaceuticals, Ltd. 571,962 5,159,216 0.1%
Alembic, Ltd. 624,014 348,647 0.0%
Allahabad Bank 1,121,891 984,233 0.0%
Allcargo Logistics, Ltd. 412,721 955,667 0.0%
* Alok Industries, Ltd. 3,380,589 230,753 0.0%
Alstom India, Ltd. 187,822 1,791,235 0.0%
Alstom T&D India, Ltd. 124,100 705,466 0.0%
Amara Raja Batteries, Ltd. 596,481 8,620,370 0.2%
* Amtek Auto, Ltd. 217,501 129,873 0.0%
Anant Raj, Ltd. 315,955 175,817 0.0%
Andhra Bank 1,312,648 1,093,887 0.0%
Apar Industries, Ltd. 102,166 737,736 0.0%
Apollo Tyres, Ltd. 2,214,640 5,326,514 0.1%
* Arvind Infrastructure, Ltd. 181,595 245,050 0.0%
Arvind, Ltd. 1,986,900 8,307,232 0.2%
* Asahi India Glass, Ltd. 420,538 1,044,773 0.0%
Ashoka Buildcon, Ltd. 180,612 370,454 0.0%
Astral Polytechnik, Ltd. 25,066 168,044 0.0%
* AstraZeneca Pharma India, Ltd. 2,547 44,032 0.0%
Atul, Ltd. 82,071 2,220,567 0.1%
Automotive Axles, Ltd. 11,656 107,352 0.0%
Bajaj Corp., Ltd. 382,136 2,227,191 0.1%
Bajaj Electricals, Ltd. 174,279 596,413 0.0%
Bajaj Finance, Ltd. 7,015 722,373 0.0%
* Bajaj Hindusthan Sugar, Ltd. 2,342,495 703,395 0.0%
Bajaj Holdings & Investment, Ltd. 117,527 2,547,479 0.1%
Balkrishna Industries, Ltd. 244,433 2,442,946 0.1%
Ballarpur Industries, Ltd. 1,005,483 259,527 0.0%
Balmer Lawrie & Co., Ltd. 117,876 1,020,212 0.0%
* Balrampur Chini Mills, Ltd. 1,374,241 2,240,021 0.1%
Bank of India 1,787,393 2,480,346 0.1%
Bank Of Maharashtra 922,950 411,702 0.0%
Bannari Amman Sugars, Ltd. 14,297 382,168 0.0%
BASF India, Ltd. 83,644 1,154,215 0.0%
Bata India, Ltd. 324,296 2,889,721 0.1%
BEML, Ltd. 269,474 3,725,798 0.1%
Berger Paints India, Ltd. 2,012,622 7,778,829 0.2%
* BF Utilities, Ltd. 58,818 514,883 0.0%
Biocon, Ltd. 595,447 5,253,822 0.1%
Birla Corp., Ltd. 160,261 936,395 0.0%
Blue Dart Express, Ltd. 33,361 2,844,326 0.1%
Blue Star, Ltd. 280,398 1,805,501 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
INDIA -- (Continued)
Bombay Dyeing & Manufacturing Co., Ltd. 958,407 $ 707,091 0.0%
Brigade Enterprises, Ltd. 196,245 443,182 0.0%
Can Fin Homes, Ltd. 22,961 411,276 0.0%
Canara Bank 92,433 285,437 0.0%
Carborundum Universal, Ltd. 329,688 964,828 0.0%
CCL Products India, Ltd. 512,708 1,488,505 0.0%
Ceat, Ltd. 255,249 4,190,665 0.1%
Central Bank Of India 188,078 230,616 0.0%
Century Plyboards India, Ltd. 602,179 1,669,234 0.0%
Century Textiles & Industries, Ltd. 729,171 6,990,249 0.1%
Cera Sanitaryware, Ltd. 7,195 198,383 0.0%
CESC, Ltd. 701,248 5,692,628 0.1%
Chambal Fertilizers and Chemicals, Ltd. 1,276,132 1,168,783 0.0%
* Chennai Petroleum Corp., Ltd. 475,386 1,525,904 0.0%
Chennai Super Kings Cricket, Ltd. 1,658,632 42,197 0.0%
Cholamandalam Investment and Finance Co., Ltd. 126,356 1,522,383 0.0%
City Union Bank, Ltd. 1,679,038 2,363,106 0.1%
* Clariant Chemicals India, Ltd. 67,559 679,448 0.0%
Coromandel International, Ltd. 552,214 1,862,469 0.0%
Corp. Bank 1,459,316 845,683 0.0%
Cox & Kings, Ltd. 741,911 2,079,582 0.1%
Credit Analysis & Research, Ltd. 40,919 621,770 0.0%
CRISIL, Ltd. 69,677 2,052,835 0.1%
Crompton Greaves Consumer Electricals Ltd. 3,403,119 5,212,677 0.1%
* Crompton Greaves, Ltd. 3,403,119 2,946,125 0.1%
Cyient, Ltd. 369,344 2,528,986 0.1%
Dalmia Bharat, Ltd. 123,100 1,573,493 0.0%
DB Corp., Ltd. 43,770 214,588 0.0%
* DB Realty, Ltd. 852,641 644,109 0.0%
* DCB Bank, Ltd. 2,095,745 2,948,397 0.1%
DCM Shriram, Ltd. 260,162 622,383 0.0%
Deepak Fertilisers & Petrochemicals Corp., Ltd. 242,420 552,851 0.0%
Delta Corp., Ltd. 740,999 914,484 0.0%
* DEN Networks, Ltd. 450,304 592,924 0.0%
Dena Bank 1,251,365 560,524 0.0%
Dewan Housing Finance Corp., Ltd. 606,154 1,811,875 0.0%
Dhanuka Agritech, Ltd. 7,724 70,101 0.0%
* Dish TV India, Ltd. 4,089,775 5,576,945 0.1%
Dishman Pharmaceuticals & Chemicals, Ltd. 544,095 2,761,753 0.1%
* Dynamatic Technologies, Ltd. 7,303 235,321 0.0%
eClerx Services, Ltd. 142,023 2,807,288 0.1%
Edelweiss Financial Services, Ltd. 2,008,855 1,752,002 0.0%
EID Parry India, Ltd. 594,774 2,052,572 0.1%
EIH, Ltd. 970,175 1,496,888 0.0%
Electrosteel Castings, Ltd. 607,641 172,542 0.0%
Elgi Equipments, Ltd. 272,744 669,752 0.0%
Engineers India, Ltd. 892,223 2,406,662 0.1%
Entertainment Network India, Ltd. 64,795 683,850 0.0%
* Eros International Media, Ltd. 285,043 790,560 0.0%
Escorts, Ltd. 754,964 1,913,729 0.0%
Essel Propack, Ltd. 502,843 1,375,166 0.0%
Eveready Industries India, Ltd. 241,516 911,079 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
INDIA -- (Continued)
Exide Industries, Ltd. 2,409,364 $5,332,217 0.1%
FAG Bearings India, Ltd. 33,586 2,009,902 0.1%
FDC, Ltd. 467,535 1,275,164 0.0%
Federal Bank, Ltd. 9,711,220 6,723,855 0.1%
* Federal-Mogul Goetze India, Ltd. 72,593 344,463 0.0%
Finolex Cables, Ltd. 771,546 3,360,757 0.1%
Finolex Industries, Ltd. 415,391 2,274,791 0.1%
* Firstsource Solutions, Ltd. 2,353,285 1,452,350 0.0%
* Fortis Healthcare, Ltd. 1,040,791 2,739,421 0.1%
* Future Consumer Enterprise, Ltd. 5,075,479 1,686,750 0.0%
Future Retail, Ltd. 983,154 2,136,176 0.1%
Gabriel India, Ltd. 634,202 861,733 0.0%
* Gammon Infrastructure Projects, Ltd. 491,684 35,522 0.0%
Gateway Distriparks, Ltd. 650,721 2,707,624 0.1%
Gati, Ltd. 220,146 395,508 0.0%
GHCL, Ltd. 279,324 556,973 0.0%
GIC Housing Finance, Ltd. 34,775 136,947 0.0%
Gillette India, Ltd. 12,277 767,998 0.0%
* Global Offshore Services, Ltd. 80,472 213,307 0.0%
* GMR Infrastructure, Ltd. 15,924,296 3,040,079 0.1%
GOCL Corp., Ltd. 76,450 167,833 0.0%
Godfrey Phillips India, Ltd. 44,690 604,720 0.0%
Godrej Industries, Ltd. 381,220 2,007,672 0.1%
Godrej Properties, Ltd. 526,359 2,690,685 0.1%
Granules India, Ltd. 695,454 1,405,502 0.0%
Graphite India, Ltd. 397,865 475,829 0.0%
Great Eastern Shipping Co., Ltd. (The) 543,607 2,686,858 0.1%
Greaves Cotton, Ltd. 762,174 1,531,598 0.0%
Greenply Industries, Ltd. 10,833 34,337 0.0%
Grindwell Norton, Ltd. 22,877 222,895 0.0%
Gruh Finance, Ltd. 461,466 1,779,771 0.0%
Gujarat Alkalies & Chemicals, Ltd. 194,312 534,417 0.0%
Gujarat Fluorochemicals, Ltd. 224,424 1,873,389 0.0%
Gujarat Gas, Ltd. 319,983 2,569,329 0.1%
Gujarat Industries Power Co., Ltd. 98,741 120,579 0.0%
Gujarat Mineral Development Corp., Ltd. 803,287 839,740 0.0%
* Gujarat Narmada Valley Fertilizers & Chemicals, Ltd. 266,808 401,479 0.0%
* Gujarat Pipavav Port, Ltd. 1,085,407 2,782,940 0.1%
Gujarat State Fertilizers & Chemicals, Ltd. 969,096 1,080,056 0.0%
Gujarat State Petronet, Ltd. 1,629,507 3,382,859 0.1%
Gulf Oil Lubricants India, Ltd. 77,668 630,983 0.0%
* GVK Power & Infrastructure, Ltd. 6,931,309 707,632 0.0%
* Hathway Cable & Datacom, Ltd. 2,004,584 1,118,938 0.0%
Havells India, Ltd. 1,992,064 9,959,435 0.2%
* HCL Infosystems, Ltd. 477,473 296,094 0.0%
HEG, Ltd. 36,273 87,539 0.0%
* HeidelbergCement India, Ltd. 878,204 1,255,808 0.0%
* Hexa Tradex, Ltd. 27,994 5,929 0.0%
Hexaware Technologies, Ltd. 1,734,722 6,286,345 0.1%
Hikal, Ltd. 82,378 175,333 0.0%
* Himachal Futuristic Communications, Ltd. 5,728,434 1,573,291 0.0%
Himatsingka Seide, Ltd. 231,200 816,215 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
INDIA -- (Continued)
Hinduja Global Solutions, Ltd. 15,689 $ 96,637 0.0%
Hinduja Ventures, Ltd. 27,826 183,902 0.0%
* Hindustan Construction Co., Ltd. 1,572,759 492,701 0.0%
Hindustan Media Ventures, Ltd. 15,135 58,107 0.0%
Hitachi Home & Life Solutions India, Ltd. 64,496 1,319,159 0.0%
Honeywell Automation India, Ltd. 13,522 1,853,167 0.0%
* Hotel Leela Venture, Ltd. 104,646 27,762 0.0%
* Housing Development & Infrastructure, Ltd. 4,217,681 5,432,324 0.1%
HSIL, Ltd. 238,038 1,067,287 0.0%
HT Media, Ltd. 550,399 736,704 0.0%
Huhtamaki PPL, Ltd. 117,975 399,848 0.0%
ICRA, Ltd. 2,588 161,786 0.0%
IDBI Bank, Ltd. 3,911,420 4,066,368 0.1%
* IFB Industries, Ltd. 24,447 127,013 0.0%
IFCI, Ltd. 5,221,683 1,991,282 0.1%
IIFL Holdings, Ltd. 1,517,104 4,975,514 0.1%
IL&FS Transportation Networks, Ltd. 807,052 903,430 0.0%
* India Cements, Ltd. (The) 2,012,170 2,699,503 0.1%
* Indiabulls Real Estate, Ltd. 1,891,680 1,923,235 0.1%
Indian Bank 742,128 1,090,372 0.0%
* Indian Hotels Co., Ltd. 2,969,566 4,696,758 0.1%
* Indian Overseas Bank 1,742,294 817,325 0.0%
Indo Count Industries, Ltd. 20,376 321,663 0.0%
Indoco Remedies, Ltd. 301,562 1,212,610 0.0%
Indraprastha Gas, Ltd. 366,128 3,162,710 0.1%
INEOS Styrolution India, Ltd. 23,441 218,825 0.0%
Info Edge India, Ltd. 5,578 63,072 0.0%
Ingersoll-Rand India, Ltd. 89,008 923,712 0.0%
* Inox Leisure, Ltd. 368,062 1,142,318 0.0%
* Intellect Design Arena, Ltd. 628,348 2,179,475 0.1%
Ipca Laboratories, Ltd. 375,952 2,813,224 0.1%
IRB Infrastructure Developers, Ltd. 1,690,879 5,430,606 0.1%
* ITD Cementation India, Ltd. 250,417 460,230 0.0%
J Kumar Infraprojects, Ltd. 28,792 101,842 0.0%
Jagran Prakashan, Ltd. 841,391 2,012,996 0.1%
Jai Corp., Ltd. 104,735 107,052 0.0%
Jain Irrigation Systems, Ltd. 3,323,749 3,059,705 0.1%
* Jaiprakash Associates, Ltd. 11,791,056 1,338,094 0.0%
* Jaiprakash Power Ventures, Ltd. 6,493,149 454,109 0.0%
Jammu & Kashmir Bank, Ltd. (The) 2,258,525 2,332,708 0.1%
* Jaypee Infratech, Ltd. 3,812,775 421,235 0.0%
JB Chemicals & Pharmaceuticals, Ltd. 264,873 977,741 0.0%
JBF Industries, Ltd. 271,764 855,952 0.0%
Jindal Poly Films, Ltd. 133,621 985,189 0.0%
Jindal Saw, Ltd. 1,200,649 775,819 0.0%
* Jindal Steel & Power, Ltd. 4,199,390 4,381,012 0.1%
JK Cement, Ltd. 195,528 1,737,366 0.0%
JK Lakshmi Cement, Ltd. 493,007 2,592,995 0.1%
JK Tyre & Industries, Ltd. 1,051,099 1,325,783 0.0%
JM Financial, Ltd. 2,322,187 1,432,587 0.0%
JSW Energy, Ltd. 2,597,902 2,626,096 0.1%
* JSW Holdings, Ltd. 22,200 341,282 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
INDIA -- (Continued)
Jubilant Foodworks, Ltd. 325,974 $5,657,695 0.1%
Jubilant Life Sciences, Ltd. 505,015 3,036,548 0.1%
Just Dial, Ltd. 170,448 2,160,915 0.1%
Jyothy Laboratories, Ltd. 415,956 1,897,799 0.0%
Kajaria Ceramics, Ltd. 331,366 5,233,408 0.1%
Kakinada Fertilizers, Ltd. 632,948 20,058 0.0%
Kalpataru Power Transmission, Ltd. 480,876 1,513,204 0.0%
Kansai Nerolac Paints, Ltd. 394,828 1,699,835 0.0%
Karnataka Bank, Ltd. (The) 1,274,026 2,144,833 0.1%
Karur Vysya Bank, Ltd. (The) 471,912 3,415,291 0.1%
Kaveri Seed Co., Ltd. 202,438 1,198,841 0.0%
* KAYA, Ltd. 6,469 84,360 0.0%
KCP, Ltd. 29,180 37,066 0.0%
KEC International, Ltd. 779,871 1,473,242 0.0%
* Kesoram Industries, Ltd. 270,075 472,291 0.0%
Kewal Kiran Clothing, Ltd. 1,598 43,372 0.0%
Kirloskar Brothers, Ltd. 817 1,568 0.0%
Kirloskar Oil Engines, Ltd. 237,212 844,673 0.0%
Kitex Garments, Ltd. 40,256 279,252 0.0%
Kolte-Patil Developers, Ltd. 193,641 361,393 0.0%
KPIT Technologies, Ltd. 1,182,320 2,836,820 0.1%
KPR Mill, Ltd. 9,797 120,408 0.0%
KRBL, Ltd. 518,655 1,757,555 0.0%
KSB Pumps, Ltd. 51,306 526,639 0.0%
* KSK Energy Ventures, Ltd. 261,887 130,695 0.0%
L&T Finance Holdings, Ltd. 1,926,148 2,087,234 0.1%
LA Opala RG, Ltd. 23,458 201,231 0.0%
Lakshmi Machine Works, Ltd. 28,316 1,512,056 0.0%
Lakshmi Vilas Bank, Ltd. (The) 578,090 711,539 0.0%
* Lanco Infratech, Ltd. 5,107,406 379,172 0.0%
* Mahanagar Telephone Nigam, Ltd. 573,802 156,806 0.0%
Maharashtra Seamless, Ltd. 210,955 642,829 0.0%
Mahindra & Mahindra Financial Services, Ltd. 761,660 3,439,145 0.1%
* Mahindra CIE Automotive, Ltd. 113,417 340,616 0.0%
Mahindra Holidays & Resorts India, Ltd. 247,801 1,480,911 0.0%
Mahindra Lifespace Developers, Ltd. 122,860 800,861 0.0%
* Majesco, Ltd. 47,137 406,995 0.0%
Manappuram Finance, Ltd. 1,317,142 790,591 0.0%
* Mangalore Refinery & Petrochemicals, Ltd. 1,776,908 1,799,846 0.0%
Marksans Pharma, Ltd. 675,243 464,655 0.0%
Max Financial Services, Ltd. 960,513 5,246,707 0.1%
MAX India, Ltd. 960,513 1,816,127 0.0%
* Max Ventures & Industries, Ltd. 192,103 205,396 0.0%
Mayur Uniquoters, Ltd. 16,371 99,983 0.0%
McLeod Russel India, Ltd. 504,587 1,448,252 0.0%
Merck, Ltd. 46,217 465,918 0.0%
MindTree, Ltd. 779,604 7,929,445 0.2%
Mirza International, Ltd. 37,315 58,239 0.0%
MOIL, Ltd. 86,891 313,024 0.0%
Monsanto India, Ltd. 55,175 1,483,969 0.0%
Motilal Oswal Financial Services, Ltd. 57,598 258,200 0.0%
Mphasis, Ltd. 576,690 4,205,834 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
INDIA -- (Continued)
MPS, Ltd. 28,557 $ 291,094 0.0%
MRF, Ltd. 9,763 4,960,099 0.1%
Muthoot Finance, Ltd. 175,922 542,596 0.0%
Natco Pharma, Ltd. 616,750 4,548,148 0.1%
National Aluminium Co., Ltd. 2,379,582 1,658,611 0.0%
Nava Bharat Ventures, Ltd. 13,117 31,350 0.0%
Navin Fluorine International, Ltd. 1,862 48,748 0.0%
Navneet Education, Ltd. 685,858 886,345 0.0%
NCC, Ltd. 5,397,767 6,360,565 0.1%
Nectar Lifesciences, Ltd. 229,932 132,790 0.0%
NESCO, Ltd. 41,009 965,433 0.0%
NIIT Technologies, Ltd. 361,810 2,558,042 0.1%
* NIIT, Ltd. 706,562 884,088 0.0%
Nilkamal, Ltd. 50,252 930,036 0.0%
* Nirvikara Paper Mills, Ltd. 25,924 15,123 0.0%
Nitin Fire Protection Industries, Ltd. 392,998 210,038 0.0%
Oberoi Realty, Ltd. 562,095 2,350,445 0.1%
OCL India, Ltd. 67,894 507,620 0.0%
Omaxe, Ltd. 511,905 1,136,708 0.0%
OnMobile Global, Ltd. 178,531 312,017 0.0%
Orient Cement, Ltd. 378,234 842,395 0.0%
Oriental Bank of Commerce 588,747 802,806 0.0%
Orissa Minerals Development Co., Ltd. 1 30 0.0%
Page Industries, Ltd. 28,392 5,363,860 0.1%
* Parsvnath Developers, Ltd. 242,960 69,561 0.0%
PC Jeweller, Ltd. 459,800 2,478,708 0.1%
Peninsula Land, Ltd. 272,113 82,182 0.0%
Persistent Systems, Ltd. 247,444 2,765,734 0.1%
Petronet LNG, Ltd. 1,512,991 5,990,483 0.1%
Pfizer, Ltd. 89,525 2,357,533 0.1%
Phoenix Mills, Ltd. (The) 294,322 1,419,785 0.0%
PI Industries, Ltd. 424,894 4,112,622 0.1%
Piramal Enterprises, Ltd. 197,346 3,584,492 0.1%
Polaris Consulting & Services, Ltd. 17,126 50,235 0.0%
Praj Industries, Ltd. 710,334 1,042,918 0.0%
Prestige Estates Projects, Ltd. 579,824 1,472,296 0.0%
* Prism Cement, Ltd. 645,641 833,934 0.0%
PTC India Financial Services, Ltd. 2,001,598 1,171,794 0.0%
PTC India, Ltd. 2,190,460 2,136,004 0.1%
* Punj Lloyd, Ltd. 450,109 158,302 0.0%
Punjab & Sind Bank 37,450 20,385 0.0%
Puravankara Projects, Ltd. 389,976 310,229 0.0%
PVR, Ltd. 104,215 1,320,426 0.0%
Radico Khaitan, Ltd. 411,814 545,908 0.0%
Rain Industries, Ltd. 1,039,970 577,897 0.0%
Rallis India, Ltd. 763,957 2,250,303 0.1%
Ramco Cements, Ltd. (The) 568,784 3,861,019 0.1%
* Ramco Systems, Ltd. 27,626 310,014 0.0%
Ratnamani Metals & Tubes, Ltd. 48,826 353,490 0.0%
* RattanIndia Power, Ltd. 1,464,412 217,185 0.0%
Raymond, Ltd. 259,983 1,655,662 0.0%
Redington India, Ltd. 1,693,602 2,772,837 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
INDIA -- (Continued)
* REI Agro, Ltd. 2,301,465 $ 15,714 0.0%
Relaxo Footwears, Ltd. 72,761 538,396 0.0%
Reliance Capital, Ltd. 983,665 6,014,051 0.1%
* Reliance Communications, Ltd. 2,665,243 2,242,188 0.1%
* Reliance Defence and Engineering, Ltd. 1,532,809 1,495,510 0.0%
Reliance Infrastructure, Ltd. 1,132,160 9,163,539 0.2%
Reliance Power, Ltd. 5,681,062 4,340,416 0.1%
Repco Home Finance, Ltd. 84,271 809,863 0.0%
Rolta India, Ltd. 839,332 973,829 0.0%
Ruchi Soya Industries, Ltd. 838,664 358,345 0.0%
Sadbhav Engineering, Ltd. 324,547 1,289,329 0.0%
Sanghvi Movers, Ltd. 32,366 141,291 0.0%
Sanofi India, Ltd. 34,130 2,268,696 0.1%
Sharda Cropchem, Ltd. 588 2,331 0.0%
Shilpa Medicare, Ltd. 29,136 207,394 0.0%
* Shipping Corp. of India, Ltd. 975,179 1,025,916 0.0%
Shoppers Stop, Ltd. 32,032 184,884 0.0%
* Shree Renuka Sugars, Ltd. 1,879,912 377,009 0.0%
Shriram City Union Finance, Ltd. 10,628 262,058 0.0%
* Shyam Century Ferrous, Ltd. 137,796 14,533 0.0%
Simplex Infrastructures, Ltd. 101,949 406,770 0.0%
Sintex Industries, Ltd. 3,190,023 3,969,754 0.1%
* SITI Cable Network, Ltd. 1,329,255 703,370 0.0%
SJVN, Ltd. 2,858,624 1,223,117 0.0%
SKF India, Ltd. 129,552 2,506,198 0.1%
* SKS Microfinance, Ltd. 8,440 77,174 0.0%
SML ISUZU, Ltd. 50,670 739,874 0.0%
Sobha, Ltd. 390,473 1,721,940 0.0%
Solar Industries India, Ltd. 25,572 1,313,018 0.0%
Sona Koyo Steering Systems, Ltd. 361,579 274,816 0.0%
Sonata Software, Ltd. 380,623 855,545 0.0%
South Indian Bank, Ltd. (The) 6,588,178 1,800,233 0.0%
SREI Infrastructure Finance, Ltd. 1,205,273 1,080,210 0.0%
SRF, Ltd. 206,672 4,260,960 0.1%
Star Ferro and Cement, Ltd. 137,796 251,942 0.0%
State Bank of Bikaner & Jaipur 146,666 1,152,679 0.0%
State Bank of Travancore 104,431 590,883 0.0%
Sterlite Technologies, Ltd. 1,345,065 1,785,125 0.0%
Strides Shasun, Ltd. 353,724 5,751,665 0.1%
Sun TV Network, Ltd. 426,443 2,386,553 0.1%
Sundaram Finance, Ltd. 29,140 554,434 0.0%
Sundaram-Clayton, Ltd. 3,890 120,775 0.0%
Sundram Fasteners, Ltd. 626,287 1,532,497 0.0%
Sunteck Realty, Ltd. 7,106 22,842 0.0%
Suprajit Engineering, Ltd. 36,500 76,781 0.0%
Supreme Industries, Ltd. 302,365 3,645,786 0.1%
Supreme Petrochem, Ltd. 103,075 237,170 0.0%
* Suzlon Energy, Ltd. 400,099 90,523 0.0%
Swaraj Engines, Ltd. 14,398 236,448 0.0%
Symphony, Ltd. 9,390 336,860 0.0%
Syndicate Bank 1,354,916 1,418,320 0.0%
TAKE Solutions, Ltd. 440,470 846,729 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
INDIA -- (Continued)
Tamil Nadu Newsprint & Papers, Ltd. 173,348 $ 609,276 0.0%
Tata Chemicals, Ltd. 600,945 3,669,084 0.1%
Tata Communications, Ltd. 879,044 5,441,341 0.1%
Tata Elxsi, Ltd. 255,993 7,341,011 0.2%
Tata Global Beverages, Ltd. 3,480,804 6,289,343 0.1%
Tata Sponge Iron, Ltd. 21,337 183,973 0.0%
* Tata Teleservices Maharashtra, Ltd. 4,512,759 458,059 0.0%
Techno Electric & Engineering Co., Ltd. 125,949 989,772 0.0%
Texmaco Rail & Engineering, Ltd. 333,325 522,827 0.0%
Thermax, Ltd. 305,495 3,526,479 0.1%
Tide Water Oil Co India, Ltd. 1,388 129,111 0.0%
Time Technoplast, Ltd. 461,614 331,895 0.0%
* Timken India, Ltd. 190,272 1,478,135 0.0%
Titagarh Wagons, Ltd. 675,667 929,658 0.0%
Torrent Pharmaceuticals, Ltd. 107,851 2,325,524 0.1%
Torrent Power, Ltd. 1,124,547 3,946,336 0.1%
Transport Corp. of India, Ltd. 258,350 1,038,879 0.0%
Tree House Education and Accessories, Ltd. 164,025 192,512 0.0%
Trent, Ltd. 44,915 1,156,461 0.0%
* Triveni Engineering & Industries, Ltd. 268,720 212,976 0.0%
Triveni Turbine, Ltd. 517,440 848,821 0.0%
TTK Prestige, Ltd. 41,568 2,793,580 0.1%
Tube Investments of India, Ltd. 517,575 3,195,304 0.1%
* TV18 Broadcast, Ltd. 4,813,062 2,814,673 0.1%
TVS Motor Co., Ltd. 2,128,314 10,230,508 0.2%
UCO Bank 1,352,675 807,271 0.0%
Uflex, Ltd. 232,965 620,617 0.0%
Unichem Laboratories, Ltd. 341,606 1,264,607 0.0%
Union Bank of India 2,801,165 5,365,122 0.1%
* Unitech, Ltd. 12,950,453 934,162 0.0%
UPL, Ltd. 62,261 505,642 0.0%
* Usha Martin, Ltd. 30,162 6,630 0.0%
V-Guard Industries, Ltd. 96,893 1,384,007 0.0%
VA Tech Wabag, Ltd. 268,108 2,316,506 0.1%
* Vaibhav Global, Ltd. 3,689 17,302 0.0%
Vakrangee, Ltd. 933,077 2,764,155 0.1%
Vardhman Textiles, Ltd. 169,995 2,222,123 0.1%
Vesuvius India, Ltd. 1,802 20,773 0.0%
Videocon Industries, Ltd. 1,015,651 1,634,013 0.0%
Vijaya Bank 2,025,328 964,612 0.0%
Vinati Organics, Ltd. 7,383 50,859 0.0%
VIP Industries, Ltd. 954,062 1,651,617 0.0%
Voltas, Ltd. 1,586,434 7,018,346 0.1%
VST Industries, Ltd. 25,647 629,435 0.0%
WABCO India, Ltd. 24,700 2,165,941 0.1%
Welspun Corp., Ltd. 826,716 1,375,324 0.0%
* Welspun Enterprises, Ltd. 423,792 396,488 0.0%
Welspun India, Ltd. 2,211,311 3,313,567 0.1%
* Whirlpool of India, Ltd. 30,429 340,595 0.0%
* Wockhardt, Ltd. 188,374 2,798,967 0.1%
Zensar Technologies, Ltd. 120,339 1,777,913 0.0%
Zuari Agro Chemicals, Ltd. 21,687 56,504 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ------------ ---------------
INDIA -- (Continued)
Zydus Wellness, Ltd. 110,685 $ 1,248,757 0.0%
------------ ----
TOTAL INDIA 694,522,937 13.5%
------------ ----
INDONESIA -- (2.7%)
Ace Hardware Indonesia Tbk PT 49,957,800 3,495,505 0.1%
Adaro Energy Tbk PT 10,991,400 605,846 0.0%
Adhi Karya Persero Tbk PT 32,012,188 6,464,768 0.1%
* Agung Podomoro Land Tbk PT 89,645,200 1,724,587 0.0%
Alam Sutera Realty Tbk PT 98,185,400 2,936,470 0.1%
* Aneka Tambang Persero Tbk PT 110,944,138 6,382,534 0.1%
Arwana Citramulia Tbk PT 28,902,300 1,311,373 0.0%
Asahimas Flat Glass Tbk PT 983,000 506,710 0.0%
Astra Graphia Tbk PT 2,211,000 332,209 0.0%
* Bakrie and Brothers Tbk PT 177,337,600 94,128 0.0%
* Bakrie Sumatera Plantations Tbk PT 58,428,800 221,523 0.0%
* Bakrie Telecom Tbk PT 80,514,398 305,256 0.0%
* Bakrieland Development Tbk PT 49,062,573 186,012 0.0%
Bank Bukopin Tbk 36,274,366 1,647,729 0.0%
* Bank Pan Indonesia Tbk PT 17,860,600 1,060,625 0.0%
Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT 33,665,700 2,393,951 0.1%
Bank Pembangunan Daerah Jawa Timur Tbk PT 5,521,400 192,176 0.0%
Bank Tabungan Negara Persero Tbk PT 63,543,149 8,450,084 0.2%
* Barito Pacific Tbk PT 10,694,100 416,718 0.0%
Bekasi Fajar Industrial Estate Tbk PT 22,607,000 482,074 0.0%
* Benakat Integra Tbk PT 151,498,600 573,469 0.0%
* Berau Coal Energy Tbk PT 40,089,600 46,738 0.0%
* Berlian Laju Tanker Tbk PT 35,106,366 -- 0.0%
BISI International Tbk PT 15,524,100 1,954,493 0.1%
* Budi Starch & Sweetener Tbk PT 5,636,800 28,982 0.0%
* Bumi Resources Tbk PT 87,655,400 332,253 0.0%
* Bumi Teknokultura Unggul Tbk PT 3,103,200 285,492 0.0%
* Central Proteina Prima Tbk PT 6,944,300 26,327 0.0%
Ciputra Development Tbk PT 52,875,059 4,973,173 0.1%
Ciputra Property Tbk PT 31,257,485 1,168,487 0.0%
Ciputra Surya Tbk PT 7,901,298 1,256,050 0.0%
* Citra Marga Nusaphala Persada Tbk PT 15,488,875 2,066,869 0.1%
* Clipan Finance Indonesia Tbk PT 1,482,000 29,309 0.0%
* Darma Henwa Tbk PT 57,413,100 52,241 0.0%
* Davomas Abadi Tbk PT 11,631,700 -- 0.0%
* Delta Dunia Makmur Tbk PT 2,393,800 26,457 0.0%
Dharma Satya Nusantara Tbk PT 1,751,000 67,717 0.0%
* Eagle High Plantations Tbk PT 100,062,100 2,145,719 0.1%
Elnusa Tbk PT 44,470,200 1,656,405 0.0%
* Energi Mega Persada Tbk PT 269,426,500 1,020,789 0.0%
Erajaya Swasembada Tbk PT 14,532,000 808,014 0.0%
* Eureka Prima Jakarta Tbk PT 10,855,300 378,636 0.0%
* Ever Shine Textile Tbk PT 3,654,640 54,592 0.0%
* Exploitasi Energi Indonesia Tbk PT 28,522,100 149,056 0.0%
Fajar Surya Wisesa Tbk PT 672,500 76,223 0.0%
Gajah Tunggal Tbk PT 20,013,000 1,202,510 0.0%
* Garuda Indonesia Persero Tbk PT 40,672,049 1,365,113 0.0%
Global Mediacom Tbk PT 25,639,900 2,247,029 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ---------- ---------------
INDONESIA -- (Continued)
* Hanson International Tbk PT 46,816,700 $2,871,196 0.1%
* Harum Energy Tbk PT 7,947,000 544,916 0.0%
Hexindo Adiperkasa Tbk PT 508,500 67,830 0.0%
Holcim Indonesia Tbk PT 5,322,900 416,974 0.0%
Indah Kiat Pulp & Paper Corp. Tbk PT 21,337,800 1,616,774 0.0%
Indo Tambangraya Megah Tbk PT 2,866,800 1,691,728 0.0%
* Indo-Rama Synthetics Tbk PT 252,800 14,398 0.0%
Indomobil Sukses Internasional Tbk PT 33,000 4,644 0.0%
Industri Jamu Dan Farmasi Sido Muncul Tbk PT 7,895,100 298,832 0.0%
* Inovisi Infracom Tbk PT 1,806,467 3,005 0.0%
Intiland Development Tbk PT 66,324,732 2,560,544 0.1%
Japfa Comfeed Indonesia Tbk PT 39,950,800 2,792,342 0.1%
Jaya Real Property Tbk PT 10,131,400 575,403 0.0%
Kawasan Industri Jababeka Tbk PT 169,792,179 3,362,201 0.1%
* Krakatau Steel Persero Tbk PT 20,075,700 957,248 0.0%
* Kresna Graha Investama Tbk PT 3,636,800 668,487 0.0%
Link Net Tbk PT 1,836,500 585,787 0.0%
* Lippo Cikarang Tbk PT 4,398,600 2,435,430 0.1%
* Malindo Feedmill Tbk PT 7,762,400 804,241 0.0%
Matahari Putra Prima Tbk PT 8,935,128 996,246 0.0%
Medco Energi Internasional Tbk PT 14,307,500 1,812,798 0.0%
* Mitra Adiperkasa Tbk PT 8,090,600 2,570,481 0.1%
Mitra Pinasthika Mustika Tbk PT 4,326,800 156,967 0.0%
MNC Investama Tbk PT 182,915,400 2,339,075 0.1%
* MNC Sky Vision Tbk PT 1,540,200 150,974 0.0%
Modernland Realty Tbk PT 83,624,400 2,420,066 0.1%
Multipolar Tbk PT 68,335,900 1,952,169 0.0%
Multistrada Arah Sarana Tbk PT 6,288,800 101,105 0.0%
Nippon Indosari Corpindo Tbk PT 17,449,200 1,917,098 0.0%
* Nirvana Development Tbk PT 12,672,100 96,962 0.0%
* Nusantara Infrastructure Tbk PT 110,612,800 971,222 0.0%
Pabrik Kertas Tjiwi Kimia Tbk PT 1,245,900 64,172 0.0%
* Pacific Strategic Financial Tbk PT 2,243,700 105,416 0.0%
Pan Brothers Tbk PT 41,292,900 1,551,221 0.0%
* Panasia Indo Resources Tbk PT 59,000 3,445 0.0%
* Panin Financial Tbk PT 186,464,500 2,551,742 0.1%
Panin Sekuritas Tbk PT 31,500 7,988 0.0%
* Paninvest Tbk PT 8,124,500 316,124 0.0%
Pembangunan Perumahan Persero Tbk PT 16,393,100 4,543,515 0.1%
Perusahaan Perkebunan London Sumatra Indonesia Tbk PT 36,302,600 4,206,675 0.1%
* PT Texmaco Jaya Tbk 93,000 -- 0.0%
Ramayana Lestari Sentosa Tbk PT 36,840,100 1,953,478 0.0%
* Resource Alam Indonesia Tbk PT 1,074,300 53,508 0.0%
Salim Ivomas Pratama Tbk PT 36,152,200 1,329,223 0.0%
Samindo Resources Tbk PT 419,450 16,184 0.0%
Sampoerna Agro PT 6,143,100 927,140 0.0%
Sawit Sumbermas Sarana Tbk PT 35,062,400 4,927,350 0.1%
* Sekawan Intipratama Tbk PT 9,367,900 44,218 0.0%
Selamat Sempurna Tbk PT 5,514,200 1,974,422 0.1%
Semen Baturaja Persero Tbk PT 28,165,800 1,042,533 0.0%
Sentul City Tbk PT 277,559,400 1,678,272 0.0%
* Sigmagold Inti Perkasa Tbk PT 8,843,400 280,278 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ------------ ---------------
INDONESIA -- (Continued)
Siloam International Hospitals Tbk PT 1,705,800 $ 1,092,227 0.0%
Sinar Mas Agro Resources & Technology Tbk PT 1,037,460 231,777 0.0%
Sri Rejeki Isman Tbk PT 115,408,631 2,513,516 0.1%
* Sugih Energy Tbk PT 162,320,200 4,244,116 0.1%
Summarecon Agung Tbk PT 7,427,164 876,265 0.0%
* Surabaya Agung Industri Pulp & Kertas Tbk PT 64,500 -- 0.0%
* Surya Dumai Industri Tbk 3,298,500 -- 0.0%
Surya Semesta Internusa Tbk PT 41,040,100 2,139,867 0.1%
* Suryainti Permata Tbk PT 7,252,000 -- 0.0%
Tambang Batubara Bukit Asam Persero Tbk PT 5,109,100 2,717,693 0.1%
Tempo Scan Pacific Tbk PT 1,225,200 185,626 0.0%
* Tiga Pilar Sejahtera Food Tbk 19,116,000 1,631,668 0.0%
Timah Persero Tbk PT 33,404,514 1,954,481 0.1%
Tiphone Mobile Indonesia Tbk PT 22,584,500 1,171,039 0.0%
Total Bangun Persada Tbk PT 15,425,800 816,088 0.0%
* Trada Maritime Tbk PT 12,248,113 46,437 0.0%
Trias Sentosa Tbk PT 34,914,100 827,335 0.0%
* Trimegah Securities Tbk PT 3,569,000 16,760 0.0%
* Truba Alam Manunggal Engineering PT 21,316,500 22,629 0.0%
Tunas Baru Lampung Tbk PT 15,826,700 747,595 0.0%
Tunas Ridean Tbk PT 12,965,700 1,056,980 0.0%
* Ultrajaya Milk Industry & Trading Co. Tbk PT 3,657,400 1,160,025 0.0%
Unggul Indah Cahaya Tbk PT 48,239 4,883 0.0%
* Vale Indonesia Tbk PT 10,884,800 1,528,933 0.0%
* Visi Media Asia Tbk PT 55,056,100 1,581,303 0.0%
Wijaya Karya Persero Tbk PT 13,774,400 2,759,121 0.1%
------------ ---
TOTAL INDONESIA 157,862,832 3.1%
------------ ---
MALAYSIA -- (4.5%)
7-Eleven Malaysia Holdings Bhd Class B 230,600 82,037 0.0%
* Adventa Bhd 4,600 993 0.0%
# Aeon Co. M Bhd 4,094,700 2,953,305 0.1%
Aeon Credit Service M Bhd 100,200 337,877 0.0%
Affin Holdings Bhd 1,512,020 896,740 0.0%
AirAsia Bhd 16,357,800 7,940,553 0.2%
#* AirAsia X Bhd 9,543,100 828,131 0.0%
#* Alam Maritim Resources Bhd 3,929,100 376,050 0.0%
Alliance Financial Group Bhd 477,900 489,322 0.0%
* Allianz Malaysia Bhd 59,200 154,350 0.0%
Amway Malaysia Holdings Bhd 399,300 972,468 0.0%
Ann Joo Resources Bhd 787,050 235,391 0.0%
* Anson Perdana Bhd 10,000 -- 0.0%
APM Automotive Holdings Bhd 256,900 256,395 0.0%
Barakah Offshore Petroleum Bhd 1,884,200 346,624 0.0%
Benalec Holdings Bhd 6,180,000 790,192 0.0%
Berjaya Assets Bhd 848,300 173,762 0.0%
# Berjaya Auto Bhd 4,431,100 2,494,151 0.1%
# Berjaya Corp. Bhd 26,281,600 2,584,921 0.1%
Berjaya Food Bhd 91,100 44,055 0.0%
* Berjaya Land Bhd 3,734,000 664,955 0.0%
Berjaya Sports Toto Bhd 2,001,767 1,557,900 0.0%
BIMB Holdings Bhd 1,101,208 1,084,380 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
MALAYSIA -- (Continued)
Bina Darulaman Bhd 199,200 $ 33,582 0.0%
Bintulu Port Holdings Bhd 25,900 44,854 0.0%
BLD Plantation Bhd 21,400 47,014 0.0%
Bonia Corp. Bhd 1,427,000 218,834 0.0%
Boustead Holdings Bhd 1,107,872 1,102,598 0.0%
# Boustead Plantations Bhd 281,600 107,260 0.0%
#* Bumi Armada Bhd 8,350,000 1,685,950 0.0%
# Bursa Malaysia Bhd 3,794,400 8,162,844 0.2%
# Cahya Mata Sarawak Bhd 3,362,500 3,300,953 0.1%
Can-One Bhd 450,300 472,714 0.0%
Carlsberg Brewery Malaysia Bhd Class B 1,176,600 4,062,995 0.1%
Carotech Bhd 230,650 236 0.0%
# CB Industrial Product Holding Bhd 2,940,340 1,693,646 0.1%
CCM Duopharma Biotech Bhd 36,500 22,506 0.0%
Chin Teck Plantations Bhd 33,000 70,458 0.0%
Coastal Contracts Bhd 2,580,766 1,074,012 0.0%
Crescendo Corp. Bhd 19,900 8,560 0.0%
CSC Steel Holdings Bhd 555,500 201,965 0.0%
Cypark Resources Bhd 1,333,500 677,946 0.0%
* D&O Green Technologies Bhd 149,900 11,498 0.0%
Daibochi Plastic & Packaging Industry Bhd 110,880 58,752 0.0%
# Datasonic Group Bhd 2,535,400 854,802 0.0%
* Datuk Keramik Holdings Bhd 24,000 -- 0.0%
* Daya Materials Bhd 15,160,200 310,535 0.0%
# Dayang Enterprise Holdings Bhd 2,930,496 979,644 0.0%
DKSH Holdings Malaysia Bhd 123,000 122,523 0.0%
# DRB-Hicom Bhd 8,897,200 2,207,248 0.1%
Dutch Lady Milk Industries Bhd 141,300 1,917,237 0.1%
#* Eastern & Oriental Bhd 7,270,547 2,846,987 0.1%
ECM Libra Financial Group Bhd 183,666 17,106 0.0%
#* Eco World Development Group Bhd 3,244,500 1,069,966 0.0%
Ekovest BHD 125,600 45,716 0.0%
# Evergreen Fibreboard Bhd 6,164,250 1,702,026 0.1%
FAR East Holdings Bhd 61,500 123,576 0.0%
# Felda Global Ventures Holdings Bhd 3,952,700 1,464,413 0.0%
* Fountain View Development Bhd 808,200 -- 0.0%
Gadang Holdings Bhd 260,200 138,161 0.0%
Gas Malaysia Bhd 378,800 223,572 0.0%
GD Express Carrier Bhd 564,986 217,968 0.0%
* Global Oriental Bhd 766,800 96,924 0.0%
# Globetronics Technology Bhd 1,917,160 1,677,036 0.0%
Glomac Bhd 2,854,800 595,098 0.0%
* Golden Plus Holding Bhd 216,000 -- 0.0%
Goldis Bhd 604,277 404,661 0.0%
GuocoLand Malaysia Bhd 1,535,500 486,322 0.0%
Hai-O Enterprise Bhd 722,380 469,288 0.0%
# HAP Seng Consolidated Bhd 2,889,940 5,667,317 0.1%
Hap Seng Plantations Holdings Bhd 1,686,900 1,031,183 0.0%
Heineken Malaysia Bhd 877,000 3,373,618 0.1%
Hiap Teck Venture Bhd 999,700 129,093 0.0%
* Hibiscus Petroleum Bhd 381,400 18,524 0.0%
# Hock Seng LEE Bhd 1,581,416 736,062 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
MALAYSIA -- (Continued)
Hong Leong Industries Bhd 715,200 $1,347,701 0.0%
Hovid Bhd 3,670,800 403,280 0.0%
Hua Yang Bhd 1,465,400 674,710 0.0%
Hume Industries Bhd 281,872 223,469 0.0%
Hup Seng Industries Bhd 1,389,233 465,532 0.0%
Hwang Capital Malaysia Bhd 3,300 1,850 0.0%
I-Bhd 2,682,700 353,164 0.0%
IFCA MSC Bhd 3,143,100 508,901 0.0%
IJM Plantations Bhd 1,755,200 1,566,888 0.0%
# Inari Amertron Bhd 3,268,765 2,282,534 0.1%
Inch Kenneth Kajang Rubber P.L.C. 1,045,300 199,046 0.0%
Insas Bhd 5,261,381 913,619 0.0%
* Iris Corp. Bhd 12,817,700 507,701 0.0%
#* Iskandar Waterfront City Bhd 3,147,800 739,438 0.0%
* JAKS Resources Bhd 3,430,900 929,079 0.0%
Jaya Tiasa Holdings Bhd 2,997,627 1,032,944 0.0%
# JCY International Bhd 4,218,100 711,310 0.0%
K&N Kenanga Holdings Bhd 1,871,360 236,900 0.0%
# Karex Bhd 1,354,049 896,557 0.0%
Keck Seng Malaysia Bhd 847,250 1,089,714 0.0%
* Kian JOO CAN Factory Bhd 1,893,880 1,574,810 0.0%
Kim Loong Resources Bhd 308,960 267,843 0.0%
Kimlun Corp. Bhd 659,800 296,781 0.0%
KLCCP Stapled Group 11,900 21,943 0.0%
#* KNM Group Bhd 16,720,480 2,024,576 0.1%
# Kossan Rubber Industries 4,143,500 6,362,316 0.1%
# KPJ Healthcare Bhd 6,538,825 7,083,197 0.2%
* Kretam Holdings Bhd 3,550,900 498,996 0.0%
# KSL Holdings Bhd 5,292,218 1,692,557 0.1%
* KUB Malaysia Bhd 1,046,600 74,782 0.0%
#* Kulim Malaysia Bhd 4,012,300 4,067,314 0.1%
* Kumpulan Europlus Bhd 406,000 92,851 0.0%
Kumpulan Fima Bhd 883,150 424,788 0.0%
Kumpulan Perangsang Selangor Bhd 2,387,300 646,261 0.0%
* Kwantas Corp. Bhd 390,200 146,393 0.0%
Land & General Bhd 8,947,700 777,331 0.0%
#* Landmarks Bhd 1,775,200 414,787 0.0%
LBS Bina Group Bhd 2,772,100 1,127,856 0.0%
Lingkaran Trans Kota Holdings Bhd 1,077,000 1,459,143 0.0%
* Lion Industries Corp. Bhd 2,532,700 278,287 0.0%
LPI Capital Bhd 202,270 792,797 0.0%
Magnum Bhd 4,658,000 2,896,426 0.1%
Mah Sing Group Bhd 13,005,387 4,857,709 0.1%
Malayan Flour Mills Bhd 1,707,450 536,707 0.0%
# Malaysia Building Society Bhd 2,932,881 974,777 0.0%
#* Malaysia Marine and Heavy Engineering Holdings Bhd 3,250,700 930,469 0.0%
# Malaysian Bulk Carriers Bhd 3,215,000 681,279 0.0%
# Malaysian Pacific Industries Bhd 803,913 1,520,997 0.0%
Malaysian Resources Corp. Bhd 11,540,249 3,565,631 0.1%
Malton Bhd 930,100 165,210 0.0%
* Mancon Bhd 12,000 -- 0.0%
# Matrix Concepts Holdings Bhd 2,150,067 1,380,511 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
MALAYSIA -- (Continued)
MBM Resources Bhd 1,478,796 $ 821,202 0.0%
Media Chinese International, Ltd. 3,771,300 698,734 0.0%
Media Prima Bhd 7,530,003 2,715,042 0.1%
# Mega First Corp. Bhd 556,300 248,885 0.0%
* MEMS Technology Bhd 1,917,000 -- 0.0%
Mitrajaya Holdings Bhd 2,130,500 663,940 0.0%
MK Land Holdings Bhd 3,077,600 263,431 0.0%
MKH Bhd 1,613,390 1,043,408 0.0%
MMC Corp. Bhd 264,800 142,410 0.0%
* MNRB Holdings Bhd 826,700 637,347 0.0%
#* MPHB Capital Bhd 1,265,200 465,278 0.0%
* Mudajaya Group Bhd 2,167,266 653,379 0.0%
Muhibbah Engineering M Bhd 3,397,850 2,040,579 0.1%
* Mulpha International Bhd 15,624,800 1,197,944 0.0%
# My EG Services Bhd 14,422,400 7,412,061 0.2%
# Naim Holdings Bhd 1,751,900 1,025,549 0.0%
* Nikko Electronics Bhd 36,600 -- 0.0%
NTPM Holdings Bhd 640,000 157,082 0.0%
OCK Group Bhd 977,700 194,977 0.0%
Oldtown Bhd 2,452,850 920,686 0.0%
Oriental Holdings Bhd 233,800 415,815 0.0%
OSK Holdings Bhd 5,458,070 2,303,272 0.1%
Pacific & Orient Bhd 205,000 69,254 0.0%
# Padini Holdings Bhd 4,629,400 2,592,662 0.1%
Panasonic Manufacturing Malaysia Bhd 159,584 1,167,573 0.0%
* Panglobal Bhd 14,000 -- 0.0%
Pantech Group Holdings Bhd 1,729,625 249,817 0.0%
Paramount Corp. Bhd 410,525 165,826 0.0%
#* Parkson Holdings Bhd 4,701,708 1,094,350 0.0%
* Perisai Petroleum Teknologi Bhd 8,359,300 553,334 0.0%
PESTECH International Bhd 172,900 284,259 0.0%
Pharmaniaga Bhd 709,060 1,017,981 0.0%
Pie Industrial Bhd 186,420 622,004 0.0%
POS Malaysia BHD 3,263,100 2,419,260 0.1%
Power Root Bhd 189,500 102,550 0.0%
Press Metal Bhd 3,972,700 2,979,619 0.1%
# Prestariang Bhd 2,251,100 1,436,034 0.0%
* Prime Utilities Bhd 3,000 -- 0.0%
Protasco Bhd 1,940,600 843,710 0.0%
# Puncak Niaga Holdings Bhd 1,914,120 587,735 0.0%
# QL Resources Bhd 4,039,930 4,519,961 0.1%
RCE Capital Bhd 176,037 33,975 0.0%
#* Rimbunan Sawit Bhd 3,525,300 491,031 0.0%
# Salcon Bhd 6,650,300 1,095,635 0.0%
Sarawak Cable Bhd 405,600 154,229 0.0%
Sarawak Oil Palms Bhd 506,260 570,457 0.0%
Scientex Bhd 793,262 2,537,085 0.1%
* Scomi Energy Services Bhd 1,891,700 113,347 0.0%
* Scomi Group Bhd 10,459,800 467,565 0.0%
* Seal, Inc. Bhd 64,300 7,971 0.0%
SEG International Bhd 85,100 27,855 0.0%
Selangor Dredging Bhd 1,118,200 291,992 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
MALAYSIA -- (Continued)
Selangor Properties Bhd 217,400 $ 278,196 0.0%
Shangri-La Hotels Malaysia Bhd 418,700 609,376 0.0%
* Shell Refining Co. Federation of Malaya Bhd 24,000 18,890 0.0%
SHL Consolidated Bhd 246,000 185,699 0.0%
# SKP Resources Bhd 819,700 280,783 0.0%
# Star Media Group Bhd 2,042,700 1,270,443 0.0%
* Sumatec Resources Bhd 9,919,300 303,470 0.0%
Sunway Bhd 3,847,460 3,082,735 0.1%
Sunway Construction Group Bhd 297,536 123,286 0.0%
# Supermax Corp. Bhd 5,844,400 3,887,360 0.1%
Suria Capital Holdings Bhd 702,700 407,848 0.0%
# Syarikat Takaful Malaysia Bhd 2,641,600 2,685,086 0.1%
Symphony Life Bhd 583,326 105,960 0.0%
Ta Ann Holdings Bhd 1,515,408 1,858,198 0.1%
TA Enterprise Bhd 10,182,800 1,432,036 0.0%
TA Global Bhd 9,613,540 588,898 0.0%
* Talam Transform Bhd 5,646,800 72,243 0.0%
# Taliworks Corp. Bhd 1,291,650 435,933 0.0%
Tambun Indah Land Bhd 1,690,300 601,305 0.0%
# TAN Chong Motor Holdings Bhd 1,992,000 1,138,368 0.0%
* Tanjung Offshore Bhd 1,465,800 116,127 0.0%
Tasek Corp. Bhd 86,800 346,501 0.0%
# TDM Bhd 8,018,200 1,465,456 0.0%
* TH Heavy Engineering Bhd 6,672,700 221,546 0.0%
# TH Plantations Bhd 1,665,860 514,731 0.0%
Time dotCom Bhd 2,074,988 3,915,905 0.1%
Tiong NAM Logistics Holdings 1,886,500 617,960 0.0%
TMC Life Sciences Bhd 356,400 70,181 0.0%
# Top Glove Corp. Bhd 5,314,520 6,743,117 0.1%
Tropicana Corp. Bhd 4,424,946 1,131,819 0.0%
# TSH Resources Bhd 4,203,600 2,182,396 0.1%
# Tune Protect Group Bhd 4,342,000 1,475,602 0.0%
Uchi Technologies Bhd 1,765,000 780,593 0.0%
# UEM Edgenta Bhd 3,070,200 2,974,480 0.1%
# UEM Sunrise Bhd 11,202,900 2,915,742 0.1%
#* UMW Oil & Gas Corp. Bhd 5,251,100 1,252,160 0.0%
Unisem M Bhd 4,192,490 2,370,033 0.1%
United Malacca Bhd 396,150 604,226 0.0%
United Plantations Bhd 435,200 2,986,361 0.1%
United U-Li Corp. Bhd 613,900 844,806 0.0%
# UOA Development Bhd 4,133,500 2,326,671 0.1%
#* Uzma Bhd 900,800 456,166 0.0%
# VS Industry Bhd 6,529,330 2,019,865 0.1%
# Wah Seong Corp. Bhd 2,907,569 561,104 0.0%
# WCT Holdings Bhd 7,790,699 3,264,158 0.1%
Wellcall Holdings Bhd 2,017,300 1,243,874 0.0%
Wing Tai Malaysia Bhd 1,065,150 324,542 0.0%
WTK Holdings Bhd 2,688,000 824,281 0.0%
# Yinson Holdings Bhd 1,705,900 1,203,448 0.0%
* YNH Property Bhd 2,847,289 1,434,145 0.0%
YTL E-Solutions Bhd 3,055,000 414,955 0.0%
* YTL Land & Development Bhd 1,204,600 194,119 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
MALAYSIA -- (Continued)
Zhulian Corp. Bhd 1,156,633 $ 434,622 0.0%
------------ ---
TOTAL MALAYSIA 258,085,894 5.0%
------------ ---
MEXICO -- (3.8%)
# Alpek S.A.B. de C.V. 3,571,730 5,985,183 0.1%
# Alsea S.A.B. de C.V. 6,247,966 23,950,116 0.5%
#* Axtel S.A.B. de C.V. 7,758,264 3,454,200 0.1%
# Banregio Grupo Financiero S.A.B. de C.V. 2,323,229 13,949,110 0.3%
* Bio Pappel S.A.B. de C.V. 506,435 652,889 0.0%
Bolsa Mexicana de Valores S.A.B. de C.V. 5,010,857 8,309,367 0.2%
* Cia Minera Autlan S.A.B. de C.V. Series B 255,333 100,473 0.0%
# Consorcio ARA S.A.B. de C.V. Series * 8,924,300 3,490,948 0.1%
* Controladora Vuela Cia de Aviacion S.A.B. de C.V. ADR 95,878 2,001,933 0.0%
* Controladora Vuela Cia de Aviacion S.A.B. de C.V. Class A 263,126 550,121 0.0%
* Corp Interamericana de Entretenimiento SAB de CV Class B 960,372 864,101 0.0%
Corp. Actinver SAB de C.V. 187,852 154,991 0.0%
# Corp. Inmobiliaria Vesta S.A.B. de C.V. 5,180,125 8,430,482 0.2%
* Corp. Mexicana de Restaurantes S.A.B. de C.V. 1,323 627 0.0%
Corp. Moctezuma S.A.B. de C.V. Series * 861,300 2,903,599 0.1%
Corporativo Fragua S.A.B. de C.V. 3 38 0.0%
* Corporativo GBM S.A.B. de C.V. 22,477 18,290 0.0%
Credito Real S.A.B. de C.V. SOFOM ER 1,136,464 2,500,206 0.1%
Cydsa S.A.B. de C.V. 3,875 5,088 0.0%
#* Desarrolladora Homex S.A.B. de C.V. 78,182 15,450 0.0%
* Empaques Ponderosa S.A. de C.V. 206,000 -- 0.0%
#* Empresas ICA S.A.B. de C.V. 2,446,496 523,295 0.0%
#* Empresas ICA S.A.B. de C.V. Sponsored ADR 776,820 692,768 0.0%
* Financiera Independencia SAB de C.V. SOFOM ENR 62,171 12,937 0.0%
#* Genomma Lab Internacional S.A.B. de C.V. Class B 7,465,092 8,200,704 0.2%
Gentera S.A.B. de C.V. 7,403,631 14,691,375 0.3%
Gruma S.A.B. de C.V. Class B 201,800 2,941,496 0.1%
#* Grupo Aeromexico S.A.B. de C.V. 2,880,666 6,571,836 0.1%
Grupo Aeroportuario del Centro Norte S.A.B. de C.V. 2,374,699 13,769,532 0.3%
Grupo Aeroportuario del Centro Norte S.A.B. de C.V. ADR 3,642 169,098 0.0%
Grupo Aeroportuario del Pacifico S.A.B. de C.V. ADR 10,679 1,008,311 0.0%
Grupo Aeroportuario del Pacifico S.A.B. de C.V. Class B 1,192,976 11,264,336 0.2%
Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR 36,118 5,556,393 0.1%
Grupo Aeroportuario del Sureste S.A.B. de C.V. Class B 356,546 5,490,982 0.1%
Grupo Cementos de Chihuahua S.A.B. de C.V. 818,100 2,401,330 0.1%
# Grupo Comercial Chedraui S.A. de C.V. 2,739,021 7,751,563 0.2%
* Grupo Famsa S.A.B. de C.V. Class A 2,729,063 2,070,038 0.0%
# Grupo Financiero Interacciones SA de C.V. 736,566 4,170,320 0.1%
# Grupo Herdez S.A.B. de C.V. Series * 1,955,295 4,301,623 0.1%
Grupo Industrial Maseca S.A.B. de C.V. Class B 592,181 781,674 0.0%
# Grupo Industrial Saltillo S.A.B. de C.V. 272,900 515,356 0.0%
Grupo KUO S.A.B. de C.V. Series B 758,658 1,455,171 0.0%
* Grupo Pochteca S.A.B. de C.V. 585,177 340,127 0.0%
* Grupo Posadas S.A.B. de C.V. 198,900 527,174 0.0%
* Grupo Qumma SA de C.V. Series B 105,334 -- 0.0%
Grupo Sanborns S.A.B. de C.V. 303,185 418,881 0.0%
#* Grupo Simec S.A.B. de C.V. Series B 1,622,050 5,405,058 0.1%
#* Grupo Simec S.A.B. de C.V. Sponsored ADR 5,180 51,127 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ------------ ---------------
MEXICO -- (Continued)
#* Grupo Sports World S.A.B. de C.V. 585,081 $ 646,136 0.0%
#* Hoteles City Express S.A.B. de C.V. 733,978 917,225 0.0%
# Industrias Bachoco S.A.B. de C.V. ADR 40,580 2,040,768 0.0%
Industrias Bachoco S.A.B. de C.V. Series B 1,371,175 5,746,221 0.1%
#* Industrias CH S.A.B. de C.V. Series B 2,230,124 9,288,808 0.2%
* La Comer S.A.B. de C.V. 1,431,154 1,497,314 0.0%
#* Maxcom Telecomunicaciones S.A.B. de C.V. 2,820,323 147,535 0.0%
Megacable Holdings S.A.B. de C.V. 1,429,103 6,608,646 0.1%
#* Minera Frisco S.A.B. de C.V. 1,484,353 1,063,786 0.0%
* OHL Mexico S.A.B. de C.V. 2,861,799 4,702,395 0.1%
# Organizacion Cultiba S.A.B. de C.V. 1,148,096 1,588,215 0.0%
#* Organizacion Soriana S.A.B. de C.V. Class B 6,317 15,204 0.0%
Promotora y Operadora de Infraestructura S.A.B. de C.V. 36,247 459,517 0.0%
* Qualitas Controladora S.A.B. de C.V. 892,402 1,193,524 0.0%
Rassini S.A.B. de C.V. 90,235 421,577 0.0%
* Sanluis Corp. S.A.B. de C.V. 4,642 -- 0.0%
* Sanluis Corp. S.A.B. de C.V. Class B 4,642 -- 0.0%
* Sanluis Rassini S.A.P.I. de C.V. Series A 3,300 -- 0.0%
* Savia SA Class A 610,700 -- 0.0%
#* Telesites SAB de C.V. 551,142 339,565 0.0%
# TV Azteca S.A.B. de C.V. 12,046,269 1,659,415 0.0%
#* Urbi Desarrollos Urbanos S.A.B. de C.V. 2,371,991 178 0.0%
# Vitro S.A.B. de C.V. Series A 895,276 3,090,990 0.1%
------------ ---
TOTAL MEXICO 219,846,736 4.3%
------------ ---
PHILIPPINES -- (1.5%)
A Soriano Corp. 3,430,211 441,803 0.0%
ACR Mining Corp. 48,205 3,451 0.0%
Alsons Consolidated Resources, Inc. 8,785,000 264,101 0.0%
* Atlas Consolidated Mining & Development Corp. 6,148,000 548,059 0.0%
Belle Corp. 38,182,400 2,470,964 0.1%
* Bloomberry Resorts Corp. 7,338,200 665,854 0.0%
Cebu Air, Inc. 2,114,510 4,011,560 0.1%
Cebu Holdings, Inc. 3,291,900 357,733 0.0%
Century Pacific Food, Inc. 608,300 245,248 0.0%
Century Properties Group, Inc. 26,261,151 307,983 0.0%
China Banking Corp. 1,084,545 890,094 0.0%
COL Financial Group, Inc. 130,900 39,089 0.0%
Cosco Capital, Inc. 13,569,200 2,296,749 0.1%
D&L Industries, Inc. 34,010,300 6,520,364 0.1%
DoubleDragon Properties Corp. 1,287,800 1,070,210 0.0%
East West Banking Corp. 1,950,000 636,476 0.0%
EEI Corp. 3,744,700 578,646 0.0%
* Empire East Land Holdings, Inc. 19,893,000 360,120 0.0%
Filinvest Development Corp. 3,314,322 384,926 0.0%
Filinvest Land, Inc. 127,610,577 4,977,807 0.1%
First Gen Corp. 13,399,100 5,790,577 0.1%
First Philippine Holdings Corp. 2,542,830 3,614,331 0.1%
Leisure & Resorts World Corp. 4,437,640 728,018 0.0%
* Lepanto Consolidated Mining Co. 43,735,455 242,607 0.0%
Lopez Holdings Corp. 21,983,900 3,421,681 0.1%
Manila Water Co., Inc. 10,409,500 6,168,094 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
PHILIPPINES -- (Continued)
Max's Group, Inc. 404,900 $ 182,109 0.0%
* Megawide Construction Corp. 2,050,108 275,224 0.0%
* Melco Crown Philippines Resorts Corp. 10,682,700 522,262 0.0%
* Metro Pacific Corp. Series A 1,827,193 -- 0.0%
Pepsi-Cola Products Philippines, Inc. 11,395,900 900,606 0.0%
Petron Corp. 13,347,000 3,031,257 0.1%
* Philippine National Bank 2,007,455 2,190,722 0.1%
* Philippine National Construction Corp. 173,000 3,391 0.0%
Philippine Savings Bank 356,863 783,604 0.0%
Philippine Stock Exchange, Inc. (The) 121,592 690,053 0.0%
* Philippine Townships, Inc. 318,732 -- 0.0%
* Philtown Properties, Inc. 111,562 -- 0.0%
Philweb Corp. 3,483,140 1,744,689 0.0%
Phinma Corp. 131,349 32,476 0.0%
Phoenix Petroleum Philippines, Inc. 694,880 70,048 0.0%
Premium Leisure Corp. 14,346,000 265,490 0.0%
Puregold Price Club, Inc. 4,132,600 3,542,284 0.1%
RFM Corp. 9,081,668 809,678 0.0%
Rizal Commercial Banking Corp. 3,193,380 2,109,347 0.1%
Robinsons Land Corp. 10,259,405 5,921,320 0.1%
Robinsons Retail Holdings, Inc. 173,170 283,862 0.0%
San Miguel Pure Foods Co., Inc. 93,790 409,554 0.0%
Security Bank Corp. 2,789,318 10,101,741 0.2%
Trans-Asia Oil & Energy Development Corp. 13,867,000 753,563 0.0%
Travellers International Hotel Group, Inc. 4,555,000 327,883 0.0%
Union Bank of the Philippines 1,263,751 1,554,970 0.0%
* Universal Rightfield Property Holdings, Inc. 1,062,000 -- 0.0%
* Victorias Milling Co., Inc. 231,600 24,148 0.0%
Vista Land & Lifescapes, Inc. 49,819,900 5,090,624 0.1%
Xurpas, Inc. 776,600 272,824 0.0%
----------- ---
TOTAL PHILIPPINES 88,930,274 1.7%
----------- ---
POLAND -- (1.9%)
AB SA 1,082 9,919 0.0%
ABC Data SA 129,926 123,547 0.0%
# Action SA 26,708 109,065 0.0%
* Agora SA 276,756 901,315 0.0%
#* Alior Bank SA 189,792 3,433,832 0.1%
Amica Wronki SA 26,540 1,245,564 0.0%
* AmRest Holdings SE 80,046 4,690,324 0.1%
Apator SA 57,632 486,320 0.0%
Asseco Poland SA 683,476 10,372,944 0.2%
ATM SA 64,541 164,139 0.0%
#* Bioton SA 676,718 1,872,304 0.0%
# Boryszew SA 1,196,385 1,586,355 0.0%
Budimex SA 122,591 6,263,538 0.1%
CCC SA 107,305 4,784,909 0.1%
#* CD Projekt Red SA 758,157 5,055,068 0.1%
* Ciech SA 295,749 5,482,839 0.1%
* ComArch SA 5,264 193,087 0.0%
Dom Development SA 4,673 71,016 0.0%
* Elektrobudowa SA 8,568 261,268 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
POLAND -- (Continued)
Emperia Holding SA 93,874 $ 1,407,789 0.0%
Enea SA 430,840 1,332,013 0.0%
Energa SA 154,723 504,108 0.0%
Fabryki Mebli Forte SA 135,217 2,338,346 0.1%
* Famur SA 350,412 234,630 0.0%
#* Farmacol SA 50,868 570,304 0.0%
Firma Oponiarska Debica SA 30,655 742,267 0.0%
* Getin Holding SA 2,713,582 809,372 0.0%
#* Getin Noble Bank SA 2,984,396 398,934 0.0%
* Grupa Azoty SA 17,206 391,830 0.0%
Grupa Azoty Zaklady Chemiczne Police SA 76,751 502,625 0.0%
Grupa Kety SA 69,430 5,984,010 0.1%
#* Grupa Lotos SA 1,010,187 7,853,884 0.2%
* Impexmetal SA 1,045,896 756,218 0.0%
#* Integer.pl SA 33,143 692,571 0.0%
# Inter Cars SA 35,917 2,237,829 0.1%
#* Jastrzebska Spolka Weglowa SA 418,789 2,156,923 0.1%
Kernel Holding SA 444,440 5,989,995 0.1%
Kopex SA 144,079 124,614 0.0%
# KRUK SA 108,024 5,391,247 0.1%
* LC Corp. SA 192,664 111,053 0.0%
Lentex SA 157,761 370,928 0.0%
# Lubelski Wegiel Bogdanka SA 68,724 823,559 0.0%
* MCI Capital SA 231,629 711,767 0.0%
Mostostal Zabrze SA 425,811 178,404 0.0%
# Netia SA 2,713,892 3,592,348 0.1%
Neuca SA 23,499 2,019,049 0.1%
Orbis SA 132,247 2,106,960 0.1%
Pelion SA 47,515 637,025 0.0%
#* Pfleiderer Grajewo SA 26,312 220,700 0.0%
# PKP Cargo SA 37,098 401,121 0.0%
#* Polnord SA 343,904 1,184,918 0.0%
* Polski Koncern Miesny Duda SA 69,986 104,497 0.0%
* Rafako SA 314,282 670,077 0.0%
* Stalexport Autostrady SA 282,703 235,499 0.0%
Stalprodukt SA 9,296 711,075 0.0%
* Sygnity SA 40,187 80,523 0.0%
# Synthos SA 1,973,682 2,104,673 0.1%
Tauron Polska Energia SA 4,917,651 3,812,127 0.1%
* Trakcja SA 414,180 1,323,694 0.0%
#* Vistula Group SA 1,409,023 1,137,458 0.0%
Warsaw Stock Exchange 208,730 2,061,539 0.1%
Wawel SA 697 202,680 0.0%
Zespol Elektrowni Patnow Adamow Konin SA 65,319 153,952 0.0%
------------ ---
TOTAL POLAND 112,482,488 2.2%
------------ ---
SOUTH AFRICA -- (6.8%)
* Adbee Rf, Ltd. 56,516 114,243 0.0%
Adcock Ingram Holdings, Ltd. 848,818 2,507,947 0.1%
Adcorp Holdings, Ltd. 896,475 978,801 0.0%
Advtech, Ltd. 3,146,875 3,072,997 0.1%
Aeci, Ltd. 1,085,693 7,310,762 0.2%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
SOUTH AFRICA -- (Continued)
* African Bank Investments, Ltd. 5,287,877 $ 21,582 0.0%
African Oxygen, Ltd. 858,752 1,063,846 0.0%
# African Rainbow Minerals, Ltd. 688,382 5,431,502 0.1%
Afrimat, Ltd. 41,299 69,277 0.0%
Alexander Forbes Group Holdings, Ltd. 1,286,971 648,659 0.0%
Allied Electronics Corp., Ltd. 169,001 69,882 0.0%
* ArcelorMittal South Africa, Ltd. 1,671,563 1,187,242 0.0%
Ascendis Health, Ltd. 328,389 529,019 0.0%
# Assore, Ltd. 208,486 2,914,605 0.1%
Astral Foods, Ltd. 458,146 4,156,120 0.1%
* Attacq, Ltd. 1,790,168 2,619,893 0.1%
* Aveng, Ltd. 4,254,721 1,384,372 0.0%
AVI, Ltd. 3,423,460 21,240,907 0.4%
Barloworld, Ltd. 2,216,736 12,796,839 0.3%
Blue Label Telecoms, Ltd. 2,784,405 3,080,140 0.1%
Cashbuild, Ltd. 212,494 5,186,124 0.1%
Caxton and CTP Publishers and Printers, Ltd. 313,704 297,599 0.0%
City Lodge Hotels, Ltd. 328,296 3,533,454 0.1%
Clicks Group, Ltd. 2,666,173 19,456,493 0.4%
Clover Industries, Ltd. 1,345,179 1,776,740 0.0%
* Consolidated Infrastructure Group, Ltd. 664,270 1,393,668 0.0%
# Coronation Fund Managers, Ltd. 1,818,975 9,450,577 0.2%
DataTec, Ltd. 2,096,639 6,631,339 0.1%
Distell Group, Ltd. 123,172 1,376,441 0.0%
* Distribution and Warehousing Network, Ltd. 103,622 31,673 0.0%
DRDGOLD, Ltd. 2,825,942 1,556,291 0.0%
EOH Holdings, Ltd. 1,117,136 10,876,007 0.2%
* Eqstra Holdings, Ltd. 3,237,951 502,649 0.0%
* Evraz Highveld Steel and Vanadium, Ltd. 63,001 473 0.0%
# Exxaro Resources, Ltd. 662,161 4,202,599 0.1%
# Famous Brands, Ltd. 662,753 5,288,128 0.1%
Foschini Group, Ltd. (The) 1,415,093 15,201,788 0.3%
# Grand Parade Investments, Ltd. 3,216,227 839,614 0.0%
Grindrod, Ltd. 5,862,020 5,895,053 0.1%
Group Five, Ltd. 1,023,006 1,807,655 0.0%
#* Harmony Gold Mining Co., Ltd. 1,536,275 5,491,786 0.1%
#* Harmony Gold Mining Co., Ltd. Sponsored ADR 2,632,188 9,633,808 0.2%
Holdsport, Ltd. 210,011 901,342 0.0%
* Howden Africa Holdings, Ltd. 39,220 71,597 0.0%
Hudaco Industries, Ltd. 267,426 2,134,238 0.0%
Hulamin, Ltd. 1,296,594 524,132 0.0%
Illovo Sugar, Ltd. 1,900,404 3,244,349 0.1%
Imperial Holdings, Ltd. 191,959 2,005,885 0.0%
# Invicta Holdings, Ltd. 351,408 1,341,063 0.0%
* JCI, Ltd. 3,131,151 -- 0.0%
JSE, Ltd. 892,197 10,351,796 0.2%
KAP Industrial Holdings, Ltd. 6,458,514 2,863,575 0.1%
* Kumba Iron Ore, Ltd. 83,999 682,661 0.0%
# Lewis Group, Ltd. 894,536 3,015,980 0.1%
# Massmart Holdings, Ltd. 392,226 3,366,241 0.1%
Merafe Resources, Ltd. 11,489,424 712,042 0.0%
Metair Investments, Ltd. 1,281,683 1,995,424 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
SOUTH AFRICA -- (Continued)
Metrofile Holdings, Ltd. 82,524 $ 27,553 0.0%
Mpact, Ltd. 1,489,097 4,863,079 0.1%
Murray & Roberts Holdings, Ltd. 4,087,163 4,228,692 0.1%
Mustek, Ltd. 740,967 297,528 0.0%
Nampak, Ltd. 5,134,519 8,782,273 0.2%
* Net 1 UEPS Technologies, Inc. 776 9,067 0.0%
#* Northam Platinum, Ltd. 3,640,843 12,413,254 0.2%
Oceana Group, Ltd. 426,383 3,608,492 0.1%
Omnia Holdings, Ltd. 599,734 5,884,517 0.1%
Peregrine Holdings, Ltd. 2,025,167 4,251,361 0.1%
# Pick n Pay Stores, Ltd. 2,069,376 10,735,334 0.2%
* Pinnacle Holdings, Ltd. 1,226,028 1,291,724 0.0%
Pioneer Foods Group, Ltd. 125,420 1,468,423 0.0%
PPC, Ltd. 5,744,835 6,052,783 0.1%
PSG Group, Ltd. 223,726 3,124,516 0.1%
Raubex Group, Ltd. 1,326,537 1,743,853 0.0%
RCL Foods, Ltd. 683,713 672,754 0.0%
Reunert, Ltd. 1,561,642 7,849,464 0.2%
Rhodes Food Group Pty, Ltd. 25,903 40,012 0.0%
* Royal Bafokeng Platinum, Ltd. 705,337 2,163,063 0.0%
Santam, Ltd. 267,868 4,422,035 0.1%
* Sappi, Ltd. 4,082,585 17,706,447 0.4%
Sibanye Gold, Ltd. 3,727,720 14,268,550 0.3%
Sibanye Gold, Ltd. Sponsored ADR 111,332 1,714,513 0.0%
Spar Group, Ltd. (The) 1,156,299 17,281,868 0.3%
Spur Corp., Ltd. 619,410 1,384,067 0.0%
* Stefanutti Stocks Holdings, Ltd. 229,540 70,114 0.0%
Sun International, Ltd. 1,136,629 6,159,443 0.1%
* Super Group, Ltd. 3,477,779 10,055,717 0.2%
Telkom SA SOC, Ltd. 1,377,474 5,492,110 0.1%
Tongaat Hulett, Ltd. 1,002,941 8,291,927 0.2%
Transaction Capital, Ltd. 254,017 210,744 0.0%
Trencor, Ltd. 1,369,751 4,308,953 0.1%
Tsogo Sun Holdings, Ltd. 2,589,196 4,841,748 0.1%
Wilson Bayly Holmes-Ovcon, Ltd. 545,366 4,657,811 0.1%
------------ ---
TOTAL SOUTH AFRICA 395,212,708 7.7%
------------ ---
SOUTH KOREA -- (13.3%)
#* 3S Korea Co., Ltd. 15,208 65,179 0.0%
# Able C&C Co., Ltd. 72,378 2,062,473 0.1%
#* Actoz Soft Co., Ltd. 29,003 582,379 0.0%
# Advanced Nano Products Co., Ltd. 38,633 547,144 0.0%
#* Advanced Process Systems Corp. 138,964 2,399,060 0.1%
# Aekyung Petrochemical Co., Ltd. 8,671 460,206 0.0%
# AfreecaTV Co., Ltd. 71,824 1,819,980 0.1%
#* Agabang&Company 159,566 1,285,791 0.0%
# Ahn-Gook Pharmaceutical Co., Ltd. 38,563 579,483 0.0%
# Ahnlab, Inc. 27,984 1,623,803 0.1%
#* AJ Rent A Car Co., Ltd. 93,213 880,254 0.0%
# AK Holdings, Inc. 23,871 1,256,655 0.0%
# ALUKO Co., Ltd. 194,359 1,137,374 0.0%
#* Aminologics Co., Ltd. 36,345 86,207 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
SOUTH KOREA -- (Continued)
#* Amotech Co., Ltd. 53,135 $ 911,996 0.0%
#* Anam Electronics Co., Ltd. 778,248 868,057 0.0%
# Anapass, Inc. 51,795 700,726 0.0%
# Asia Cement Co., Ltd. 5,971 565,957 0.0%
ASIA Holdings Co., Ltd. 12,288 1,255,937 0.0%
#* Asia Paper Manufacturing Co., Ltd. 33,401 525,813 0.0%
* Asiana Airlines, Inc. 638,206 2,672,609 0.1%
#* AUK Corp. 199,140 413,583 0.0%
# Autech Corp. 49,323 281,662 0.0%
Avaco Co., Ltd. 36,215 178,069 0.0%
Avatec Co., Ltd. 5,446 37,773 0.0%
# Baiksan Co., Ltd. 58,310 352,606 0.0%
#* BH Co., Ltd. 29,776 148,776 0.0%
# Binggrae Co., Ltd. 34,274 2,048,341 0.1%
# Bioland, Ltd. 52,172 1,077,170 0.0%
Bixolon Co., Ltd. 26,835 337,440 0.0%
# Bluecom Co., Ltd. 61,445 743,646 0.0%
#* Bohae Brewery Co., Ltd. 333,660 494,060 0.0%
Bookook Securities Co., Ltd. 7,410 116,016 0.0%
# Boryung Medience Co., Ltd. 39,185 668,433 0.0%
# Boryung Pharmaceutical Co., Ltd. 28,065 1,381,463 0.0%
* Bubang Co., Ltd. 41,310 229,176 0.0%
* BUGS Corp. 42,091 382,665 0.0%
# Bukwang Pharmaceutical Co., Ltd. 106,287 2,643,085 0.1%
# BYC Co., Ltd. 746 312,104 0.0%
# Byucksan Corp. 209,703 1,661,995 0.1%
#* CammSys Corp. 204,308 665,461 0.0%
#* Capro Corp. 177,680 653,853 0.0%
# Cell Biotech Co., Ltd. 20,007 1,064,932 0.0%
#* Celltrion Pharm, Inc. 73,505 1,341,488 0.0%
#* Chabiotech Co., Ltd. 218,426 2,703,058 0.1%
#* Chadiostech Co., Ltd. 73,679 298,026 0.0%
#* Charm Engineering Co., Ltd. 42,800 10,072 0.0%
#* Chemtronics Co., Ltd. 56,211 312,915 0.0%
#* Chin Hung International, Inc. 106,852 196,473 0.0%
#* China Great Star International, Ltd. 380,444 654,119 0.0%
#* China Ocean Resources Co., Ltd. 642,530 1,153,216 0.0%
# Chinyang Holdings Corp. 67,905 211,959 0.0%
#* Choa Pharmaceutical Co. 49,861 275,155 0.0%
* Chokwang Leather Co., Ltd. 607 19,175 0.0%
# Chokwang Paint, Ltd. 44,110 523,037 0.0%
# Chong Kun Dang Pharmaceutical Corp. 35,758 3,493,093 0.1%
# Chongkundang Holdings Corp. 17,014 1,317,424 0.0%
# Choong Ang Vaccine Laboratory 26,676 425,082 0.0%
Chosun Refractories Co., Ltd. 5,483 439,355 0.0%
# Chungdahm Learning, Inc. 15,629 187,339 0.0%
# CJ CGV Co., Ltd. 648 64,893 0.0%
# CJ Freshway Corp. 31,311 1,483,179 0.0%
CJ Hellovision Co., Ltd. 67,923 731,842 0.0%
CJ O Shopping Co., Ltd. 20,066 3,511,434 0.1%
#* CJ Seafood Corp. 104,541 315,399 0.0%
# CKD Bio Corp. 30,604 719,388 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
SOUTH KOREA -- (Continued)
#* Com2uSCorp 49,489 $5,599,002 0.1%
# Cosmax BTI, Inc. 90,252 4,178,126 0.1%
# Cosmax, Inc. 31,852 3,910,782 0.1%
#* Cosmochemical Co., Ltd. 28,914 122,750 0.0%
#* COSON Co., Ltd. 81,020 1,480,946 0.0%
# Crown Confectionery Co., Ltd. 4,029 1,750,355 0.1%
#* CTC BIO, Inc. 19,238 275,596 0.0%
#* CUROCOM Co., Ltd. 167,453 491,424 0.0%
# D.I Corp. 145,220 606,956 0.0%
# Dae Dong Industrial Co., Ltd. 60,958 411,212 0.0%
Dae Han Flour Mills Co., Ltd. 6,025 1,054,078 0.0%
# Dae Hwa Pharmaceutical Co., Ltd. 22,883 723,997 0.0%
# Dae Hyun Co., Ltd. 184,373 593,706 0.0%
#* Dae Won Chemical Co., Ltd. 155,987 425,661 0.0%
# Dae Won Kang Up Co., Ltd. 119,782 520,671 0.0%
#* Dae Young Packaging Co., Ltd. 526,420 474,308 0.0%
#* Dae-Il Corp. 81,189 635,783 0.0%
#* Daea TI Co., Ltd. 385,089 476,527 0.0%
#* Daechang Co., Ltd. 299,027 257,142 0.0%
Daechang Forging Co., Ltd. 1,367 51,095 0.0%
# Daeduck Electronics Co. 226,622 1,509,243 0.0%
# Daeduck GDS Co., Ltd. 115,842 1,253,186 0.0%
# Daegu Department Store 27,282 334,870 0.0%
#* Daehan New Pharm Co., Ltd. 36,543 506,134 0.0%
Daehan Steel Co., Ltd. 89,447 927,503 0.0%
* Daeho International Corp. 543 -- 0.0%
# Daekyo Co., Ltd. 111,182 919,106 0.0%
#* Daekyung Machinery & Engineering Co., Ltd. 251,082 241,743 0.0%
Daeryuk Can Co., Ltd. 40,757 275,499 0.0%
# Daesang Corp. 131,422 3,290,191 0.1%
# Daesang Holdings Co., Ltd. 77,188 928,913 0.0%
Daesung Energy Co., Ltd. 20,282 111,549 0.0%
# Daesung Holdings Co., Ltd. 26,734 232,698 0.0%
#* Daewon Cable Co., Ltd. 323,526 505,836 0.0%
# Daewon Pharmaceutical Co., Ltd. 64,683 1,144,672 0.0%
Daewon San Up Co., Ltd. 49,261 297,379 0.0%
#* Daewoo Shipbuilding & Marine Engineering Co., Ltd. 676,333 3,256,544 0.1%
Daewoong Co., Ltd. 11,877 612,369 0.0%
# Daewoong Pharmaceutical Co., Ltd. 27,671 2,173,631 0.1%
* Dahaam E-Tec Co., Ltd. 2,100 6,220 0.0%
# Daihan Pharmaceutical Co., Ltd. 18,510 443,851 0.0%
Daishin Securities Co., Ltd. 264,117 2,746,287 0.1%
#* Danal Co., Ltd. 104,179 667,897 0.0%
# Daou Data Corp. 64,146 777,935 0.0%
# Daou Technology, Inc. 174,365 3,558,138 0.1%
#* Dasan Networks, Inc. 115,433 771,991 0.0%
# Dawonsys Co., Ltd. 55,719 1,286,274 0.0%
# Dayou Automotive Seat Technology Co., Ltd. 350,667 718,128 0.0%
# DCM Corp. 17,593 166,816 0.0%
#* Deutsch Motors, Inc. 48,994 178,724 0.0%
# DGB Financial Group, Inc. 513,243 4,120,690 0.1%
# DHP Korea Co., Ltd. 56,867 581,034 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
SOUTH KOREA -- (Continued)
Digital Chosun Co., Ltd. 180,541 $ 573,683 0.0%
# Digital Power Communications Co., Ltd. 180,216 747,074 0.0%
#* DIO Corp. 56,699 2,697,533 0.1%
#* Diotek Co., Ltd. 69,724 264,148 0.0%
Display Tech Co., Ltd. 10,192 37,134 0.0%
DK UIL Co., Ltd. 10,000 102,941 0.0%
#* DNF Co., Ltd. 43,838 565,470 0.0%
# Dong Ah Tire & Rubber Co., Ltd. 42,602 1,052,447 0.0%
# Dong-A Socio Holdings Co., Ltd. 14,293 2,324,769 0.1%
# Dong-A ST Co., Ltd. 22,180 2,772,071 0.1%
# Dong-Ah Geological Engineering Co., Ltd. 30,200 216,754 0.0%
Dong-Il Corp. 4,730 262,720 0.0%
# Dongbang Transport Logistics Co., Ltd. 47,053 114,363 0.0%
#* Dongbu HiTek Co., Ltd. 166,849 2,832,600 0.1%
* Dongbu Securities Co., Ltd. 195,500 680,264 0.0%
#* Dongbu Steel Co., Ltd. 37,730 153,483 0.0%
Dongil Industries Co., Ltd. 1,553 80,392 0.0%
# Dongjin Semichem Co., Ltd. 209,922 1,121,925 0.0%
* Dongkook Industrial Co., Ltd. 52,105 118,372 0.0%
# DongKook Pharmaceutical Co., Ltd. 31,782 1,786,852 0.1%
Dongkuk Industries Co., Ltd. 123,497 509,504 0.0%
* Dongkuk Steel Mill Co., Ltd. 388,492 3,234,997 0.1%
# Dongkuk Structures & Construction Co., Ltd. 178,195 862,630 0.0%
# Dongsung Chemical Co., Ltd. 14,785 352,440 0.0%
# DONGSUNG Corp. 169,438 983,549 0.0%
#* Dongsung Pharmaceutical Co., Ltd. 95,567 521,830 0.0%
#* Dongwha Enterprise Co., Ltd. 5,538 199,817 0.0%
# Dongwha Pharm Co., Ltd. 142,298 1,161,407 0.0%
Dongwon Development Co., Ltd. 105,334 398,746 0.0%
# Dongwon F&B Co., Ltd. 6,991 1,801,996 0.1%
# Dongwon Industries Co., Ltd. 7,862 2,002,990 0.1%
# Dongwon Systems Corp. 5,002 345,798 0.0%
# Dongwoo Co., Ltd. 58,857 228,199 0.0%
Dongyang E&P, Inc. 30,131 395,606 0.0%
#* Doosan Engine Co., Ltd. 187,669 706,329 0.0%
#* Doosan Infracore Co., Ltd. 962,816 6,576,710 0.1%
#* Dragonfly GF Co., Ltd. 32,354 178,497 0.0%
DRB Holding Co., Ltd. 61,263 662,412 0.0%
#* Duk San Neolux Co., Ltd. 25,377 603,841 0.0%
#* Duksan Hi-Metal Co., Ltd. 101,591 842,372 0.0%
# DuzonBIzon Co., Ltd. 124,375 2,712,939 0.1%
DY Corp. 174,070 999,935 0.0%
# e Tec E&C, Ltd. 6,388 585,200 0.0%
# e-LITECOM Co., Ltd. 48,416 576,036 0.0%
#* e-Starco Co., Ltd. 153,747 180,859 0.0%
E1 Corp. 16,869 925,888 0.0%
# Eagon Industrial, Ltd. 43,403 456,708 0.0%
# Easy Bio, Inc. 249,819 1,364,742 0.0%
#* Ecopro Co., Ltd. 84,885 1,090,613 0.0%
# EG Corp. 25,399 234,865 0.0%
#* Ehwa Technologies Information Co., Ltd. 757,196 239,739 0.0%
# Elentec Co., Ltd. 15,017 100,083 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
SOUTH KOREA -- (Continued)
#* ELK Corp. 65,257 $ 141,131 0.0%
#* EM-Tech Co., Ltd. 45,080 424,181 0.0%
#* Emerson Pacific, Inc. 11,625 396,073 0.0%
#* EMKOREA Co., Ltd. 51,220 228,052 0.0%
# Enex Co., Ltd. 214,390 804,008 0.0%
# ENF Technology Co., Ltd. 65,074 1,033,585 0.0%
# Eo Technics Co., Ltd. 45,957 4,555,189 0.1%
# Estechpharma Co., Ltd. 39,533 768,379 0.0%
#* ESTsoft Corp. 884 8,792 0.0%
# Eugene Corp. 289,702 1,423,558 0.0%
#* Eugene Investment & Securities Co., Ltd. 599,716 1,425,319 0.0%
Eugene Technology Co., Ltd. 101,067 1,267,841 0.0%
# Eusu Holdings Co., Ltd. 82,998 729,857 0.0%
# EVERDIGM Corp. 63,661 556,683 0.0%
# F&F Co., Ltd. 40,777 463,875 0.0%
#* Farmsco 65,905 742,087 0.0%
#* FarmStory Co., Ltd. 41,860 58,418 0.0%
# Fila Korea, Ltd. 60,067 5,477,846 0.1%
# Fine Technix Co., Ltd. 111,289 366,810 0.0%
#* Finetex EnE, Inc. 76,593 500,170 0.0%
#* Firstec Co., Ltd. 164,190 675,345 0.0%
#* Foosung Co., Ltd. 317,755 1,633,190 0.1%
# Fursys, Inc. 14,730 460,050 0.0%
#* G-SMATT GLOBAL Co., Ltd. 59,620 1,835,985 0.1%
* GALAXIA SM, Inc. 21,855 57,071 0.0%
#* Gamevil, Inc. 9,583 715,386 0.0%
# Gaon Cable Co., Ltd. 21,699 411,125 0.0%
#* GeneOne Life Science, Inc. 4,475 64,812 0.0%
#* Genic Co., Ltd. 28,325 548,149 0.0%
GIIR, Inc. 22,387 173,109 0.0%
#* Global Display Co., Ltd. 62,631 208,305 0.0%
#* GNCO Co., Ltd. 304,508 494,971 0.0%
Golfzon Co., Ltd. 15,908 1,008,867 0.0%
# GOLFZONYUWONHOLDINGS Co., Ltd. 109,600 769,484 0.0%
# Grand Korea Leisure Co., Ltd. 124,564 3,147,954 0.1%
# Green Cross Holdings Corp. 60,820 1,872,082 0.1%
* Green Non-Life Insurance Co., Ltd. 22,357 -- 0.0%
#* GS Global Corp. 28,585 83,382 0.0%
GS Home Shopping, Inc. 21,139 3,417,519 0.1%
# GS Retail Co., Ltd. 20,004 935,969 0.0%
# Gwangju Shinsegae Co., Ltd. 3,400 780,220 0.0%
# Haesung Industrial Co., Ltd. 22,131 370,080 0.0%
#* Halla Corp. 104,606 456,260 0.0%
# Halla Holdings Corp. 50,269 2,488,970 0.1%
# Han Kuk Carbon Co., Ltd. 245,312 1,436,335 0.0%
Hana Micron, Inc. 120,173 566,484 0.0%
# Hana Tour Service, Inc. 52,163 4,140,127 0.1%
#* Hanall Biopharma Co., Ltd. 83,748 1,162,982 0.0%
# Hancom, Inc. 100,956 1,884,074 0.1%
# Handok, Inc. 44,326 1,528,815 0.1%
# Handsome Co., Ltd. 89,503 3,476,007 0.1%
Hanil Cement Co., Ltd. 20,523 2,146,690 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
SOUTH KOREA -- (Continued)
#* Hanjin Heavy Industries & Construction Co., Ltd. 446,948 $1,582,389 0.1%
* Hanjin Heavy Industries & Construction Holdings Co., Ltd. 83,425 400,502 0.0%
# Hanjin Kal Corp. 230,247 3,980,484 0.1%
#* Hanjin P&C Co., Ltd. 78,846 168,143 0.0%
#* Hanjin Shipping Co., Ltd. 670,158 1,114,893 0.0%
# Hanjin Transportation Co., Ltd. 57,455 1,885,908 0.1%
Hankook Shell Oil Co., Ltd. 3,732 1,540,124 0.1%
* Hankook Synthetics, Inc. 550 -- 0.0%
Hankuk Glass Industries, Inc. 9,314 236,991 0.0%
Hankuk Paper Manufacturing Co., Ltd. 12,824 346,956 0.0%
# Hanmi Semiconductor Co., Ltd. 61,455 914,994 0.0%
# HanmiGlobal Co., Ltd. 23,909 245,771 0.0%
# Hansae Co., Ltd. 59,302 2,671,447 0.1%
# Hansae Yes24 Holdings Co., Ltd. 60,141 1,101,930 0.0%
#* Hanshin Construction 34,744 678,298 0.0%
# Hanshin Machinery Co. 71,045 160,248 0.0%
# Hansol Chemical Co., Ltd. 51,329 3,241,038 0.1%
#* Hansol Holdings Co., Ltd. 425,038 3,031,955 0.1%
#* Hansol HomeDeco Co., Ltd. 428,150 620,514 0.0%
Hansol Logistics Co., Ltd. 43,960 114,348 0.0%
Hansol Paper Co., Ltd. 55,625 1,203,008 0.0%
* Hansol SeenTec Co, Ltd. 11,574 29,051 0.0%
#* Hansol Technics Co., Ltd. 112,938 2,159,088 0.1%
# Hanwha Galleria Timeworld Co., Ltd. 12,237 710,362 0.0%
Hanwha General Insurance Co., Ltd. 236,201 1,676,291 0.1%
#* Hanwha Investment & Securities Co., Ltd. 378,784 1,139,657 0.0%
Hanwha Techwin Co., Ltd. 54,038 1,967,050 0.1%
# Hanyang Eng Co., Ltd. 70,412 763,976 0.0%
Hanyang Securities Co., Ltd. 18,538 125,402 0.0%
#* Harim Co., Ltd. 189,668 769,484 0.0%
* Harim Holdings Co., Ltd. 176,623 769,887 0.0%
# Heung-A Shipping Co., Ltd. 583,317 694,236 0.0%
#* Heungkuk Fire & Marine Insurance Co., Ltd. 92,139 310,714 0.0%
# Hite Jinro Co., Ltd. 51,801 1,269,113 0.0%
Hitejinro Holdings Co., Ltd. 52,642 714,054 0.0%
# HMC Investment Securities Co., Ltd. 115,936 1,068,407 0.0%
#* Homecast Co., Ltd. 75,987 595,321 0.0%
# HS Industries Co., Ltd. 205,760 1,114,920 0.0%
HS R&A Co., Ltd. 23,158 846,311 0.0%
# Huchems Fine Chemical Corp. 153,136 2,700,542 0.1%
# Humax Co., Ltd. 111,934 1,299,007 0.0%
* Huneed Technologies 2,445 25,444 0.0%
# Huons Co., Ltd. 42,741 3,034,709 0.1%
Husteel Co., Ltd. 2,038 28,468 0.0%
# Huvis Corp. 99,491 741,890 0.0%
# Huvitz Co., Ltd. 48,021 758,975 0.0%
# Hwa Shin Co., Ltd. 114,245 683,191 0.0%
Hwacheon Machine Tool Co., Ltd. 4,979 239,979 0.0%
HwaSung Industrial Co., Ltd. 61,184 759,278 0.0%
# Hy-Lok Corp. 49,517 1,233,920 0.0%
Hyosung ONB Co., Ltd. 10,277 164,212 0.0%
HyosungITX Co., Ltd. 14,477 176,934 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
SOUTH KOREA -- (Continued)
#* Hyundai BNG Steel Co., Ltd. 60,652 $ 572,576 0.0%
# Hyundai C&F, Inc. 25,222 548,394 0.0%
# Hyundai Corp. 36,882 859,512 0.0%
#* Hyundai Elevator Co., Ltd. 74,016 3,742,466 0.1%
# Hyundai Engineering Plastics Co., Ltd. 110,768 953,088 0.0%
# Hyundai Greenfood Co., Ltd. 5,211 90,996 0.0%
Hyundai Home Shopping Network Corp. 38,850 4,548,617 0.1%
Hyundai Hy Communications & Networks Co., Ltd. 180,945 585,769 0.0%
# Hyundai Livart Furniture Co., Ltd. 67,881 1,966,700 0.1%
#* Hyundai Merchant Marine Co., Ltd. 366,625 643,540 0.0%
* Hyundai Mipo Dockyard Co., Ltd. 69,424 4,426,497 0.1%
Hyundai Pharmaceutical Co., Ltd. 109,752 485,852 0.0%
#* Hyundai Rotem Co., Ltd. 134,724 2,113,256 0.1%
Hyundai Securities Co., Ltd. 217,329 1,345,563 0.0%
* Hyunjin Materials Co., Ltd. 41,165 45,059 0.0%
# HyVision System, Inc. 78,328 604,399 0.0%
#* i-SENS, Inc. 34,385 1,078,593 0.0%
* iA, Inc. 121,442 612,708 0.0%
#* ICD Co., Ltd. 84,572 1,025,288 0.0%
#* IHQ, Inc. 298,191 586,643 0.0%
# Il Dong Pharmaceutical Co., Ltd. 62,230 1,538,499 0.1%
#* Iljin Display Co., Ltd. 115,139 463,141 0.0%
# Iljin Electric Co., Ltd. 127,969 614,312 0.0%
# Iljin Holdings Co., Ltd. 150,141 1,383,909 0.0%
#* Iljin Materials Co., Ltd. 95,764 1,292,831 0.0%
# Ilshin Spinning Co., Ltd. 8,039 1,001,167 0.0%
# Ilsung Pharmaceuticals Co., Ltd. 2,864 289,743 0.0%
#* IM Co., Ltd. 61,008 214,254 0.0%
# iMarketKorea, Inc. 98,137 1,456,957 0.0%
# InBody Co., Ltd. 58,689 2,291,817 0.1%
#* Infinitt Healthcare Co., Ltd. 78,122 598,374 0.0%
#* Infraware, Inc. 103,254 454,971 0.0%
#* InkTec Co., Ltd. 38,881 282,736 0.0%
Innochips Technology, Inc. 14,702 157,135 0.0%
#* InnoWireless, Inc. 21,995 196,458 0.0%
#* Innox Corp. 63,904 748,374 0.0%
#* Insun ENT Co., Ltd. 196,856 1,146,441 0.0%
Intelligent Digital Integrated Securities Co., Ltd. 33,909 531,401 0.0%
#* Interflex Co., Ltd. 58,255 585,698 0.0%
Intergis Co., Ltd. 11,220 33,476 0.0%
# Interojo Co., Ltd. 40,498 1,462,060 0.0%
# Interpark Corp. 14,092 240,830 0.0%
Interpark Holdings Corp. 219,658 1,691,600 0.1%
# INTOPS Co., Ltd. 29,402 538,178 0.0%
* INVENIA Co., Ltd. 16,475 70,817 0.0%
Inzi Controls Co., Ltd. 42,034 219,753 0.0%
INZI Display Co., Ltd. 32,254 63,931 0.0%
#* Iones Co., Ltd. 37,090 752,481 0.0%
# IS Dongseo Co., Ltd. 58,229 2,373,700 0.1%
# ISC Co., Ltd. 43,872 959,531 0.0%
ISU Chemical Co., Ltd. 65,141 906,648 0.0%
# IsuPetasys Co., Ltd. 189,204 878,970 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
SOUTH KOREA -- (Continued)
# Jahwa Electronics Co., Ltd. 61,254 $ 707,708 0.0%
# JB Financial Group Co., Ltd. 624,363 3,199,886 0.1%
* Jcontentree Corp. 394,639 1,539,681 0.1%
# Jeil Pharmaceutical Co. 34,204 2,497,596 0.1%
#* Jeju Semiconductor Corp. 29,653 112,863 0.0%
Jinro Distillers Co., Ltd. 13,228 390,549 0.0%
# Jinsung T.E.C. 43,317 242,658 0.0%
JLS Co., Ltd. 8,735 49,126 0.0%
#* JoyCity Corp. 37,315 966,775 0.0%
#* Joymax Co., Ltd. 24,322 168,179 0.0%
#* Jusung Engineering Co., Ltd. 239,830 1,661,397 0.1%
#* JVM Co., Ltd. 18,510 790,311 0.0%
# JW Holdings Corp. 199,371 1,667,493 0.1%
# JW Pharmaceutical Corp. 59,988 2,086,700 0.1%
# JW Shinyak Corp. 16,523 140,362 0.0%
* JYP Entertainment Corp. 138,127 628,151 0.0%
# Kangnam Jevisco Co., Ltd. 23,988 859,803 0.0%
# KAON Media Co., Ltd. 28,342 305,282 0.0%
# KB Capital Co., Ltd. 69,848 1,456,815 0.0%
# KB Insurance Co., Ltd. 182,835 4,963,941 0.1%
#* KC Cottrell Co., Ltd. 22,715 105,834 0.0%
# KC Green Holdings Co., Ltd. 86,025 657,779 0.0%
# KC Tech Co., Ltd. 123,092 1,747,321 0.1%
#* KCC Engineering & Construction Co., Ltd. 21,855 180,803 0.0%
* KCO Energy, Inc. 120 -- 0.0%
#* KEC Corp. 170,897 163,931 0.0%
# KEPCO Engineering & Construction Co., Inc. 68,911 2,028,017 0.1%
# Keyang Electric Machinery Co., Ltd. 156,430 681,513 0.0%
#* KEYEAST Co., Ltd. 327,789 1,057,234 0.0%
# KG Chemical Corp. 57,219 798,374 0.0%
# KG Eco Technology Service Co., Ltd. 88,924 266,276 0.0%
# Kginicis Co., Ltd. 91,410 1,371,016 0.0%
# KGMobilians Co., Ltd. 73,591 818,890 0.0%
# KH Vatec Co., Ltd. 101,591 1,549,722 0.1%
# KISCO Corp. 22,326 1,027,475 0.0%
KISCO Holdings Co., Ltd. 3,952 240,323 0.0%
# Kishin Corp. 49,420 259,897 0.0%
# KISWIRE, Ltd. 39,054 1,459,271 0.0%
# KIWOOM Securities Co., Ltd. 71,949 4,262,990 0.1%
#* KleanNara Co., Ltd. 78,071 402,306 0.0%
* KMH Co., Ltd. 57,286 462,648 0.0%
#* KMH Hitech Co., Ltd. 147,148 211,181 0.0%
#* KMW Co., Ltd. 41,488 347,861 0.0%
# Kocom Co., Ltd. 40,139 424,510 0.0%
# Koentec Co., Ltd. 306,814 699,665 0.0%
# Koh Young Technology, Inc. 63,733 2,343,405 0.1%
# Kolao Holdings 134,465 1,203,196 0.0%
# Kolon Corp. 45,278 2,327,761 0.1%
#* Kolon Global Corp. 22,750 350,419 0.0%
# Kolon Industries, Inc. 107,359 6,577,568 0.1%
# Kolon Life Science, Inc. 27,291 4,083,936 0.1%
#* Komipharm International Co., Ltd. 11,873 412,223 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
SOUTH KOREA -- (Continued)
# KONA I Co., Ltd. 81,973 $1,469,019 0.0%
# Kook Soon Dang Brewery Co., Ltd. 77,360 463,613 0.0%
Korea Airport Service Co., Ltd. 188 5,136 0.0%
# Korea Alcohol Industrial Co., Ltd. 63,908 455,923 0.0%
# Korea Cast Iron Pipe Industries Co., Ltd. 52,711 558,135 0.0%
# Korea Circuit Co., Ltd. 72,493 668,312 0.0%
# Korea District Heating Corp. 18,020 1,118,359 0.0%
Korea Electric Terminal Co., Ltd. 32,072 2,513,905 0.1%
# Korea Electronic Certification Authority, Inc. 101,645 776,890 0.0%
# Korea Electronic Power Industrial Development Co., Ltd. 74,881 360,276 0.0%
Korea Export Packaging Industrial Co., Ltd. 5,621 101,526 0.0%
* Korea Flange Co., Ltd. 19,644 275,285 0.0%
#* Korea Information & Communications Co, Ltd. 63,592 638,865 0.0%
# Korea Information Certificate Authority, Inc. 71,807 588,677 0.0%
# Korea Kolmar Co., Ltd. 40,301 3,067,449 0.1%
# Korea Kolmar Holdings Co., Ltd. 37,935 1,679,853 0.1%
#* Korea Line Corp. 81,352 1,267,042 0.0%
# Korea Petrochemical Ind Co., Ltd. 19,034 3,910,199 0.1%
# Korea United Pharm, Inc. 58,316 984,753 0.0%
Korean Reinsurance Co. 432,194 5,035,041 0.1%
# Kortek Corp. 72,394 772,200 0.0%
KPX Chemical Co., Ltd. 8,354 377,293 0.0%
#* KR Motors Co., Ltd. 56,572 59,422 0.0%
#* KSCB Co., Ltd. 33,241 173,771 0.0%
KSS LINE, Ltd. 14,021 209,056 0.0%
* KT Hitel Co., Ltd. 84,297 647,515 0.0%
#* KT Music Corp. 84,627 316,457 0.0%
KT Skylife Co., Ltd. 132,465 1,879,104 0.1%
#* KTB Investment & Securities Co., Ltd. 347,274 826,426 0.0%
# KTCS Corp. 30,599 83,359 0.0%
# Ktis Corp. 92,375 390,001 0.0%
# Kukdo Chemical Co., Ltd. 25,820 1,484,073 0.0%
* Kukdong Corp. 1,069 13,159 0.0%
# Kukdong Oil & Chemicals Co., Ltd. 6,292 231,933 0.0%
#* Kumho Electric Co., Ltd. 18,861 196,437 0.0%
#* Kumho Industrial Co., Ltd. 117,280 1,211,764 0.0%
#* Kumho Tire Co., Inc. 625,465 4,496,280 0.1%
# Kumkang Kind Co., Ltd. 16,750 788,146 0.0%
Kwang Dong Pharmaceutical Co., Ltd. 197,814 1,771,689 0.1%
#* Kwang Myung Electric Co., Ltd. 278,852 539,592 0.0%
# Kwangju Bank 84,556 666,880 0.0%
#* Kyeryong Construction Industrial Co., Ltd. 17,512 196,541 0.0%
Kyobo Securities Co., Ltd. 138,743 1,283,660 0.0%
# Kyung Dong Navien Co., Ltd. 33,704 1,140,557 0.0%
# Kyung-In Synthetic Corp. 132,021 478,665 0.0%
Kyungbang, Ltd. 5,259 802,856 0.0%
Kyungchang Industrial Co., Ltd. 73,797 361,556 0.0%
# KyungDong City Gas Co., Ltd. 13,289 927,224 0.0%
# Kyungdong Pharm Co., Ltd. 40,182 619,484 0.0%
# L&F Co., Ltd. 50,116 402,673 0.0%
#* LB Semicon, Inc. 147,884 385,247 0.0%
# LEADCORP, Inc. (The) 49,216 362,188 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
SOUTH KOREA -- (Continued)
#* Leaders Cosmetics Co., Ltd. 66,528 $1,702,531 0.1%
# LEENO Industrial, Inc. 51,031 1,914,526 0.1%
LF Corp. 134,717 3,037,952 0.1%
# LG Hausys, Ltd. 40,557 5,319,022 0.1%
# LG International Corp. 206,725 6,843,230 0.2%
#* LG Life Sciences, Ltd. 59,924 3,587,281 0.1%
LMS Co., Ltd. 32,869 251,495 0.0%
# Lock&Lock Co., Ltd. 154,467 1,795,745 0.1%
#* LOT Vacuum Co., Ltd. 38,694 468,081 0.0%
Lotte Chilsung Beverage Co., Ltd. 738 1,275,381 0.0%
LOTTE Fine Chemical Co., Ltd. 123,140 4,046,061 0.1%
# Lotte Food Co., Ltd. 4,403 3,163,506 0.1%
# LOTTE Himart Co., Ltd. 55,766 2,754,633 0.1%
#* Lotte Non-Life Insurance Co., Ltd. 468,030 1,189,626 0.0%
LS Corp. 119,337 5,288,158 0.1%
# LS Industrial Systems Co., Ltd. 93,480 4,269,855 0.1%
#* Lumens Co., Ltd. 317,869 1,162,827 0.0%
#* Macrogen, Inc. 46,205 1,416,653 0.0%
# Maeil Dairy Industry Co., Ltd. 42,668 1,736,138 0.1%
#* Majestar Co., Ltd. 52,747 148,144 0.0%
# Mando Corp. 50,141 8,271,643 0.2%
# Mcnex Co., Ltd. 31,709 669,102 0.0%
# MDS Technology Co., Ltd. 36,563 669,412 0.0%
#* Medipost Co., Ltd. 3,841 285,211 0.0%
# MegaStudy Co., Ltd. 17,540 612,752 0.0%
MegaStudyEdu Co., Ltd. 4,919 215,404 0.0%
#* Melfas, Inc. 104,886 743,235 0.0%
# Meritz Financial Group, Inc. 40,790 451,553 0.0%
# Meritz Fire & Marine Insurance Co., Ltd. 360,346 5,098,509 0.1%
Meritz Securities Co., Ltd. 41,780 131,440 0.0%
# META BIOMED Co., Ltd. 101,572 516,208 0.0%
#* Mgame Corp. 97,978 444,294 0.0%
Mi Chang Oil Industrial Co., Ltd. 2,578 191,314 0.0%
# Mirae Asset Securities Co., Ltd. 33,003 709,085 0.0%
#* Mirae Corp. 1,931,820 741,396 0.0%
Miwon Chemicals Co., Ltd. 1,890 82,759 0.0%
* Miwon Commercial Co., Ltd. 716 120,659 0.0%
Miwon Specialty Chemical Co., Ltd. 1,200 401,650 0.0%
# MK Electron Co., Ltd. 104,494 845,251 0.0%
#* MNTech Co., Ltd. 110,847 466,916 0.0%
# Modetour Network, Inc. 64,020 1,627,682 0.1%
# Monalisa Co., Ltd. 68,050 252,032 0.0%
MonAmi Co., Ltd. 112,097 443,289 0.0%
Moorim P&P Co., Ltd. 143,600 544,498 0.0%
#* Moorim Paper Co., Ltd. 149,278 404,049 0.0%
# Motonic Corp. 71,883 634,366 0.0%
# Muhak Co., Ltd. 81,220 2,285,813 0.1%
Multicampus Co, Ltd. 14,397 538,044 0.0%
# Namhae Chemical Corp. 149,878 1,295,565 0.0%
#* Namsun Aluminum Co., Ltd. 496,334 553,068 0.0%
# Namyang Dairy Products Co., Ltd. 1,816 1,182,849 0.0%
#* Nanos Co., Ltd. 38,381 125,309 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
SOUTH KOREA -- (Continued)
#* Naturalendo Tech Co., Ltd. 64,724 $1,262,349 0.0%
# NeoPharm Co., Ltd. 20,911 662,840 0.0%
#* Neowiz Games Corp. 84,844 1,109,784 0.0%
# NEOWIZ HOLDINGS Corp. 28,835 381,361 0.0%
# NEPES Corp. 107,205 716,271 0.0%
# Nexen Corp. 33,168 2,352,117 0.1%
Nexen Tire Corp. 222,957 2,837,158 0.1%
#* Nexolon Co., Ltd. 2,976 2,436 0.0%
#* Nexon GT Co., Ltd. 91,753 970,371 0.0%
#* NHN Entertainment Corp. 109,919 5,826,868 0.1%
# NHN KCP Corp. 65,260 1,349,600 0.0%
# NICE Holdings Co., Ltd. 104,644 1,859,377 0.1%
# Nice Information & Telecommunication, Inc. 10,633 316,610 0.0%
# NICE Information Service Co., Ltd. 211,703 1,630,895 0.1%
#* NK Co., Ltd. 199,266 799,102 0.0%
# Nong Shim Holdings Co., Ltd. 10,276 1,326,921 0.0%
# Nong Woo Bio Co., Ltd. 46,463 952,943 0.0%
# NongShim Co., Ltd. 1,001 327,812 0.0%
# Noroo Holdings Co., Ltd. 13,599 247,952 0.0%
# NOROO Paint & Coatings Co., Ltd. 61,681 660,233 0.0%
NPC 64,609 423,370 0.0%
#* Omnisystem Co., Ltd. 204,466 515,465 0.0%
Opto Device Technology Co., Ltd. 25,019 191,472 0.0%
#* OPTRON-TEC, Inc. 103,096 522,185 0.0%
#* Orientbio, Inc. 623,111 1,055,859 0.0%
#* OSANGJAIEL Co., Ltd. 20,524 178,299 0.0%
#* Osstem Implant Co., Ltd. 60,174 3,767,844 0.1%
#* Osung LST Co., Ltd. 246,799 195,163 0.0%
# Ottogi Corp. 5,101 3,646,025 0.1%
# Pan-Pacific Co., Ltd. 164,180 801,788 0.0%
Pang Rim Co., Ltd. 10,174 234,049 0.0%
#* PaperCorea, Inc. 936,730 608,364 0.0%
# Paradise Co., Ltd. 292,001 4,425,955 0.1%
# Partron Co., Ltd. 248,455 2,419,331 0.1%
#* Paru Co., Ltd. 110,516 417,410 0.0%
#* Pharmicell Co., Ltd. 85,904 421,703 0.0%
Poongsan Corp. 144,872 4,033,919 0.1%
# Poongsan Holdings Corp. 26,213 1,033,828 0.0%
POSCO Chemtech Co., Ltd. 119,219 1,272,286 0.0%
Posco Coated & Color Steel Co., Ltd. 2,498 49,944 0.0%
#* Posco ICT Co., Ltd. 312,644 1,570,672 0.1%
# Posco M-Tech Co., Ltd. 83,502 228,860 0.0%
#* Power Logics Co., Ltd. 153,415 567,442 0.0%
# PSK, Inc. 81,645 715,462 0.0%
# Pulmuone Co., Ltd. 6,862 1,079,549 0.0%
# Pyeong Hwa Automotive Co., Ltd. 72,240 811,976 0.0%
#* Redrover Co., Ltd. 95,602 658,004 0.0%
# Reyon Pharmaceutical Co., Ltd. 24,423 643,594 0.0%
# RFsemi Technologies, Inc. 30,415 198,090 0.0%
# RFTech Co., Ltd. 80,741 490,400 0.0%
# Romanson Co., Ltd. 53,470 607,081 0.0%
#* S&C Engine Group, Ltd. 322,232 450,874 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
SOUTH KOREA -- (Continued)
#* S&S Tech Corp. 55,486 $ 408,348 0.0%
# S&T Corp. 14,935 339,637 0.0%
# S&T Dynamics Co., Ltd. 160,725 1,577,013 0.1%
S&T Holdings Co., Ltd. 39,125 818,932 0.0%
# S&T Motiv Co., Ltd. 50,410 2,938,706 0.1%
#* S-Connect Co., Ltd. 263,041 484,798 0.0%
# S-Energy Co., Ltd. 57,735 451,652 0.0%
#* S-MAC Co., Ltd. 85,869 593,067 0.0%
# Saeron Automotive Corp. 2,640 19,165 0.0%
#* Sajo Industries Co., Ltd. 14,207 716,883 0.0%
#* Sajodongaone Co., Ltd. 97,980 167,487 0.0%
* SAJOHAEPYO Corp. 574 7,663 0.0%
Sam Chun Dang Pharm Co., Ltd. 55,599 435,582 0.0%
Sam Young Electronics Co., Ltd. 67,874 740,609 0.0%
# Sam Yung Trading Co., Ltd. 64,634 1,195,508 0.0%
# Samchully Co., Ltd. 16,091 1,512,836 0.1%
# Samchuly Bicycle Co., Ltd. 46,819 908,968 0.0%
# Samho Development Co., Ltd. 64,551 207,124 0.0%
#* Samho International Co., Ltd. 38,669 529,473 0.0%
# SAMHWA Paints Industrial Co., Ltd. 57,633 637,948 0.0%
# Samick Musical Instruments Co., Ltd. 408,541 1,100,244 0.0%
# Samick THK Co., Ltd. 54,931 498,495 0.0%
# Samjin LND Co., Ltd. 43,504 145,368 0.0%
# Samjin Pharmaceutical Co., Ltd. 60,993 1,462,303 0.0%
# Samkwang Glass 20,201 1,574,475 0.1%
# Samlip General Foods Co., Ltd. 2,004 373,493 0.0%
# Sammok S-Form Co., Ltd. 19,912 508,575 0.0%
#* Samsung Engineering Co., Ltd. 761,477 8,397,732 0.2%
#* SAMT Co., Ltd. 268,958 494,859 0.0%
# Samwha Capacitor Co., Ltd. 35,823 461,768 0.0%
Samyang Corp. 13,079 1,112,405 0.0%
# Samyang Foods Co., Ltd. 18,333 381,394 0.0%
# Samyang Holdings Corp. 22,926 3,266,179 0.1%
# Samyang Tongsang Co., Ltd. 9,663 381,671 0.0%
#* Samyoung Chemical Co., Ltd. 136,867 209,127 0.0%
#* Sangbo Corp. 109,135 535,365 0.0%
Sangsin Brake 8,827 63,006 0.0%
#* Sapphire Technology Co., Ltd. 42,273 273,544 0.0%
SaraminHR Co, Ltd. 3,602 49,116 0.0%
# Satrec Initiative Co., Ltd. 7,151 227,094 0.0%
# Savezone I&C Corp. 62,674 314,394 0.0%
#* SBI Investment Korea Co., Ltd. 206,964 110,496 0.0%
SBS Contents Hub Co., Ltd. 39,011 411,663 0.0%
SBS Media Holdings Co., Ltd. 284,678 825,706 0.0%
#* SBW 342,769 680,168 0.0%
# Seah Besteel Corp. 87,900 2,241,082 0.1%
SeAH Holdings Corp. 4,811 587,153 0.0%
SeAH Steel Corp. 19,174 1,393,987 0.0%
# Sebang Co., Ltd. 65,269 983,566 0.0%
Sebang Global Battery Co., Ltd. 40,246 1,517,330 0.1%
#* Seegene, Inc. 58,471 1,787,777 0.1%
# Sejong Industrial Co., Ltd. 70,108 608,108 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
SOUTH KOREA -- (Continued)
# Sekonix Co., Ltd. 39,131 $ 603,586 0.0%
# Sempio Foods Co. 13,836 589,178 0.0%
#* Seobu T&D 73,518 1,495,605 0.0%
# Seohan Co., Ltd. 516,097 944,966 0.0%
* Seohee Construction Co., Ltd. 889,273 940,059 0.0%
# Seoul Auction Co., Ltd. 44,719 731,260 0.0%
# Seoul Semiconductor Co., Ltd. 245,479 3,299,376 0.1%
# SEOWONINTECH Co., Ltd. 58,761 593,933 0.0%
# Seoyon Co., Ltd. 118,432 1,276,482 0.0%
#* Sewon Cellontech Co., Ltd. 177,145 550,768 0.0%
Sewon Precision Industry Co., Ltd. 21,670 385,673 0.0%
# SEWOONMEDICAL Co., Ltd. 109,964 442,070 0.0%
# SFA Engineering Corp. 60,404 3,012,807 0.1%
#* SFA Semicon Co, Ltd. 300,260 654,479 0.0%
#* SG Corp. 865,420 854,949 0.0%
# SH Energy & Chemical Co., Ltd. 527,381 695,290 0.0%
#* Shin Poong Pharmaceutical Co., Ltd. 178,552 1,021,319 0.0%
#* Shinil Industrial Co., Ltd. 301,022 494,174 0.0%
# Shinsegae Engineering & Construction Co., Ltd. 14,837 635,099 0.0%
# Shinsegae Information & Communication Co., Ltd. 7,196 566,961 0.0%
# Shinsegae International, Inc. 15,074 1,025,061 0.0%
#* Shinsung Solar Energy Co., Ltd. 237,348 357,378 0.0%
#* Shinsung Tongsang Co., Ltd. 705,326 1,013,942 0.0%
#* Shinwha Intertek Corp. 128,714 506,529 0.0%
#* Shinwon Corp. 173,143 284,344 0.0%
# Shinyoung Securities Co., Ltd. 17,366 818,008 0.0%
# SHOWBOX Corp. 168,507 1,191,937 0.0%
#* Signetics Corp. 318,976 469,247 0.0%
#* SIGONG TECH Co., Ltd. 78,318 437,805 0.0%
# Silicon Works Co., Ltd. 70,469 1,966,644 0.1%
# Silla Co., Ltd. 38,828 589,253 0.0%
#* SIMMTECH HOLDINGS Co., Ltd. 272,150 698,781 0.0%
# SIMPAC, Inc. 82,220 365,465 0.0%
Sindoh Co., Ltd. 8,853 379,555 0.0%
# Sinjin SM Co., Ltd. 13,589 173,446 0.0%
# SJM Co., Ltd. 34,349 225,760 0.0%
# SK Chemicals Co., Ltd. 56,289 3,583,995 0.1%
#* SK Communications Co., Ltd. 103,928 336,044 0.0%
# SK Gas, Ltd. 25,919 1,934,129 0.1%
SK Materials Co., Ltd. 35,023 3,640,228 0.1%
SK Networks Co., Ltd. 468,093 2,780,285 0.1%
#* SK Securities Co., Ltd. 2,267,837 2,279,767 0.1%
SKC Co., Ltd. 144,875 3,549,381 0.1%
#* SKC Solmics Co., Ltd. 43,587 72,539 0.0%
# SKCKOLONPI, Inc. 40,205 362,253 0.0%
SL Corp. 93,069 1,301,324 0.0%
#* SM Entertainment Co. 94,328 3,383,874 0.1%
SMCo.re, Inc. 24,244 136,814 0.0%
#* Solborn, Inc. 94,578 509,904 0.0%
# Solid, Inc. 110,705 431,512 0.0%
# Songwon Industrial Co., Ltd. 100,166 1,823,466 0.1%
#* Sonokong Co., Ltd. 95,792 582,927 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
SOUTH KOREA -- (Continued)
#* Soosan Heavy Industries Co., Ltd. 61,925 $ 98,596 0.0%
# Soulbrain Co., Ltd. 57,380 2,184,867 0.1%
# Spigen Korea Co., Ltd. 8,542 403,592 0.0%
* Ssangyong Cement Industrial Co., Ltd. 122,987 2,260,679 0.1%
#* STX Corp. 14,209 31,824 0.0%
* STX Engine Co., Ltd. 7,879 42,524 0.0%
# Suheung Co., Ltd. 37,383 1,507,764 0.0%
Sun Kwang Co., Ltd. 3,275 51,641 0.0%
# Sunchang Corp. 52,644 595,468 0.0%
# Sung Kwang Bend Co., Ltd. 117,986 1,252,740 0.0%
# Sungchang Enterprise Holdings, Ltd. 42,241 1,340,190 0.0%
#* Sungshin Cement Co., Ltd. 109,211 1,337,268 0.0%
# Sungwoo Hitech Co., Ltd. 229,299 1,868,573 0.1%
# Sunjin Co., Ltd. 25,877 670,293 0.0%
#* Suprema HQ, Inc. 36,612 274,888 0.0%
#* Suprema, Inc. 33,897 804,734 0.0%
#* Synopex, Inc. 386,550 583,677 0.0%
Tae Kyung Industrial Co., Ltd. 39,841 180,835 0.0%
Taekwang Industrial Co., Ltd. 2,230 1,940,448 0.1%
#* Taewoong Co., Ltd. 66,164 1,056,294 0.0%
#* Taeyoung Engineering & Construction Co., Ltd. 246,613 1,387,222 0.0%
#* Taihan Electric Wire Co., Ltd. 37,983 100,093 0.0%
* Taihan Textile Co., Ltd. 844 36,218 0.0%
# Tailim Packaging Industrial Co., Ltd. 195,880 535,092 0.0%
#* TBH Global Co., Ltd. 53,068 542,720 0.0%
# TechWing, Inc. 57,171 642,433 0.0%
#* Tera Semicon Co., Ltd. 45,083 1,055,612 0.0%
# TES Co., Ltd. 80,589 959,381 0.0%
#* Texcell-NetCom Co., Ltd. 330,376 666,899 0.0%
#* Theragen Etex Co., Ltd. 31,067 186,285 0.0%
#* Thinkware Systems Corp. 21,643 265,130 0.0%
#* TK Chemical Corp. 283,667 569,670 0.0%
# TK Corp. 96,322 906,733 0.0%
TLI, Inc. 7,937 52,808 0.0%
# Tokai Carbon Korea Co., Ltd. 16,015 621,868 0.0%
# Tong Yang Moolsan Co., Ltd. 22,590 296,402 0.0%
* Tongyang Cement & Energy Corp. 16,481 71,792 0.0%
Tongyang Life Insurance Co, Ltd. 285,685 2,647,961 0.1%
Tongyang, Inc. 313,091 964,490 0.0%
* Top Engineering Co., Ltd. 13,860 76,377 0.0%
# Toptec Co., Ltd. 36,271 983,864 0.0%
# Tovis Co., Ltd. 93,175 795,055 0.0%
#* Trais Co., Ltd. 24,456 59,871 0.0%
# TS Corp. 28,650 549,947 0.0%
UBCare Co., Ltd. 120,088 426,291 0.0%
# Ubiquoss, Inc. 79,861 918,138 0.0%
#* Ubivelox, Inc. 25,329 273,407 0.0%
# Uju Electronics Co., Ltd. 42,498 583,600 0.0%
# Unid Co., Ltd. 35,003 1,442,011 0.0%
# Union Semiconductor Equipment & Materials Co., Ltd. 65,401 882,113 0.0%
# Uniquest Corp. 16,238 56,501 0.0%
#* Unison Co., Ltd. 65,618 95,353 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
SOUTH KOREA -- (Continued)
# UniTest, Inc. 69,162 $ 488,990 0.0%
# Value Added Technologies Co., Ltd. 41,298 1,390,543 0.0%
# Very Good Leisure Co., Ltd. 25,853 229,230 0.0%
# Vieworks Co., Ltd. 41,394 1,824,439 0.1%
# Visang Education, Inc. 38,704 439,289 0.0%
# Vitzrocell Co., Ltd. 26,187 257,812 0.0%
#* Webzen, Inc. 70,375 1,429,501 0.0%
#* WeMade Entertainment Co., Ltd. 52,849 1,213,762 0.0%
# Whanin Pharmaceutical Co., Ltd. 67,902 961,169 0.0%
# WillBes & Co. (The) 319,383 601,693 0.0%
#* Winix, Inc. 44,681 512,500 0.0%
# Wins Co., Ltd. 51,535 447,644 0.0%
# WiSoL Co., Ltd. 101,697 1,466,792 0.0%
#* WIZIT Co., Ltd. 380,193 522,275 0.0%
#* Wonik Cube Corp. 13,011 34,623 0.0%
#* Wonik IPS Co., Ltd. 344,693 3,357,989 0.1%
#* Wonik Materials Co., Ltd. 23,196 1,205,529 0.0%
* Wonik QnC Corp. 25,870 342,163 0.0%
* Woojeon & Handan Co., Ltd. 40,784 42,986 0.0%
Woojin, Inc. 2,070 14,112 0.0%
#* Woongjin Co., Ltd. 298,417 801,673 0.0%
#* Woongjin Energy Co., Ltd. 324,645 352,112 0.0%
* Woongjin Thinkbig Co., Ltd. 125,097 1,502,270 0.0%
#* Wooree ETI Co., Ltd. 181,071 344,103 0.0%
#* Woori Investment Bank Co., Ltd. 2,972,546 1,677,171 0.1%
# WooSung Feed Co., Ltd. 56,399 170,944 0.0%
# Y G-1 Co., Ltd. 89,329 840,505 0.0%
#* YD Online Corp. 25,757 163,088 0.0%
#* YeaRimDang Publishing Co., Ltd. 27,221 108,151 0.0%
YES24 Co., Ltd. 40,567 295,973 0.0%
YESCO Co., Ltd. 14,677 479,681 0.0%
# YG Entertainment, Inc. 46,549 1,741,779 0.1%
# Yoosung Enterprise Co., Ltd. 142,242 510,894 0.0%
# Youlchon Chemical Co., Ltd. 68,404 765,014 0.0%
# Young Heung Iron & Steel Co., Ltd. 287,784 620,428 0.0%
Young Poong Corp. 1,097 1,040,130 0.0%
* Young Poong Mining & Construction Corp. 1,580 -- 0.0%
# Young Poong Precision Corp. 79,593 642,575 0.0%
# Youngone Holdings Co., Ltd. 33,472 1,886,063 0.1%
#* Yuanta Securities Korea Co., Ltd. 423,823 1,331,157 0.0%
# YuHwa Securities Co., Ltd. 13,060 183,991 0.0%
#* Yungjin Pharmaceutical Co., Ltd. 518,217 3,623,819 0.1%
* ZeroOne Interactive Co., Ltd. 3,200 -- 0.0%
------------ ----
TOTAL SOUTH KOREA 768,519,148 15.0%
------------ ----
TAIWAN -- (12.9%)
# A-DATA Technology Co., Ltd. 1,519,879 1,403,579 0.0%
Ability Enterprise Co., Ltd. 1,818,293 1,048,173 0.0%
# AcBel Polytech, Inc. 3,000,599 2,202,882 0.1%
# Accton Technology Corp. 3,653,763 3,420,515 0.1%
# ACES Electronic Co., Ltd. 605,000 575,531 0.0%
Achem Technology Corp. 1,673,860 639,818 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
TAIWAN -- (Continued)
#* Acme Electronics Corp. 529,000 $ 202,110 0.0%
# Acter Co., Ltd. 211,000 551,025 0.0%
* Action Electronics Co., Ltd. 544,635 56,514 0.0%
# Actron Technology Corp. 434,150 1,723,275 0.1%
Addcn Technology Co., Ltd. 38,800 297,388 0.0%
# Adlink Technology, Inc. 810,031 1,667,680 0.1%
# Advanced Ceramic X Corp. 265,000 1,389,570 0.0%
* Advanced Connectek, Inc. 1,202,000 232,319 0.0%
Advanced International Multitech Co., Ltd. 501,000 335,743 0.0%
# Advanced Wireless Semiconductor Co. 885,000 1,613,703 0.1%
# Advancetek Enterprise Co., Ltd. 888,917 544,935 0.0%
#* AGV Products Corp. 3,484,801 865,443 0.0%
#* AimCore Technology Co., Ltd. 334,589 186,739 0.0%
# Airtac International Group 112,000 740,076 0.0%
Alcor Micro Corp. 312,000 180,188 0.0%
# ALI Corp. 2,271,000 1,368,953 0.0%
Allis Electric Co., Ltd. 54,000 15,498 0.0%
# Alltek Technology Corp. 579,186 540,316 0.0%
Alltop Technology Co., Ltd. 250,000 323,761 0.0%
# Alpha Networks, Inc. 2,014,386 1,006,536 0.0%
# Altek Corp. 1,805,945 1,351,455 0.0%
# Ambassador Hotel (The) 1,612,000 1,282,843 0.0%
AMPOC Far-East Co., Ltd. 320,444 250,912 0.0%
# AmTRAN Technology Co., Ltd. 3,398,951 2,100,309 0.1%
Anpec Electronics Corp. 336,590 254,905 0.0%
# Apacer Technology, Inc. 1,001,576 663,645 0.0%
# APCB, Inc. 732,000 381,975 0.0%
# Apex Biotechnology Corp. 654,483 868,802 0.0%
# Apex International Co., Ltd. 753,293 832,579 0.0%
# Apex Medical Corp. 462,500 582,511 0.0%
# Apex Science & Engineering 1,046,132 294,955 0.0%
# Arcadyan Technology Corp. 921,718 1,203,277 0.0%
Ardentec Corp. 2,744,820 1,707,252 0.1%
#* Arima Communications Corp. 1,189,719 232,116 0.0%
#* Asia Optical Co., Inc. 1,615,000 1,197,860 0.0%
# Asia Plastic Recycling Holding, Ltd. 972,842 566,597 0.0%
# Asia Polymer Corp. 1,826,458 1,010,518 0.0%
# Asia Vital Components Co., Ltd. 2,146,058 1,683,245 0.1%
# ASMedia Technology, Inc. 153,000 704,895 0.0%
# ASPEED Technology, Inc. 91,599 836,757 0.0%
# ASROCK, Inc. 141,000 193,337 0.0%
Aten International Co., Ltd. 604,479 1,501,899 0.0%
# Audix Corp. 626,600 649,810 0.0%
# Aurora Corp. 688,499 1,190,719 0.0%
AV Tech Corp. 100,000 77,343 0.0%
# Avermedia Technologies 767,446 211,064 0.0%
#* Avision, Inc. 437,000 95,504 0.0%
# AVY Precision Technology, Inc. 327,670 472,756 0.0%
# Awea Mechantronic Co., Ltd. 260,200 242,981 0.0%
Bank of Kaohsiung Co., Ltd. 2,659,771 710,320 0.0%
Basso Industry Corp. 586,900 1,311,075 0.0%
# BenQ Materials Corp. 1,172,000 629,483 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TAIWAN -- (Continued)
# BES Engineering Corp. 10,018,750 $1,866,284 0.1%
# Bionet Corp. 132,000 121,116 0.0%
Bionime Corp. 59,000 85,824 0.0%
#* Biostar Microtech International Corp. 1,025,975 235,152 0.0%
Bioteque Corp. 360,308 1,768,869 0.1%
# Bizlink Holding, Inc. 517,529 2,937,377 0.1%
# Boardtek Electronics Corp. 783,000 1,121,004 0.0%
Bright Led Electronics Corp. 525,520 132,436 0.0%
C Sun Manufacturing, Ltd. 722,221 316,020 0.0%
* Cameo Communications, Inc. 393,818 66,562 0.0%
Capital Securities Corp. 13,084,142 3,445,462 0.1%
# Career Technology MFG. Co., Ltd. 2,145,000 1,218,229 0.0%
* Carnival Industrial Corp. 1,419,000 214,623 0.0%
Cathay Chemical Works 30,000 14,462 0.0%
# Cathay Real Estate Development Co., Ltd. 5,071,000 2,244,590 0.1%
Celxpert Energy Corp. 44,000 25,817 0.0%
# Central Reinsurance Co., Ltd. 919,410 410,307 0.0%
# ChainQui Construction Development Co., Ltd. 379,083 277,732 0.0%
#* Champion Building Materials Co., Ltd. 2,163,851 464,401 0.0%
# Champion Microelectronic Corp. 175,965 206,115 0.0%
# Chang Wah Electromaterials, Inc. 267,673 710,375 0.0%
# Channel Well Technology Co., Ltd. 859,000 707,863 0.0%
# Charoen Pokphand Enterprise 1,282,985 1,108,118 0.0%
# Chaun-Choung Technology Corp. 456,000 1,554,717 0.0%
CHC Healthcare Group 24,000 37,131 0.0%
# CHC Resources Corp. 398,348 743,959 0.0%
# Chen Full International Co., Ltd. 610,000 1,122,833 0.0%
# Chenbro Micom Co., Ltd. 357,000 578,440 0.0%
Cheng Loong Corp. 5,762,383 2,061,469 0.1%
# Cheng Uei Precision Industry Co., Ltd. 3,050,331 3,914,203 0.1%
#* Chenming Mold Industry Corp. 470,437 189,072 0.0%
# Chia Chang Co., Ltd. 897,000 645,004 0.0%
# Chia Hsin Cement Corp. 1,788,121 507,795 0.0%
Chicony Power Technology Co., Ltd. 42,000 46,839 0.0%
# Chien Kuo Construction Co., Ltd. 1,568,312 435,753 0.0%
# Chilisin Electronics Corp. 559,315 920,936 0.0%
Chime Ball Technology Co., Ltd. 114,000 195,029 0.0%
# Chimei Materials Technology Corp. 2,077,900 1,127,328 0.0%
Chin-Poon Industrial Co., Ltd. 2,573,207 5,200,307 0.1%
# China Bills Finance Corp. 802,000 305,763 0.0%
# China Chemical & Pharmaceutical Co., Ltd. 1,874,000 1,084,605 0.0%
# China Ecotek Corp. 200,000 334,383 0.0%
#* China Electric Manufacturing Corp. 1,352,900 335,578 0.0%
# China General Plastics Corp. 2,379,105 1,150,488 0.0%
China Glaze Co., Ltd. 576,139 187,077 0.0%
#* China Man-Made Fiber Corp. 2,289,879 551,960 0.0%
# China Metal Products 1,919,603 2,266,454 0.1%
China Motor Corp. 299,609 209,676 0.0%
#* China Petrochemical Development Corp. 16,258,000 4,101,633 0.1%
# China Steel Chemical Corp. 503,554 1,681,011 0.1%
# China Steel Structure Co., Ltd. 585,000 413,224 0.0%
China Synthetic Rubber Corp. 3,209,573 2,362,736 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TAIWAN -- (Continued)
* China United Trust & Investment Corp. 164,804 $ -- 0.0%
# China Wire & Cable Co., Ltd. 568,800 220,040 0.0%
# Chinese Maritime Transport, Ltd. 722,850 537,878 0.0%
ChipMOS TECHNOLOGIES, Inc. 35,000 33,816 0.0%
# Chlitina Holding, Ltd. 165,000 1,159,123 0.0%
Chong Hong Construction Co., Ltd. 1,012,666 1,620,014 0.1%
* Chou Chin Industrial Co., Ltd. 825 -- 0.0%
# Chroma ATE, Inc. 1,847,821 4,093,063 0.1%
# Chun YU Works & Co., Ltd. 1,382,000 595,527 0.0%
Chun Yuan Steel 2,283,529 764,000 0.0%
* Chung Hung Steel Corp. 5,920,979 1,099,338 0.0%
# Chung Hwa Pulp Corp. 2,943,405 907,943 0.0%
Chung-Hsin Electric & Machinery Manufacturing Corp. 2,618,375 1,500,337 0.0%
# Chunghwa Chemical Synthesis & Biotech Co., Ltd. 165,000 179,086 0.0%
#* Chunghwa Picture Tubes, Ltd. 14,410,000 235,622 0.0%
# Chyang Sheng Dyeing & Finishing Co., Ltd. 297,000 154,944 0.0%
Cleanaway Co., Ltd. 502,000 2,716,350 0.1%
Clevo Co. 3,054,200 2,670,154 0.1%
* CMC Magnetics Corp. 15,197,566 1,542,775 0.0%
#* CoAsia Microelectronics Corp. 703,500 439,062 0.0%
Coland Holdings, Ltd. 211,000 285,647 0.0%
# Collins Co., Ltd. 562,431 207,312 0.0%
# Compeq Manufacturing Co., Ltd. 6,824,000 3,775,760 0.1%
#* Concord Securities Co., Ltd. 3,059,000 592,770 0.0%
* Continental Holdings Corp. 3,343,320 1,149,213 0.0%
# Coretronic Corp. 3,985,750 3,617,316 0.1%
# Cowealth Medical Holding Co., Ltd. 50,000 104,810 0.0%
# Coxon Precise Industrial Co., Ltd. 820,000 1,148,593 0.0%
Creative Sensor, Inc. 134,000 83,762 0.0%
# Crystalwise Technology, Inc. 764,302 204,899 0.0%
# CSBC Corp. Taiwan 3,097,610 1,481,259 0.0%
CTCI Corp. 62,000 80,655 0.0%
# Cub Elecparts, Inc. 215,750 2,607,141 0.1%
# CviLux Corp. 517,039 418,714 0.0%
Cyberlink Corp. 498,697 1,077,672 0.0%
# CyberPower Systems, Inc. 264,000 792,108 0.0%
# CyberTAN Technology, Inc. 1,387,779 713,147 0.0%
#* D-Link Corp. 5,120,668 1,598,416 0.1%
# DA CIN Construction Co., Ltd. 1,040,711 501,224 0.0%
# Da-Li Development Co., Ltd. 1,012,592 684,719 0.0%
Dafeng TV, Ltd. 413,540 486,628 0.0%
#* Danen Technology Corp. 2,682,000 643,860 0.0%
Darfon Electronics Corp. 1,833,550 1,115,868 0.0%
# Darwin Precisions Corp. 2,422,635 906,727 0.0%
Davicom Semiconductor, Inc. 52,888 37,894 0.0%
# De Licacy Industrial Co., Ltd. 794,798 801,001 0.0%
#* Delpha Construction Co., Ltd. 991,931 508,237 0.0%
# Depo Auto Parts Ind Co., Ltd. 685,000 2,116,004 0.1%
* Der Pao Construction Co., Ltd. 902,078 -- 0.0%
# DFI, Inc. 514,524 962,598 0.0%
# Dimerco Express Corp. 645,000 319,404 0.0%
# Dynacolor, Inc. 316,000 490,322 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TAIWAN -- (Continued)
* Dynamic Electronics Co., Ltd. 1,908,321 $ 497,075 0.0%
# Dynapack International Technology Corp. 971,000 1,456,392 0.0%
#* E Ink Holdings, Inc. 6,087,000 2,819,522 0.1%
# E-Lead Electronic Co., Ltd. 507,942 529,968 0.0%
# E-Life Mall Corp. 469,000 844,135 0.0%
* E-Ton Solar Tech Co., Ltd. 2,396,209 742,104 0.0%
* Eastern Media International Corp. 2,757,889 485,818 0.0%
# Edimax Technology Co., Ltd. 1,297,108 400,895 0.0%
# Edison Opto Corp. 871,000 388,907 0.0%
# Edom Technology Co., Ltd. 1,029,062 518,641 0.0%
# eGalax_eMPIA Technology, Inc. 333,369 574,294 0.0%
# Elan Microelectronics Corp. 2,597,715 2,683,288 0.1%
# Elite Advanced Laser Corp. 544,600 2,605,884 0.1%
Elite Material Co., Ltd. 1,873,350 3,332,110 0.1%
# Elite Semiconductor Memory Technology, Inc. 1,732,200 1,405,106 0.0%
# Elitegroup Computer Systems Co., Ltd. 2,281,254 1,395,786 0.0%
# eMemory Technology, Inc. 429,000 4,688,362 0.1%
#* Emerging Display Technologies Corp. 646,000 245,799 0.0%
# ENG Electric Co., Ltd. 1,116,794 590,007 0.0%
# Ennoconn Corp. 18,000 229,019 0.0%
# EnTie Commercial Bank Co., Ltd. 2,226,603 957,395 0.0%
* Episil Holdings, Inc. 647,000 236,139 0.0%
# Epistar Corp. 1,639,000 1,049,640 0.0%
Eslite Spectrum Corp. (The) 20,000 114,342 0.0%
# Eson Precision Ind. Co., Ltd. 293,000 292,351 0.0%
# Eternal Materials Co., Ltd. 3,699,647 3,696,425 0.1%
# Etron Technology, Inc. 1,607,000 607,241 0.0%
# Everest Textile Co., Ltd. 2,598,562 1,236,497 0.0%
Evergreen International Storage & Transport Corp. 3,658,000 1,477,439 0.0%
# Everlight Chemical Industrial Corp. 3,209,720 1,999,028 0.1%
# Everlight Electronics Co., Ltd. 2,958,000 4,135,839 0.1%
#* Everspring Industry Co., Ltd. 168,000 99,185 0.0%
# Excelsior Medical Co., Ltd. 623,217 954,680 0.0%
# Far Eastern Department Stores, Ltd. 5,475,000 2,929,688 0.1%
# Far Eastern International Bank 13,503,845 3,918,468 0.1%
# Faraday Technology Corp. 1,470,788 1,966,447 0.1%
#* Farglory F T Z Investment Holding Co., Ltd. 485,000 220,800 0.0%
# Farglory Land Development Co., Ltd. 1,604,000 1,918,425 0.1%
Federal Corp. 3,166,489 1,406,616 0.0%
# Feedback Technology Corp. 235,000 373,290 0.0%
Feng Hsin Steel Co., Ltd. 2,776,100 3,912,583 0.1%
Fine Blanking & Tool Co., Ltd. 13,000 17,705 0.0%
First Copper Technology Co., Ltd. 791,000 173,267 0.0%
# First Hotel 911,350 519,474 0.0%
# First Insurance Co, Ltd. (The) 1,157,179 411,977 0.0%
# First Steamship Co., Ltd. 2,597,218 685,874 0.0%
# FLEXium Interconnect, Inc. 1,628,270 3,733,589 0.1%
# Flytech Technology Co., Ltd. 709,309 2,380,922 0.1%
# FocalTech Systems Co., Ltd. 1,323,048 1,133,016 0.0%
# Formosa Advanced Technologies Co., Ltd. 1,096,000 759,389 0.0%
# Formosa International Hotels Corp. 265,329 1,606,950 0.1%
# Formosa Laboratories, Inc. 476,000 1,147,228 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
TAIWAN -- (Continued)
# Formosa Oilseed Processing Co., Ltd. 708,567 $ 652,018 0.0%
# Formosa Optical Technology Co., Ltd. 145,000 345,419 0.0%
# Formosan Rubber Group, Inc. 3,013,000 1,552,754 0.0%
Formosan Union Chemical 1,285,218 625,043 0.0%
# Fortune Electric Co., Ltd. 699,078 328,762 0.0%
# Founding Construction & Development Co., Ltd. 1,084,546 584,454 0.0%
Foxlink Image Technology Co., Ltd. 669,000 319,732 0.0%
# Froch Enterprise Co., Ltd. 1,216,189 384,077 0.0%
FSP Technology, Inc. 1,054,427 784,452 0.0%
# Fulgent Sun International Holding Co., Ltd. 376,000 719,847 0.0%
# Fullerton Technology Co., Ltd. 399,600 298,962 0.0%
# Fulltech Fiber Glass Corp. 2,124,083 678,897 0.0%
# Fwusow Industry Co., Ltd. 823,751 385,353 0.0%
# G Shank Enterprise Co., Ltd. 773,281 539,552 0.0%
#* G Tech Optoelectronics Corp. 1,325,000 382,603 0.0%
# Gallant Precision Machining Co., Ltd. 839,000 366,428 0.0%
# Gamania Digital Entertainment Co., Ltd. 669,000 629,548 0.0%
# Gemtek Technology Corp. 2,308,219 1,187,230 0.0%
# General Plastic Industrial Co., Ltd. 199,553 233,249 0.0%
#* Genesis Photonics, Inc. 2,540,990 441,545 0.0%
#* Genius Electronic Optical Co., Ltd. 485,427 676,861 0.0%
* Genmont Biotech, Inc. 48,000 33,108 0.0%
# GeoVision, Inc. 394,986 834,804 0.0%
Getac Technology Corp. 2,800,360 1,887,263 0.1%
#* Giantplus Technology Co., Ltd. 1,585,900 883,106 0.0%
Giga Solution Tech Co., Ltd. 159,446 93,544 0.0%
Gigabyte Technology Co., Ltd. 3,879,800 4,141,743 0.1%
# Gigasolar Materials Corp. 71,880 1,193,270 0.0%
#* Gigastorage Corp. 2,094,561 1,556,962 0.0%
#* Gintech Energy Corp. 3,308,297 2,246,329 0.1%
#* Global Brands Manufacture, Ltd. 1,991,359 450,114 0.0%
# Global Lighting Technologies, Inc. 548,000 981,256 0.0%
# Global Mixed Mode Technology, Inc. 519,000 1,071,684 0.0%
# Global Unichip Corp. 610,000 1,423,675 0.0%
# Globalwafers Co., Ltd. 106,048 242,881 0.0%
Globe Union Industrial Corp. 1,470,914 691,279 0.0%
Gloria Material Technology Corp. 3,374,565 1,842,181 0.1%
# Glory Science Co., Ltd. 330,296 512,856 0.0%
#* Gold Circuit Electronics, Ltd. 2,805,227 701,536 0.0%
Goldsun Building Materials Co., Ltd. 8,895,722 2,291,968 0.1%
# Good Will Instrument Co., Ltd. 226,542 126,593 0.0%
# Gourmet Master Co., Ltd. 406,000 3,264,243 0.1%
# Grand Ocean Retail Group, Ltd. 85,000 59,383 0.0%
# Grand Pacific Petrochemical 7,220,000 3,743,670 0.1%
# Grand Plastic Technology Corp. 81,000 584,936 0.0%
# Grape King Bio, Ltd. 680,000 4,087,278 0.1%
# Great China Metal Industry 1,001,000 829,105 0.0%
# Great Taipei Gas Co., Ltd. 1,640,000 1,181,894 0.0%
# Great Wall Enterprise Co., Ltd. 3,741,774 2,534,917 0.1%
Greatek Electronics, Inc. 1,052,000 1,196,183 0.0%
#* Green Energy Technology, Inc. 2,304,457 1,286,993 0.0%
# Green Seal Holding, Ltd. 174,000 757,444 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TAIWAN -- (Continued)
#* GTM Holdings Corp. 681,000 $ 261,485 0.0%
# Hakers Enterprise Co., Ltd. 117,200 265,418 0.0%
# Hannstar Board Corp. 2,209,049 633,800 0.0%
#* HannStar Display Corp. 21,641,506 2,509,313 0.1%
* HannsTouch Solution, Inc. 3,945,805 860,096 0.0%
# Hanpin Electron Co., Ltd. 79,000 99,329 0.0%
# Harvatek Corp. 941,949 285,372 0.0%
# Hey Song Corp. 2,013,750 2,173,074 0.1%
# Hi-Clearance, Inc. 185,000 558,339 0.0%
# Hiroca Holdings, Ltd. 370,448 1,454,210 0.0%
# HiTi Digital, Inc. 1,013,935 437,100 0.0%
# Hitron Technology, Inc. 1,757,213 977,545 0.0%
Hiyes International Co., Ltd. 5,043 4,769 0.0%
#* Ho Tung Chemical Corp. 5,574,400 1,238,054 0.0%
# Hocheng Corp. 2,223,700 544,997 0.0%
Hold-Key Electric Wire & Cable Co., Ltd. 205,908 49,494 0.0%
# Holiday Entertainment Co., Ltd. 415,800 667,858 0.0%
# Holtek Semiconductor, Inc. 1,176,000 1,883,164 0.1%
Holy Stone Enterprise Co., Ltd. 1,290,728 1,322,760 0.0%
# Hong TAI Electric Industrial 979,000 255,871 0.0%
# Hong YI Fiber Industry Co. 341,652 221,898 0.0%
# Horizon Securities Co., Ltd. 2,760,000 483,160 0.0%
# Hota Industrial Manufacturing Co., Ltd. 1,257,128 6,014,806 0.1%
# Hsin Kuang Steel Co., Ltd. 1,458,443 702,516 0.0%
Hsin Yung Chien Co., Ltd. 246,100 601,635 0.0%
Hsing TA Cement Co. 540,900 167,598 0.0%
# Hu Lane Associate, Inc. 470,866 2,177,525 0.1%
* HUA ENG Wire & Cable Co., Ltd. 2,359,565 493,231 0.0%
# Huaku Development Co., Ltd. 1,759,816 3,103,807 0.1%
# Huang Hsiang Construction Corp. 754,800 669,214 0.0%
# Hung Ching Development & Construction Co., Ltd. 730,000 402,359 0.0%
Hung Poo Real Estate Development Corp. 1,829,185 1,475,025 0.0%
# Hung Sheng Construction, Ltd. 3,143,400 1,546,946 0.0%
# Huxen Corp. 315,244 445,131 0.0%
# Hwa Fong Rubber Co., Ltd. 1,629,010 561,909 0.0%
#* Hwacom Systems, Inc. 442,000 136,822 0.0%
I-Chiun Precision Industry Co., Ltd. 846,313 230,334 0.0%
# I-Sheng Electric Wire & Cable Co., Ltd. 664,000 779,903 0.0%
# Ibase Technology, Inc. 730,470 1,258,511 0.0%
# Ichia Technologies, Inc. 2,319,000 1,095,197 0.0%
# Ideal Bike Corp. 862,263 348,958 0.0%
# IEI Integration Corp. 313,209 340,909 0.0%
# ILI Technology Corp. 563,383 882,243 0.0%
Infortrend Technology, Inc. 1,176,163 582,217 0.0%
# Inpaq Technology Co., Ltd. 546,000 349,708 0.0%
# Intai Technology Corp. 105,000 495,977 0.0%
# International Games System Co., Ltd. 32,000 271,824 0.0%
# Iron Force Industrial Co., Ltd. 210,393 1,254,330 0.0%
ITE Technology, Inc. 890,095 761,431 0.0%
# ITEQ Corp. 1,673,614 1,545,814 0.0%
* J Touch Corp. 11,000 1,030 0.0%
# Jentech Precision Industrial Co., Ltd. 447,868 575,869 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
TAIWAN -- (Continued)
# Jess-Link Products Co., Ltd. 970,900 $ 802,271 0.0%
# Jih Sun Financial Holdings Co., Ltd. 8,093,472 1,761,748 0.1%
# Johnson Health Tech Co., Ltd. 588,257 927,940 0.0%
K Laser Technology, Inc. 712,000 301,972 0.0%
Kang Na Hsiung Enterprise Co., Ltd. 333,020 117,530 0.0%
* Kao Hsing Chang Iron & Steel 142,600 38,188 0.0%
# Kaori Heat Treatment Co., Ltd. 549,197 984,198 0.0%
# Kaulin Manufacturing Co., Ltd. 875,330 459,673 0.0%
# KD Holding Corp. 136,000 738,889 0.0%
KEE TAI Properties Co., Ltd. 2,564,473 1,210,601 0.0%
# Kenmec Mechanical Engineering Co., Ltd. 1,199,000 426,278 0.0%
# Kerry TJ Logistics Co., Ltd. 1,696,000 2,187,618 0.1%
# Kindom Construction Corp. 2,544,000 1,259,113 0.0%
# King Yuan Electronics Co., Ltd. 8,446,979 7,434,550 0.2%
King's Town Bank Co., Ltd. 3,564,701 2,480,050 0.1%
# King's Town Construction Co., Ltd. 962,074 512,066 0.0%
Kinik Co. 771,000 1,208,327 0.0%
#* Kinko Optical Co., Ltd. 964,000 423,313 0.0%
#* Kinpo Electronics 9,185,157 3,094,271 0.1%
Kinsus Interconnect Technology Corp. 268,000 517,639 0.0%
# KMC Kuei Meng International, Inc. 273,146 1,030,676 0.0%
# KS Terminals, Inc. 803,482 948,769 0.0%
# Kung Long Batteries Industrial Co., Ltd. 363,000 1,496,996 0.0%
#* Kung Sing Engineering Corp. 2,004,000 707,701 0.0%
# Kuo Toong International Co., Ltd. 1,263,344 1,015,719 0.0%
# Kuoyang Construction Co., Ltd. 3,023,384 1,099,833 0.0%
# Kwong Fong Industries Corp. 1,256,184 747,022 0.0%
# Kwong Lung Enterprise Co., Ltd. 75,000 123,599 0.0%
# KYE Systems Corp. 1,806,672 503,887 0.0%
# L&K Engineering Co., Ltd. 623,048 616,408 0.0%
# LAN FA Textile 1,708,933 487,305 0.0%
# Lanner Electronics, Inc. 457,006 538,558 0.0%
Laser Tek Taiwan Co., Ltd. 92,504 71,478 0.0%
#* LCY Chemical Corp. 1,926,383 2,284,001 0.1%
Leader Electronics, Inc. 828,000 242,286 0.0%
Leadtrend Technology Corp. 120,086 107,497 0.0%
Lealea Enterprise Co., Ltd. 4,798,892 1,359,729 0.0%
# Ledlink Optics, Inc. 210,250 335,029 0.0%
Ledtech Electronics Corp. 351,000 104,510 0.0%
LEE CHI Enterprises Co., Ltd. 1,115,000 381,405 0.0%
# Lelon Electronics Corp. 389,300 412,607 0.0%
# Leofoo Development Co., Ltd. 1,751,000 488,672 0.0%
#* LES Enphants Co., Ltd. 727,754 304,857 0.0%
# Lextar Electronics Corp. 2,756,500 1,327,334 0.0%
#* Li Peng Enterprise Co., Ltd. 4,248,897 1,036,948 0.0%
# Lian HWA Food Corp. 432,883 390,702 0.0%
# Lien Chang Electronic Enter 476,000 201,734 0.0%
Lien Hwa Industrial Corp. 3,864,503 2,405,209 0.1%
# Lingsen Precision Industries, Ltd. 2,690,506 698,936 0.0%
Lite-On Semiconductor Corp. 1,591,539 993,697 0.0%
Long Bon International Co., Ltd. 2,208,945 1,264,533 0.0%
# Long Chen Paper Co., Ltd. 3,603,709 1,505,365 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TAIWAN -- (Continued)
# Longwell Co. 1,032,000 $1,018,851 0.0%
# Lotes Co., Ltd. 444,778 1,171,255 0.0%
# Lucky Cement Corp. 1,606,000 504,684 0.0%
# Lumax International Corp., Ltd. 591,769 862,956 0.0%
# Lung Yen Life Service Corp. 437,000 737,484 0.0%
# LuxNet Corp. 432,482 756,686 0.0%
# Macauto Industrial Co., Ltd. 186,000 1,001,908 0.0%
# Macroblock, Inc. 83,000 151,097 0.0%
#* Macronix International 27,440,481 3,051,821 0.1%
* MacroWell OMG Digital Entertainment Co., Ltd. 1,000 1,691 0.0%
# Mag Layers Scientific-Technics Co., Ltd. 237,303 294,088 0.0%
# Marketech International Corp. 862,000 665,389 0.0%
# Masterlink Securities Corp. 7,456,873 2,037,522 0.1%
# Mayer Steel Pipe Corp. 916,567 350,588 0.0%
Maywufa Co., Ltd. 69,322 29,924 0.0%
Meiloon Industrial Co. 393,809 163,906 0.0%
# Mercuries & Associates Holding, Ltd. 2,409,991 1,394,402 0.0%
# Mercuries Life Insurance Co., Ltd. 5,167,009 2,484,850 0.1%
# Merry Electronics Co., Ltd. 1,176,477 2,183,385 0.1%
Micro-Star International Co., Ltd. 2,799,075 4,455,047 0.1%
* Microbio Co., Ltd. 1,775,607 1,343,874 0.0%
* Microelectronics Technology, Inc. 232,019 69,280 0.0%
# Microlife Corp. 288,600 746,509 0.0%
Mildef Crete, Inc. 170,000 200,138 0.0%
MIN AIK Technology Co., Ltd. 1,164,316 1,804,013 0.1%
# Mirle Automation Corp. 1,090,959 1,154,152 0.0%
# Mitac Holdings Corp. 1,138,000 807,940 0.0%
# Mobiletron Electronics Co., Ltd. 395,000 568,108 0.0%
* Mosel Vitelic, Inc. 2,344,014 213,613 0.0%
#* Motech Industries, Inc. 2,833,467 2,665,547 0.1%
# MPI Corp. 445,000 960,553 0.0%
# Nak Sealing Technologies Corp. 367,954 855,013 0.0%
Namchow Chemical Industrial Co., Ltd. 1,129,000 2,091,743 0.1%
#* Nan Kang Rubber Tire Co., Ltd. 3,331,952 2,811,896 0.1%
# Nan Liu Enterprise Co., Ltd. 216,000 988,574 0.0%
Nan Ren Lake Leisure Amusement Co., Ltd. 855,000 208,283 0.0%
# Nan Ya Printed Circuit Board Corp. 1,663,000 1,561,278 0.0%
# Nantex Industry Co., Ltd. 1,542,585 1,303,364 0.0%
# National Petroleum Co., Ltd. 207,824 236,650 0.0%
# Neo Solar Power Corp. 6,203,744 3,311,162 0.1%
# Netronix, Inc. 468,000 818,224 0.0%
New Asia Construction & Development Corp. 338,835 66,417 0.0%
# New Era Electronics Co., Ltd. 312,000 227,659 0.0%
#* Newmax Technology Co., Ltd. 366,009 159,058 0.0%
# Nexcom International Co., Ltd. 677,094 548,341 0.0%
# Nichidenbo Corp. 927,801 678,162 0.0%
Nien Hsing Textile Co., Ltd. 1,601,436 1,175,504 0.0%
# Nishoku Technology, Inc. 143,000 217,690 0.0%
# Nuvoton Technology Corp. 361,000 334,333 0.0%
* O-TA Precision Industry Co., Ltd. 42,000 20,587 0.0%
#* Ocean Plastics Co., Ltd. 830,200 665,357 0.0%
# OptoTech Corp. 3,890,886 1,313,017 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TAIWAN -- (Continued)
Orient Europharma Co., Ltd. 35,000 $ 53,493 0.0%
#* Orient Semiconductor Electronics, Ltd. 4,075,000 1,557,338 0.0%
# Oriental Union Chemical Corp. 3,219,267 2,059,702 0.1%
* P-Two Industries, Inc. 49,000 23,103 0.0%
# Pacific Construction Co. 1,868,921 787,040 0.0%
# Pacific Hospital Supply Co., Ltd. 396,000 1,165,747 0.0%
# Paiho Shih Holdings Corp. 494,000 602,776 0.0%
# Pan Jit International, Inc. 2,523,541 1,309,960 0.0%
# Pan-International Industrial Corp. 2,962,747 1,079,312 0.0%
# Parade Technologies, Ltd. 421,401 3,896,550 0.1%
# Paragon Technologies Co., Ltd. 482,246 331,594 0.0%
# PChome Online, Inc. 407,256 4,304,484 0.1%
# Phihong Technology Co., Ltd. 1,483,901 472,135 0.0%
# Phoenix Tours International, Inc. 303,450 378,521 0.0%
# Pixart Imaging, Inc. 593,150 1,286,116 0.0%
Plotech Co., Ltd. 27,000 7,274 0.0%
# Polytronics Technology Corp. 330,027 607,786 0.0%
# Portwell, Inc. 617,000 901,680 0.0%
# Posiflex Technology, Inc. 294,327 1,474,713 0.0%
* Potrans Electrical Corp. 228,000 -- 0.0%
# Power Mate Technology Co., Ltd. 255,000 516,871 0.0%
# Power Quotient International Co., Ltd. 970,600 294,511 0.0%
# Powertech Industrial Co., Ltd. 317,000 123,804 0.0%
# Poya International Co., Ltd. 310,135 3,279,320 0.1%
President Securities Corp. 5,389,488 2,033,095 0.1%
Primax Electronics, Ltd. 268,000 314,187 0.0%
* Prime Electronics & Satellitics, Inc. 667,822 235,577 0.0%
# Prince Housing & Development Corp. 8,384,644 3,064,434 0.1%
#* Princeton Technology Corp. 1,099,000 239,617 0.0%
* Prodisc Technology, Inc. 1,707,199 -- 0.0%
# Promate Electronic Co., Ltd. 1,060,000 1,117,400 0.0%
# Promise Technology, Inc. 1,012,286 472,044 0.0%
* Protop Technology Co., Ltd. 192,000 -- 0.0%
# Qisda Corp. 12,154,900 3,847,046 0.1%
# Qualipoly Chemical Corp. 514,713 537,479 0.0%
# Quanta Storage, Inc. 543,000 362,396 0.0%
* Quintain Steel Co., Ltd. 1,138,000 246,590 0.0%
# Radiant Opto-Electronics Corp. 150,000 215,278 0.0%
# Radium Life Tech Co., Ltd. 4,858,100 1,510,053 0.0%
# Ralec Electronic Corp. 291,209 443,331 0.0%
# Rechi Precision Co., Ltd. 1,851,181 1,379,883 0.0%
#* Rexon Industrial Corp., Ltd. 94,392 30,686 0.0%
# Rich Development Co., Ltd. 4,372,036 1,225,242 0.0%
#* Ritek Corp. 19,067,387 1,663,513 0.1%
# Rotam Global Agrosciences, Ltd. 607,268 704,574 0.0%
# Ruentex Engineering & Construction Co. 226,000 290,295 0.0%
# Run Long Construction Co., Ltd. 731,292 767,406 0.0%
* Sainfoin Technology Corp. 131,260 -- 0.0%
Sampo Corp. 3,494,327 1,460,172 0.0%
# San Fang Chemical Industry Co., Ltd. 1,206,454 1,431,410 0.0%
* San Far Property, Ltd. 74,000 33,799 0.0%
# San Shing Fastech Corp. 647,875 1,195,797 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TAIWAN -- (Continued)
#* Sanyang Motor Co., Ltd. 2,817,628 $1,807,103 0.1%
# SCI Pharmtech, Inc. 353,395 931,398 0.0%
# Scientech Corp. 287,000 649,035 0.0%
# SDI Corp. 816,000 802,880 0.0%
# Sea Sonic Electronics Co., Ltd. 143,000 138,265 0.0%
Senao International Co., Ltd. 522,541 697,049 0.0%
# Senao Networks, Inc. 46,000 243,481 0.0%
# Sercomm Corp. 1,593,000 3,776,779 0.1%
# Sesoda Corp. 1,078,163 950,339 0.0%
Shan-Loong Transportation Co., Ltd. 29,000 22,149 0.0%
Sheng Yu Steel Co., Ltd. 639,980 388,811 0.0%
# ShenMao Technology, Inc. 542,891 364,025 0.0%
# Shih Her Technologies, Inc. 284,000 290,230 0.0%
Shih Wei Navigation Co., Ltd. 1,537,384 537,858 0.0%
Shihlin Electric & Engineering Corp. 1,700,000 2,087,185 0.1%
* Shihlin Paper Corp. 107,000 102,756 0.0%
Shin Hai Gas Corp. 1,203 1,507 0.0%
Shin Zu Shing Co., Ltd. 1,098,144 3,125,267 0.1%
# Shinih Enterprise Co., Ltd. 128,000 91,213 0.0%
#* Shining Building Business Co., Ltd. 2,417,041 864,159 0.0%
Shinkong Insurance Co., Ltd. 1,313,131 967,466 0.0%
# Shinkong Synthetic Fibers Corp. 10,044,395 2,658,195 0.1%
# Shinkong Textile Co., Ltd. 964,542 1,111,124 0.0%
# Shiny Chemical Industrial Co., Ltd. 334,031 451,301 0.0%
#* Shuttle, Inc. 2,485,152 704,301 0.0%
Sigurd Microelectronics Corp. 2,448,974 1,793,380 0.1%
# Silergy Corp. 118,000 1,567,096 0.0%
#* Silicon Integrated Systems Corp. 1,490,820 310,961 0.0%
Silicon Power Computer & Communications, Inc. 22,000 11,183 0.0%
# Silitech Technology Corp. 836,774 413,712 0.0%
# Sinbon Electronics Co., Ltd. 1,396,923 2,901,737 0.1%
Sincere Navigation Corp. 2,186,786 1,377,224 0.0%
Sinher Technology, Inc. 86,000 115,369 0.0%
# Sinmag Equipment Corp. 235,436 778,671 0.0%
#* Sino-American Electronic Co., Ltd. 88,750 230,246 0.0%
# Sino-American Silicon Products, Inc. 3,975,000 4,219,141 0.1%
Sinon Corp. 2,577,510 1,110,331 0.0%
# Sinphar Pharmaceutical Co., Ltd. 808,595 694,792 0.0%
# Sinyi Realty, Inc. 1,427,608 1,189,224 0.0%
# Sirtec International Co., Ltd. 920,000 1,106,718 0.0%
Sitronix Technology Corp. 746,879 2,177,790 0.1%
# Siward Crystal Technology Co., Ltd. 1,106,000 648,804 0.0%
# Soft-World International Corp. 467,000 851,050 0.0%
# Solar Applied Materials Technology Co. 2,371,581 1,239,684 0.0%
# Solartech Energy Corp. 2,517,616 1,308,821 0.0%
* Solytech Enterprise Corp. 651,000 111,953 0.0%
# Sonix Technology Co., Ltd. 1,098,000 1,090,781 0.0%
# Southeast Cement Co., Ltd. 1,053,700 509,410 0.0%
# Spirox Corp. 66,000 37,269 0.0%
# Sporton International, Inc. 444,945 2,434,383 0.1%
# St Shine Optical Co., Ltd. 317,000 5,919,153 0.1%
# Standard Chemical & Pharmaceutical Co., Ltd. 742,571 764,389 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TAIWAN -- (Continued)
# Stark Technology, Inc. 817,860 $ 665,749 0.0%
# Sunonwealth Electric Machine Industry Co., Ltd. 1,076,487 765,661 0.0%
# Sunplus Technology Co., Ltd. 1,644,000 634,738 0.0%
Sunrex Technology Corp. 1,384,024 651,890 0.0%
# Sunspring Metal Corp. 612,000 767,755 0.0%
Sunty Development Co., Ltd. 42,000 15,468 0.0%
# Supreme Electronics Co., Ltd. 2,059,399 930,574 0.0%
# Swancor Ind Co., Ltd. 428,206 1,693,428 0.1%
# Sweeten Construction Co., Ltd. 612,357 306,314 0.0%
# Syncmold Enterprise Corp. 988,000 1,615,737 0.1%
# Sysage Technology Co., Ltd. 508,080 427,521 0.0%
# Systex Corp. 280,388 470,635 0.0%
# T-Mac Techvest PCB Co., Ltd. 380,000 123,393 0.0%
# TA Chen Stainless Pipe 4,370,995 2,138,303 0.1%
# Ta Chong Securities Co., Ltd. 1,478,000 382,797 0.0%
#* Ta Ya Electric Wire & Cable 3,252,306 449,096 0.0%
# Ta Yih Industrial Co., Ltd. 194,000 457,703 0.0%
# TA-I Technology Co., Ltd. 1,199,009 611,648 0.0%
Tah Hsin Industrial Corp. 426,600 312,472 0.0%
TAI Roun Products Co., Ltd. 201,000 65,411 0.0%
# Tai Tung Communication Co., Ltd. 232,197 117,258 0.0%
# Taichung Commercial Bank Co., Ltd. 12,999,940 3,679,741 0.1%
# TaiDoc Technology Corp. 249,000 978,102 0.0%
# Taiflex Scientific Co., Ltd. 1,317,000 1,422,097 0.0%
# Taimide Tech, Inc. 545,000 422,150 0.0%
# Tainan Enterprises Co., Ltd. 872,370 1,124,234 0.0%
# Tainan Spinning Co., Ltd. 7,101,044 2,868,343 0.1%
# Tainergy Tech Co., Ltd. 1,119,000 567,631 0.0%
#* Taisun Enterprise Co., Ltd. 1,877,428 703,105 0.0%
#* Taita Chemical Co., Ltd. 900,951 212,519 0.0%
# Taiwan Acceptance Corp. 616,480 1,400,125 0.0%
# Taiwan Chinsan Electronic Industrial Co., Ltd. 553,000 707,625 0.0%
# Taiwan Cogeneration Corp. 2,076,566 1,556,581 0.0%
# Taiwan Fire & Marine Insurance Co., Ltd. 1,242,338 790,545 0.0%
* Taiwan Flourescent Lamp Co., Ltd. 176,000 -- 0.0%
# Taiwan FU Hsing Industrial Co., Ltd. 930,000 1,220,655 0.0%
# Taiwan Hon Chuan Enterprise Co., Ltd. 2,446,468 3,853,019 0.1%
# Taiwan Hopax Chemicals Manufacturing Co., Ltd. 1,089,120 653,326 0.0%
* Taiwan Kolin Co., Ltd. 1,356,000 -- 0.0%
# Taiwan Land Development Corp. 6,058,377 2,014,348 0.1%
Taiwan Line Tek Electronic 384,543 207,103 0.0%
Taiwan Mask Corp. 662,412 183,222 0.0%
Taiwan Navigation Co., Ltd. 1,143,777 472,724 0.0%
# Taiwan Paiho, Ltd. 1,685,287 5,060,430 0.1%
# Taiwan PCB Techvest Co., Ltd. 1,684,238 1,626,873 0.1%
#* Taiwan Prosperity Chemical Corp. 1,009,000 435,670 0.0%
#* Taiwan Pulp & Paper Corp. 2,253,980 753,943 0.0%
# Taiwan Sakura Corp. 1,681,003 1,191,258 0.0%
Taiwan Sanyo Electric Co., Ltd. 381,400 277,388 0.0%
# Taiwan Secom Co., Ltd. 148,371 417,618 0.0%
Taiwan Semiconductor Co., Ltd. 1,658,000 1,991,035 0.1%
Taiwan Shin Kong Security Co., Ltd. 1,584,710 1,966,052 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TAIWAN -- (Continued)
#* Taiwan Styrene Monomer 3,643,209 $1,824,183 0.1%
Taiwan Surface Mounting Technology Corp. 1,924,388 1,597,862 0.1%
# Taiwan TEA Corp. 5,181,897 2,381,006 0.1%
# Taiwan Union Technology Corp. 1,548,000 1,372,199 0.0%
Taiyen Biotech Co., Ltd. 916,883 774,491 0.0%
#* Tatung Co., Ltd. 16,593,015 2,587,592 0.1%
Te Chang Construction Co., Ltd. 427,482 308,516 0.0%
Ten Ren Tea Co., Ltd. 164,980 194,208 0.0%
# Test Research, Inc. 1,046,821 1,476,114 0.0%
# Test Rite International Co., Ltd. 1,993,495 1,206,914 0.0%
# Tex-Ray Industrial Co., Ltd. 803,000 326,390 0.0%
# Thinking Electronic Industrial Co., Ltd. 524,204 784,129 0.0%
# Thye Ming Industrial Co., Ltd. 1,087,669 996,429 0.0%
# Ton Yi Industrial Corp. 3,954,644 1,895,564 0.1%
# Tong Hsing Electronic Industries, Ltd. 1,100,963 3,152,351 0.1%
Tong Yang Industry Co., Ltd. 2,594,741 3,944,925 0.1%
# Tong-Tai Machine & Tool Co., Ltd. 1,655,892 1,235,003 0.0%
Topco Scientific Co., Ltd. 984,023 1,779,189 0.1%
# Topco Technologies Corp. 129,000 248,437 0.0%
# Topoint Technology Co., Ltd. 1,044,776 696,866 0.0%
# Toung Loong Textile Manufacturing 563,000 1,495,942 0.0%
# TPK Holding Co., Ltd. 325,000 679,319 0.0%
# Trade-Van Information Services Co. 234,000 190,633 0.0%
Transasia Airways Corp. 2,047,227 465,745 0.0%
Tripod Technology Corp. 2,849,000 5,209,927 0.1%
# TrueLight Corp. 546,000 1,321,551 0.0%
Tsann Kuen Enterprise Co., Ltd. 289,686 206,728 0.0%
# TSC Auto ID Technology Co., Ltd. 150,700 1,343,822 0.0%
# TSRC Corp. 3,182,200 2,795,755 0.1%
# Ttet Union Corp. 277,000 677,914 0.0%
TTFB Co., Ltd. 63,000 438,834 0.0%
TTY Biopharm Co., Ltd. 502,979 1,638,511 0.1%
Tung Ho Steel Enterprise Corp. 5,243,000 3,360,244 0.1%
Tung Ho Textile Co., Ltd. 288,000 53,741 0.0%
# Tung Thih Electronic Co., Ltd. 373,600 6,640,343 0.1%
# TURVO International Co., Ltd. 333,112 821,861 0.0%
TXC Corp. 2,104,053 2,673,135 0.1%
# TYC Brother Industrial Co., Ltd. 1,482,980 1,162,185 0.0%
* Tycoons Group Enterprise 2,402,182 287,659 0.0%
# Tyntek Corp. 1,873,039 736,668 0.0%
U-Ming Marine Transport Corp. 194,000 156,592 0.0%
Ubright Optronics Corp. 77,500 53,108 0.0%
# Unimicron Technology Corp. 9,116,000 4,349,449 0.1%
# Union Bank Of Taiwan 6,366,149 1,780,474 0.1%
# Union Insurance Co., Ltd. 467,660 186,043 0.0%
# Unitech Computer Co., Ltd. 612,804 316,902 0.0%
# Unitech Printed Circuit Board Corp. 3,827,370 1,324,767 0.0%
United Integrated Services Co., Ltd. 1,476,439 2,076,546 0.1%
# United Orthopedic Corp. 363,323 830,036 0.0%
# Unity Opto Technology Co., Ltd. 1,915,500 860,116 0.0%
# Universal Cement Corp. 2,481,836 1,587,368 0.1%
# Universal Microwave Technology, Inc. 193,000 398,101 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TAIWAN -- (Continued)
# Unizyx Holding Corp. 2,914,430 $1,478,014 0.0%
UPC Technology Corp. 4,735,447 1,278,039 0.0%
# USI Corp. 5,582,734 2,208,699 0.1%
# Usun Technology Co., Ltd. 286,000 496,203 0.0%
# Ve Wong Corp. 621,696 414,229 0.0%
# Victory New Materials, Ltd. Co. 60,000 142,203 0.0%
# Viking Tech Corp. 594,815 473,999 0.0%
# Visual Photonics Epitaxy Co., Ltd. 1,627,696 2,504,018 0.1%
# Vivotek, Inc. 418,319 981,238 0.0%
#* Wafer Works Corp. 3,144,746 944,437 0.0%
Wah Hong Industrial Corp. 182,021 103,821 0.0%
# Wah Lee Industrial Corp. 1,148,000 1,556,095 0.0%
* Walsin Lihwa Corp. 15,119,000 3,951,240 0.1%
Walsin Technology Corp. 2,624,497 2,149,206 0.1%
# Walton Advanced Engineering, Inc. 2,112,197 542,315 0.0%
WAN HWA Enterprise Co. 690,987 309,196 0.0%
# Waterland Financial Holdings Co., Ltd. 5,411,912 1,336,979 0.0%
#* Wei Chuan Foods Corp. 1,726,000 1,065,902 0.0%
* Wei Mon Industry Co., Ltd. 3,075,282 64,360 0.0%
# Weikeng Industrial Co., Ltd. 1,461,100 895,963 0.0%
Well Shin Technology Co., Ltd. 529,000 840,366 0.0%
#* Wha Yu Industrial Co., Ltd. 108,000 50,851 0.0%
Win Semiconductors Corp. 3,390,443 6,366,550 0.1%
* Winbond Electronics Corp. 14,702,138 3,807,926 0.1%
Winstek Semiconductor Co., Ltd. 52,000 31,347 0.0%
Wintek Corp. 5,447,000 57,944 0.0%
# Wisdom Marine Lines Co., Ltd. 1,711,402 1,982,596 0.1%
# Wistron NeWeb Corp. 1,634,437 4,239,536 0.1%
Wowprime Corp. 16,000 59,866 0.0%
# WT Microelectronics Co., Ltd. 2,897,051 3,484,140 0.1%
# WUS Printed Circuit Co., Ltd. 2,158,000 1,721,268 0.1%
# X-Legend Entertainment Co., Ltd. 187,716 329,361 0.0%
# XAC Automation Corp. 527,000 985,107 0.0%
# XPEC Entertainment, Inc. 95,000 300,736 0.0%
# Xxentria Technology Materials Corp. 776,207 2,094,810 0.1%
Yageo Corp. 543,028 883,552 0.0%
* Yang Ming Marine Transport Corp. 1,732,000 456,828 0.0%
YC Co., Ltd. 2,453,823 1,044,786 0.0%
# YC INOX Co., Ltd. 2,316,171 1,735,145 0.1%
# YCC Parts Manufacturing Co., Ltd. 204,000 350,031 0.0%
# Yea Shin International Development Co., Ltd. 1,002,350 457,948 0.0%
# Yeong Guan Energy Technology Group Co., Ltd. 379,929 2,460,754 0.1%
# YFY, Inc. 8,594,212 2,673,384 0.1%
# Yi Jinn Industrial Co., Ltd. 1,618,094 592,125 0.0%
# Yieh Phui Enterprise Co., Ltd. 6,930,668 1,756,255 0.1%
# Yonyu Plastics Co., Ltd. 421,600 429,179 0.0%
#* Young Fast Optoelectronics Co., Ltd. 679,872 209,753 0.0%
# Young Optics, Inc. 371,111 351,383 0.0%
# Youngtek Electronics Corp. 732,666 1,025,749 0.0%
Yuanta Financial Holding Co., Ltd. 5,762,376 1,896,580 0.1%
Yufo Electronics Co., Ltd. 78,400 46,440 0.0%
Yung Chi Paint & Varnish Manufacturing Co., Ltd. 442,869 986,328 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
TAIWAN -- (Continued)
# Yungshin Construction & Development Co., Ltd. 372,000 $ 322,875 0.0%
# YungShin Global Holding Corp. 1,196,015 1,780,233 0.1%
# Yungtay Engineering Co., Ltd. 2,429,000 3,518,206 0.1%
# Zeng Hsing Industrial Co., Ltd. 362,107 1,628,461 0.1%
Zenitron Corp. 1,293,000 732,404 0.0%
# Zig Sheng Industrial Co., Ltd. 3,101,732 821,138 0.0%
# Zinwell Corp. 1,186,586 1,728,986 0.1%
# Zippy Technology Corp. 711,948 904,498 0.0%
# ZongTai Real Estate Development Co., Ltd. 1,153,277 579,788 0.0%
------------ ----
TOTAL TAIWAN 747,646,613 14.6%
------------ ----
THAILAND -- (3.2%)
AAPICO Hitech PCL(B013KZ2) 110,000 35,585 0.0%
AAPICO Hitech PCL(B013L48) 964,380 311,981 0.0%
Advanced Information Technology PCL 158,200 137,004 0.0%
Aeon Thana Sinsap Thailand PCL(B01KHN0) 142,500 387,561 0.0%
AEON Thana Sinsap Thailand PCL(B01KHP2) 49,000 133,267 0.0%
* AJ Plast PCL 1,384,388 273,469 0.0%
* Amarin Printing & Publishing PCL 18,060 4,007 0.0%
Amata Corp. PCL 4,066,510 1,385,384 0.0%
Ananda Development PCL 21,221,000 2,211,407 0.1%
AP Thailand PCL 11,041,816 1,896,676 0.0%
* Apex Development PCL 3,536 -- 0.0%
Asia Aviation PCL 11,792,800 1,958,152 0.0%
Asia Plus Group Holdings PCL 11,544,800 1,110,522 0.0%
Asia Sermkij Leasing PCL 475,300 250,373 0.0%
Asian Insulators PCL 12,731,600 103,879 0.0%
Asian Phytoceuticals PCL 681,400 29,652 0.0%
Bangkok Aviation Fuel Services PCL 1,907,446 1,952,224 0.0%
Bangkok Chain Hospital PCL 11,919,337 3,514,720 0.1%
Bangkok Expressway & Metro PCL 7,594,330 1,293,623 0.0%
Bangkok Insurance PCL 180,181 1,831,213 0.0%
Bangkok Land PCL 67,981,570 2,958,259 0.1%
* Bangkok Rubber PCL 14,600 -- 0.0%
Beauty Community PCL 13,320,700 2,116,515 0.1%
Cal-Comp Electronics Thailand PCL 18,374,244 1,588,612 0.0%
* Central Paper Industry PCL 20 -- 0.0%
Charoong Thai Wire & Cable PCL 967,100 235,338 0.0%
* Christiani & Nielsen Thai 2,930,600 337,275 0.0%
Chularat Hospital PCL 34,635,700 2,835,903 0.1%
CK Power PCL 22,979,590 1,421,011 0.0%
COL PCL 74,900 72,906 0.0%
* Country Group Development PCL 16,140,600 517,534 0.0%
Country Group Holdings PCL 7,918,400 364,976 0.0%
CS Loxinfo PCL 1,380,600 229,244 0.0%
Demco PCL 682,000 128,863 0.0%
Dhipaya Insurance PCL 1,030,400 1,098,838 0.0%
Diamond Building Products PCL 2,546,400 322,218 0.0%
DSG International Thailand PCL 4,092,240 466,279 0.0%
Dynasty Ceramic PCL 24,276,580 2,988,528 0.1%
E for L Aim PCL 16,362,000 313,843 0.0%
Eastern Water Resources Development and Management PCL 5,213,600 1,880,657 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
THAILAND -- (Continued)
Erawan Group PCL (The) 13,603,770 $1,705,826 0.0%
* Esso Thailand PCL 13,575,400 2,040,391 0.1%
* G J Steel PCL 9,611,280 68,790 0.0%
* G Steel PCL 1,817,260 17,689 0.0%
GFPT PCL 5,399,900 1,963,319 0.1%
* GMM Grammy PCL 90,260 22,093 0.0%
Golden Land Property Development PCL 7,378,600 1,383,620 0.0%
Grand Canal Land PCL 5,552,200 432,350 0.0%
* Grande Asset Hotels & Property PCL 9,031,875 245,642 0.0%
Hana Microelectronics PCL 3,442,496 3,276,925 0.1%
ICC International PCL 204,600 213,796 0.0%
Ichitan Group PCL 1,421,100 496,348 0.0%
Inter Far East Energy Corp. 802,600 163,139 0.0%
* International Engineering PCL 39,494,487 33,920 0.0%
* Italian-Thai Development PCL 19,673,827 3,998,974 0.1%
* ITV PCL 2,785,600 -- 0.0%
JAS Asset PCL 141,425 11,337 0.0%
Jasmine International PCL 23,683,800 2,956,237 0.1%
Jay Mart PCL 1,414,325 356,314 0.0%
Jubilee Enterprise PCL 73,600 36,452 0.0%
Kang Yong Electric PCL 40,500 360,593 0.0%
Karmarts PCL 534,900 104,132 0.0%
KCE Electronics PCL 1,874,018 4,211,578 0.1%
KGI Securities Thailand PCL 11,258,000 1,037,812 0.0%
Khon Kaen Sugar Industry PCL 13,835,190 1,608,098 0.0%
Khonburi Sugar PCL 101,800 21,129 0.0%
Kiatnakin Bank PCL 3,407,000 4,047,824 0.1%
Krungthai Card PCL 974,600 2,573,915 0.1%
L.P.N Development PCL 411,500 164,930 0.0%
Laguna Resorts & Hotels PCL 197,000 138,740 0.0%
Lanna Resources PCL 1,970,550 504,908 0.0%
LH Financial Group PCL 43,916,166 2,200,209 0.1%
Loxley PCL 8,263,676 577,251 0.0%
LPN Development PCL 7,051,800 2,826,373 0.1%
Major Cineplex Group PCL 4,096,100 3,693,878 0.1%
Maybank Kim Eng Securities Thailand PCL 943,300 604,922 0.0%
MBK PCL 5,963,100 2,475,378 0.1%
MCOT PCL 2,424,300 624,641 0.0%
Mega Lifesciences PCL 1,360,400 658,195 0.0%
* Millcon Steel PCL 7,480,500 293,395 0.0%
MK Real Estate Development PCL 1,885,900 238,640 0.0%
Modernform Group PCL 2,425,100 562,362 0.0%
Muang Thai Insurance PCL 61,288 249,152 0.0%
Muramoto Electron Thailand PCL 14,000 93,587 0.0%
Namyong Terminal PCL 452,800 177,594 0.0%
Nation Multimedia Group PCL 14,789,200 601,221 0.0%
Noble Development PCL 580,800 214,495 0.0%
* Nok Airlines PCL 534,700 109,450 0.0%
Polyplex Thailand PCL 3,145,200 652,811 0.0%
* Precious Shipping PCL 7,342,500 1,429,402 0.0%
Premier Marketing PCL 2,016,300 562,809 0.0%
President Rice Products PCL 3,375 5,218 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
THAILAND -- (Continued)
Property Perfect PCL 30,716,600 $ 765,057 0.0%
PTG Energy PCL 10,811,000 4,611,620 0.1%
Quality Houses PCL 56,364,226 3,582,267 0.1%
Raimon Land PCL 16,968,200 582,933 0.0%
Ratchthani Leasing PCL 6,670,700 634,032 0.0%
Regional Container Lines PCL 2,727,300 495,802 0.0%
Rojana Industrial Park PCL 6,572,011 1,015,999 0.0%
RS PCL 4,157,500 1,440,188 0.0%
Saha Pathana Inter-Holding PCL 680,300 471,321 0.0%
Saha-Union PCL 743,600 782,345 0.0%
* Sahaviriya Steel Industries PCL 87,225,900 124,858 0.0%
Samart Corp. PCL 3,624,800 1,660,372 0.0%
Samart I-Mobile PCL 14,993,100 433,525 0.0%
Samart Telcoms PCL 2,141,200 845,936 0.0%
Sansiri PCL 67,314,410 2,967,770 0.1%
SC Asset Corp PCL 15,151,115 1,309,945 0.0%
Siam Future Development PCL 8,720,573 1,485,468 0.0%
Siam Global House PCL 7,901,435 2,510,905 0.1%
Siamgas & Petrochemicals PCL 3,877,900 1,343,332 0.0%
Sino-Thai Engineering & Construction PCL 7,410,200 4,858,104 0.1%
SNC Former PCL 141,800 63,735 0.0%
Somboon Advance Technology PCL 1,872,637 761,278 0.0%
SPCG PCL 3,044,900 1,821,884 0.0%
Sri Ayudhya Capital PCL 233,100 220,220 0.0%
Sri Trang Agro-Industry PCL 6,133,990 2,265,344 0.1%
Sriracha Construction PCL 1,085,700 416,501 0.0%
Srithai Superware PCL 13,163,000 791,363 0.0%
* Stars Microelectronics Thailand PCL 587,200 215,178 0.0%
STP & I PCL 5,703,864 1,747,247 0.0%
Supalai PCL 7,460,433 4,378,439 0.1%
Susco PCL 1,295,200 95,666 0.0%
* SVI PCL 13,768,500 1,931,453 0.0%
Symphony Communication PCL 254,100 68,017 0.0%
Syntec Construction PCL 5,733,000 479,255 0.0%
* Tata Steel Thailand PCL 23,013,900 513,909 0.0%
Thai Agro Energy PCL 378,870 34,058 0.0%
* Thai Airways International PCL(6364971) 141,400 58,697 0.0%
* Thai Airways International PCL(6888868) 9,269,100 3,847,751 0.1%
Thai Carbon Black PCL 491,400 309,499 0.0%
Thai Central Chemical PCL 263,500 178,785 0.0%
Thai Metal Trade PCL 465,800 144,021 0.0%
* Thai Reinsurance PCL 2,613,400 203,506 0.0%
Thai Rung Union Car PCL 511,520 59,162 0.0%
Thai Stanley Electric PCL 206,600 1,011,411 0.0%
Thai Steel Cable PCL 3,400 1,115 0.0%
Thai Vegetable Oil PCL 3,136,675 2,312,321 0.1%
Thai Wacoal PCL 78,000 113,885 0.0%
Thai-German Ceramic Industry PCL 3,827,900 295,887 0.0%
Thaicom PCL 4,040,300 3,325,469 0.1%
Thaire Life Assurance PCL 692,600 206,214 0.0%
Thanachart Capital PCL 750,700 746,832 0.0%
Thitikorn PCL 521,000 143,935 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
THAILAND -- (Continued)
Thoresen Thai Agencies PCL 7,567,454 $ 2,003,978 0.1%
Ticon Industrial Connection PCL 7,544,084 3,066,876 0.1%
TIPCO Foods PCL 985,482 347,021 0.0%
Tisco Financial Group PCL(B3KFW10) 1,031,000 1,283,954 0.0%
Tisco Financial Group PCL(B3KFW76) 3,168,300 3,945,636 0.1%
TRC Construction PCL 5,408,700 298,849 0.0%
TTCL PCL(B5ML0D8) 1,350,871 607,176 0.0%
TTCL PCL(BWY4Y10) 573,300 257,681 0.0%
TTW PCL 12,037,500 3,549,563 0.1%
* U City PCL 47,365,600 40,680 0.0%
Unique Engineering & Construction PCL 7,089,470 3,612,727 0.1%
Univanich Palm Oil PCL 939,000 184,144 0.0%
Univentures PCL 8,659,300 1,561,798 0.0%
Vanachai Group PCL 8,159,159 3,059,977 0.1%
VGI Global Media PCL 6,287,200 820,774 0.0%
Vibhavadi Medical Center PCL 49,075,700 4,018,222 0.1%
Vinythai PCL 2,911,734 883,607 0.0%
Workpoint Entertainment PCL 1,848,540 2,063,930 0.1%
------------ ---
TOTAL THAILAND 184,035,711 3.6%
------------ ---
TURKEY -- (2.3%)
# Adana Cimento Sanayii TAS Class A 591,225 1,617,698 0.0%
# Adel Kalemcilik Ticaret ve Sanayi A.S. 42,330 308,955 0.0%
#* Afyon Cimento Sanayi TAS 1,129,733 2,475,272 0.1%
Akcansa Cimento A.S. 459,206 2,371,731 0.1%
#* Akenerji Elektrik Uretim A.S. 2,516,472 1,114,245 0.0%
Aksa Akrilik Kimya Sanayii A.S. 850,358 2,961,438 0.1%
#* Aksa Enerji Uretim A.S. 761,295 776,383 0.0%
#* Aksigorta A.S. 1,013,913 724,550 0.0%
* Aktas Elektrik Ticaret A.S. 370 -- 0.0%
# Alarko Holding A.S. 859,342 1,240,760 0.0%
Albaraka Turk Katilim Bankasi A.S. 4,295,508 2,425,175 0.1%
Alkim Alkali Kimya A.S. 6,300 33,775 0.0%
* Anadolu Anonim Turk Sigorta Sirketi 2,062,662 1,297,224 0.0%
#* Anadolu Cam Sanayii A.S. 1,678,225 1,252,593 0.0%
Anadolu Hayat Emeklilik A.S. 908,786 1,860,964 0.0%
* Asya Katilim Bankasi A.S. 3,243,121 835,355 0.0%
# AvivaSA Emeklilik ve Hayat A.S. Class A 4,153 29,263 0.0%
# Aygaz A.S. 183,200 754,825 0.0%
# Bagfas Bandirma Gubre Fabrikalari A.S. 550,504 3,218,036 0.1%
Baticim Bati Anadolu Cimento Sanayii A.S. 411,020 1,024,845 0.0%
#* Besiktas Futbol Yatirimlari Sanayi ve Ticaret A.S. 1,380,080 2,552,277 0.1%
# Bizim Toptan Satis Magazalari A.S. 272,864 1,713,548 0.0%
# Bolu Cimento Sanayii A.S. 729,383 1,787,541 0.0%
# Borusan Mannesmann Boru Sanayi ve Ticaret A.S. 532,369 1,328,400 0.0%
* Boyner Perakende Ve Tekstil Yatirimlari A.S. 106,236 3,076,667 0.1%
# Brisa Bridgestone Sabanci Sanayi ve Ticaret A.S. 849,108 2,524,839 0.1%
Bursa Cimento Fabrikasi A.S. 229,830 382,681 0.0%
Celebi Hava Servisi A.S. 83,802 882,716 0.0%
Cimsa Cimento Sanayi VE Ticaret A.S. 711,295 4,139,779 0.1%
#* Deva Holding A.S. 356,487 474,867 0.0%
* Dogan Sirketler Grubu Holding A.S. 9,685,105 1,972,767 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
TURKEY -- (Continued)
# Dogus Otomotiv Servis ve Ticaret A.S. 800,521 $3,454,399 0.1%
# Eczacibasi Yatirim Holding Ortakligi A.S. 283,047 1,395,540 0.0%
# EGE Endustri VE Ticaret A.S. 23,730 2,465,643 0.1%
EGE Seramik Sanayi ve Ticaret A.S. 519,180 840,158 0.0%
# EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret A.S. 1,950,686 2,473,261 0.1%
#* Fenerbahce Futbol A.S. 84,211 1,341,516 0.0%
#* Galatasaray Sportif Sinai ve Ticari Yatirimlar A.S. 27,385 202,785 0.0%
#* Global Yatirim Holding A.S. 2,260,101 1,413,262 0.0%
* Goldas Kuyumculuk Sanayi Ithalat ve Ihracat A.S. 8,540 -- 0.0%
# Goltas Goller Bolgesi Cimento Sanayi ve Ticaret A.S. 80,356 2,468,713 0.1%
# Goodyear Lastikleri TAS 82,592 4,034,762 0.1%
#* Gozde Girisim Sermayesi Yatirim Ortakligi A.S. 1,163,176 1,088,445 0.0%
# GSD Holding A.S. 2,604,393 1,163,504 0.0%
# Gubre Fabrikalari TAS 1,552,544 3,172,861 0.1%
#* Ihlas Holding A.S. 8,173,996 641,895 0.0%
# Indeks Bilgisayar Sistemleri Muhendislik Sanayi ve Ticaret A.S. 161,305 464,617 0.0%
* Ipek Dogal Enerji Kaynaklari Arastirma Ve Uretim A.S. 678,189 331,725 0.0%
Is Finansal Kiralama A.S. 1,586,545 538,871 0.0%
Is Yatirim Menkul Degerler A.S. Class A 220,148 77,854 0.0%
#* Izmir Demir Celik Sanayi A.S. 855,717 733,731 0.0%
# Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class A 1,314,584 788,703 0.0%
# Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class B 1,205,759 783,811 0.0%
# Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class D 7,131,417 3,768,742 0.1%
#* Karsan Otomotiv Sanayii Ve Ticaret A.S. 3,428,364 1,603,285 0.0%
#* Kartonsan Karton Sanayi ve Ticaret A.S. 16,942 1,619,341 0.0%
# Konya Cimento Sanayii A.S. 18,247 2,112,546 0.1%
Koza Altin Isletmeleri A.S. 226,641 1,483,685 0.0%
#* Koza Anadolu Metal Madencilik Isletmeleri A.S. 664,029 331,748 0.0%
Mardin Cimento Sanayii ve Ticaret A.S. 412,273 689,143 0.0%
#* Metro Ticari ve Mali Yatirimlar Holding A.S. 2,278,836 520,367 0.0%
#* Migros Ticaret A.S. 352,150 2,459,742 0.1%
* Mudurnu Tavukculuk A.S. 1,740 -- 0.0%
* Nergis Holding A.S. 1,784 -- 0.0%
#* NET Holding A.S. 1,582,921 1,760,744 0.0%
#* Netas Telekomunikasyon A.S. 507,089 1,920,367 0.0%
# Nuh Cimento Sanayi A.S. 385,168 1,483,387 0.0%
# Otokar Otomotiv Ve Savunma Sanayi A.S. 164,791 6,374,350 0.1%
# Park Elektrik Uretim Madencilik Sanayi ve Ticaret A.S. 829,572 841,200 0.0%
* Parsan Makina Parcalari Sanayii A.S. 140,357 401,584 0.0%
#* Pegasus Hava Tasimaciligi A.S. 215,199 1,254,505 0.0%
Pinar Entegre Et ve Un Sanayi A.S. 156,623 686,972 0.0%
Pinar SUT Mamulleri Sanayii A.S. 143,024 868,747 0.0%
* Raks Elektronik Sanayi ve Ticaret A.S. 2,730 -- 0.0%
Sarkuysan Elektrolitik Bakir Sanayi ve Ticaret A.S. 565,645 721,680 0.0%
#* Sekerbank TAS 4,493,597 2,550,733 0.1%
Selcuk Ecza Deposu Ticaret ve Sanayi A.S. 1,445,513 1,409,353 0.0%
# Soda Sanayii A.S. 1,943,541 3,269,753 0.1%
# Tat Gida Sanayi A.S. 889,473 1,887,926 0.0%
# Tekfen Holding A.S. 1,868,536 3,991,974 0.1%
#* Teknosa Ic Ve Dis Ticaret A.S. 238,336 513,571 0.0%
# Trakya Cam Sanayii A.S. 3,451,829 2,638,463 0.1%
# Turcas Petrol A.S. 1,426,206 830,180 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
TURKEY -- (Continued)
Turkiye Sinai Kalkinma Bankasi A.S. 8,020,548 $ 5,015,893 0.1%
#* Vestel Elektronik Sanayi ve Ticaret A.S. 1,006,303 2,602,197 0.1%
#* Zorlu Enerji Elektrik Uretim A.S. 2,990,254 1,845,340 0.0%
-------------- ----
TOTAL TURKEY 134,492,743 2.6%
-------------- ----
TOTAL COMMON STOCKS 4,997,176,156 97.4%
-------------- ----
PREFERRED STOCKS -- (1.3%)
BRAZIL -- (1.2%)
Alpargatas SA 1,877,774 5,050,348 0.1%
Banco ABC Brasil SA 798,752 2,752,115 0.1%
Banco Daycoval SA 451,227 1,172,921 0.0%
Banco do Estado do Rio Grande do Sul SA Class B 2,285,044 5,654,060 0.1%
Banco Pan SA 2,103,640 972,534 0.0%
Banco Pine SA 296,003 301,232 0.0%
Banco Sofisa SA 42,500 48,194 0.0%
Centrais Eletricas Brasileiras SA Class B 528,222 1,967,442 0.0%
Centrais Eletricas Santa Catarina 79,600 300,880 0.0%
Cia de Gas de Sao Paulo--COMGAS Class A 215,467 2,520,386 0.1%
Cia de Saneamento do Parana 225,201 280,253 0.0%
Cia de Transmissao de Energia Eletrica Paulista 538,140 8,840,564 0.2%
Cia Energetica de Minas Gerais 3,048,729 6,072,194 0.1%
Cia Energetica de Sao Paulo Class B 1,736,300 7,269,817 0.1%
Cia Energetica do Ceara Class A 117,239 1,324,340 0.0%
Cia Ferro Ligas da Bahia--Ferbasa 440,849 1,124,154 0.0%
Cia Paranaense de Energia 1,009,600 8,310,468 0.2%
Eletropaulo Metropolitana Eletricidade de Sao Paulo SA 910,499 2,271,449 0.1%
Eucatex SA Industria e Comercio 160,378 120,310 0.0%
Gerdau SA 1,634,600 3,711,921 0.1%
Marcopolo SA 5,110,253 3,506,636 0.1%
* Oi SA 2,635,900 781,745 0.0%
Randon SA Implementos e Participacoes 2,535,157 2,100,806 0.0%
* Sharp SA 30,200,000 -- 0.0%
Unipar Carbocloro SA Class B 276,095 511,368 0.0%
Usinas Siderurgicas de Minas Gerais SA Class A 4,498,871 3,270,241 0.1%
-------------- ----
TOTAL BRAZIL 70,236,378 1.4%
-------------- ----
CHILE -- (0.1%)
Coca-Cola Embonor SA Class B 173,049 319,230 0.0%
Embotelladora Andina SA Class B 622,279 2,114,949 0.1%
-------------- ----
TOTAL CHILE 2,434,179 0.1%
-------------- ----
COLOMBIA -- (0.0%)
Avianca Holdings SA 2,637,267 1,934,885 0.0%
-------------- ----
TOTAL PREFERRED STOCKS 74,605,442 1.5%
-------------- ----
RIGHTS/WARRANTS -- (0.0%)
BRAZIL -- (0.0%)
* Cia de Gas de Sao Paulo COMGAS Class A Rights 05/27/16 5,741 3,522 0.0%
* Cia de Transmissao de Energia Eletrica Paulista Rights 05/05/16 11,814 38,130 0.0%
* Randon SA Implementos e Participacoes Rights 05/12/16 370,643 44,185 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
BRAZIL -- (Continued)
* Usinas Siderurgicas de Minas Gerais SA Class A Rights 05/23/16 919,741 $ 21,394 0.0%
-------------- -----
TOTAL BRAZIL 107,231 0.0%
-------------- -----
MALAYSIA -- (0.0%)
* Eastern & Oriental Bhd Warrants 07/21/19 509,529 25,108 0.0%
* OSK Holdings Bhd Warrants 07/22/20 471,082 36,177 0.0%
-------------- -----
TOTAL MALAYSIA 61,285 0.0%
-------------- -----
POLAND -- (0.0%)
* Hawe SA Rights 09/30/15 846,548 -- 0.0%
-------------- -----
SOUTH KOREA -- (0.0%)
* Danal Co., Ltd. Rights 06/08/16 25,373 62,352 0.0%
* GS Global Corp. Rights 06/02/16 68,618 38,543 0.0%
* Hanjin Kal Corp. Rights 06/19/16 27,633 92,159 0.0%
* PARU Co. Rights 01/06/16 62,702 76,767 0.0%
* Shinsung Solar Energy Co., Ltd. Rights 05/09/16 62,852 28,960 0.0%
-------------- -----
TOTAL SOUTH KOREA 298,781 0.0%
-------------- -----
THAILAND -- (0.0%)
* Jay Mart PCL Rights 10/30/15 429,705 -- 0.0%
* PTL Finance Corp. Rights 05/27/16 393,150 9,567 0.0%
-------------- -----
TOTAL THAILAND 9,567 0.0%
-------------- -----
TOTAL RIGHTS/WARRANTS 476,864 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES 5,072,258,462
--------------
VALUE+
--------------
SECURITIES LENDING COLLATERAL -- (12.5%)
(S)@ DFA Short Term Investment Fund 62,563,032 723,854,282 14.1%
-------------- -----
TOTAL INVESTMENTS -- (100.0%) (Cost $5,944,983,831) $5,796,112,744 113.0%
============== =====
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2016, 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
Belgium -- $ 61,671 -- $ 61,671
Brazil $416,954,109 -- -- 416,954,109
Chile 1,934,719 83,082,912 -- 85,017,631
China 3,662,817 699,652,665 -- 703,315,482
Colombia 10,671,549 3,188 -- 10,674,737
Greece -- 19,037,207 -- 19,037,207
Hong Kong -- 404,787 -- 404,787
Hungary -- 72,448 -- 72,448
India 129,111 694,393,826 -- 694,522,937
Indonesia 910,480 156,952,352 -- 157,862,832
Malaysia -- 258,085,894 -- 258,085,894
Mexico 218,982,457 864,279 -- 219,846,736
Philippines -- 88,930,274 -- 88,930,274
Poland -- 112,482,488 -- 112,482,488
South Africa 11,348,321 383,864,387 -- 395,212,708
South Korea 804,734 767,714,414 -- 768,519,148
Taiwan -- 747,646,613 -- 747,646,613
Thailand 183,264,033 771,678 -- 184,035,711
Turkey -- 134,492,743 -- 134,492,743
Preferred Stocks
Brazil 70,236,378 -- -- 70,236,378
Chile -- 2,434,179 -- 2,434,179
Colombia 1,934,885 -- -- 1,934,885
Rights/Warrants
Brazil -- 107,231 -- 107,231
Malaysia -- 61,285 -- 61,285
Poland -- -- -- --
South Korea -- 298,781 -- 298,781
Thailand -- 9,567 -- 9,567
Securities Lending Collateral -- 723,854,282 -- 723,854,282
Futures Contracts** 743,658 -- -- 743,658
------------ -------------- -- --------------
TOTAL $921,577,251 $4,875,279,151 -- $5,796,856,402
============ ============== == ==============
** Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2016
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
COMMON STOCKS -- (97.4%)
Consumer Discretionary -- (17.0%)
* 1-800-Flowers.com, Inc. Class A 44,330 $ 347,990 0.0%
A.H. Belo Corp. Class A 7,356 36,265 0.0%
Aaron's, Inc. 4,830 126,594 0.0%
# Arctic Cat, Inc. 3,436 57,141 0.0%
#* Ascent Capital Group, Inc. Class A 8,564 129,059 0.0%
# Autoliv, Inc. 9,404 1,151,708 0.0%
* Ballantyne Strong, Inc. 9,030 40,816 0.0%
* Barnes & Noble Education, Inc. 7,710 72,166 0.0%
Barnes & Noble, Inc. 12,200 143,350 0.0%
Bassett Furniture Industries, Inc. 2,900 85,579 0.0%
Beasley Broadcast Group, Inc. Class A 9,471 36,274 0.0%
* Beazer Homes USA, Inc. 4,326 35,560 0.0%
* Belmond, Ltd. Class A 75,198 688,814 0.0%
# Best Buy Co., Inc. 197,800 6,345,424 0.1%
Big 5 Sporting Goods Corp. 8,501 102,777 0.0%
* Biglari Holdings, Inc. 8 2,992 0.0%
* BJ's Restaurants, Inc. 25,971 1,158,307 0.0%
Bob Evans Farms, Inc. 52,387 2,385,704 0.1%
* Build-A-Bear Workshop, Inc. 25,874 340,761 0.0%
#* Cabela's, Inc. 53,051 2,766,610 0.1%
Cable One, Inc. 5,780 2,652,789 0.1%
Caleres, Inc. 74,697 1,883,111 0.0%
Callaway Golf Co. 38,543 359,992 0.0%
* Cambium Learning Group, Inc. 37,733 171,685 0.0%
Canterbury Park Holding Corp. 2,755 29,616 0.0%
Carnival Corp. 489,649 24,017,283 0.5%
# Carriage Services, Inc. 20,916 510,978 0.0%
* Cavco Industries, Inc. 7,600 666,444 0.0%
CBS Corp. Class A 28,263 1,695,497 0.0%
CBS Corp. Class B 201,625 11,272,854 0.2%
* Christopher & Banks Corp. 56,231 146,201 0.0%
Churchill Downs, Inc. 7,682 1,030,771 0.0%
Citi Trends, Inc. 3,415 61,333 0.0%
Columbia Sportswear Co. 8,634 505,693 0.0%
Comcast Corp. Class A 3,718,201 225,917,893 4.2%
#* Conn's, Inc. 25,450 349,683 0.0%
# Core-Mark Holding Co., Inc. 48,118 3,929,316 0.1%
CSS Industries, Inc. 10,852 303,422 0.0%
CST Brands, Inc. 50,181 1,895,336 0.1%
Culp, Inc. 10,036 263,345 0.0%
* Delta Apparel, Inc. 7,532 152,523 0.0%
Destination Maternity Corp. 200 1,394 0.0%
# DeVry Education Group, Inc. 8,757 151,934 0.0%
# Dillard's, Inc. Class A 120,300 8,475,135 0.2%
#* Discovery Communications, Inc. Class B 3,762 102,533 0.0%
* Discovery Communications, Inc. Class C 3,762 100,746 0.0%
#* Dixie Group, Inc. (The) 11,800 55,696 0.0%
* Dorman Products, Inc. 20,712 1,114,098 0.0%
Dover Motorsports, Inc. 15,098 34,725 0.0%
DR Horton, Inc. 208,125 6,256,237 0.1%
* DreamWorks Animation SKG, Inc. Class A 46,429 1,853,446 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ----------- ---------------
Consumer Discretionary -- (Continued)
Educational Development Corp. 1,679 $ 23,959 0.0%
* Eldorado Resorts, Inc. 18,512 242,692 0.0%
Escalade, Inc. 277 3,305 0.0%
#* EW Scripps Co. (The) Class A 81,265 1,233,603 0.0%
#* Federal-Mogul Holdings Corp. 36,417 336,493 0.0%
Flanigan's Enterprises, Inc. 865 15,994 0.0%
Flexsteel Industries, Inc. 2,068 84,561 0.0%
Ford Motor Co. 2,262,492 30,679,392 0.6%
Fred's, Inc. Class A 47,275 693,524 0.0%
* FTD Cos., Inc. 24,893 692,274 0.0%
* Fuel Systems Solutions, Inc. 3,398 18,009 0.0%
* G-III Apparel Group, Ltd. 22,788 1,031,157 0.0%
* Gaiam, Inc. Class A 4,388 29,092 0.0%
# GameStop Corp. Class A 104,752 3,435,866 0.1%
* Gaming Partners International Corp. 500 4,525 0.0%
Gannett Co., Inc. 59,819 1,007,950 0.0%
General Motors Co. 802,642 25,524,016 0.5%
* Genesco, Inc. 7,056 488,134 0.0%
Graham Holdings Co. Class B 5,780 2,754,401 0.1%
* Gray Television, Inc. 46,874 602,331 0.0%
Group 1 Automotive, Inc. 57,936 3,814,506 0.1%
Harte-Hanks, Inc. 55,608 101,207 0.0%
Haverty Furniture Cos., Inc. 33,479 625,053 0.0%
* Helen of Troy, Ltd. 64,389 6,408,637 0.1%
#* hhgregg, Inc. 36,388 70,957 0.0%
Hooker Furniture Corp. 14,814 367,387 0.0%
* Hyatt Hotels Corp. Class A 14,601 699,096 0.0%
#* Iconix Brand Group, Inc. 65,319 553,905 0.0%
International Speedway Corp. Class A 24,844 832,026 0.0%
* J Alexander's Holdings, Inc. 2,666 27,460 0.0%
#* JAKKS Pacific, Inc. 13,103 98,273 0.0%
#* JC Penney Co., Inc. 85,215 790,795 0.0%
Johnson Outdoors, Inc. Class A 15,588 376,138 0.0%
# KB Home 30,800 417,956 0.0%
# Kohl's Corp. 14,353 635,838 0.0%
La-Z-Boy, Inc. 56,332 1,457,309 0.0%
* Lakeland Industries, Inc. 11,757 102,168 0.0%
#* Lands' End, Inc. 21,056 512,292 0.0%
# Lennar Corp. Class A 224,100 10,153,971 0.2%
Lennar Corp. Class B 7,868 282,933 0.0%
#* Liberty Braves Group Class A 9,638 150,738 0.0%
(degrees)# Liberty Braves Group Class B 762 11,918 0.0%
* Liberty Braves Group Class C 20,801 310,351 0.0%
* Liberty Broadband Corp. Class A 24,095 1,381,125 0.0%
(degrees)* Liberty Broadband Corp. Class B 1,905 118,329 0.0%
* Liberty Broadband Corp. Class C 67,601 3,870,157 0.1%
* Liberty Interactive Corp., QVC Group Class A 882,463 23,120,531 0.4%
#* Liberty Interactive Corp., QVC Group Class B 35,706 934,605 0.0%
* Liberty Media Group Class A 24,095 440,938 0.0%
(degrees)# Liberty Media Group Class B 1,905 35,223 0.0%
* Liberty Media Group Class C 52,002 936,036 0.0%
* Liberty SiriusXM Group Class A 96,383 3,158,471 0.1%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------- ----------- ---------------
Consumer Discretionary -- (Continued)
# Liberty SiriusXM Group Class B 7,622 $ 255,108 0.0%
* Liberty SiriusXM Group Class C 208,010 6,660,480 0.1%
* Liberty TripAdvisor Holdings, Inc. Class A 76,802 1,694,252 0.0%
* Liberty TripAdvisor Holdings, Inc. Class B 3,570 82,289 0.0%
* Liberty Ventures Series A 202,261 8,090,440 0.2%
#* Liberty Ventures Series B 8,645 347,615 0.0%
Lifetime Brands, Inc. 16,431 283,763 0.0%
# Lithia Motors, Inc. Class A 34,933 2,900,138 0.1%
#* Live Nation Entertainment, Inc. 145,347 3,122,054 0.1%
* Loral Space & Communications, Inc. 1,920 70,426 0.0%
* Luby's, Inc. 32,226 162,097 0.0%
* M/I Homes, Inc. 37,930 762,393 0.0%
* Madison Square Garden Co. (The) Class A 9,852 1,546,567 0.0%
Marcus Corp. (The) 18,899 365,696 0.0%
* MarineMax, Inc. 29,164 554,408 0.0%
Marriott Vacations Worldwide Corp. 2,531 158,542 0.0%
#* McClatchy Co. (The) Class A 60,603 67,269 0.0%
* Media General, Inc. 25,196 436,647 0.0%
Meredith Corp. 32,676 1,676,606 0.0%
* Meritage Homes Corp. 28,156 958,149 0.0%
* MGM Resorts International 227,871 4,853,652 0.1%
* Modine Manufacturing Co. 14,650 158,367 0.0%
* Mohawk Industries, Inc. 98,740 19,020,286 0.4%
* Monarch Casino & Resort, Inc. 1,103 20,957 0.0%
* Motorcar Parts of America, Inc. 13,074 419,283 0.0%
Movado Group, Inc. 36,900 1,040,949 0.0%
* MSG Networks, Inc. Class A 29,558 505,146 0.0%
* Murphy USA, Inc. 30,778 1,767,273 0.0%
NACCO Industries, Inc. Class A 6,832 406,641 0.0%
* New York & Co., Inc. 6,926 25,765 0.0%
# Newell Brands, Inc. 209,562 9,543,453 0.2%
News Corp. Class A 402,247 4,995,908 0.1%
# News Corp. Class B 99,903 1,294,743 0.0%
* Office Depot, Inc. 181,609 1,067,861 0.0%
Penske Automotive Group, Inc. 43,845 1,715,655 0.0%
* Perry Ellis International, Inc. 19,169 365,169 0.0%
# PulteGroup, Inc. 143,221 2,633,834 0.1%
PVH Corp. 31,964 3,055,758 0.1%
RCI Hospitality Holdings, Inc. 12,026 123,267 0.0%
#* Red Robin Gourmet Burgers, Inc. 31,175 2,022,010 0.1%
* Regis Corp. 49,623 678,346 0.0%
Rent-A-Center, Inc. 76,435 1,123,594 0.0%
Rocky Brands, Inc. 8,729 105,184 0.0%
# Royal Caribbean Cruises, Ltd. 322,500 24,961,500 0.5%
#* Ruby Tuesday, Inc. 17,500 77,000 0.0%
Saga Communications, Inc. Class A 8,693 365,541 0.0%
Salem Media Group, Inc. 10,922 84,864 0.0%
Scholastic Corp. 30,900 1,124,142 0.0%
* Sequential Brands Group, Inc. 70 389 0.0%
Service Corp. International 274,069 7,309,420 0.2%
#* Shiloh Industries, Inc. 15,461 99,723 0.0%
Shoe Carnival, Inc. 33,450 857,323 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Consumer Discretionary -- (Continued)
# Spartan Motors, Inc. 16,820 $ 81,745 0.0%
Speedway Motorsports, Inc. 16,132 282,633 0.0%
Stage Stores, Inc. 37,214 273,895 0.0%
Standard Motor Products, Inc. 37,342 1,326,014 0.0%
Staples, Inc. 426,509 4,350,392 0.1%
* Starz Class B 7,422 186,812 0.0%
* Stoneridge, Inc. 19,361 276,088 0.0%
Strattec Security Corp. 5,224 276,350 0.0%
Superior Industries International, Inc. 23,275 607,943 0.0%
Superior Uniform Group, Inc. 17,956 341,523 0.0%
* Sypris Solutions, Inc. 8,460 9,644 0.0%
Tailored Brands, Inc. 52,860 920,821 0.0%
* Tandy Leather Factory, Inc. 9,974 70,317 0.0%
Target Corp. 4,925 391,537 0.0%
TEGNA, Inc. 119,639 2,794,767 0.1%
Time Warner Cable, Inc. 693,942 147,192,038 2.8%
Time Warner, Inc. 1,534,860 115,329,380 2.2%
Time, Inc. 191,857 2,820,298 0.1%
#* Toll Brothers, Inc. 187,706 5,124,374 0.1%
* Trans World Entertainment Corp. 5,781 22,430 0.0%
#* Tuesday Morning Corp. 60,500 525,140 0.0%
Twenty-First Century Fox, Inc. Class A 1,287,383 38,956,210 0.7%
Twenty-First Century Fox, Inc. Class B 550,972 16,595,277 0.3%
* Unifi, Inc. 43,422 1,118,551 0.0%
* Universal Electronics, Inc. 3,206 212,910 0.0%
Vail Resorts, Inc. 11,600 1,503,824 0.0%
* Vista Outdoor, Inc. 77,610 3,723,728 0.1%
* VOXX International Corp. 3,750 16,838 0.0%
Walt Disney Co. (The) 26,220 2,707,477 0.1%
Wendy's Co. (The) 242,704 2,635,765 0.1%
#* West Marine, Inc. 26,468 265,209 0.0%
Whirlpool Corp. 30,049 5,232,733 0.1%
Wyndham Worldwide Corp. 94,848 6,729,466 0.1%
------------ ----
Total Consumer Discretionary 928,633,278 17.3%
------------ ----
Consumer Staples -- (8.5%)
Alico, Inc. 960 27,754 0.0%
* Alliance One International, Inc. 3,508 89,489 0.0%
Andersons, Inc. (The) 23,660 792,847 0.0%
Archer-Daniels-Midland Co. 813,476 32,490,231 0.6%
Bunge, Ltd. 121,368 7,585,500 0.2%
* CCA Industries, Inc. 8,323 27,716 0.0%
* Central Garden & Pet Co. 25,184 409,744 0.0%
* Central Garden & Pet Co. Class A 48,121 783,891 0.0%
Constellation Brands, Inc. Class A 249,042 38,865,494 0.7%
Constellation Brands, Inc. Class B 12,715 1,996,255 0.1%
#* Craft Brew Alliance, Inc. 9,754 83,104 0.0%
CVS Health Corp. 1,510,745 151,829,872 2.8%
# Fresh Del Monte Produce, Inc. 39,437 1,706,045 0.0%
#* Hain Celestial Group, Inc. (The) 87,292 3,654,043 0.1%
Ingles Markets, Inc. Class A 11,437 412,533 0.0%
Ingredion, Inc. 62,117 7,149,045 0.1%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Consumer Staples -- (Continued)
JM Smucker Co. (The) 108,204 $ 13,739,744 0.3%
John B Sanfilippo & Son, Inc. 10,428 576,981 0.0%
Kraft Heinz Co. (The) 12,665 988,757 0.0%
#* Landec Corp. 37,056 416,880 0.0%
* Mannatech, Inc. 717 14,942 0.0%
MGP Ingredients, Inc. 4,788 126,499 0.0%
Molson Coors Brewing Co. Class A 1,908 178,369 0.0%
Molson Coors Brewing Co. Class B 186,550 17,839,776 0.3%
Mondelez International, Inc. Class A 2,081,099 89,404,013 1.7%
* Nutraceutical International Corp. 14,615 344,768 0.0%
Oil-Dri Corp. of America 5,047 168,368 0.0%
* Omega Protein Corp. 25,852 480,589 0.0%
#* Post Holdings, Inc. 50,201 3,606,440 0.1%
Reynolds American, Inc. 188,277 9,338,539 0.2%
Sanderson Farms, Inc. 16,100 1,477,014 0.0%
* Seaboard Corp. 1,812 5,441,436 0.1%
* Seneca Foods Corp. Class A 6,301 205,350 0.0%
* Seneca Foods Corp. Class B 300 9,909 0.0%
Snyder's-Lance, Inc. 32,153 1,027,931 0.0%
SpartanNash Co. 34,281 949,584 0.0%
# Spectrum Brands Holdings, Inc. 46,130 5,240,368 0.1%
#* TreeHouse Foods, Inc. 24,190 2,138,396 0.1%
# Tyson Foods, Inc. Class A 405,030 26,659,075 0.5%
Universal Corp. 22,290 1,215,919 0.0%
Wal-Mart Stores, Inc. 8,438 564,249 0.0%
Walgreens Boots Alliance, Inc. 415,953 32,976,754 0.6%
Weis Markets, Inc. 11,602 528,123 0.0%
------------ ---
Total Consumer Staples 463,562,336 8.6%
------------ ---
Energy -- (13.6%)
Adams Resources & Energy, Inc. 6,004 241,661 0.0%
Alon USA Energy, Inc. 33,484 351,582 0.0%
Anadarko Petroleum Corp. 475,268 25,075,140 0.5%
# Apache Corp. 77,083 4,193,315 0.1%
Archrock, Inc. 69,200 681,620 0.0%
# Atwood Oceanics, Inc. 4,600 44,436 0.0%
Baker Hughes, Inc. 127,976 6,188,919 0.1%
* Barnwell Industries, Inc. 8,038 13,665 0.0%
# Bristow Group, Inc. 40,138 919,963 0.0%
#* C&J Energy Services, Ltd. 37,416 54,253 0.0%
California Resources Corp. 139,823 307,611 0.0%
* Callon Petroleum Co. 13,214 138,879 0.0%
Chevron Corp. 1,059,509 108,260,630 2.0%
#* Cloud Peak Energy, Inc. 33,115 73,184 0.0%
ConocoPhillips 1,728,838 82,621,168 1.5%
* Contango Oil & Gas Co. 1,064 13,385 0.0%
* Dawson Geophysical Co. 30,611 157,341 0.0%
Delek US Holdings, Inc. 52,256 830,348 0.0%
Denbury Resources, Inc. 289,460 1,117,316 0.0%
Devon Energy Corp. 81,126 2,813,450 0.1%
EOG Resources, Inc. 152,054 12,562,701 0.2%
* Era Group, Inc. 24,458 233,085 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Energy -- (Continued)
* Exterran Corp. 34,600 $ 529,380 0.0%
Exxon Mobil Corp. 2,285,264 202,017,338 3.8%
# Green Plains, Inc. 26,534 480,265 0.0%
Gulf Island Fabrication, Inc. 15,018 112,785 0.0%
#* Gulfmark Offshore, Inc. Class A 27,750 188,145 0.0%
Halliburton Co. 47,970 1,981,641 0.0%
#* Harvest Natural Resources, Inc. 35,577 20,279 0.0%
#* Helix Energy Solutions Group, Inc. 103,010 888,976 0.0%
# Helmerich & Payne, Inc. 108,670 7,185,260 0.1%
Hess Corp. 178,172 10,622,615 0.2%
HollyFrontier Corp. 32,210 1,146,676 0.0%
#* Hornbeck Offshore Services, Inc. 29,719 348,901 0.0%
Kinder Morgan, Inc. 260,042 4,618,346 0.1%
Marathon Oil Corp. 467,019 6,580,298 0.1%
Marathon Petroleum Corp. 903,936 35,325,819 0.7%
* Matrix Service Co. 15,423 290,569 0.0%
# Murphy Oil Corp. 148,967 5,324,081 0.1%
Nabors Industries, Ltd. 181,974 1,783,345 0.0%
National Oilwell Varco, Inc. 250,948 9,044,166 0.2%
* Natural Gas Services Group, Inc. 15,026 345,448 0.0%
* Newpark Resources, Inc. 97,395 454,835 0.0%
# Noble Corp. P.L.C. 74,243 833,749 0.0%
Noble Energy, Inc. 133,794 4,831,301 0.1%
Overseas Shipholding Group, Inc. Class A 235 477 0.0%
#* Parker Drilling Co. 142,573 436,273 0.0%
# Patterson-UTI Energy, Inc. 152,325 3,008,419 0.1%
#* PDC Energy, Inc. 24,103 1,513,427 0.0%
* PHI, Inc. Non-voting 15,570 349,079 0.0%
* PHI, Inc. Voting 1,099 22,991 0.0%
Phillips 66 883,414 72,537,123 1.4%
* Pioneer Energy Services Corp. 74,262 230,955 0.0%
Pioneer Natural Resources Co. 88,400 14,683,240 0.3%
QEP Resources, Inc. 33,043 592,461 0.0%
* Renewable Energy Group, Inc. 2,882 28,013 0.0%
* REX American Resources Corp. 4,050 220,198 0.0%
Rowan Cos. P.L.C. Class A 118,378 2,226,690 0.1%
Schlumberger, Ltd. 602,942 48,440,360 0.9%
#* SEACOR Holdings, Inc. 20,471 1,203,081 0.0%
SemGroup Corp. Class A 4,727 144,930 0.0%
# Ship Finance International, Ltd. 12,481 189,337 0.0%
Superior Energy Services, Inc. 75,686 1,276,066 0.0%
# Teekay Corp. 37,720 422,464 0.0%
Tesco Corp. 3,745 35,428 0.0%
Tesoro Corp. 168,807 13,452,230 0.3%
* TETRA Technologies, Inc. 25,510 183,672 0.0%
# Tidewater, Inc. 49,127 430,352 0.0%
Transocean, Ltd. 252,980 2,803,018 0.1%
#* Triangle Petroleum Corp. 1,631 732 0.0%
* Unit Corp. 52,140 660,092 0.0%
Valero Energy Corp. 605,899 35,669,274 0.7%
* Weatherford International P.L.C. 281,383 2,287,644 0.1%
Western Refining, Inc. 47,810 1,279,396 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Energy -- (Continued)
#* Whiting Petroleum Corp. 16,007 $ 192,084 0.0%
* Willbros Group, Inc. 18,620 59,584 0.0%
------------ ----
Total Energy 746,426,960 13.9%
------------ ----
Financials -- (18.6%)
1st Source Corp. 45,305 1,560,304 0.0%
Aflac, Inc. 81,778 5,640,229 0.1%
Alexander & Baldwin, Inc. 66,838 2,555,885 0.1%
* Alleghany Corp. 3,115 1,623,787 0.0%
Allied World Assurance Co. Holdings AG 76,431 2,719,415 0.1%
Allstate Corp. (The) 211,174 13,736,869 0.3%
American Equity Investment Life Holding Co. 88,700 1,241,800 0.0%
American Financial Group, Inc. 173,596 11,997,220 0.2%
* American Independence Corp. 173 3,773 0.0%
American International Group, Inc. 899,581 50,214,611 1.0%
American National Insurance Co. 23,302 2,705,828 0.1%
Ameris Bancorp 12,022 377,491 0.0%
AmeriServ Financial, Inc. 33,075 101,871 0.0%
* Arch Capital Group, Ltd. 3,094 218,096 0.0%
Argo Group International Holdings, Ltd. 46,942 2,580,402 0.1%
Aspen Insurance Holdings, Ltd. 102,623 4,756,576 0.1%
Associated Banc-Corp 31,434 573,356 0.0%
Assurant, Inc. 65,820 5,566,397 0.1%
Assured Guaranty, Ltd. 122,989 3,181,725 0.1%
* Asta Funding, Inc. 7,527 75,345 0.0%
Astoria Financial Corp. 19,344 290,934 0.0%
* Atlanticus Holdings Corp. 19,218 58,038 0.0%
#* AV Homes, Inc. 3,852 44,298 0.0%
Axis Capital Holdings, Ltd. 8,510 453,328 0.0%
Baldwin & Lyons, Inc. Class A 300 7,065 0.0%
Baldwin & Lyons, Inc. Class B 6,556 160,229 0.0%
* Bancorp, Inc. (The) 459 2,603 0.0%
Bank Mutual Corp. 14,475 116,958 0.0%
Bank of America Corp. 5,529,894 80,515,257 1.5%
Bank of New York Mellon Corp. (The) 497,075 20,002,298 0.4%
BankFinancial Corp. 21,475 265,431 0.0%
BB&T Corp. 120,935 4,278,680 0.1%
BCB Bancorp, Inc. 1,059 10,717 0.0%
Berkshire Hills Bancorp, Inc. 30,747 834,474 0.0%
Capital City Bank Group, Inc. 15,389 228,065 0.0%
Capital One Financial Corp. 373,787 27,058,441 0.5%
* Cascade Bancorp 15,799 95,584 0.0%
Cathay General Bancorp 17,730 541,120 0.0%
CenterState Banks, Inc. 747 12,169 0.0%
# Century Bancorp, Inc. Class A 495 21,038 0.0%
Chicopee Bancorp, Inc. 366 6,654 0.0%
Chubb, Ltd. 78,818 9,289,489 0.2%
Cincinnati Financial Corp. 16,626 1,097,482 0.0%
# CIT Group, Inc. 45,907 1,587,005 0.0%
Citigroup, Inc. 2,111,653 97,727,301 1.8%
Citizens Community Bancorp, Inc. 10,355 94,955 0.0%
CME Group, Inc. 414,385 38,086,125 0.7%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------- ----------- ---------------
Financials -- (Continued)
CNA Financial Corp. 243,632 $ 7,698,771 0.2%
CNO Financial Group, Inc. 301,264 5,534,220 0.1%
Codorus Valley Bancorp, Inc. 138 2,890 0.0%
Comerica, Inc. 16,431 729,536 0.0%
Community West Bancshares 400 2,904 0.0%
* Consumer Portfolio Services, Inc. 30,005 118,520 0.0%
#* Cowen Group, Inc. Class A 15,961 55,624 0.0%
Donegal Group, Inc. Class A 13,586 208,002 0.0%
Donegal Group, Inc. Class B 300 4,394 0.0%
* E*TRADE Financial Corp. 89,699 2,258,621 0.1%
Eastern Virginia Bankshares, Inc. 307 2,155 0.0%
EMC Insurance Group, Inc. 27,511 727,941 0.0%
#* Emergent Capital, Inc. 3,602 15,777 0.0%
Endurance Specialty Holdings, Ltd. 94,576 6,050,972 0.1%
Enterprise Financial Services Corp. 3,235 88,542 0.0%
ESSA Bancorp, Inc. 8,217 111,340 0.0%
Evans Bancorp, Inc. 1,681 41,016 0.0%
Everest Re Group, Ltd. 34,913 6,455,414 0.1%
Farmers Capital Bank Corp. 302 8,489 0.0%
FBL Financial Group, Inc. Class A 24,660 1,491,190 0.0%
Federal Agricultural Mortgage Corp. Class A 177 6,791 0.0%
Federal Agricultural Mortgage Corp. Class C 9,200 374,256 0.0%
Federated National Holding Co. 13,665 260,318 0.0%
Fidelity Southern Corp. 7,213 116,562 0.0%
Fifth Third Bancorp 92,166 1,687,559 0.0%
* First Acceptance Corp. 27,414 47,700 0.0%
# First American Financial Corp. 61,982 2,232,592 0.1%
First Bancorp 16,138 329,215 0.0%
First Business Financial Services, Inc. 964 24,399 0.0%
First Citizens BancShares, Inc. Class A 8,627 2,199,885 0.1%
First Commonwealth Financial Corp. 30,547 280,421 0.0%
First Community Bancshares, Inc. 183 3,808 0.0%
First Defiance Financial Corp. 10,880 430,630 0.0%
First Financial Northwest, Inc. 25,371 346,060 0.0%
First Merchants Corp. 41,623 1,067,630 0.0%
First Midwest Bancorp, Inc. 7,168 132,465 0.0%
First South Bancorp, Inc. 2,278 19,591 0.0%
FNB Corp. 63,117 834,407 0.0%
FNF Group 46,321 1,477,640 0.0%
* FNFV Group 15,438 166,267 0.0%
Fox Chase Bancorp, Inc. 351 6,918 0.0%
#* Genworth Financial, Inc. Class A 34,964 119,927 0.0%
German American Bancorp, Inc. 4,179 134,689 0.0%
#* Global Indemnity P.L.C. 8,282 260,469 0.0%
Goldman Sachs Group, Inc. (The) 209,155 34,324,427 0.7%
Great Southern Bancorp, Inc. 1,616 61,182 0.0%
Griffin Industrial Realty, Inc. 1,500 38,550 0.0%
Guaranty Federal Bancshares, Inc. 1,684 27,365 0.0%
* Hallmark Financial Services, Inc. 20,834 235,216 0.0%
Hanover Insurance Group, Inc. (The) 88,829 7,617,975 0.2%
Hartford Financial Services Group, Inc. (The) 320,787 14,236,527 0.3%
Heartland Financial USA, Inc. 465 15,582 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Financials -- (Continued)
HF Financial Corp. 400 $ 8,040 0.0%
* Hilltop Holdings, Inc. 26,171 519,756 0.0%
# Hingham Institution for Savings 500 63,995 0.0%
* HMN Financial, Inc. 3,456 43,027 0.0%
Home Bancorp, Inc. 719 20,074 0.0%
HopFed Bancorp, Inc. 6,781 76,286 0.0%
Horace Mann Educators Corp. 58,206 1,810,207 0.1%
Huntington Bancshares, Inc. 70,847 712,721 0.0%
Iberiabank Corp. 697 41,116 0.0%
Independence Holding Co. 13,333 204,928 0.0%
Infinity Property & Casualty Corp. 15,800 1,266,528 0.0%
International Bancshares Corp. 800 20,952 0.0%
Investment Technology Group, Inc. 23,677 462,175 0.0%
Investors Title Co. 1,169 111,324 0.0%
Janus Capital Group, Inc. 24,840 362,664 0.0%
JPMorgan Chase & Co. 2,192,830 138,586,856 2.6%
Kemper Corp. 46,361 1,435,337 0.0%
Kentucky First Federal Bancorp 2,400 22,464 0.0%
KeyCorp 526,210 6,467,121 0.1%
Lake Sunapee Bank Group 3,667 52,218 0.0%
Lakeland Bancorp, Inc. 8,740 96,927 0.0%
Landmark Bancorp, Inc. 2,169 55,700 0.0%
Legg Mason, Inc. 56,555 1,815,981 0.1%
Leucadia National Corp. 35,258 588,103 0.0%
Lincoln National Corp. 172,995 7,516,633 0.2%
Loews Corp. 243,798 9,673,905 0.2%
# M&T Bank Corp. 4,241 501,795 0.0%
Macatawa Bank Corp. 18,892 128,655 0.0%
Mackinac Financial Corp. 6,893 73,204 0.0%
Maiden Holdings, Ltd. 5,792 70,836 0.0%
MainSource Financial Group, Inc. 45,000 983,250 0.0%
* Markel Corp. 101 90,810 0.0%
Marlin Business Services Corp. 14,241 210,624 0.0%
MB Financial, Inc. 19,678 684,007 0.0%
* MBIA, Inc. 82,267 641,683 0.0%
MBT Financial Corp. 24,724 217,571 0.0%
Mercantile Bank Corp. 4,422 106,659 0.0%
Meta Financial Group, Inc. 1,083 53,738 0.0%
MetLife, Inc. 991,138 44,700,324 0.8%
MidWestOne Financial Group, Inc. 346 9,813 0.0%
Morgan Stanley 1,054,617 28,537,936 0.5%
MutualFirst Financial, Inc. 2,300 60,490 0.0%
Nasdaq, Inc. 42,129 2,599,781 0.1%
National Western Life Group, Inc. Class A 900 195,030 0.0%
* Navigators Group, Inc. (The) 3,685 304,418 0.0%
New York Community Bancorp, Inc. 54,969 826,184 0.0%
* NewStar Financial, Inc. 41,166 396,017 0.0%
Northrim BanCorp, Inc. 5,734 147,937 0.0%
OFG Bancorp 30,191 266,587 0.0%
Old Republic International Corp. 172,923 3,197,346 0.1%
Oppenheimer Holdings, Inc. Class A 3,097 47,322 0.0%
* Pacific Mercantile Bancorp 4,174 31,347 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ----------- ---------------
Financials -- (Continued)
PacWest Bancorp 1,076 $ 43,018 0.0%
Park Sterling Corp. 3,253 23,747 0.0%
# People's United Financial, Inc. 68,700 1,064,850 0.0%
Peoples Bancorp of North Carolina, Inc. 250 4,828 0.0%
Peoples Bancorp, Inc. 15,923 342,185 0.0%
* PHH Corp. 54,576 700,210 0.0%
* Phoenix Cos., Inc. (The) 2,631 97,373 0.0%
Pinnacle Financial Partners, Inc. 23,924 1,176,343 0.0%
* Piper Jaffray Cos. 312 13,014 0.0%
PNC Financial Services Group, Inc. (The) 88,465 7,765,458 0.2%
Popular, Inc. 56,536 1,680,250 0.0%
Premier Financial Bancorp, Inc. 4,434 70,767 0.0%
Principal Financial Group, Inc. 218,754 9,336,421 0.2%
Provident Financial Holdings, Inc. 544 9,411 0.0%
# Provident Financial Services, Inc. 21,059 420,759 0.0%
Prudential Financial, Inc. 497,625 38,635,605 0.7%
Pulaski Financial Corp. 4,550 73,573 0.0%
# Radian Group, Inc. 161,945 2,071,277 0.1%
Regions Financial Corp. 1,302,555 12,217,966 0.2%
Reinsurance Group of America, Inc. 169,166 16,107,987 0.3%
RenaissanceRe Holdings, Ltd. 12,667 1,404,897 0.0%
Renasant Corp. 42,102 1,445,783 0.0%
#* Republic First Bancorp, Inc. 2,174 10,109 0.0%
Resource America, Inc. Class A 21,051 133,042 0.0%
Riverview Bancorp, Inc. 1,682 7,334 0.0%
Safety Insurance Group, Inc. 26,197 1,483,012 0.0%
Sandy Spring Bancorp, Inc. 9,125 260,884 0.0%
* Select Bancorp, Inc. 600 4,914 0.0%
# Selective Insurance Group, Inc. 45,200 1,568,892 0.0%
SI Financial Group, Inc. 5,661 78,801 0.0%
South State Corp. 8,549 598,259 0.0%
* Southern First Bancshares, Inc. 1,216 31,008 0.0%
Southwest Bancorp, Inc. 16,974 272,433 0.0%
State Auto Financial Corp. 15,100 309,701 0.0%
State Street Corp. 12,833 799,496 0.0%
Sterling Bancorp 70,552 1,152,820 0.0%
Stewart Information Services Corp. 12,271 427,276 0.0%
* Stratus Properties, Inc. 3,069 73,349 0.0%
Suffolk Bancorp 205 4,918 0.0%
SunTrust Banks, Inc. 287,532 12,001,586 0.2%
* Synchrony Financial 914,357 27,951,893 0.5%
Synovus Financial Corp. 22,796 710,323 0.0%
Timberland Bancorp, Inc. 2,500 34,550 0.0%
Tiptree Financial, Inc. Class A 37,071 205,003 0.0%
Torchmark Corp. 7,000 405,230 0.0%
Travelers Cos., Inc. (The) 132,163 14,524,714 0.3%
Trico Bancshares 854 22,990 0.0%
Trustmark Corp. 4,194 102,795 0.0%
Umpqua Holdings Corp. 34,932 552,974 0.0%
* Unico American Corp. 1,900 21,375 0.0%
Union Bankshares Corp. 37,042 978,279 0.0%
# United Bankshares, Inc. 12,121 468,961 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- -------------- ---------------
Financials -- (Continued)
United Financial Bancorp, Inc. 9,193 $ 119,325 0.0%
United Fire Group, Inc. 24,429 1,094,908 0.0%
* United Security Bancshares 424 2,281 0.0%
Unity Bancorp, Inc. 3,636 42,759 0.0%
Unum Group 517,445 17,701,793 0.3%
Validus Holdings, Ltd. 8,958 412,874 0.0%
Valley National Bancorp 768 7,265 0.0%
Voya Financial, Inc. 14,373 466,691 0.0%
Washington Federal, Inc. 97,887 2,377,675 0.1%
Waterstone Financial, Inc. 1,426 19,993 0.0%
Wells Fargo & Co. 1,406,844 70,314,063 1.3%
WesBanco, Inc. 31,678 1,017,814 0.0%
West BanCorp, Inc. 5,278 98,435 0.0%
Westfield Financial, Inc. 10,811 82,812 0.0%
Wintrust Financial Corp. 24,224 1,260,132 0.0%
WR Berkley Corp. 5,305 297,080 0.0%
XL Group P.L.C. 240,766 7,880,271 0.2%
# Zions Bancorporation 53,325 1,467,504 0.0%
-------------- ----
Total Financials 1,016,724,779 18.9%
-------------- ----
Health Care -- (11.0%)
Aceto Corp. 31,686 710,717 0.0%
#* Addus HomeCare Corp. 2,044 37,814 0.0%
Aetna, Inc. 558,462 62,698,529 1.2%
#* Albany Molecular Research, Inc. 24,874 374,354 0.0%
* Alere, Inc. 45,800 1,786,200 0.0%
* Allergan P.L.C. 117,350 25,413,316 0.5%
* Amsurg Corp. 30,743 2,489,568 0.1%
Analogic Corp. 2,988 236,022 0.0%
#* AngioDynamics, Inc. 14,354 175,837 0.0%
#* Anika Therapeutics, Inc. 14,671 669,878 0.0%
Anthem, Inc. 504,640 71,038,173 1.3%
* Arrhythmia Research Technology, Inc. 1,200 4,950 0.0%
* Boston Scientific Corp. 1,204,199 26,396,042 0.5%
* Brookdale Senior Living, Inc. 4,785 88,331 0.0%
Cigna Corp. 42,954 5,950,847 0.1%
* Community Health Systems, Inc. 105,314 2,009,391 0.1%
CONMED Corp. 43,239 1,790,959 0.1%
# Cooper Cos., Inc. (The) 13,956 2,136,384 0.1%
* Cross Country Healthcare, Inc. 7,595 94,406 0.0%
# CryoLife, Inc. 17,502 217,025 0.0%
* Cumberland Pharmaceuticals, Inc. 23,319 110,765 0.0%
* Cutera, Inc. 1,289 15,030 0.0%
* Cynosure, Inc. Class A 8,077 395,288 0.0%
Digirad Corp. 26,711 155,725 0.0%
* Emergent Biosolutions, Inc. 8,678 334,277 0.0%
* Enzo Biochem, Inc. 41,397 206,157 0.0%
* Exactech, Inc. 3,390 77,089 0.0%
* Express Scripts Holding Co. 501,076 36,944,334 0.7%
* Five Star Quality Care, Inc. 28,953 70,645 0.0%
* Greatbatch, Inc. 41,672 1,450,186 0.0%
#* Harvard Bioscience, Inc. 32,107 95,358 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Health Care -- (Continued)
* Healthways, Inc. 37,281 $ 434,324 0.0%
* Hologic, Inc. 305,036 10,246,159 0.2%
Humana, Inc. 236,814 41,932,655 0.8%
#* Impax Laboratories, Inc. 4,700 156,745 0.0%
Invacare Corp. 7,330 82,389 0.0%
Kewaunee Scientific Corp. 1,631 27,466 0.0%
Kindred Healthcare, Inc. 56,891 839,711 0.0%
# LeMaitre Vascular, Inc. 5,100 84,558 0.0%
* LHC Group, Inc. 1,418 57,202 0.0%
* LifePoint Health, Inc. 82,208 5,553,973 0.1%
* Magellan Health, Inc. 17,899 1,261,164 0.0%
(degrees)* Medcath Corp. 29,240 -- 0.0%
Medtronic P.L.C. 479,908 37,984,718 0.7%
* Merit Medical Systems, Inc. 13,395 271,249 0.0%
#* Molina Healthcare, Inc. 24,941 1,290,946 0.0%
National HealthCare Corp. 6,484 417,894 0.0%
* Natus Medical, Inc. 15,698 500,295 0.0%
* NuVasive, Inc. 2,045 108,262 0.0%
* Nuvectra Corp. 13,890 116,745 0.0%
* Omnicell, Inc. 35,405 1,128,003 0.0%
PerkinElmer, Inc. 76,500 3,857,130 0.1%
# Pfizer, Inc. 4,484,148 146,676,481 2.7%
* PharMerica Corp. 33,305 787,330 0.0%
* Prestige Brands Holdings, Inc. 111,489 6,330,345 0.1%
* RTI Surgical, Inc. 73,086 291,613 0.0%
* SciClone Pharmaceuticals, Inc. 13,028 171,970 0.0%
Select Medical Holdings Corp. 42,204 564,690 0.0%
* SunLink Health Systems, Inc. 1,750 1,173 0.0%
* SurModics, Inc. 5,593 112,531 0.0%
* Symmetry Surgical, Inc. 19,262 201,288 0.0%
# Teleflex, Inc. 37,223 5,798,599 0.1%
Thermo Fisher Scientific, Inc. 499,520 72,055,760 1.4%
#* Triple-S Management Corp. Class B 20,684 538,611 0.0%
UnitedHealth Group, Inc. 89,716 11,813,803 0.2%
Universal American Corp. 84,328 627,400 0.0%
* VCA, Inc. 69,140 4,353,746 0.1%
#* WellCare Health Plans, Inc. 18,375 1,653,566 0.0%
------------ ----
Total Health Care 602,504,091 11.2%
------------ ----
Industrials -- (12.2%)
AAR Corp. 32,906 791,060 0.0%
ABM Industries, Inc. 64,500 2,074,965 0.1%
Acme United Corp. 1,030 17,397 0.0%
# Actuant Corp. Class A 44,986 1,201,576 0.0%
ADT Corp. (The) 189,445 7,952,901 0.2%
* AECOM 55,835 1,814,079 0.0%
* Aegion Corp. 42,549 903,315 0.0%
#* Aerovironment, Inc. 35,065 1,012,677 0.0%
AGCO Corp. 58,973 3,153,286 0.1%
* Air Transport Services Group, Inc. 6,308 88,880 0.0%
Alamo Group, Inc. 22,751 1,284,066 0.0%
# Alaska Air Group, Inc. 105,252 7,412,898 0.2%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ----------- ---------------
Industrials -- (Continued)
Albany International Corp. Class A 20,551 $ 828,000 0.0%
AMERCO 29,431 10,359,712 0.2%
* Ameresco, Inc. Class A 981 4,385 0.0%
American Railcar Industries, Inc. 20,003 820,323 0.0%
Apogee Enterprises, Inc. 36,374 1,507,339 0.0%
ArcBest Corp. 12,135 231,657 0.0%
Argan, Inc. 21 718 0.0%
Astec Industries, Inc. 22,925 1,109,570 0.0%
* Atlas Air Worldwide Holdings, Inc. 35,456 1,416,113 0.0%
* Avis Budget Group, Inc. 94,608 2,374,661 0.1%
Barnes Group, Inc. 36,400 1,182,636 0.0%
* BlueLinx Holdings, Inc. 17,052 11,425 0.0%
Brady Corp. Class A 38,500 1,019,865 0.0%
Briggs & Stratton Corp. 41,033 868,669 0.0%
* CAI International, Inc. 17,082 174,578 0.0%
* Casella Waste Systems, Inc. Class A 5,201 37,239 0.0%
# Caterpillar, Inc. 107,902 8,386,143 0.2%
* CBIZ, Inc. 38,149 388,357 0.0%
CDI Corp. 26,779 191,470 0.0%
CECO Environmental Corp. 3,773 24,902 0.0%
Celadon Group, Inc. 24,642 248,145 0.0%
Chicago Rivet & Machine Co. 700 17,094 0.0%
CIRCOR International, Inc. 10,019 565,573 0.0%
Columbus McKinnon Corp. 17,542 289,618 0.0%
Comfort Systems USA, Inc. 44,560 1,314,074 0.0%
Compx International, Inc. 500 5,338 0.0%
# Covanta Holding Corp. 94,292 1,533,188 0.0%
* Covenant Transportation Group, Inc. Class A 7,080 140,963 0.0%
* CPI Aerostructures, Inc. 4,626 31,919 0.0%
* CRA International, Inc. 7,613 165,202 0.0%
CSX Corp. 1,242,950 33,895,246 0.6%
Curtiss-Wright Corp. 46,353 3,549,713 0.1%
* DigitalGlobe, Inc. 21,971 486,877 0.0%
Douglas Dynamics, Inc. 30,234 692,661 0.0%
* Ducommun, Inc. 12,645 201,182 0.0%
#* Dycom Industries, Inc. 39,867 2,814,610 0.1%
Dynamic Materials Corp. 1,436 14,030 0.0%
Eastern Co. (The) 10,193 170,325 0.0%
Eaton Corp. P.L.C. 98,845 6,253,923 0.1%
EMCOR Group, Inc. 50,540 2,450,179 0.1%
Encore Wire Corp. 19,966 763,700 0.0%
* Energy Recovery, Inc. 1,783 21,681 0.0%
EnerSys 43,239 2,523,860 0.1%
* Engility Holdings, Inc. 7,988 157,124 0.0%
Ennis, Inc. 48,483 947,358 0.0%
EnPro Industries, Inc. 17,635 1,033,058 0.0%
ESCO Technologies, Inc. 17,601 677,286 0.0%
Espey Manufacturing & Electronics Corp. 1,671 40,940 0.0%
Essendant, Inc. 24,021 739,607 0.0%
* Esterline Technologies Corp. 44,968 3,087,503 0.1%
Federal Signal Corp. 116,741 1,598,184 0.0%
FedEx Corp. 142,324 23,499,116 0.5%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Industrials -- (Continued)
# Fortune Brands Home & Security, Inc. 149,626 $ 8,290,777 0.2%
* Franklin Covey Co. 3,046 50,168 0.0%
FreightCar America, Inc. 9,404 161,279 0.0%
* FTI Consulting, Inc. 25,736 1,037,161 0.0%
G&K Services, Inc. Class A 29,714 2,099,294 0.1%
# GATX Corp. 65,445 3,006,543 0.1%
* Gencor Industries, Inc. 8,766 126,493 0.0%
General Electric Co. 3,873,888 119,122,056 2.2%
#* Genesee & Wyoming, Inc. Class A 1,200 78,132 0.0%
* Gibraltar Industries, Inc. 24,203 640,169 0.0%
* GP Strategies Corp. 18,583 433,727 0.0%
Granite Construction, Inc. 27,179 1,211,912 0.0%
* Great Lakes Dredge & Dock Corp. 69,820 319,077 0.0%
# Greenbrier Cos., Inc. (The) 22,451 673,305 0.0%
Griffon Corp. 67,323 1,064,377 0.0%
H&E Equipment Services, Inc. 59,629 1,206,295 0.0%
#* Hawaiian Holdings, Inc. 18,070 760,205 0.0%
Heidrick & Struggles International, Inc. 18,234 359,757 0.0%
* Hertz Global Holdings, Inc. 278,411 2,578,086 0.1%
* Hill International, Inc. 27,154 115,133 0.0%
Huntington Ingalls Industries, Inc. 47,666 6,900,607 0.1%
Hurco Cos., Inc. 7,910 256,126 0.0%
* Huron Consulting Group, Inc. 4,001 222,496 0.0%
Hyster-Yale Materials Handling, Inc. 12,246 750,068 0.0%
* ICF International, Inc. 31,660 1,246,454 0.0%
Ingersoll-Rand P.L.C. 213,109 13,967,164 0.3%
Insteel Industries, Inc. 17,578 509,586 0.0%
* JetBlue Airways Corp. 324,893 6,429,632 0.1%
Kadant, Inc. 5,786 273,967 0.0%
KAR Auction Services, Inc. 18,100 680,560 0.0%
KBR, Inc. 3,600 56,016 0.0%
# Kennametal, Inc. 1,000 23,380 0.0%
* Key Technology, Inc. 3,199 28,631 0.0%
Kimball International, Inc. Class B 31,258 363,843 0.0%
Korn/Ferry International 33,148 899,637 0.0%
#* Kratos Defense & Security Solutions, Inc. 2,711 14,395 0.0%
L-3 Communications Holdings, Inc. 100,470 13,214,819 0.3%
#* Lawson Products, Inc. 8,847 173,313 0.0%
LB Foster Co. Class A 6,682 131,502 0.0%
#* LMI Aerospace, Inc. 13,807 121,364 0.0%
LS Starrett Co. (The) Class A 4,097 44,330 0.0%
LSI Industries, Inc. 27,715 350,595 0.0%
* Lydall, Inc. 14,605 537,318 0.0%
ManpowerGroup, Inc. 22,886 1,762,909 0.0%
Marten Transport, Ltd. 47,782 891,612 0.0%
Matson, Inc. 62,316 2,422,846 0.1%
Matthews International Corp. Class A 12,387 652,052 0.0%
McGrath RentCorp 17,552 427,918 0.0%
* Mercury Systems, Inc. 2,055 43,196 0.0%
* MFRI, Inc. 8,900 62,122 0.0%
Miller Industries, Inc. 20,099 427,305 0.0%
Mobile Mini, Inc. 54,461 1,756,367 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------- ----------- ---------------
Industrials -- (Continued)
* Moog, Inc. Class A 35,339 $ 1,726,664 0.0%
Mueller Industries, Inc. 30,912 975,583 0.0%
Mueller Water Products, Inc. Class A 185,957 1,999,038 0.1%
Multi-Color Corp. 308 18,428 0.0%
* MYR Group, Inc. 19,582 499,537 0.0%
National Presto Industries, Inc. 571 49,785 0.0%
* Navigant Consulting, Inc. 12,297 196,260 0.0%
Nielsen Holdings P.L.C. 16,256 847,588 0.0%
* NL Industries, Inc. 43,869 134,678 0.0%
NN, Inc. 18,396 276,676 0.0%
Norfolk Southern Corp. 545,229 49,130,585 0.9%
Northrop Grumman Corp. 175,493 36,197,186 0.7%
* Northwest Pipe Co. 6,690 72,185 0.0%
* NOW, Inc. 62,737 1,133,030 0.0%
* On Assignment, Inc. 53,951 1,945,473 0.1%
Orbital ATK, Inc. 56,610 4,925,070 0.1%
# Oshkosh Corp. 14,466 706,664 0.0%
Owens Corning 149,300 6,878,251 0.1%
#* PAM Transportation Services, Inc. 9,249 228,543 0.0%
# Pentair P.L.C. 117,934 6,849,607 0.1%
Powell Industries, Inc. 7,529 234,302 0.0%
* PowerSecure International, Inc. 19,459 364,272 0.0%
Providence and Worcester Railroad Co. 850 13,515 0.0%
Quad/Graphics, Inc. 2,390 29,995 0.0%
Quanex Building Products Corp. 21,431 403,760 0.0%
* Quanta Services, Inc. 168,307 3,992,242 0.1%
Raytheon Co. 96,954 12,250,138 0.2%
RCM Technologies, Inc. 20,293 106,335 0.0%
Regal Beloit Corp. 16,070 1,035,229 0.0%
Republic Services, Inc. 429,755 20,228,568 0.4%
Resources Connection, Inc. 25,955 383,355 0.0%
* Roadrunner Transportation Systems, Inc. 879 10,390 0.0%
#* Rush Enterprises, Inc. Class A 32,603 641,953 0.0%
* Rush Enterprises, Inc. Class B 18,522 360,253 0.0%
Ryder System, Inc. 89,844 6,192,048 0.1%
#* Saia, Inc. 8,925 258,111 0.0%
* SIFCO Industries, Inc. 6,623 70,667 0.0%
SkyWest, Inc. 38,506 904,891 0.0%
* SL Industries, Inc. 300 11,994 0.0%
Southwest Airlines Co. 645,761 28,807,398 0.6%
* Sparton Corp. 9,132 195,973 0.0%
* SPX FLOW, Inc. 12,803 383,578 0.0%
Standex International Corp. 22,341 1,713,331 0.0%
Stanley Black & Decker, Inc. 154,919 17,338,534 0.3%
Steelcase, Inc. Class A 55,469 846,457 0.0%
Supreme Industries, Inc. Class A 1,433 17,812 0.0%
TAL International Group, Inc. 24,053 411,306 0.0%
* Team, Inc. 6,674 191,744 0.0%
Terex Corp. 27,578 658,838 0.0%
Tetra Tech, Inc. 45,222 1,329,527 0.0%
* Titan Machinery, Inc. 2,883 37,479 0.0%
* TRC Cos., Inc. 23,870 204,327 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------- ------------ ---------------
Industrials -- (Continued)
Trinity Industries, Inc. 183,814 $ 3,586,211 0.1%
# Triumph Group, Inc. 57,456 2,078,758 0.1%
* Tutor Perini Corp. 33,844 535,412 0.0%
# Twin Disc, Inc. 900 11,925 0.0%
Tyco International P.L.C. 240,619 9,268,644 0.2%
* Ultralife Corp. 3,309 15,618 0.0%
UniFirst Corp. 18,705 2,027,248 0.1%
Union Pacific Corp. 888,128 77,471,405 1.5%
Universal Forest Products, Inc. 31,800 2,437,470 0.1%
* USA Truck, Inc. 15,105 267,661 0.0%
* Vectrus, Inc. 4,069 87,728 0.0%
#* Veritiv Corp. 9,437 387,106 0.0%
* Versar, Inc. 5,526 14,091 0.0%
Viad Corp. 23,193 689,992 0.0%
* Virco Manufacturing Corp. 12,601 40,323 0.0%
VSE Corp. 305 18,922 0.0%
Waste Connections, Inc. 2,800 188,384 0.0%
Watts Water Technologies, Inc. Class A 53,615 2,995,470 0.1%
Werner Enterprises, Inc. 34,105 864,221 0.0%
#* Wesco Aircraft Holdings, Inc. 6,228 89,870 0.0%
#* WESCO International, Inc. 11,687 687,079 0.0%
* Willdan Group, Inc. 1,000 10,750 0.0%
* Willis Lease Finance Corp. 6,713 162,320 0.0%
#* XPO Logistics, Inc. 12,216 368,190 0.0%
------------ ----
Total Industrials 666,274,166 12.4%
------------ ----
Information Technology -- (9.4%)
Activision Blizzard, Inc. 982,162 33,855,124 0.7%
* Actua Corp. 1,184 11,224 0.0%
* Acxiom Corp. 7,769 170,685 0.0%
#* Agilysys, Inc. 16,899 180,481 0.0%
* Alpha & Omega Semiconductor, Ltd. 20,661 268,386 0.0%
* Amtech Systems, Inc. 2,395 14,969 0.0%
#* ARRIS International P.L.C. 140,787 3,205,720 0.1%
* Arrow Electronics, Inc. 182,170 11,312,757 0.2%
Astro-Med, Inc. 6,285 90,001 0.0%
Avnet, Inc. 139,400 5,732,128 0.1%
# AVX Corp. 86,630 1,145,249 0.0%
* Aware, Inc. 14,326 59,739 0.0%
* Axcelis Technologies, Inc. 700 2,002 0.0%
* AXT, Inc. 16,521 42,459 0.0%
Bel Fuse, Inc. Class A 3,874 60,628 0.0%
Bel Fuse, Inc. Class B 11,837 197,204 0.0%
* Benchmark Electronics, Inc. 62,063 1,205,263 0.0%
Black Box Corp. 18,611 272,093 0.0%
* Blackhawk Network Holdings, Inc. 25,926 833,002 0.0%
* Blucora, Inc. 57,127 457,587 0.0%
Brocade Communications Systems, Inc. 461,513 4,435,140 0.1%
Brooks Automation, Inc. 50,847 481,013 0.0%
* BSQUARE Corp. 4,065 25,325 0.0%
* CACI International, Inc. Class A 24,830 2,387,404 0.1%
* Calix, Inc. 16,027 111,067 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 $ 503,325 0.0%
* Checkpoint Systems, Inc. 27,235 275,618 0.0%
* CIBER, Inc. 34,165 79,263 0.0%
Cisco Systems, Inc. 3,728,589 102,498,912 1.9%
Cohu, Inc. 28,915 334,257 0.0%
Communications Systems, Inc. 9,323 59,947 0.0%
Computer Sciences Corp. 136,993 4,538,578 0.1%
Comtech Telecommunications Corp. 15,569 376,770 0.0%
Concurrent Computer Corp. 13,740 83,264 0.0%
Convergys Corp. 197,364 5,230,146 0.1%
* CoreLogic, Inc. 96,545 3,425,417 0.1%
Corning, Inc. 816,154 15,237,595 0.3%
* Cray, Inc. 12,866 487,235 0.0%
CSP, Inc. 2,414 15,763 0.0%
CSRA, Inc. 30,707 797,154 0.0%
CTS Corp. 66,936 1,109,130 0.0%
* CyberOptics Corp. 3,281 57,582 0.0%
# Cypress Semiconductor Corp. 52,022 469,759 0.0%
* Datalink Corp. 28,408 228,116 0.0%
* Digi International, Inc. 25,438 268,880 0.0%
* Diodes, Inc. 4,709 87,682 0.0%
* DSP Group, Inc. 46,713 443,773 0.0%
* EchoStar Corp. Class A 23,551 963,707 0.0%
* Edgewater Technology, Inc. 13,603 115,625 0.0%
Electro Rent Corp. 24,062 240,861 0.0%
* Electro Scientific Industries, Inc. 6,085 42,899 0.0%
* Electronics for Imaging, Inc. 58,110 2,315,102 0.1%
EMC Corp. 342,124 8,932,858 0.2%
* Emcore Corp. 744 4,241 0.0%
#* EnerNOC, Inc. 13,197 90,004 0.0%
* Entegris, Inc. 300 3,987 0.0%
Epiq Systems, Inc. 23,453 346,401 0.0%
* ePlus, Inc. 8,745 703,011 0.0%
* Exar Corp. 51,341 313,180 0.0%
* Fabrinet 4,055 129,638 0.0%
* Fairchild Semiconductor International, Inc. 118,008 2,360,160 0.1%
Fidelity National Information Services, Inc. 151,857 9,992,191 0.2%
#* Finisar Corp. 61,526 1,012,718 0.0%
* First Solar, Inc. 28,266 1,578,373 0.0%
* FormFactor, Inc. 30,568 235,374 0.0%
* Frequency Electronics, Inc. 10,976 111,187 0.0%
* GSE Systems, Inc. 10,238 26,107 0.0%
#* GSI Technology, Inc. 5,863 23,159 0.0%
Hackett Group, Inc. (The) 46,398 690,402 0.0%
* Harmonic, Inc. 22,962 79,449 0.0%
Hewlett Packard Enterprise Co. 810,974 13,510,827 0.3%
HP, Inc. 79,891 980,263 0.0%
* Hutchinson Technology, Inc. 13,656 49,844 0.0%
IAC/InterActiveCorp 125,298 5,806,309 0.1%
#* ID Systems, Inc. 10,784 55,861 0.0%
Ingram Micro, Inc. Class A 277,679 9,704,881 0.2%
* Insight Enterprises, Inc. 42,100 1,040,291 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ----------- ---------------
Information Technology -- (Continued)
Intel Corp. 3,141,595 $95,127,497 1.8%
* Internap Corp. 32,386 73,840 0.0%
Intersil Corp. Class A 119,798 1,400,439 0.0%
#* Intevac, Inc. 2,584 12,558 0.0%
* IntriCon Corp. 2,835 16,982 0.0%
* Itron, Inc. 33,397 1,373,285 0.0%
IXYS Corp. 3,055 32,994 0.0%
Juniper Networks, Inc. 212,100 4,963,140 0.1%
* Key Tronic Corp. 17,623 125,652 0.0%
* Kimball Electronics, Inc. 23,443 256,466 0.0%
* Kulicke & Soffa Industries, Inc. 71,688 768,495 0.0%
* KVH Industries, Inc. 19,858 193,814 0.0%
#* Lattice Semiconductor Corp. 108,469 604,172 0.0%
Lexmark International, Inc. Class A 35,849 1,383,771 0.0%
* Limelight Networks, Inc. 18,463 32,310 0.0%
ManTech International Corp. Class A 2,048 69,222 0.0%
Marvell Technology Group, Ltd. 166,418 1,660,852 0.1%
#* Maxwell Technologies, Inc. 2,521 16,185 0.0%
Mentor Graphics Corp. 35,620 710,975 0.0%
Methode Electronics, Inc. 79,272 2,356,757 0.1%
* Micron Technology, Inc. 758,908 8,158,261 0.2%
* Microsemi Corp. 7,940 268,293 0.0%
MKS Instruments, Inc. 61,200 2,194,632 0.1%
MOCON, Inc. 700 10,360 0.0%
#* ModusLink Global Solutions, Inc. 68,955 100,674 0.0%
NCI, Inc. Class A 686 9,920 0.0%
#* NETGEAR, Inc. 428 18,147 0.0%
* Newport Corp. 64,756 1,488,740 0.0%
#* Novatel Wireless, Inc. 10,953 16,758 0.0%
Optical Cable Corp. 10,793 27,090 0.0%
* PAR Technology Corp. 12,896 82,405 0.0%
Park Electrochemical Corp. 1,642 26,781 0.0%
PC Connection, Inc. 39,267 933,377 0.0%
PC-Tel, Inc. 30,854 138,226 0.0%
* PCM, Inc. 10,471 100,417 0.0%
* Perceptron, Inc. 8,428 38,853 0.0%
* Photronics, Inc. 79,712 843,353 0.0%
* Plexus Corp. 10,626 443,742 0.0%
* Polycom, Inc. 36,977 441,875 0.0%
* Qorvo, Inc. 24,909 1,121,652 0.0%
QUALCOMM, Inc. 820,308 41,441,960 0.8%
* Qualstar Corp. 2,118 1,021 0.0%
* Rambus, Inc. 1,069 12,422 0.0%
* RealNetworks, Inc. 17,505 79,823 0.0%
Reis, Inc. 13,511 340,072 0.0%
RF Industries, Ltd. 2,823 7,283 0.0%
Richardson Electronics, Ltd. 15,464 80,413 0.0%
* Rofin-Sinar Technologies, Inc. 4,978 160,242 0.0%
* Rogers Corp. 7,543 432,666 0.0%
* Rovi Corp. 19,000 334,780 0.0%
* Rudolph Technologies, Inc. 16,097 223,265 0.0%
SanDisk Corp. 13,097 983,978 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Information Technology -- (Continued)
* Sanmina Corp. 39,846 $ 942,358 0.0%
* ScanSource, Inc. 14,745 599,827 0.0%
* Seachange International, Inc. 8,687 32,403 0.0%
* ShoreTel, Inc. 3,200 19,584 0.0%
* Sonus Networks, Inc. 6,622 54,698 0.0%
# SS&C Technologies Holdings, Inc. 25,793 1,577,242 0.0%
* StarTek, Inc. 22,913 93,943 0.0%
#* SunPower Corp. 18,322 369,005 0.0%
* Super Micro Computer, Inc. 5,886 158,392 0.0%
#* Support.com, Inc. 15,100 12,986 0.0%
* Sykes Enterprises, Inc. 20,292 591,512 0.0%
SYNNEX Corp. 55,900 4,615,663 0.1%
* Synopsys, Inc. 4,200 199,584 0.0%
#* Systemax, Inc. 7,487 67,757 0.0%
* Tech Data Corp. 82,952 5,697,973 0.1%
* Telenav, Inc. 9,865 56,231 0.0%
Teradyne, Inc. 26,789 506,580 0.0%
Tessco Technologies, Inc. 8,689 144,064 0.0%
Tessera Technologies, Inc. 48,635 1,396,797 0.0%
#* TTM Technologies, Inc. 55,241 360,171 0.0%
* United Online, Inc. 17,780 192,557 0.0%
#* Veeco Instruments, Inc. 15,978 294,155 0.0%
* Virtusa Corp. 30,064 1,068,475 0.0%
# Vishay Intertechnology, Inc. 151,731 1,845,049 0.1%
* Vishay Precision Group, Inc. 16,480 246,541 0.0%
Western Digital Corp. 212,781 8,695,296 0.2%
* Xcerra Corp. 20,165 118,973 0.0%
Xerox Corp. 1,007,652 9,673,459 0.2%
* XO Group, Inc. 6,284 110,975 0.0%
* Yahoo!, Inc. 1,048,770 38,384,982 0.7%
------------ ---
Total Information Technology 514,491,845 9.6%
------------ ---
Materials -- (2.3%)
A Schulman, Inc. 32,960 919,254 0.0%
#* A. M. Castle & Co. 20,838 66,265 0.0%
Alcoa, Inc. 995,255 11,116,998 0.2%
Allegheny Technologies, Inc. 22,777 372,176 0.0%
Ampco-Pittsburgh Corp. 4,007 76,494 0.0%
Ashland, Inc. 112,560 12,561,696 0.2%
Axiall Corp. 26,423 622,262 0.0%
Bemis Co., Inc. 25,154 1,262,228 0.0%
Cabot Corp. 46,280 2,258,001 0.1%
* Century Aluminum Co. 15,822 139,550 0.0%
* Chemtura Corp. 49,368 1,374,899 0.0%
* Clearwater Paper Corp. 16,822 1,004,946 0.0%
Commercial Metals Co. 85,208 1,526,927 0.0%
* Core Molding Technologies, Inc. 11,847 138,965 0.0%
Domtar Corp. 8,107 313,254 0.0%
Dow Chemical Co. (The) 11,060 581,867 0.0%
Freeport-McMoRan, Inc. 327,519 4,585,266 0.1%
Friedman Industries, Inc. 13,926 86,202 0.0%
FutureFuel Corp. 6,104 68,609 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Materials -- (Continued)
Graphic Packaging Holding Co. 154,000 $ 2,045,120 0.0%
Greif, Inc. Class A 4,885 169,509 0.0%
Huntsman Corp. 50,242 790,809 0.0%
# International Paper Co. 493,615 21,358,721 0.4%
Kaiser Aluminum Corp. 27,181 2,577,574 0.1%
KapStone Paper and Packaging Corp. 80,984 1,286,836 0.0%
* Kraton Performance Polymers, Inc. 5,435 123,429 0.0%
#* Louisiana-Pacific Corp. 173,457 2,948,769 0.1%
Martin Marietta Materials, Inc. 23,633 3,999,413 0.1%
Materion Corp. 18,497 536,228 0.0%
Mercer International, Inc. 21,725 182,490 0.0%
Minerals Technologies, Inc. 34,280 2,053,372 0.1%
Mosaic Co. (The) 17,274 483,499 0.0%
Myers Industries, Inc. 57,792 779,036 0.0%
Neenah Paper, Inc. 7,684 500,152 0.0%
Newmont Mining Corp. 48,146 1,683,666 0.0%
* Northern Technologies International Corp. 3,035 44,463 0.0%
Nucor Corp. 83,945 4,178,782 0.1%
# Olin Corp. 69,801 1,520,964 0.0%
Olympic Steel, Inc. 9,986 225,883 0.0%
PH Glatfelter Co. 50,600 1,160,258 0.0%
PolyOne Corp. 5,174 186,161 0.0%
Reliance Steel & Aluminum Co. 93,801 6,938,460 0.1%
* Resolute Forest Products, Inc. 1,817 10,557 0.0%
Schnitzer Steel Industries, Inc. Class A 400 8,248 0.0%
Sensient Technologies Corp. 38,101 2,562,292 0.1%
Steel Dynamics, Inc. 94,919 2,392,908 0.1%
#* Stillwater Mining Co. 55,630 678,686 0.0%
SunCoke Energy, Inc. 62,210 462,220 0.0%
Synalloy Corp. 5,144 43,570 0.0%
Tredegar Corp. 27,973 446,449 0.0%
Tronox, Ltd. Class A 1,600 11,648 0.0%
#* Universal Stainless & Alloy Products, Inc. 6,269 81,685 0.0%
Vulcan Materials Co. 58,246 6,269,017 0.1%
# Westlake Chemical Corp. 158,152 7,937,649 0.2%
WestRock Co. 200,591 8,394,733 0.2%
Worthington Industries, Inc. 47,320 1,786,330 0.0%
------------ ---
Total Materials 125,935,445 2.3%
------------ ---
Other -- (0.0%)
(degrees)#* Gerber Scientific, Inc. Escrow Shares 47,409 -- 0.0%
(degrees)* Petrocorp, Inc. Escrow Shares 900 -- 0.0%
------------ ---
Total Other -- 0.0%
------------ ---
Telecommunication Services -- (4.7%)
AT&T, Inc. 5,441,020 211,220,396 3.9%
Atlantic Tele-Network, Inc. 84 6,040 0.0%
# CenturyLink, Inc. 512,432 15,859,770 0.3%
Frontier Communications Corp. 696,949 3,875,037 0.1%
* General Communication, Inc. Class A 45,867 775,152 0.0%
#* Iridium Communications, Inc. 14,800 119,436 0.0%
* Lumos Networks Corp. 500 6,375 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
Telecommunication Services -- (Continued)
#* ORBCOMM, Inc. 44,499 $ 440,985 0.0%
Shenandoah Telecommunications Co. 112,708 3,233,593 0.1%
Spok Holdings, Inc. 12,522 212,749 0.0%
#* Sprint Corp. 422,600 1,449,518 0.0%
* T-Mobile US, Inc. 113,786 4,469,514 0.1%
Telephone & Data Systems, Inc. 111,207 3,288,391 0.1%
* United States Cellular Corp. 7,591 323,680 0.0%
Verizon Communications, Inc. 187,958 9,574,581 0.1%
* Vonage Holdings Corp. 85,934 401,312 0.0%
-------------- -----
Total Telecommunication Services 255,256,529 4.7%
-------------- -----
Utilities -- (0.1%)
* Calpine Corp. 62,921 992,893 0.0%
Consolidated Water Co., Ltd. 6,656 92,452 0.0%
NRG Energy, Inc. 241,908 3,652,811 0.1%
Ormat Technologies, Inc. 20,134 873,816 0.0%
UGI Corp. 78,988 3,178,477 0.1%
-------------- -----
Total Utilities 8,790,449 0.2%
-------------- -----
TOTAL COMMON STOCKS 5,328,599,878 99.1%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
(degrees)* Leap Wireless International, Inc. Contingent Value Rights 8,393 -- 0.0%
(degrees)* Safeway Casa Ley Contingent Value Rights 157,807 160,159 0.0%
(degrees)* Safeway PDC, LLC Contingent Value Rights 157,807 7,701 0.0%
-------------- -----
TOTAL RIGHTS/WARRANTS 167,860 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES 5,328,767,738
--------------
TEMPORARY CASH INVESTMENTS -- (0.9%)
State Street Institutional Liquid Reserves, 0.455% 51,680,486 51,680,486 1.0%
-------------- -----
SECURITIES LENDING COLLATERAL -- (1.7%)
(S)@ DFA Short Term Investment Fund 7,607,782 88,022,042 1.6%
-------------- -----
TOTAL INVESTMENTS -- (100.0%) (Cost $3,300,426,704) $5,468,470,266 101.7%
============== =====
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2016, 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 $ 928,467,808 $ 165,470 -- $ 928,633,278
Consumer Staples 463,562,336 -- -- 463,562,336
Energy 746,426,960 -- -- 746,426,960
Financials 1,016,724,779 -- -- 1,016,724,779
Health Care 602,504,091 -- -- 602,504,091
Industrials 666,274,166 -- -- 666,274,166
Information Technology 514,491,845 -- -- 514,491,845
Materials 125,935,445 -- -- 125,935,445
Other -- -- -- --
Telecommunication Services 255,256,529 -- -- 255,256,529
Utilities 8,790,449 -- -- 8,790,449
Rights/Warrants -- 167,860 -- 167,860
Temporary Cash Investments 51,680,486 -- -- 51,680,486
Securities Lending Collateral -- 88,022,042 -- 88,022,042
Futures Contracts** 474,883 -- -- 474,883
-------------- ----------- -- --------------
TOTAL $5,380,589,777 $88,355,372 -- $5,468,945,149
============== =========== == ==============
** Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note G)
(b) Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
None.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Based on their evaluation of the Registrant's disclosure controls
and procedures as of a date within 90 days of the filing date of
this Form N-CSR (the "Report"), the Registrant's Principal Executive
Officer and Principal Financial Officer believe that the disclosure
controls and procedures (as defined in Rule 30a-3(c) under the
Investment Company Act of 1940, as amended) are effectively designed
to ensure that information required to be disclosed by the
Registrant in the Report is recorded, processed, summarized and
reported by the filing date, including ensuring that information
required to be disclosed in the Report is accumulated and
communicated to the Registrant's officers that are making
certifications in the Report, as appropriate, to allow timely
decisions regarding required disclosure. The Registrant's
management, including the Principal Executive Officer and the
Principal Financial Officer, recognizes that any set of controls and
procedures, no matter how well designed and operated, can provide
only reasonable assurance of achieving the desired control
objectives.
(b) There were no changes in the Registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the
Investment Company Act of 1940, as amended) that occurred during the
second fiscal quarter of the period covered by this Report that have
materially affected, or are reasonably likely to materially affect,
the Registrant's internal control over financial reporting.
ITEM 12. EXHIBITS.
(a)(1) This item is not applicable.
(a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of
2002 are filed herewith.
(a)(3) This item is not applicable.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of
2002 are filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the Registrant has duly caused this Report to
be signed on its behalf by the undersigned, thereunto duly authorized.
The DFA Investment Trust Company
By: /s/ David G. Booth
-----------------------------------
David G. Booth
Chairman, Trustee, President and
Co-Chief Executive Officer
Date: June 22, 2016
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this Report has been signed below by the
following persons on behalf of the Registrant and in the capacities and on the
dates indicated.
By: /s/ David G. Booth
-----------------------------------
David G. Booth
Principal Executive Officer
The DFA Investment Trust Company
Date: June 22, 2016
By: /s/ Gregory K. Hinkle
-----------------------------------
Gregory K. Hinkle
Principal Financial Officer
The DFA Investment Trust Company
Date: June 22, 2016