================================================================================
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-3258
--------------------------------------
DFA INVESTMENT DIMENSIONS GROUP INC.
--------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
6300 Bee Cave Road, Building One, Austin, TX 78746
--------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
Catherine L. Newell, Esquire, Vice President and Secretary
DFA Investment Dimensions Group Inc.,
6300 Bee Cave Road, Building One, Austin, TX 78746
--------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: 512-306-7400
Date of fiscal year end: October 31
Date of reporting period: October 31, 2016
================================================================================
ITEM 1. REPORTS TO STOCKHOLDERS.
ANNUAL REPORT
---------------------------------------------------
year ended: October 31, 2016
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
December 2016
Dear Fellow Shareholder,
On behalf of our team at Dimensional, I want to thank you for trusting us with
your investments. We recognize the important role those investments play in
your future plans, and we take the responsibility implied by this trust with
the utmost dedication and seriousness that it deserves.
Dimensional is focused on offering consistent ways to access the performance
delivered by securities in different markets and asset classes through
well-diversified, efficiently managed portfolios. The importance of the word
CONSISTENCY cannot be overemphasized. By being consistent in our investment
approach and the quality of our implementation, we create opportunities for you
to combine funds into an asset allocation that fits your goals and preferences
-- enabling you to be a long-term investor in control of your investments.
We recognize markets are full of uncertainties, which highlights the importance
of having efficiently managed funds focused on delivering value to investors as
part of an overall asset allocation that can help overcome those uncertainties.
We are fortunate to work with clients who are committed to a long-term
investment philosophy. We remain committed to managing investments for our
clients with the same dedication, transparency, efficiency, and consistency we
have for more than 35 years.
Sincerely,
/s/ Eduardo A. Repetto
Eduardo A. Repetto
CO-CHIEF EXECUTIVE OFFICER AND CO-CHIEF INVESTMENT OFFICER
ANNUAL REPORT
TABLE OF CONTENTS
PAGE
----
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES............................ 1
DFA INVESTMENT DIMENSIONS GROUP INC.
Performance Charts................................................. 2
Management's Discussion and Analysis............................... 19
Disclosure of Fund Expenses........................................ 32
Disclosure of Portfolio Holdings................................... 37
Schedules of Investments/Summary Schedules of Portfolio Holdings
Enhanced U.S. Large Company Portfolio.......................... 40
U.S. Large Cap Equity Portfolio................................ 43
U.S. Large Cap Value Portfolio................................. 46
U.S. Targeted Value Portfolio.................................. 47
U.S. Small Cap Value Portfolio................................. 50
U.S. Core Equity 1 Portfolio................................... 53
U.S. Core Equity 2 Portfolio................................... 56
U.S. Vector Equity Portfolio................................... 59
U.S. Small Cap Portfolio....................................... 62
U.S. Micro Cap Portfolio....................................... 65
DFA Real Estate Securities Portfolio........................... 68
Large Cap International Portfolio.............................. 70
International Core Equity Portfolio............................ 74
International Small Company Portfolio.......................... 79
Japanese Small Company Portfolio............................... 80
Asia Pacific Small Company Portfolio........................... 80
United Kingdom Small Company Portfolio......................... 81
Continental Small Company Portfolio............................ 81
DFA International Real Estate Securities Portfolio............. 82
DFA Global Real Estate Securities Portfolio.................... 85
DFA International Small Cap Value Portfolio.................... 87
International Vector Equity Portfolio.......................... 91
World ex U.S. Value Portfolio.................................. 95
World ex U.S. Targeted Value Portfolio......................... 96
World ex U.S. Core Equity Portfolio............................ 102
World Core Equity Portfolio.................................... 108
Selectively Hedged Global Equity Portfolio..................... 109
Emerging Markets Portfolio..................................... 110
Emerging Markets Small Cap Portfolio........................... 110
Emerging Markets Value Portfolio............................... 110
Emerging Markets Core Equity Portfolio......................... 111
Statements of Assets and Liabilities............................... 115
Statements of Operations........................................... 122
Statements of Changes in Net Assets................................ 129
Financial Highlights............................................... 139
Notes to Financial Statements...................................... 161
Report of Independent Registered Public Accounting Firm............ 194
Section 19(a) Notice............................................... 195
i
TABLE OF CONTENTS
CONTINUED
PAGE
----
DFA INVESTMENT DIMENSIONS GROUP INC. - DFA COMMODITY STRATEGY
PORTFOLIO
Performance Charts................................................. 198
Management's Discussion and Analysis............................... 199
Consolidated Disclosure of Fund Expenses........................... 200
Consolidated Disclosure of Portfolio Holdings...................... 201
Consolidated Schedule of Investments............................... 202
Consolidated Statement of Assets and Liabilities................... 207
Consolidated Statement of Operations............................... 208
Consolidated Statements of Changes in Net Assets................... 209
Consolidated Financial Highlights.................................. 210
Consolidated Notes to Financial Statements......................... 211
Report of Independent Registered Public Accounting Firm............ 224
DIMENSIONAL INVESTMENT GROUP INC.
Performance Charts................................................. 225
Management's Discussion and Analysis............................... 227
Disclosure of Fund Expenses........................................ 230
Disclosure of Portfolio Holdings................................... 232
Schedule of Investments/Summary Schedule of Portfolio Holdings
DFA International Value Portfolio.............................. 233
U.S. Large Company Portfolio................................... 234
Statements of Assets and Liabilities............................... 237
Statements of Operations........................................... 238
Statements of Changes in Net Assets................................ 239
Financial Highlights............................................... 240
Notes to Financial Statements...................................... 243
Report of Independent Registered Public Accounting Firm............ 253
Section 19(a) Notice............................................... 254
THE DFA INVESTMENT TRUST COMPANY
Performance Charts................................................. 255
Management's Discussion and Analysis............................... 260
Disclosure of Fund Expenses........................................ 265
Disclosure of Portfolio Holdings................................... 267
Summary Schedules of Portfolio Holdings
The U.S. Large Cap Value Series................................ 269
The DFA International Value Series............................. 272
The Japanese Small Company Series.............................. 276
The Asia Pacific Small Company Series.......................... 279
The United Kingdom Small Company Series........................ 282
The Continental Small Company Series........................... 285
The Canadian Small Company Series.............................. 288
The Emerging Markets Series.................................... 291
The Emerging Markets Small Cap Series.......................... 295
Statements of Assets and Liabilities............................... 299
Statements of Operations........................................... 301
Statements of Changes in Net Assets................................ 303
Financial Highlights............................................... 306
Notes to Financial Statements...................................... 311
Report of Independent Registered Public Accounting Firm............ 323
ii
TABLE OF CONTENTS
CONTINUED
PAGE
----
DIMENSIONAL EMERGING MARKETS VALUE FUND
Performance Charts................................................. 324
Management's Discussion and Analysis............................... 325
Disclosure of Fund Expenses........................................ 327
Disclosure of Portfolio Holdings................................... 328
Summary Schedule of Portfolio Holdings............................. 329
Statement of Assets and Liabilities................................ 333
Statement of Operations............................................ 334
Statements of Changes in Net Assets................................ 335
Financial Highlights............................................... 336
Notes to Financial Statements...................................... 337
Report of Independent Registered Public Accounting Firm............ 345
FUND MANAGEMENT....................................................... 346
VOTING PROXIES ON FUND PORTFOLIO SECURITIES........................... 361
NOTICE TO SHAREHOLDERS................................................ 362
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.
## 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.
^^ Security pledged as collateral for the Open Futures Contracts.
++ Security pledged as collateral for Swap Agreements.
(S) Affiliated Fund.
FINANCIAL HIGHLIGHTS
--------------------
(A) Computed using average shares outstanding.
(B) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its
Master Fund(s).
(C) Because of commencement of operations and related preliminary transaction costs, these ratios are
not necessarily indicative of future ratios.
(D) Non-Annualized
(E) Annualized
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
REIT Real Estate Investment Trust
SEC Securities and Exchange Commission
(a) Commencement of Operations.
1
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
ENHANCED U.S. LARGE COMPANY PORTFOLIO VS.
S&P 500(R) INDEX
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
Enhanced U.S. Large Company
Portfolio S&P 500/R/ Index
--------------------------------- ------------------
10/1/2006 $10,000 $10,000
11/1/2006 10,196 10,190
12/1/2006 10,332 10,333
1/1/2007 10,479 10,489
2/1/2007 10,273 10,284
3/1/2007 10,391 10,399
4/1/2007 10,840 10,860
5/1/2007 11,212 11,239
6/1/2007 11,016 11,052
7/1/2007 10,684 10,709
8/1/2007 10,830 10,870
9/1/2007 11,233 11,277
10/1/2007 11,413 11,456
11/1/2007 10,933 10,977
12/1/2007 10,855 10,901
1/1/2008 10,175 10,247
2/1/2008 9,846 9,914
3/1/2008 9,802 9,871
4/1/2008 10,263 10,352
5/1/2008 10,405 10,486
6/1/2008 9,521 9,602
7/1/2008 9,444 9,522
8/1/2008 9,588 9,659
9/1/2008 8,705 8,799
10/1/2008 7,221 7,321
11/1/2008 6,730 6,796
12/1/2008 6,809 6,868
1/1/2009 6,238 6,289
2/1/2009 5,556 5,619
3/1/2009 6,062 6,112
4/1/2009 6,660 6,696
5/1/2009 7,058 7,071
6/1/2009 7,083 7,085
7/1/2009 7,643 7,621
8/1/2009 7,942 7,896
9/1/2009 8,254 8,191
10/1/2009 8,104 8,039
11/1/2009 8,617 8,521
12/1/2009 8,765 8,685
1/1/2010 8,463 8,373
2/1/2010 8,740 8,632
3/1/2010 9,254 9,153
4/1/2010 9,405 9,298
5/1/2010 8,664 8,555
6/1/2010 8,219 8,107
7/1/2010 8,799 8,675
8/1/2010 8,408 8,284
9/1/2010 9,160 9,023
10/1/2010 9,514 9,366
11/1/2010 9,501 9,368
12/1/2010 10,137 9,994
1/1/2011 10,390 10,231
2/1/2011 10,732 10,581
3/1/2011 10,732 10,585
4/1/2011 11,074 10,899
5/1/2011 10,972 10,775
6/1/2011 10,783 10,596
7/1/2011 10,580 10,380
8/1/2011 9,998 9,816
9/1/2011 9,289 9,126
10/1/2011 10,314 10,124
11/1/2011 10,251 10,101
12/1/2011 10,365 10,205
1/1/2012 10,852 10,662
2/1/2012 11,325 11,123
3/1/2012 11,709 11,489
4/1/2012 11,645 11,417
5/1/2012 10,941 10,731
6/1/2012 11,400 11,173
7/1/2012 11,593 11,328
8/1/2012 11,862 11,583
9/1/2012 12,167 11,883
10/1/2012 11,948 11,663
11/1/2012 12,025 11,731
12/1/2012 12,124 11,838
1/1/2013 12,745 12,451
2/1/2013 12,926 12,620
3/1/2013 13,405 13,093
4/1/2013 13,663 13,346
5/1/2013 13,974 13,658
6/1/2013 13,760 13,474
7/1/2013 14,486 14,160
8/1/2013 14,058 13,750
9/1/2013 14,499 14,181
10/1/2013 15,173 14,833
11/1/2013 15,640 15,285
12/1/2013 16,017 15,672
1/1/2014 15,484 15,130
2/1/2014 16,185 15,822
3/1/2014 16,310 15,955
4/1/2014 16,440 16,073
5/1/2014 16,844 16,450
6/1/2014 17,167 16,790
7/1/2014 16,920 16,559
8/1/2014 17,610 17,221
9/1/2014 17,350 16,980
10/1/2014 17,779 17,394
11/1/2014 18,287 17,862
12/1/2014 18,186 17,817
1/1/2015 17,694 17,282
2/1/2015 18,678 18,276
3/1/2015 18,410 17,986
4/1/2015 18,574 18,159
5/1/2015 18,827 18,393
6/1/2015 18,429 18,037
7/1/2015 18,832 18,414
8/1/2015 17,653 17,303
9/1/2015 17,236 16,875
10/1/2015 18,713 18,299
11/1/2015 18,743 18,353
12/1/2015 18,382 18,064
1/1/2016 17,504 17,167
2/1/2016 17,504 17,144
3/1/2016 18,750 18,307
4/1/2016 18,846 18,378
5/1/2016 19,166 18,708
6/1/2016 19,252 18,757
7/1/2016 19,973 19,448
8/1/2016 19,973 19,476
9/1/2016 19,971 19,479 Past performance is not predictive of
10/1/2016 19,602 19,124 future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
----------------------------------------------------------- The S&P data are provided by Standard
4.75% 13.70% 6.96% & Poor's Index Services Group.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
U.S. LARGE CAP EQUITY PORTFOLIO VS.
RUSSELL 1000(R) INDEX
JUNE 25, 2013-OCTOBER 31, 2016
[CHART]
U.S. Large Cap
Equity Portfolio Russell 1000/R/ Index
----------------- ---------------------
6/1/2013 $10,000 $10,000
6/1/2013 10,020 10,130
7/1/2013 10,550 10,672
8/1/2013 10,270 10,378
9/1/2013 10,630 10,740
10/1/2013 11,101 11,213
11/1/2013 11,452 11,527
12/1/2013 11,757 11,838
1/1/2014 11,333 11,460
2/1/2014 11,878 12,004
3/1/2014 11,985 12,080
4/1/2014 12,046 12,137
5/1/2014 12,319 12,416
6/1/2014 12,623 12,699
7/1/2014 12,410 12,493
8/1/2014 12,928 13,010
9/1/2014 12,654 12,781
10/1/2014 12,899 13,094
11/1/2014 13,205 13,437
12/1/2014 13,175 13,405
1/1/2015 12,775 13,037
2/1/2015 13,555 13,790
3/1/2015 13,391 13,619
4/1/2015 13,463 13,715
5/1/2015 13,659 13,895
6/1/2015 13,399 13,634
7/1/2015 13,564 13,897
8/1/2015 12,768 13,061
9/1/2015 12,374 12,703
10/1/2015 13,350 13,731
11/1/2015 13,391 13,776
12/1/2015 13,081 13,528
1/1/2016 12,350 12,800
2/1/2016 12,412 12,796
3/1/2016 13,260 13,687
4/1/2016 13,302 13,762
5/1/2016 13,522 14,003
6/1/2016 13,491 14,034 Past performance is not predictive of
7/1/2016 14,029 14,569 future performance.
8/1/2016 14,071 14,588 The returns shown do not reflect the
9/1/2016 14,104 14,600 deduction of taxes that a shareholder
10/1/2016 13,818 14,315 would pay on fund distributions or the
AVERAGE ANNUAL ONE SINCE redemption of fund shares.
TOTAL RETURN YEAR INCEPTION Russell data copyright (C) Russell
--------------------------------------------------- Investment Group 1995-2016, all rights
3.51% 10.14% reserved.
--------------------------------------------------------------------------------
2
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
U.S. LARGE CAP VALUE PORTFOLIO VS.
RUSSELL 1000(R) VALUE INDEX
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
U.S. Large Cap Value Portfolio Russell 1000/R/ Value Index
------------------------------- ---------------------------
10/1/2006 $10,000 $10,000
11/1/2006 10,189 10,228
12/1/2006 10,393 10,458
1/1/2007 10,694 10,592
2/1/2007 10,533 10,427
3/1/2007 10,602 10,588
4/1/2007 11,052 10,979
5/1/2007 11,505 11,375
6/1/2007 11,318 11,109
7/1/2007 10,615 10,595
8/1/2007 10,413 10,714
9/1/2007 10,682 11,082
10/1/2007 10,740 11,083
11/1/2007 10,138 10,542
12/1/2007 10,106 10,440
1/1/2008 9,718 10,022
2/1/2008 9,418 9,602
3/1/2008 9,330 9,530
4/1/2008 9,915 9,994
5/1/2008 10,151 9,978
6/1/2008 9,038 9,023
7/1/2008 8,937 8,991
8/1/2008 9,113 9,144
9/1/2008 8,293 8,472
10/1/2008 6,425 7,005
11/1/2008 5,795 6,503
12/1/2008 5,983 6,593
1/1/2009 5,273 5,835
2/1/2009 4,533 5,055
3/1/2009 4,978 5,488
4/1/2009 5,784 6,076
5/1/2009 6,228 6,452
6/1/2009 6,152 6,404
7/1/2009 6,732 6,928
8/1/2009 7,190 7,290
9/1/2009 7,503 7,572
10/1/2009 7,180 7,340
11/1/2009 7,584 7,754
12/1/2009 7,789 7,891
1/1/2010 7,606 7,669
2/1/2010 7,935 7,911
3/1/2010 8,554 8,426
4/1/2010 8,824 8,645
5/1/2010 8,069 7,934
6/1/2010 7,459 7,487
7/1/2010 8,042 7,994
8/1/2010 7,550 7,652
9/1/2010 8,290 8,246
10/1/2010 8,596 8,493
11/1/2010 8,531 8,448
12/1/2010 9,360 9,115
1/1/2011 9,662 9,321
2/1/2011 10,184 9,665
3/1/2011 10,230 9,703
4/1/2011 10,486 9,962
5/1/2011 10,337 9,856
6/1/2011 10,149 9,654
7/1/2011 9,686 9,334
8/1/2011 8,866 8,752
9/1/2011 7,971 8,090
10/1/2011 9,071 9,016
11/1/2011 8,996 8,970
12/1/2011 9,066 9,151
1/1/2012 9,516 9,497
2/1/2012 10,066 9,875
3/1/2012 10,250 10,168
4/1/2012 10,037 10,064
5/1/2012 9,324 9,474
6/1/2012 9,824 9,945
7/1/2012 9,920 10,047
8/1/2012 10,311 10,266
9/1/2012 10,687 10,591
10/1/2012 10,716 10,539
11/1/2012 10,740 10,535
12/1/2012 11,066 10,753
1/1/2013 11,834 11,452
2/1/2013 11,984 11,616
3/1/2013 12,560 12,076
4/1/2013 12,686 12,259
5/1/2013 13,209 12,573
6/1/2013 13,057 12,463
7/1/2013 13,841 13,135
8/1/2013 13,427 12,637
9/1/2013 13,824 12,954
10/1/2013 14,522 13,521
11/1/2013 15,128 13,898
12/1/2013 15,528 14,250
1/1/2014 14,914 13,744
2/1/2014 15,415 14,338
3/1/2014 15,776 14,681
4/1/2014 15,880 14,820
5/1/2014 16,224 15,037
6/1/2014 16,666 15,430
7/1/2014 16,543 15,167
8/1/2014 17,067 15,725
9/1/2014 16,642 15,400
10/1/2014 16,771 15,746
11/1/2014 16,965 16,069
12/1/2014 17,091 16,167
1/1/2015 16,241 15,521
2/1/2015 17,387 16,272
3/1/2015 17,054 16,050
4/1/2015 17,402 16,200
5/1/2015 17,589 16,395
6/1/2015 17,304 16,068
7/1/2015 17,259 16,138
8/1/2015 16,209 15,177
9/1/2015 15,685 14,719
10/1/2015 16,965 15,830
11/1/2015 17,026 15,890
12/1/2015 16,494 15,548
1/1/2016 15,370 14,745
2/1/2016 15,396 14,741
3/1/2016 16,515 15,803
4/1/2016 16,961 16,135
5/1/2016 17,187 16,386
6/1/2016 17,169 16,527 Past performance is not predictive of
7/1/2016 17,759 17,007 future performance.
8/1/2016 17,965 17,138 The returns shown do not reflect the
9/1/2016 18,051 17,103 deduction of taxes that a shareholder
10/1/2016 17,741 16,838 would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell
-------------------------------------------------------------- Investment Group 1995-2016, all rights
4.58% 14.36% 5.90% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
U.S. TARGETED VALUE PORTFOLIO -- CLASS R1 VS.
RUSSELL 2000(R) VALUE INDEX
JANUARY 31, 2008-OCTOBER 31, 2016
[CHART]
U.S. Targeted
Value Portfolio - Class R1 Russell 2000/R/ Value Index
-------------------------- ---------------------------
1/1/2008 $10,000 $10,000
2/1/2008 9,750 9,603
3/1/2008 9,821 9,747
4/1/2008 10,152 10,056
5/1/2008 10,613 10,400
6/1/2008 9,538 9,402
7/1/2008 9,790 9,884
8/1/2008 10,233 10,353
9/1/2008 9,575 9,868
10/1/2008 7,504 7,897
11/1/2008 6,525 6,982
12/1/2008 6,946 7,412
1/1/2009 5,999 6,353
2/1/2009 5,204 5,471
3/1/2009 5,777 5,956
4/1/2009 6,902 6,901
5/1/2009 7,137 7,051
6/1/2009 7,107 7,028
7/1/2009 7,959 7,841
8/1/2009 8,379 8,212
9/1/2009 8,844 8,624
10/1/2009 8,207 8,051
11/1/2009 8,484 8,308
12/1/2009 9,150 8,937
1/1/2010 8,943 8,675
2/1/2010 9,449 9,077
3/1/2010 10,229 9,832
4/1/2010 10,973 10,520
5/1/2010 9,981 9,631
6/1/2010 9,031 8,790
7/1/2010 9,735 9,418
8/1/2010 8,948 8,710
9/1/2010 10,044 9,645
10/1/2010 10,417 10,019
11/1/2010 10,840 10,273
12/1/2010 11,805 11,127
1/1/2011 11,883 11,133
2/1/2011 12,550 11,698
3/1/2011 12,792 11,861
4/1/2011 12,998 12,053
5/1/2011 12,678 11,837
6/1/2011 12,397 11,546
7/1/2011 11,964 11,165
8/1/2011 10,763 10,178
9/1/2011 9,425 9,067
10/1/2011 10,905 10,373
11/1/2011 10,941 10,353
12/1/2011 11,049 10,515
1/1/2012 11,719 11,214
2/1/2012 12,144 11,380
3/1/2012 12,369 11,733
4/1/2012 12,168 11,564
5/1/2012 11,260 10,857
6/1/2012 11,715 11,380
7/1/2012 11,657 11,264
8/1/2012 12,192 11,612
9/1/2012 12,577 12,025
10/1/2012 12,505 11,874
11/1/2012 12,715 11,911
12/1/2012 13,155 12,413
1/1/2013 14,059 13,152
2/1/2013 14,291 13,303
3/1/2013 14,987 13,856
4/1/2013 14,840 13,843
5/1/2013 15,567 14,257
6/1/2013 15,460 14,199
7/1/2013 16,545 15,111
8/1/2013 15,941 14,443
9/1/2013 16,826 15,277
10/1/2013 17,555 15,773
11/1/2013 18,331 16,389
12/1/2013 18,804 16,698
1/1/2014 17,913 16,052
2/1/2014 18,845 16,787
3/1/2014 19,217 16,994
4/1/2014 18,862 16,557
5/1/2014 19,044 16,662
6/1/2014 19,852 17,399
7/1/2014 18,859 16,347
8/1/2014 19,819 17,058
9/1/2014 18,629 15,907
10/1/2014 19,217 17,018
11/1/2014 19,110 16,939
12/1/2014 19,348 17,402
1/1/2015 18,502 16,678
2/1/2015 19,828 17,452
3/1/2015 20,100 17,747
4/1/2015 19,891 17,367
5/1/2015 20,179 17,511
6/1/2015 20,105 17,534
7/1/2015 19,580 17,051
8/1/2015 18,783 16,213
9/1/2015 17,863 15,652
10/1/2015 18,962 16,528
11/1/2015 19,410 16,998
12/1/2015 18,219 16,102
1/1/2016 16,984 15,020
2/1/2016 17,214 15,123
3/1/2016 18,680 16,376
4/1/2016 19,069 16,723
5/1/2016 19,189 17,030
6/1/2016 18,937 17,082 Past performance is not predictive of
7/1/2016 19,874 18,003 future performance.
8/1/2016 20,171 18,451 The returns shown do not reflect the
9/1/2016 20,355 18,596 deduction of taxes that a shareholder
10/1/2016 19,760 17,985 would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE SINCE redemption of fund shares.
TOTAL RETURN YEAR YEARS INCEPTION Russell data copyright (C) Russell
-------------------------------------------------------------- Investment Group 1995-2016, all rights
4.21% 12.62% 8.10% reserved.
--------------------------------------------------------------------------------
3
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
U.S. TARGETED VALUE PORTFOLIO -- CLASS R2 VS.
RUSSELL 2000(R) VALUE INDEX
JUNE 30, 2008-OCTOBER 31, 2016
[CHART]
U.S. Targeted Value
Portfolio - Class R2 Russell 2000/R/ Value Index
------------------------ ---------------------------
6/1/2008 $10,000 $10,000
7/1/2008 10,260 10,513
8/1/2008 10,720 11,012
9/1/2008 10,038 10,496
10/1/2008 7,860 8,399
11/1/2008 6,836 7,427
12/1/2008 7,274 7,883
1/1/2009 6,272 6,757
2/1/2009 5,443 5,819
3/1/2009 6,038 6,335
4/1/2009 7,216 7,341
5/1/2009 7,459 7,499
6/1/2009 7,436 7,476
7/1/2009 8,321 8,340
8/1/2009 8,768 8,735
9/1/2009 9,248 9,173
10/1/2009 8,585 8,564
11/1/2009 8,871 8,836
12/1/2009 9,568 9,506
1/1/2010 9,343 9,227
2/1/2010 9,865 9,655
3/1/2010 10,685 10,458
4/1/2010 11,453 11,190
5/1/2010 10,419 10,244
6/1/2010 9,434 9,350
7/1/2010 10,161 10,017
8/1/2010 9,341 9,264
9/1/2010 10,484 10,259
10/1/2010 10,874 10,656
11/1/2010 11,306 10,927
12/1/2010 12,308 11,835
1/1/2011 12,396 11,841
2/1/2011 13,085 12,443
3/1/2011 13,336 12,615
4/1/2011 13,544 12,820
5/1/2011 13,211 12,591
6/1/2011 12,926 12,281
7/1/2011 12,466 11,875
8/1/2011 11,214 10,826
9/1/2011 9,820 9,644
10/1/2011 11,364 11,034
11/1/2011 11,401 11,011
12/1/2011 11,510 11,184
1/1/2012 12,209 11,927
2/1/2012 12,644 12,105
3/1/2012 12,877 12,480
4/1/2012 12,667 12,299
5/1/2012 11,721 11,548
6/1/2012 12,189 12,105
7/1/2012 12,129 11,981
8/1/2012 12,686 12,351
9/1/2012 13,082 12,791
10/1/2012 13,007 12,630
11/1/2012 13,225 12,669
12/1/2012 13,677 13,203
1/1/2013 14,611 13,989
2/1/2013 14,861 14,149
3/1/2013 15,577 14,738
4/1/2013 15,424 14,724
5/1/2013 16,181 15,164
6/1/2013 16,064 15,102
7/1/2013 17,185 16,073
8/1/2013 16,548 15,362
9/1/2013 17,472 16,249
10/1/2013 18,223 16,777
11/1/2013 19,022 17,432
12/1/2013 19,515 17,760
1/1/2014 18,587 17,073
2/1/2014 19,549 17,855
3/1/2014 19,932 18,076
4/1/2014 19,563 17,611
5/1/2014 19,752 17,723
6/1/2014 20,586 18,507
7/1/2014 19,553 17,387
8/1/2014 20,551 18,143
9/1/2014 19,315 16,919
10/1/2014 19,918 18,101
11/1/2014 19,798 18,017
12/1/2014 20,051 18,509
1/1/2015 19,171 17,739
2/1/2015 20,540 18,563
3/1/2015 20,817 18,876
4/1/2015 20,600 18,473
5/1/2015 20,890 18,626
6/1/2015 20,816 18,650
7/1/2015 20,271 18,136
8/1/2015 19,443 17,245
9/1/2015 18,490 16,648
10/1/2015 19,621 17,580
11/1/2015 20,077 18,080
12/1/2015 18,856 17,127
1/1/2016 17,574 15,976
2/1/2016 17,804 16,085
3/1/2016 19,327 17,419
4/1/2016 19,721 17,787
5/1/2016 19,846 18,114
6/1/2016 19,587 18,169
7/1/2016 20,550 19,149
8/1/2016 20,848 19,625
9/1/2016 21,041 19,779
10/1/2016 20,414 19,129 Past performance is not predictive of
future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE SINCE redemption of fund shares.
TOTAL RETURN YEAR YEARS INCEPTION Russell data copyright (C) Russell
--------------------------------------------------------------- Investment Group 1995-2016, all rights
4.04% 12.43% 8.94% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
U.S. TARGETED VALUE PORTFOLIO -- INSTITUTIONAL CLASS VS.
RUSSELL 2000(R) VALUE INDEX
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
U.S. Targeted Value
Portfolio - Institutional Class Russell 2000/R/ Value Index
--------------------------------- ---------------------------
10/1/2006 $10,000 $10,000
11/1/2006 10,343 10,285
12/1/2006 10,406 10,375
1/1/2007 10,623 10,530
2/1/2007 10,569 10,401
3/1/2007 10,650 10,526
4/1/2007 10,867 10,636
5/1/2007 11,338 11,026
6/1/2007 11,188 10,769
7/1/2007 10,378 9,852
8/1/2007 10,347 10,049
9/1/2007 10,378 10,095
10/1/2007 10,403 10,205
11/1/2007 9,661 9,440
12/1/2007 9,554 9,360
1/1/2008 9,097 8,976
2/1/2008 8,865 8,620
3/1/2008 8,941 8,749
4/1/2008 9,236 9,026
5/1/2008 9,662 9,335
6/1/2008 8,685 8,439
7/1/2008 8,911 8,872
8/1/2008 9,313 9,294
9/1/2008 8,724 8,858
10/1/2008 6,833 7,088
11/1/2008 5,944 6,267
12/1/2008 6,326 6,653
1/1/2009 5,457 5,703
2/1/2009 4,740 4,910
3/1/2009 5,257 5,346
4/1/2009 6,282 6,195
5/1/2009 6,498 6,329
6/1/2009 6,476 6,309
7/1/2009 7,248 7,038
8/1/2009 7,637 7,372
9/1/2009 8,061 7,741
10/1/2009 7,480 7,227
11/1/2009 7,729 7,457
12/1/2009 8,343 8,022
1/1/2010 8,150 7,787
2/1/2010 8,606 8,148
3/1/2010 9,322 8,826
4/1/2010 9,996 9,443
5/1/2010 9,097 8,645
6/1/2010 8,233 7,891
7/1/2010 8,875 8,454
8/1/2010 8,156 7,818
9/1/2010 9,159 8,657
10/1/2010 9,500 8,993
11/1/2010 9,880 9,221
12/1/2010 10,763 9,988
1/1/2011 10,834 9,993
2/1/2011 11,449 10,500
3/1/2011 11,669 10,646
4/1/2011 11,851 10,819
5/1/2011 11,559 10,626
6/1/2011 11,311 10,364
7/1/2011 10,916 10,022
8/1/2011 9,820 9,136
9/1/2011 8,601 8,139
10/1/2011 9,952 9,311
11/1/2011 9,985 9,293
12/1/2011 10,086 9,438
1/1/2012 10,698 10,066
2/1/2012 11,085 10,215
3/1/2012 11,294 10,532
4/1/2012 11,110 10,380
5/1/2012 10,281 9,746
6/1/2012 10,699 10,215
7/1/2012 10,647 10,111
8/1/2012 11,135 10,423
9/1/2012 11,489 10,794
10/1/2012 11,423 10,659
11/1/2012 11,615 10,691
12/1/2012 12,021 11,142
1/1/2013 12,841 11,806
2/1/2013 13,060 11,941
3/1/2013 13,696 12,438
4/1/2013 13,562 12,426
5/1/2013 14,233 12,797
6/1/2013 14,132 12,745
7/1/2013 15,124 13,564
8/1/2013 14,564 12,964
9/1/2013 15,378 13,713
10/1/2013 16,038 14,159
11/1/2013 16,755 14,711
12/1/2013 17,194 14,988
1/1/2014 16,378 14,408
2/1/2014 17,224 15,068
3/1/2014 17,567 15,255
4/1/2014 17,249 14,862
5/1/2014 17,416 14,956
6/1/2014 18,152 15,618
7/1/2014 17,251 14,674
8/1/2014 18,129 15,311
9/1/2014 17,044 14,278
10/1/2014 17,575 15,276
11/1/2014 17,484 15,205
12/1/2014 17,699 15,620
1/1/2015 16,932 14,970
2/1/2015 18,147 15,665
3/1/2015 18,392 15,930
4/1/2015 18,208 15,590
5/1/2015 18,472 15,719
6/1/2015 18,401 15,739
7/1/2015 17,927 15,305
8/1/2015 17,197 14,553
9/1/2015 16,358 14,050
10/1/2015 17,365 14,836
11/1/2015 17,776 15,258
12/1/2015 16,687 14,454
1/1/2016 15,555 13,483
2/1/2016 15,774 13,575
3/1/2016 17,113 14,700
4/1/2016 17,469 15,011
5/1/2016 17,587 15,286
6/1/2016 17,352 15,333
7/1/2016 18,211 16,160 Past performance is not predictive of
8/1/2016 18,483 16,562 future performance.
9/1/2016 18,656 16,692 The returns shown do not reflect the
10/1/2016 18,111 16,144 deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell
--------------------------------------------------------------- Investment Group 1995-2016, all rights
4.29% 12.72% 6.12% reserved.
--------------------------------------------------------------------------------
4
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
U.S. SMALL CAP VALUE PORTFOLIO VS.
RUSSELL 2000(R) VALUE INDEX
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
U.S. Small Cap Value Portfolio Russell 2000/R/ Value Index
-------------------------------- -----------------------------
10/1/2006 $10,000 $10,000
11/1/2006 10,303 10,285
12/1/2006 10,446 10,375
1/1/2007 10,676 10,530
2/1/2007 10,651 10,401
3/1/2007 10,767 10,526
4/1/2007 10,961 10,636
5/1/2007 11,361 11,026
6/1/2007 11,186 10,769
7/1/2007 10,331 9,852
8/1/2007 10,253 10,049
9/1/2007 10,224 10,095
10/1/2007 10,338 10,205
11/1/2007 9,437 9,440
12/1/2007 9,324 9,360
1/1/2008 8,956 8,976
2/1/2008 8,702 8,620
3/1/2008 8,775 8,749
4/1/2008 8,920 9,026
5/1/2008 9,290 9,335
6/1/2008 8,351 8,439
7/1/2008 8,524 8,872
8/1/2008 8,878 9,294
9/1/2008 8,266 8,858
10/1/2008 6,436 7,088
11/1/2008 5,600 6,267
12/1/2008 5,894 6,653
1/1/2009 5,052 5,703
2/1/2009 4,410 4,910
3/1/2009 4,869 5,346
4/1/2009 5,826 6,195
5/1/2009 6,013 6,329
6/1/2009 6,035 6,309
7/1/2009 6,846 7,038
8/1/2009 7,198 7,372
9/1/2009 7,654 7,741
10/1/2009 7,077 7,227
11/1/2009 7,298 7,457
12/1/2009 7,875 8,022
1/1/2010 7,627 7,787
2/1/2010 8,096 8,148
3/1/2010 8,813 8,826
4/1/2010 9,528 9,443
5/1/2010 8,585 8,645
6/1/2010 7,714 7,891
7/1/2010 8,384 8,454
8/1/2010 7,682 7,818
9/1/2010 8,675 8,657
10/1/2010 9,037 8,993
11/1/2010 9,443 9,221
12/1/2010 10,309 9,988
1/1/2011 10,341 9,993
2/1/2011 10,990 10,500
3/1/2011 11,216 10,646
4/1/2011 11,357 10,819
5/1/2011 11,003 10,626
6/1/2011 10,804 10,364
7/1/2011 10,493 10,022
8/1/2011 9,383 9,136
9/1/2011 8,203 8,139
10/1/2011 9,501 9,311
11/1/2011 9,436 9,293
12/1/2011 9,531 9,438
1/1/2012 10,239 10,066
2/1/2012 10,564 10,215
3/1/2012 10,807 10,532
4/1/2012 10,634 10,380
5/1/2012 9,877 9,746
6/1/2012 10,310 10,215
7/1/2012 10,285 10,111
8/1/2012 10,718 10,423
9/1/2012 11,074 10,794
10/1/2012 10,983 10,659
11/1/2012 11,185 10,691
12/1/2012 11,602 11,142
1/1/2013 12,363 11,806
2/1/2013 12,580 11,941
3/1/2013 13,197 12,438
4/1/2013 13,051 12,426
5/1/2013 13,755 12,797
6/1/2013 13,658 12,745
7/1/2013 14,660 13,564
8/1/2013 14,049 12,964
9/1/2013 14,785 13,713
10/1/2013 15,304 14,159
11/1/2013 16,081 14,711
12/1/2013 16,519 14,988
1/1/2014 15,670 14,408
2/1/2014 16,524 15,068
3/1/2014 16,720 15,255
4/1/2014 16,398 14,862
5/1/2014 16,533 14,956
6/1/2014 17,266 15,618
7/1/2014 16,272 14,674
8/1/2014 17,220 15,311
9/1/2014 16,018 14,278
10/1/2014 16,757 15,276
11/1/2014 16,711 15,205
12/1/2014 17,094 15,620
1/1/2015 16,248 14,970
2/1/2015 17,206 15,665
3/1/2015 17,512 15,930
4/1/2015 17,277 15,590
5/1/2015 17,512 15,719
6/1/2015 17,521 15,739
7/1/2015 16,878 15,305
8/1/2015 16,197 14,553
9/1/2015 15,467 14,050
10/1/2015 16,284 14,836
11/1/2015 16,801 15,258
12/1/2015 15,758 14,454
1/1/2016 14,627 13,483
2/1/2016 14,797 13,575
3/1/2016 16,094 14,700
4/1/2016 16,384 15,011
5/1/2016 16,462 15,286
6/1/2016 16,271 15,333
7/1/2016 17,061 16,160 Past performance is not predictive of
8/1/2016 17,357 16,562 future performance.
9/1/2016 17,566 16,692 The returns shown do not reflect the
10/1/2016 17,015 16,144 deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell
--------------------------------------------------------------- Investment Group 1995-2016, all rights
4.49% 12.36% 5.46% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
U.S. CORE EQUITY 1 PORTFOLIO VS.
RUSSELL 3000(R) INDEX
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
U.S. Core Equity 1 Portfolio Russell 3000/R/ Index
------------------------------ -----------------------
10/1/2006 $10,000 $10,000
11/1/2006 10,238 10,218
12/1/2006 10,363 10,340
1/1/2007 10,560 10,537
2/1/2007 10,443 10,364
3/1/2007 10,548 10,472
4/1/2007 10,942 10,890
5/1/2007 11,363 11,287
6/1/2007 11,179 11,076
7/1/2007 10,712 10,698
8/1/2007 10,819 10,851
9/1/2007 11,130 11,247
10/1/2007 11,301 11,453
11/1/2007 10,717 10,938
12/1/2007 10,652 10,872
1/1/2008 10,044 10,213
2/1/2008 9,745 9,895
3/1/2008 9,675 9,837
4/1/2008 10,158 10,329
5/1/2008 10,422 10,540
6/1/2008 9,529 9,671
7/1/2008 9,529 9,593
8/1/2008 9,739 9,742
9/1/2008 8,837 8,826
10/1/2008 7,196 7,261
11/1/2008 6,588 6,688
12/1/2008 6,762 6,816
1/1/2009 6,150 6,244
2/1/2009 5,493 5,590
3/1/2009 5,997 6,079
4/1/2009 6,724 6,719
5/1/2009 7,040 7,078
6/1/2009 7,072 7,102
7/1/2009 7,671 7,654
8/1/2009 7,951 7,928
9/1/2009 8,328 8,260
10/1/2009 8,034 8,048
11/1/2009 8,438 8,505
12/1/2009 8,779 8,747
1/1/2010 8,496 8,432
2/1/2010 8,826 8,718
3/1/2010 9,413 9,267
4/1/2010 9,706 9,467
5/1/2010 8,940 8,719
6/1/2010 8,364 8,218
7/1/2010 8,962 8,789
8/1/2010 8,478 8,375
9/1/2010 9,342 9,166
10/1/2010 9,705 9,524
11/1/2010 9,829 9,579
12/1/2010 10,544 10,228
1/1/2011 10,755 10,452
2/1/2011 11,186 10,832
3/1/2011 11,305 10,881
4/1/2011 11,612 11,205
5/1/2011 11,449 11,077
6/1/2011 11,237 10,878
7/1/2011 10,919 10,629
8/1/2011 10,157 9,991
9/1/2011 9,269 9,216
10/1/2011 10,430 10,277
11/1/2011 10,410 10,249
12/1/2011 10,477 10,333
1/1/2012 11,042 10,855
2/1/2012 11,519 11,314
3/1/2012 11,824 11,663
4/1/2012 11,707 11,586
5/1/2012 10,937 10,870
6/1/2012 11,341 11,296
7/1/2012 11,419 11,408
8/1/2012 11,753 11,692
9/1/2012 12,087 11,999
10/1/2012 11,920 11,792
11/1/2012 12,048 11,884
12/1/2012 12,249 12,029
1/1/2013 12,993 12,689
2/1/2013 13,152 12,858
3/1/2013 13,691 13,361
4/1/2013 13,840 13,580
5/1/2013 14,297 13,900
6/1/2013 14,153 13,720
7/1/2013 14,972 14,472
8/1/2013 14,552 14,068
9/1/2013 15,151 14,591
10/1/2013 15,773 15,211
11/1/2013 16,284 15,652
12/1/2013 16,733 16,065
1/1/2014 16,156 15,558
2/1/2014 16,935 16,296
3/1/2014 17,071 16,382
4/1/2014 17,030 16,402
5/1/2014 17,365 16,760
6/1/2014 17,867 17,180
7/1/2014 17,409 16,841
8/1/2014 18,152 17,548
9/1/2014 17,655 17,182
10/1/2014 18,094 17,655
11/1/2014 18,472 18,083
12/1/2014 18,493 18,083
1/1/2015 17,915 17,579
2/1/2015 19,030 18,597
3/1/2015 18,906 18,408
4/1/2015 18,958 18,491
5/1/2015 19,206 18,747
6/1/2015 18,927 18,434
7/1/2015 19,051 18,742
8/1/2015 17,981 17,610
9/1/2015 17,390 17,097
10/1/2015 18,685 18,448
11/1/2015 18,810 18,550
12/1/2015 18,244 18,169
1/1/2016 17,171 17,144
2/1/2016 17,277 17,139
3/1/2016 18,521 18,345
4/1/2016 18,649 18,459
5/1/2016 18,938 18,789
6/1/2016 18,883 18,828
7/1/2016 19,655 19,575 Past performance is not predictive of
8/1/2016 19,773 19,625 future performance.
9/1/2016 19,813 19,656 The returns shown do not reflect the
10/1/2016 19,372 19,230 deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell
-------------------------------------------------------- Investment Group 1995-2016, all rights
3.68% 13.18% 6.84% reserved.
--------------------------------------------------------------------------------
5
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
U.S. CORE EQUITY 2 PORTFOLIO VS.
RUSSELL 3000(R) INDEX
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
U.S. Core Equity 2 Portfolio Russell 3000/R/ Index
------------------------------- -------------------------
10/1/2006 $10,000 $10,000
11/1/2006 10,253 10,218
12/1/2006 10,393 10,340
1/1/2007 10,588 10,537
2/1/2007 10,482 10,364
3/1/2007 10,592 10,472
4/1/2007 10,956 10,890
5/1/2007 11,398 11,287
6/1/2007 11,215 11,076
7/1/2007 10,691 10,698
8/1/2007 10,788 10,851
9/1/2007 11,059 11,247
10/1/2007 11,175 11,453
11/1/2007 10,538 10,938
12/1/2007 10,446 10,872
1/1/2008 9,908 10,213
2/1/2008 9,594 9,895
3/1/2008 9,497 9,837
4/1/2008 9,974 10,329
5/1/2008 10,253 10,540
6/1/2008 9,326 9,671
7/1/2008 9,353 9,593
8/1/2008 9,561 9,742
9/1/2008 8,697 8,826
10/1/2008 7,043 7,261
11/1/2008 6,405 6,688
12/1/2008 6,595 6,816
1/1/2009 5,908 6,244
2/1/2009 5,221 5,590
3/1/2009 5,735 6,079
4/1/2009 6,536 6,719
5/1/2009 6,849 7,078
6/1/2009 6,839 7,102
7/1/2009 7,459 7,654
8/1/2009 7,764 7,928
9/1/2009 8,151 8,260
10/1/2009 7,794 8,048
11/1/2009 8,147 8,505
12/1/2009 8,518 8,747
1/1/2010 8,257 8,432
2/1/2010 8,602 8,718
3/1/2010 9,216 9,267
4/1/2010 9,552 9,467
5/1/2010 8,796 8,719
6/1/2010 8,177 8,218
7/1/2010 8,777 8,789
8/1/2010 8,252 8,375
9/1/2010 9,124 9,166
10/1/2010 9,463 9,524
11/1/2010 9,613 9,579
12/1/2010 10,376 10,228
1/1/2011 10,574 10,452
2/1/2011 11,047 10,832
3/1/2011 11,181 10,881
4/1/2011 11,437 11,205
5/1/2011 11,257 11,077
6/1/2011 11,036 10,878
7/1/2011 10,665 10,629
8/1/2011 9,857 9,991
9/1/2011 8,921 9,216
10/1/2011 10,123 10,277
11/1/2011 10,085 10,249
12/1/2011 10,159 10,333
1/1/2012 10,725 10,855
2/1/2012 11,185 11,314
3/1/2012 11,455 11,663
4/1/2012 11,340 11,586
5/1/2012 10,562 10,870
6/1/2012 10,978 11,296
7/1/2012 11,036 11,408
8/1/2012 11,384 11,692
9/1/2012 11,730 11,999
10/1/2012 11,623 11,792
11/1/2012 11,730 11,884
12/1/2012 11,995 12,029
1/1/2013 12,753 12,689
2/1/2013 12,911 12,858
3/1/2013 13,453 13,361
4/1/2013 13,552 13,580
5/1/2013 14,065 13,900
6/1/2013 13,931 13,720
7/1/2013 14,773 14,472
8/1/2013 14,317 14,068
9/1/2013 14,929 14,591
10/1/2013 15,535 15,211
11/1/2013 16,062 15,652
12/1/2013 16,524 16,065
1/1/2014 15,908 15,558
2/1/2014 16,655 16,296
3/1/2014 16,849 16,382
4/1/2014 16,768 16,402
5/1/2014 17,061 16,760
6/1/2014 17,601 17,180
7/1/2014 17,114 16,841
8/1/2014 17,825 17,548
9/1/2014 17,258 17,182
10/1/2014 17,676 17,655
11/1/2014 17,992 18,083
12/1/2014 18,064 18,083
1/1/2015 17,414 17,579
2/1/2015 18,539 18,597
3/1/2015 18,450 18,408
4/1/2015 18,492 18,491
5/1/2015 18,730 18,747
6/1/2015 18,480 18,434
7/1/2015 18,449 18,742
8/1/2015 17,420 17,610
9/1/2015 16,794 17,097
10/1/2015 18,016 18,448
11/1/2015 18,162 18,550
12/1/2015 17,509 18,169
1/1/2016 16,438 17,144
2/1/2016 16,556 17,139
3/1/2016 17,763 18,345
4/1/2016 17,935 18,459
5/1/2016 18,215 18,789
6/1/2016 18,121 18,828
7/1/2016 18,867 19,575 Past performance is not predictive of
8/1/2016 19,029 19,625 future performance.
9/1/2016 19,075 19,656 The returns shown do not reflect the
10/1/2016 18,641 19,230 deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell
----------------------------------------------------------- Investment Group 1995-2016, all rights
3.47% 12.99% 6.43% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
U.S. VECTOR EQUITY PORTFOLIO VS.
RUSSELL 3000(R) INDEX
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
U.S. Vector Equity Portfolio Russell 3000/R/ Index
------------------------------- -------------------------
10/1/2006 $10,000 $10,000
11/1/2006 10,288 10,218
12/1/2006 10,406 10,340
1/1/2007 10,610 10,537
2/1/2007 10,539 10,364
3/1/2007 10,637 10,472
4/1/2007 10,949 10,890
5/1/2007 11,403 11,287
6/1/2007 11,229 11,076
7/1/2007 10,595 10,698
8/1/2007 10,649 10,851
9/1/2007 10,835 11,247
10/1/2007 10,907 11,453
11/1/2007 10,199 10,938
12/1/2007 10,086 10,872
1/1/2008 9,608 10,213
2/1/2008 9,284 9,895
3/1/2008 9,246 9,837
4/1/2008 9,661 10,329
5/1/2008 9,986 10,540
6/1/2008 9,032 9,671
7/1/2008 9,105 9,593
8/1/2008 9,367 9,742
9/1/2008 8,577 8,826
10/1/2008 6,804 7,261
11/1/2008 6,058 6,688
12/1/2008 6,336 6,816
1/1/2009 5,564 6,244
2/1/2009 4,866 5,590
3/1/2009 5,357 6,079
4/1/2009 6,224 6,719
5/1/2009 6,491 7,078
6/1/2009 6,494 7,102
7/1/2009 7,160 7,654
8/1/2009 7,493 7,928
9/1/2009 7,884 8,260
10/1/2009 7,448 8,048
11/1/2009 7,726 8,505
12/1/2009 8,187 8,747
1/1/2010 7,954 8,432
2/1/2010 8,345 8,718
3/1/2010 8,971 9,267
4/1/2010 9,428 9,467
5/1/2010 8,673 8,719
6/1/2010 8,000 8,218
7/1/2010 8,589 8,789
8/1/2010 8,000 8,375
9/1/2010 8,881 9,166
10/1/2010 9,209 9,524
11/1/2010 9,434 9,579
12/1/2010 10,243 10,228
1/1/2011 10,384 10,452
2/1/2011 10,912 10,832
3/1/2011 11,093 10,881
4/1/2011 11,320 11,205
5/1/2011 11,103 11,077
6/1/2011 10,864 10,878
7/1/2011 10,467 10,629
8/1/2011 9,550 9,991
9/1/2011 8,516 9,216
10/1/2011 9,749 10,277
11/1/2011 9,702 10,249
12/1/2011 9,776 10,333
1/1/2012 10,376 10,855
2/1/2012 10,806 11,314
3/1/2012 11,065 11,663
4/1/2012 10,903 11,586
5/1/2012 10,111 10,870
6/1/2012 10,510 11,296
7/1/2012 10,491 11,408
8/1/2012 10,875 11,692
9/1/2012 11,226 11,999
10/1/2012 11,168 11,792
11/1/2012 11,303 11,884
12/1/2012 11,630 12,029
1/1/2013 12,436 12,689
2/1/2013 12,572 12,858
3/1/2013 13,134 13,361
4/1/2013 13,124 13,580
5/1/2013 13,698 13,900
6/1/2013 13,584 13,720
7/1/2013 14,462 14,472
8/1/2013 13,994 14,068
9/1/2013 14,681 14,591
10/1/2013 15,277 15,211
11/1/2013 15,864 15,652
12/1/2013 16,306 16,065
1/1/2014 15,639 15,558
2/1/2014 16,366 16,296
3/1/2014 16,584 16,382
4/1/2014 16,394 16,402
5/1/2014 16,634 16,760
6/1/2014 17,265 17,180
7/1/2014 16,635 16,841
8/1/2014 17,375 17,548
9/1/2014 16,625 17,182
10/1/2014 17,097 17,655
11/1/2014 17,207 18,083
12/1/2014 17,368 18,083
1/1/2015 16,608 17,579
2/1/2015 17,733 18,597
3/1/2015 17,769 18,408
4/1/2015 17,728 18,491
5/1/2015 17,936 18,747
6/1/2015 17,829 18,434
7/1/2015 17,599 18,742
8/1/2015 16,708 17,610
9/1/2015 16,014 17,097
10/1/2015 17,066 18,448
11/1/2015 17,319 18,550
12/1/2015 16,494 18,169
1/1/2016 15,346 17,144
2/1/2016 15,477 17,139
3/1/2016 16,685 18,345
4/1/2016 16,971 18,459
5/1/2016 17,168 18,789
6/1/2016 17,003 18,828
7/1/2016 17,775 19,575
8/1/2016 18,007 19,625 Past performance is not predictive of
9/1/2016 18,080 19,656 future performance.
10/1/2016 17,627 19,230 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell
----------------------------------------------------------- Investment Group 1995-2016, all rights
3.28% 12.57% 5.83% reserved.
--------------------------------------------------------------------------------
6
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
U.S. SMALL CAP PORTFOLIO VS.
RUSSELL 2000(R) INDEX
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
U.S. Small Cap Portfolio Russell 2000/R/ Index
----------------------------- -----------------------
10/1/2006 $10,000 $10,000
11/1/2006 10,251 10,263
12/1/2006 10,324 10,297
1/1/2007 10,478 10,470
2/1/2007 10,425 10,387
3/1/2007 10,535 10,498
4/1/2007 10,728 10,686
5/1/2007 11,134 11,124
6/1/2007 11,012 10,961
7/1/2007 10,348 10,212
8/1/2007 10,494 10,443
9/1/2007 10,626 10,622
10/1/2007 10,835 10,927
11/1/2007 10,029 10,142
12/1/2007 10,008 10,136
1/1/2008 9,316 9,445
2/1/2008 9,016 9,095
3/1/2008 9,049 9,133
4/1/2008 9,333 9,515
5/1/2008 9,779 9,952
6/1/2008 8,904 9,186
7/1/2008 9,184 9,526
8/1/2008 9,516 9,870
9/1/2008 8,755 9,084
10/1/2008 6,953 7,194
11/1/2008 6,104 6,343
12/1/2008 6,404 6,711
1/1/2009 5,696 5,965
2/1/2009 5,008 5,240
3/1/2009 5,524 5,708
4/1/2009 6,549 6,590
5/1/2009 6,781 6,789
6/1/2009 6,957 6,889
7/1/2009 7,679 7,552
8/1/2009 7,953 7,769
9/1/2009 8,449 8,217
10/1/2009 7,863 7,659
11/1/2009 8,063 7,899
12/1/2009 8,732 8,535
1/1/2010 8,467 8,221
2/1/2010 8,880 8,591
3/1/2010 9,608 9,290
4/1/2010 10,260 9,816
5/1/2010 9,459 9,072
6/1/2010 8,703 8,369
7/1/2010 9,330 8,944
8/1/2010 8,618 8,282
9/1/2010 9,743 9,313
10/1/2010 10,142 9,694
11/1/2010 10,568 10,031
12/1/2010 11,413 10,827
1/1/2011 11,423 10,799
2/1/2011 12,064 11,391
3/1/2011 12,410 11,687
4/1/2011 12,704 11,995
5/1/2011 12,447 11,770
6/1/2011 12,248 11,499
7/1/2011 11,820 11,083
8/1/2011 9,565 8,985
10/1/2011 11,030 10,345
11/1/2011 10,992 10,307
12/1/2011 11,053 10,375
1/1/2012 11,796 11,108
2/1/2012 12,136 11,374
3/1/2012 12,453 11,665
4/1/2012 12,280 11,485
5/1/2012 11,483 10,725
6/1/2012 11,968 11,260
7/1/2012 11,870 11,104
8/1/2012 12,287 11,475
9/1/2012 12,688 11,852
10/1/2012 12,531 11,594
11/1/2012 12,677 11,656
12/1/2012 13,086 12,071
1/1/2013 13,906 12,827
2/1/2013 14,044 12,968
3/1/2013 14,723 13,567
4/1/2013 14,601 13,517
5/1/2013 15,352 14,058
6/1/2013 15,335 13,986
7/1/2013 16,440 14,964
8/1/2013 15,885 14,489
9/1/2013 16,870 15,414
10/1/2013 17,421 15,801
11/1/2013 18,239 16,434
12/1/2013 18,609 16,758
1/1/2014 17,847 16,294
2/1/2014 18,664 17,061
3/1/2014 18,764 16,945
4/1/2014 18,211 16,288
5/1/2014 18,313 16,419
6/1/2014 19,183 17,292
7/1/2014 18,033 16,245
8/1/2014 18,888 17,051
9/1/2014 17,869 16,020
10/1/2014 18,931 17,076
11/1/2014 18,998 17,091
12/1/2014 19,436 17,578
1/1/2015 18,631 17,013
2/1/2015 19,860 18,022
3/1/2015 20,211 18,336
4/1/2015 19,742 17,869
5/1/2015 20,086 18,277
6/1/2015 20,289 18,414
7/1/2015 20,032 18,200
8/1/2015 19,029 17,056
9/1/2015 18,301 16,219
10/1/2015 19,375 17,133
11/1/2015 19,865 17,690
12/1/2015 18,797 16,802
1/1/2016 17,604 15,325
2/1/2016 17,790 15,324
3/1/2016 19,143 16,547
4/1/2016 19,322 16,807
5/1/2016 19,568 17,185
6/1/2016 19,467 17,174
7/1/2016 20,440 18,200 Past performance is not predictive of
8/1/2016 20,746 18,522 future performance.
9/1/2016 20,830 18,728 The returns shown do not reflect the
10/1/2016 20,129 17,838 deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell
----------------------------------------------------------- Investment Group 1995-2016, all rights
3.89% 12.78% 7.25% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
U.S. MICRO CAP PORTFOLIO VS.
RUSSELL 2000(R) INDEX
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
U.S. Micro Cap Portfolio Russell 2000/R/ Index
-------------------------- ---------------------
10/1/2006 $10,000 $10,000
11/1/2006 10,225 10,263
12/1/2006 10,390 10,297
1/1/2007 10,509 10,470
2/1/2007 10,456 10,387
3/1/2007 10,563 10,498
4/1/2007 10,722 10,686
5/1/2007 11,059 11,124
6/1/2007 11,022 10,961
7/1/2007 10,305 10,212
8/1/2007 10,425 10,443
9/1/2007 10,579 10,622
10/1/2007 10,758 10,927
11/1/2007 9,853 10,142
12/1/2007 9,847 10,136
1/1/2008 9,094 9,445
2/1/2008 8,809 9,095
3/1/2008 8,836 9,133
4/1/2008 9,019 9,515
5/1/2008 9,378 9,952
6/1/2008 8,529 9,186
7/1/2008 8,911 9,526
8/1/2008 9,212 9,870
9/1/2008 8,534 9,084
10/1/2008 6,766 7,194
11/1/2008 5,898 6,343
12/1/2008 6,231 6,711
1/1/2009 5,489 5,965
2/1/2009 4,769 5,240
3/1/2009 5,226 5,708
4/1/2009 6,135 6,590
5/1/2009 6,345 6,789
6/1/2009 6,520 6,889
7/1/2009 7,160 7,552
8/1/2009 7,356 7,769
9/1/2009 7,779 8,217
10/1/2009 7,214 7,659
11/1/2009 7,342 7,899
12/1/2009 7,980 8,535
1/1/2010 7,746 8,221
2/1/2010 8,086 8,591
3/1/2010 8,739 9,290
4/1/2010 9,374 9,816
5/1/2010 8,679 9,072
6/1/2010 8,051 8,369
7/1/2010 8,626 8,944
8/1/2010 7,937 8,282
9/1/2010 8,902 9,313
10/1/2010 9,289 9,694
11/1/2010 9,683 10,031
12/1/2010 10,477 10,827
1/1/2011 10,362 10,799
2/1/2011 10,971 11,391
3/1/2011 11,327 11,687
4/1/2011 11,518 11,995
5/1/2011 11,297 11,770
6/1/2011 11,053 11,499
7/1/2011 10,756 11,083
8/1/2011 9,795 10,119
9/1/2011 8,759 8,985
10/1/2011 10,111 10,345
11/1/2011 10,050 10,307
12/1/2011 10,136 10,375
1/1/2012 10,841 11,108
2/1/2012 11,048 11,374
3/1/2012 11,378 11,665
4/1/2012 11,217 11,485
5/1/2012 10,435 10,725
6/1/2012 10,969 11,260
7/1/2012 10,869 11,104
8/1/2012 11,208 11,475
9/1/2012 11,678 11,852
10/1/2012 11,439 11,594
11/1/2012 11,547 11,656
12/1/2012 11,985 12,071
1/1/2013 12,666 12,827
2/1/2013 12,806 12,968
3/1/2013 13,430 13,567
4/1/2013 13,323 13,517
5/1/2013 14,013 14,058
6/1/2013 14,076 13,986
7/1/2013 15,120 14,964
8/1/2013 14,594 14,489
9/1/2013 15,624 15,414
10/1/2013 16,167 15,801
11/1/2013 17,064 16,434
12/1/2013 17,386 16,758
1/1/2014 16,616 16,294
2/1/2014 17,317 17,061
3/1/2014 17,485 16,945
4/1/2014 16,889 16,288
5/1/2014 16,906 16,419
6/1/2014 17,639 17,292
7/1/2014 16,608 16,245
8/1/2014 17,362 17,051
9/1/2014 16,374 16,020
10/1/2014 17,441 17,076
11/1/2014 17,311 17,091
12/1/2014 17,894 17,578
1/1/2015 17,016 17,013
2/1/2015 18,042 18,022
3/1/2015 18,454 18,336
4/1/2015 18,094 17,869
5/1/2015 18,343 18,277
6/1/2015 18,641 18,414
7/1/2015 18,187 18,200
8/1/2015 17,381 17,056
9/1/2015 16,632 16,219
10/1/2015 17,634 17,133
11/1/2015 18,135 17,690
12/1/2015 17,246 16,802
1/1/2016 16,074 15,325
2/1/2016 16,251 15,324
3/1/2016 17,401 16,547
4/1/2016 17,588 16,807
5/1/2016 17,776 17,185
6/1/2016 17,745 17,174
7/1/2016 18,635 18,200 Past performance is not predictive of
8/1/2016 18,932 18,522 future performance.
9/1/2016 19,069 18,728 The returns shown do not reflect the
10/1/2016 18,396 17,838 deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell
----------------------------------------------------------- Investment Group 1995-2016, all rights
4.32% 12.72% 6.28% reserved.
--------------------------------------------------------------------------------
7
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA REAL ESTATE SECURITIES PORTFOLIO VS.
S&P 500(R) INDEX, DOW JONES U.S. SELECT REIT INDEX
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
DFA Real Estate Dow Jones U.S. Select
Securities Portfolio S&P 500/R/ Index REIT Index
---------------------- ------------------ ---------------------
10/1/2006 $10,000 $10,000 $10,000
11/1/2006 10,475 10,190 10,477
12/1/2006 10,252 10,333 10,240
1/1/2007 11,140 10,489 11,152
2/1/2007 10,881 10,284 10,902
3/1/2007 10,610 10,399 10,623
4/1/2007 10,601 10,860 10,618
5/1/2007 10,601 11,239 10,626
6/1/2007 9,606 11,052 9,628
7/1/2007 8,850 10,709 8,872
8/1/2007 9,386 10,870 9,397
9/1/2007 9,752 11,277 9,765
10/1/2007 9,863 11,456 9,876
11/1/2007 8,857 10,977 8,916
12/1/2007 8,338 10,901 8,442
1/1/2008 8,342 10,247 8,402
2/1/2008 8,025 9,914 8,085
3/1/2008 8,529 9,871 8,623
4/1/2008 9,032 10,352 9,154
5/1/2008 9,050 10,486 9,175
6/1/2008 8,057 9,602 8,158
7/1/2008 8,290 9,522 8,394
8/1/2008 8,495 9,659 8,584
9/1/2008 8,477 8,799 8,548
10/1/2008 5,805 7,321 5,780
11/1/2008 4,461 6,796 4,361
12/1/2008 5,223 6,868 5,133
1/1/2009 4,296 6,289 4,205
2/1/2009 3,395 5,619 3,286
3/1/2009 3,515 6,112 3,392
4/1/2009 4,615 6,696 4,505
5/1/2009 4,736 7,071 4,620
6/1/2009 4,589 7,085 4,459
7/1/2009 5,070 7,621 4,923
8/1/2009 5,756 7,896 5,644
9/1/2009 6,141 8,191 6,039
10/1/2009 5,861 8,039 5,765
11/1/2009 6,264 8,521 6,162
12/1/2009 6,694 8,685 6,593
1/1/2010 6,344 8,373 6,216
2/1/2010 6,694 8,632 6,569
3/1/2010 7,375 9,153 7,241
4/1/2010 7,893 9,298 7,752
5/1/2010 7,472 8,555 7,335
6/1/2010 7,085 8,107 6,941
7/1/2010 7,784 8,675 7,628
8/1/2010 7,686 8,284 7,526
9/1/2010 8,019 9,023 7,859
10/1/2010 8,394 9,366 8,223
11/1/2010 8,228 9,368 8,063
12/1/2010 8,613 9,994 8,445
1/1/2011 8,917 10,231 8,744
2/1/2011 9,320 10,581 9,144
3/1/2011 9,180 10,585 9,010
4/1/2011 9,712 10,899 9,544
5/1/2011 9,844 10,775 9,692
6/1/2011 9,520 10,596 9,367
7/1/2011 9,676 10,380 9,538
8/1/2011 9,155 9,816 9,015
9/1/2011 8,150 9,126 8,006
10/1/2011 9,325 10,124 9,182
11/1/2011 8,972 10,101 8,821
12/1/2011 9,384 10,205 9,236
1/1/2012 9,977 10,662 9,829
2/1/2012 9,872 11,123 9,720
3/1/2012 10,380 11,489 10,229
4/1/2012 10,676 11,417 10,537
5/1/2012 10,189 10,731 10,056
6/1/2012 10,763 11,173 10,612
7/1/2012 10,976 11,328 10,814
8/1/2012 10,959 11,583 10,785
9/1/2012 10,755 11,883 10,572
10/1/2012 10,672 11,663 10,476
11/1/2012 10,635 11,731 10,424
12/1/2012 11,025 11,838 10,817
1/1/2013 11,414 12,451 11,184
2/1/2013 11,540 12,620 11,277
3/1/2013 11,858 13,093 11,578
4/1/2013 12,658 13,346 12,374
5/1/2013 11,904 13,658 11,633
6/1/2013 11,681 13,474 11,428
7/1/2013 11,783 14,160 11,516
8/1/2013 10,953 13,750 10,726
9/1/2013 11,295 14,181 11,069
10/1/2013 11,769 14,833 11,520
11/1/2013 11,142 15,285 10,888
12/1/2013 11,178 15,672 10,948
1/1/2014 11,652 15,130 11,393
2/1/2014 12,243 15,822 11,976
3/1/2014 12,322 15,955 12,081
4/1/2014 12,768 16,073 12,526
5/1/2014 13,071 16,450 12,834
6/1/2014 13,207 16,790 12,945
7/1/2014 13,216 16,559 12,972
8/1/2014 13,591 17,221 13,333
9/1/2014 12,774 16,980 12,557
10/1/2014 14,100 17,394 13,903
11/1/2014 14,393 17,862 14,196
12/1/2014 14,656 17,817 14,452
1/1/2015 15,666 17,282 15,418
2/1/2015 15,086 18,276 14,866
3/1/2015 15,353 17,986 15,133
4/1/2015 14,450 18,159 14,256
5/1/2015 14,414 18,393 14,250
6/1/2015 13,783 18,037 13,620
7/1/2015 14,573 18,414 14,428
8/1/2015 13,688 17,303 13,582
9/1/2015 14,122 16,875 14,041
10/1/2015 14,930 18,299 14,859
11/1/2015 14,849 18,353 14,777
12/1/2015 15,130 18,064 15,099
1/1/2016 14,619 17,167 14,503
2/1/2016 14,569 17,144 14,373
3/1/2016 16,073 18,307 15,872
4/1/2016 15,672 18,378 15,407
5/1/2016 16,017 18,708 15,716
6/1/2016 17,145 18,757 16,733 Past performance is not predictive of
7/1/2016 17,875 19,448 17,465 future performance.
8/1/2016 17,271 19,476 16,874 The returns shown do not reflect the
9/1/2016 16,945 19,479 16,526 deduction of taxes that a shareholder
10/1/2016 15,959 19,124 15,596 would pay on fund distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE FIVE TEN The S&P data are provided by Standard
TOTAL RETURN YEAR YEARS YEARS & Poor's Index Services Group.
--------------------------------------------------------------- Dow Jones data provided by Dow Jones
6.89% 11.35% 4.79% Indexes.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
LARGE CAP INTERNATIONAL PORTFOLIO VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
Large Cap International MSCI World ex USA
Portfolio Index (net dividends)
------------------------- ---------------------
10/1/2006 $10,000 $10,000
11/1/2006 10,296 10,298
12/1/2006 10,568 10,593
1/1/2007 10,704 10,658
2/1/2007 10,734 10,743
3/1/2007 11,031 11,018
4/1/2007 11,421 11,520
5/1/2007 11,775 11,775
6/1/2007 11,753 11,787
7/1/2007 11,531 11,624
8/1/2007 11,452 11,456
9/1/2007 12,080 12,107
10/1/2007 12,619 12,633
11/1/2007 12,169 12,139
12/1/2007 11,885 11,911
1/1/2008 10,985 10,837
2/1/2008 10,976 11,033
3/1/2008 10,937 10,876
4/1/2008 11,516 11,480
5/1/2008 11,757 11,655
6/1/2008 10,821 10,748
7/1/2008 10,427 10,366
8/1/2008 9,982 9,965
9/1/2008 8,768 8,526
10/1/2008 6,919 6,753
11/1/2008 6,504 6,386
12/1/2008 6,959 6,723
1/1/2009 6,178 6,096
2/1/2009 5,556 5,479
3/1/2009 5,984 5,840
4/1/2009 6,664 6,593
5/1/2009 7,595 7,427
6/1/2009 7,490 7,350
7/1/2009 8,209 8,040
8/1/2009 8,530 8,425
9/1/2009 8,894 8,773
10/1/2009 8,663 8,632
11/1/2009 8,985 8,845
12/1/2009 9,092 8,986
1/1/2010 8,621 8,565
2/1/2010 8,680 8,557
3/1/2010 9,226 9,107
4/1/2010 9,047 8,972
5/1/2010 8,060 7,982
6/1/2010 7,929 7,866
7/1/2010 8,748 8,593
8/1/2010 8,447 8,336
9/1/2010 9,278 9,136
10/1/2010 9,615 9,462
11/1/2010 9,194 9,061
12/1/2010 9,933 9,790
1/1/2011 10,157 10,001
2/1/2011 10,556 10,372
3/1/2011 10,315 10,164
4/1/2011 10,905 10,718
5/1/2011 10,595 10,400
6/1/2011 10,445 10,252
7/1/2011 10,231 10,083
8/1/2011 9,373 9,231
9/1/2011 8,341 8,304
10/1/2011 9,148 9,111
11/1/2011 8,918 8,690
12/1/2011 8,713 8,595
1/1/2012 9,239 9,059
2/1/2012 9,688 9,557
3/1/2012 9,671 9,487
4/1/2012 9,485 9,326
5/1/2012 8,435 8,262
6/1/2012 8,994 8,804
7/1/2012 9,020 8,913
8/1/2012 9,325 9,168
9/1/2012 9,603 9,446
10/1/2012 9,687 9,512
11/1/2012 9,883 9,712
12/1/2012 10,260 10,006
1/1/2013 10,676 10,498
2/1/2013 10,532 10,393
3/1/2013 10,675 10,476
4/1/2013 11,135 10,953
5/1/2013 10,841 10,708
6/1/2013 10,523 10,307
7/1/2013 11,103 10,855
8/1/2013 10,940 10,715
9/1/2013 11,713 11,472
10/1/2013 12,094 11,857
11/1/2013 12,160 11,930
12/1/2013 12,383 12,110
1/1/2014 11,829 11,621
2/1/2014 12,525 12,255
3/1/2014 12,491 12,200
4/1/2014 12,695 12,392
5/1/2014 12,872 12,584
6/1/2014 13,050 12,763
7/1/2014 12,747 12,536
8/1/2014 12,803 12,546
9/1/2014 12,258 12,030
10/1/2014 12,151 11,839
11/1/2014 12,185 11,985
12/1/2014 11,735 11,586
1/1/2015 11,735 11,545
2/1/2015 12,448 12,235
3/1/2015 12,230 12,030
4/1/2015 12,780 12,551
5/1/2015 12,735 12,442
6/1/2015 12,376 12,089
7/1/2015 12,474 12,280
8/1/2015 11,594 11,386
9/1/2015 11,052 10,811
10/1/2015 11,775 11,624
11/1/2015 11,665 11,439
12/1/2015 11,398 11,234
1/1/2016 10,770 10,461
2/1/2016 10,467 10,315
3/1/2016 11,197 11,015
4/1/2016 11,495 11,369
5/1/2016 11,431 11,241
6/1/2016 11,163 10,899
7/1/2016 11,632 11,435
8/1/2016 11,697 11,446 Past performance is not predictive of
9/1/2016 11,854 11,585 future performance.
10/1/2016 11,622 11,360 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
-------------------------------------------------------- MSCI data copyright MSCI 2016, all
-1.30% 4.90% 1.51% rights reserved.
--------------------------------------------------------------------------------
8
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
INTERNATIONAL CORE EQUITY PORTFOLIO VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
International Core Equity MSCI World ex USA
Portfolio Index (net dividends)
------------------------- ----------------------
10/1/2006 $10,000 $10,000
11/1/2006 10,352 10,298
12/1/2006 10,672 10,593
1/1/2007 10,867 10,658
2/1/2007 10,924 10,743
3/1/2007 11,270 11,018
4/1/2007 11,692 11,520
5/1/2007 12,017 11,775
6/1/2007 11,944 11,787
7/1/2007 11,739 11,624
8/1/2007 11,517 11,456
9/1/2007 12,009 12,107
10/1/2007 12,578 12,633
11/1/2007 11,888 12,139
12/1/2007 11,579 11,911
1/1/2008 10,706 10,837
2/1/2008 10,723 11,033
3/1/2008 10,772 10,876
4/1/2008 11,217 11,480
5/1/2008 11,402 11,655
6/1/2008 10,343 10,748
7/1/2008 9,933 10,366
8/1/2008 9,557 9,965
9/1/2008 8,337 8,526
10/1/2008 6,448 6,753
11/1/2008 6,059 6,386
12/1/2008 6,483 6,723
1/1/2009 5,780 6,096
2/1/2009 5,172 5,479
3/1/2009 5,608 5,840
4/1/2009 6,453 6,593
5/1/2009 7,428 7,427
6/1/2009 7,366 7,350
7/1/2009 8,098 8,040
8/1/2009 8,548 8,425
9/1/2009 8,963 8,773
10/1/2009 8,692 8,632
11/1/2009 8,923 8,845
12/1/2009 9,030 8,986
1/1/2010 8,647 8,565
2/1/2010 8,656 8,557
3/1/2010 9,302 9,107
4/1/2010 9,257 8,972
5/1/2010 8,169 7,982
6/1/2010 8,033 7,866
7/1/2010 8,882 8,593
8/1/2010 8,521 8,336
9/1/2010 9,432 9,136
10/1/2010 9,777 9,462
11/1/2010 9,387 9,061
12/1/2010 10,286 9,790
1/1/2011 10,551 10,001
2/1/2011 10,907 10,372
3/1/2011 10,716 10,164
4/1/2011 11,293 10,718
5/1/2011 10,945 10,400
6/1/2011 10,751 10,252
7/1/2011 10,510 10,083
8/1/2011 9,581 9,231
9/1/2011 8,464 8,304
10/1/2011 9,240 9,111
11/1/2011 8,960 8,690
12/1/2011 8,731 8,595
1/1/2012 9,372 9,059
2/1/2012 9,853 9,557
3/1/2012 9,852 9,487
4/1/2012 9,635 9,326
5/1/2012 8,483 8,262
6/1/2012 9,002 8,804
7/1/2012 8,993 8,913
8/1/2012 9,310 9,168
9/1/2012 9,641 9,446
10/1/2012 9,747 9,512
11/1/2012 9,911 9,712
12/1/2012 10,367 10,006
1/1/2013 10,815 10,498
2/1/2013 10,698 10,393
3/1/2013 10,827 10,476
4/1/2013 11,246 10,953
5/1/2013 10,993 10,708
6/1/2013 10,657 10,307
7/1/2013 11,319 10,855
8/1/2013 11,201 10,715
9/1/2013 12,058 11,472
10/1/2013 12,474 11,857
11/1/2013 12,534 11,930
12/1/2013 12,796 12,110
1/1/2014 12,367 11,621
2/1/2014 13,096 12,255
3/1/2014 13,069 12,200
4/1/2014 13,219 12,392
5/1/2014 13,360 12,584
6/1/2014 13,569 12,763
7/1/2014 13,203 12,536
8/1/2014 13,253 12,546
9/1/2014 12,590 12,030
10/1/2014 12,406 11,839
11/1/2014 12,375 11,985
12/1/2014 12,031 11,586
1/1/2015 11,990 11,545
2/1/2015 12,761 12,235
3/1/2015 12,527 12,030
4/1/2015 13,145 12,551
5/1/2015 13,166 12,442
6/1/2015 12,853 12,089
7/1/2015 12,863 12,280
8/1/2015 12,070 11,386
9/1/2015 11,546 10,811
10/1/2015 12,269 11,624
11/1/2015 12,217 11,439
12/1/2015 12,006 11,234
1/1/2016 11,268 10,461
2/1/2016 11,036 10,315
3/1/2016 11,897 11,015
4/1/2016 12,236 11,369
5/1/2016 12,193 11,241
6/1/2016 11,787 10,899
7/1/2016 12,389 11,435
8/1/2016 12,453 11,446 Past performance is not predictive of
9/1/2016 12,694 11,585 future performance.
10/1/2016 12,468 11,360 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
----------------------------------------------------------- MSCI data copyright MSCI 2016, all
1.62% 6.18% 2.23% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
INTERNATIONAL SMALL COMPANY PORTFOLIO VS.
MSCI WORLD EX USA SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
International Small Company MSCI World ex USA Small
Portfolio Cap Index (net dividends)
--------------------------- --------------------------
10/1/2006 $10,000 $10,000
11/1/2006 10,452 10,430
12/1/2006 10,832 10,739
1/1/2007 11,135 10,958
2/1/2007 11,292 11,150
3/1/2007 11,715 11,520
4/1/2007 12,102 11,964
5/1/2007 12,349 12,141
6/1/2007 12,329 12,114
7/1/2007 12,335 12,040
8/1/2007 11,859 11,405
9/1/2007 12,120 11,662
10/1/2007 12,774 12,450
11/1/2007 11,841 11,426
12/1/2007 11,445 11,091
1/1/2008 10,575 10,016
2/1/2008 10,843 10,492
3/1/2008 10,857 10,376
4/1/2008 11,089 10,629
5/1/2008 11,381 10,843
6/1/2008 10,539 10,006
7/1/2008 10,032 9,501
8/1/2008 9,636 9,150
9/1/2008 8,175 7,541
10/1/2008 6,260 5,679
11/1/2008 5,937 5,404
12/1/2008 6,424 5,764
1/1/2009 5,917 5,430
2/1/2009 5,378 4,934
3/1/2009 5,733 5,250
4/1/2009 6,493 6,060
5/1/2009 7,460 6,957
6/1/2009 7,539 7,040
7/1/2009 8,104 7,606
8/1/2009 8,618 8,192
9/1/2009 9,077 8,653
10/1/2009 8,911 8,519
11/1/2009 9,032 8,585
12/1/2009 9,120 8,694
1/1/2010 8,979 8,580
2/1/2010 8,966 8,530
3/1/2010 9,607 9,165
4/1/2010 9,754 9,346
5/1/2010 8,600 8,223
6/1/2010 8,580 8,146
7/1/2010 9,364 8,844
8/1/2010 9,085 8,614
9/1/2010 10,084 9,592
10/1/2010 10,480 9,987
11/1/2010 10,188 9,725
12/1/2010 11,301 10,825
1/1/2010 11,439 10,882
2/1/2011 11,787 11,191
3/1/2011 11,769 11,181
4/1/2011 12,328 11,735
5/1/2011 11,986 11,410
6/1/2011 11,743 11,163
7/1/2011 11,630 11,102
8/1/2011 10,718 10,225
9/1/2011 9,451 9,051
10/1/2011 10,174 9,786
11/1/2011 9,853 9,295
12/1/2011 9,566 9,114
1/1/2012 10,382 9,866
2/1/2012 10,907 10,425
3/1/2012 10,949 10,356
4/1/2012 10,818 10,302
5/1/2012 9,559 9,092
6/1/2012 9,933 9,405
7/1/2012 9,905 9,478
8/1/2012 10,248 9,750
9/1/2012 10,676 10,212
10/1/2012 10,746 10,262
11/1/2012 10,838 10,315
12/1/2012 11,370 10,706
1/1/2013 11,870 11,222
2/1/2013 11,863 11,262
3/1/2013 12,078 11,482
4/1/2013 12,399 11,815
5/1/2013 12,128 11,537
6/1/2013 11,807 11,081
7/1/2013 12,588 11,774
8/1/2013 12,544 11,753
9/1/2013 13,578 12,740
10/1/2013 14,041 13,116
11/1/2013 14,106 13,133
12/1/2013 14,491 13,442
1/1/2014 14,234 13,210
2/1/2014 15,124 13,959
3/1/2014 15,102 13,906
4/1/2014 15,109 13,863
5/1/2014 15,207 14,037
6/1/2014 15,488 14,356
7/1/2014 14,995 13,984
8/1/2014 15,094 14,018
9/1/2014 14,177 13,169
10/1/2014 13,887 12,835
11/1/2014 13,750 12,823
12/1/2014 13,577 12,724
1/1/2015 13,465 12,611
2/1/2015 14,329 13,418
3/1/2015 14,105 13,237
4/1/2015 14,897 13,910
5/1/2015 15,073 13,994
6/1/2015 14,844 13,787
7/1/2015 14,747 13,766
8/1/2015 14,129 13,154
9/1/2015 13,659 12,681
10/1/2015 14,345 13,433
11/1/2015 14,361 13,404
12/1/2015 14,380 13,418
1/1/2016 13,445 12,397
2/1/2016 13,361 12,463
3/1/2016 14,436 13,499
4/1/2016 14,771 13,926
5/1/2016 14,855 13,943
6/1/2016 14,272 13,326
7/1/2016 15,096 14,118
8/1/2016 15,087 13,999 Past performance is not predictive of
9/1/2016 15,532 14,393 future performance.
10/1/2016 15,124 13,965 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
-------------------------------------------------------------- MSCI data copyright MSCI 2016, all
5.43% 8.25% 4.22% rights reserved.
--------------------------------------------------------------------------------
9
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
JAPANESE SMALL COMPANY PORTFOLIO VS.
MSCI JAPAN SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
Japanese Small Company MSCI Japan Small Cap
Portfolio Index (net dividends)
------------------------------- ---------------------
10/1/2006 $10,000 $10,000
11/1/2006 9,931 9,916
12/1/2006 10,017 9,974
1/1/2007 10,220 10,167
2/1/2007 10,632 10,569
3/1/2007 10,545 10,471
4/1/2007 10,400 10,292
5/1/2007 10,185 10,047
6/1/2007 10,349 10,113
7/1/2007 10,402 10,110
8/1/2007 9,964 9,494
9/1/2007 9,950 9,437
10/1/2007 10,014 9,778
11/1/2007 9,781 9,367
12/1/2007 9,163 8,806
1/1/2008 8,910 8,374
2/1/2008 8,833 8,466
3/1/2008 9,007 8,468
4/1/2008 9,071 8,573
5/1/2008 9,401 8,838
6/1/2008 8,955 8,295
7/1/2008 8,705 8,023
8/1/2008 8,224 7,669
9/1/2008 7,683 6,920
10/1/2008 7,124 6,190
11/1/2008 7,309 6,442
12/1/2008 8,052 6,944
1/1/2009 7,499 6,580
2/1/2009 6,520 5,715
3/1/2009 6,822 5,917
4/1/2009 7,093 6,220
5/1/2009 7,965 6,981
6/1/2009 8,492 7,425
7/1/2009 8,668 7,611
8/1/2009 9,123 8,037
9/1/2009 9,025 8,005
10/1/2009 8,697 7,712
11/1/2009 8,345 7,437
12/1/2009 8,310 7,298
1/1/2010 8,420 7,455
2/1/2010 8,580 7,597
3/1/2010 9,015 7,943
4/1/2010 9,279 8,158
5/1/2010 8,501 7,592
6/1/2010 8,632 7,625
7/1/2010 8,781 7,718
8/1/2010 8,540 7,554
9/1/2010 8,917 7,863
10/1/2010 8,726 7,799
11/1/2010 8,942 7,951
12/1/2010 9,765 8,753
1/1/2011 9,982 8,857
2/1/2011 10,442 9 213
3/1/2011 9,790 8,645
4/1/2011 9,740 8,652
5/1/2011 9,578 8,524
6/1/2011 10,055 8,841
7/1/2011 10,419 9,209
8/1/2011 10,136 8,832
9/1/2011 10,081 8,840
10/1/2011 9,560 8,514
11/1/2011 9,717 8,283
12/1/2011 9,666 8,413
1/1/2012 10,273 8,758
2/1/2012 10,286 8,853
3/1/2012 10,577 9,090
4/1/2012 10,355 8,958
5/1/2012 9,489 8,214
6/1/2012 9,991 8,564
7/1/2012 9,653 8,430
8/1/2012 9,653 8,382
9/1/2012 9,791 8,614
10/1/2012 9,580 8,428
11/1/2012 9,714 8,486
12/1/2012 10,068 8,750
1/1/2013 10,384 9,077
2/1/2013 10,636 9,385
3/1/2013 11,448 10,143
4/1/2013 12,054 10,811
5/1/2013 11,067 9,954
6/1/2013 11,164 9,927
7/1/2013 11,428 10,088
8/1/2013 11,171 9,952
9/1/2013 12,427 11,085
10/1/2013 12,460 11,040
11/1/2013 12,363 10,967
12/1/2013 12,451 11,055
1/1/2014 12,318 11,023
2/1/2014 12,265 10,778
3/1/2014 12,325 10,806
4/1/2014 12,139 10,605
5/1/2014 12,451 10,953
6/1/2014 13,327 11,728
7/1/2014 13,240 11,791
8/1/2014 13,367 11,707
9/1/2014 12,948 11,315
10/1/2014 12,710 11,013
11/1/2014 12,232 10,888
12/1/2014 12,334 11,003
1/1/2015 12,631 11,372
2/1/2015 13,151 11,782
3/1/2015 13,313 12,009
4/1/2015 13,637 12,234
5/1/2015 13,772 12,378
6/1/2015 14,055 12,559
7/1/2015 13,967 12,511
8/1/2015 13,535 12,082
9/1/2015 13,124 11,648
10/1/2015 13,805 12,426
11/1/2015 14,109 12,584
12/1/2015 14,060 12,688
1/1/2016 13,348 11,881
2/1/2016 12,876 11,758
3/1/2016 13,718 12,491
4/1/2016 13,889 13,035
5/1/2016 14,238 13,038
6/1/2016 14,170 12,961
7/1/2016 14,929 13,656
8/1/2016 14,580 13,172 Past performance is not predictive of
9/1/2016 15,456 13,883 future performance.
10/1/2016 15,743 14,068 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
---------------------------------------------------------- MSCI data copyright MSCI 2016, all
14.04% 10.49% 4.64% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
ASIA PACIFIC SMALL COMPANY PORTFOLIO VS.
MSCI PACIFIC EX JAPAN SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
Asia Pacific Small MSCI Pacific ex Japan Small Cap
Company Portfolio Index (net dividends)
------------------------------- --------------------------------
10/31/06 $10,000 $10,000
11/30/06 10,552 10,608
12/31/06 10,849 11,004
1/31/07 11,131 11,283
2/28/07 11,423 11,498
3/31/07 12,018 12,092
4/30/07 12,857 12,930
5/31/07 13,951 13,438
6/30/07 14,520 13,787
7/31/07 14,745 13,784
8/31/07 13,637 12,896
9/30/07 15,233 14,041
10/31/07 16,562 15,001
11/30/07 15,464 13,796
12/31/07 15,195 13,606
1/31/08 13,664 11,783
2/29/08 14,078 12,483
3/31/08 13,394 11,695
4/30/08 14,325 12,478
5/31/08 14,950 12,612
6/30/08 13,472 11,201
7/31/08 12,676 10,686
8/31/08 11,785 9,818
9/30/08 9,760 7,901
10/31/08 6,510 5,111
11/30/08 5,886 4,553
12/31/08 6,527 5,082
1/31/09 5,720 4,522
2/28/09 5,405 4,241
3/31/09 6,243 4,849
4/30/09 7,173 5,717
5/31/09 9,026 7,088
6/30/09 9,091 7,288
7/31/09 10,401 8,340
8/31/09 10,876 8,769
9/30/09 11,720 9,503
10/31/09 11,976 9,731
11/30/09 12,534 10,011
12/31/09 12,862 10,411
1/31/10 12,161 9,745
2/28/10 12,373 9,867
3/31/10 13,390 10,680
4/30/10 13,567 10,979
5/31/10 11,687 9,321
6/30/10 11,540 9,268
7/31/10 12,818 10,211
8/31/10 12,800 10,189
9/30/10 14,742 11,718
10/31/10 15,371 12,238
11/30/10 15,161 12,075
12/31/10 16,645 13,294
1/31/11 16,284 12,907
2/28/11 16,384 12,978
3/31/11 16,728 13,376
4/30/11 17,430 13,917
5/31/11 16,914 13,599
6/30/11 16,339 13,115
7/31/11 16,603 13,308
8/31/11 15,441 12,383
9/30/11 12,558 10,131
10/31/11 14,512 11,791
11/30/11 14,121 10,987
12/31/11 13,294 10,635
1/31/12 14,665 11,739
2/29/12 15,774 12,652
3/31/12 15,538 12,256
4/30/12 15,472 12,322
5/31/12 13,539 10,723
6/30/12 13,820 10,873
7/31/12 14,020 11,230
8/31/12 14,486 11,410
9/30/12 15,199 12,017
10/31/12 15,540 12,264
11/30/12 15,754 12,385
12/31/12 16,488 12,696
1/31/13 17,311 13,369
2/28/13 17,380 13,528
3/31/13 17,456 13,562
4/30/13 17,159 13,454
5/31/13 15,880 12,464
6/30/13 14,759 11,398
7/31/13 15,478 11,854
8/31/13 15,596 11,956
9/30/13 16,689 12,876
10/31/13 17,166 13,102
11/30/13 16,557 12,549
12/31/13 16,760 12,608
1/31/14 15,966 12,024
2/28/14 16,883 12,671
3/31/14 17,128 12,905
4/30/14 17,164 12,989
5/31/14 17,178 13,095
6/30/14 17,301 13,166
7/31/14 17,662 13,453
8/31/14 17,936 13,557
9/30/14 16,277 12,311
10/31/14 16,508 12,456
11/30/14 15,851 12,061
12/31/14 15,385 11,759
1/31/15 15,020 11,527
2/28/15 15,750 12,087
3/31/15 15,522 11,869
4/30/15 16,769 12,550
5/31/15 16,952 12,489
6/30/15 15,750 11,590
7/31/15 14,982 11,067
8/31/15 13,697 10,035
9/30/15 13,499 9,827
10/31/15 14,495 10,629
11/30/15 14,442 10,541
12/31/15 14,838 10,720
1/31/16 13,761 9,788
2/29/16 13,959 10,027
3/31/16 15,622 11,185
4/30/16 15,828 11,386
5/31/16 15,653 11,196
6/30/16 15,907 11,272
7/31/16 16,999 12,106
8/31/16 16,873 12,016 Past performance is not predictive of
9/30/16 17,372 12,267 future performance.
10/31/16 16,841 11,751 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
--------------------------------------------------------------- MSCI data copyright MSCI 2016, all
16.18% 3.02% 5.35% rights reserved.
--------------------------------------------------------------------------------
10
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
UNITED KINGDOM SMALL COMPANY PORTFOLIO VS.
MSCI UK SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
United Kingdom Small Company MSCI UK Small Cap
Portfolio Index (net dividends)
------------------------------- ----------------------
10/1/2006 $10,000 $10,000
11/1/2006 10,625 10,648
12/1/2006 11,202 11,148
1/1/2007 11,274 11,122
2/1/2007 11,270 11,156
3/1/2007 11,793 11,618
4/1/2007 12,197 12,195
5/1/2007 11,901 11,916
7/1/2007 11,832 11,849
8/1/2007 11,760 11,414
9/1/2007 11,350 10,767
10/1/2007 12,254 11,951
11/1/2007 10,831 10,568
12/1/2007 10,257 10,037
1/1/2008 9,565 9,230
2/1/2008 9,700 9,542
3/1/2008 9,659 9,422
4/1/2008 9,820 9,598
5/1/2008 9,845 9,643
6/1/2008 9,059 8,984
7/1/2008 8,738 8,625
8/1/2008 8,590 8,400
9/1/2008 7,261 6,855
10/1/2008 5,311 4,953
11/1/2008 4,931 4,494
12/1/2008 4,819 4,380
1/1/2009 4,702 4,356
2/1/2009 4,507 4,211
3/1/2009 4,700 4,455
4/1/2009 5,683 5,479
5/1/2009 6,263 6,058
6/1/2009 6,290 6,100
7/1/2009 6,834 6,662
8/1/2009 7,364 7,304
9/1/2009 7,577 7,473
10/1/2009 7,585 7,483
11/1/2009 7,558 7,406
12/1/2009 7,714 7,588
1/1/2010 7,636 7,553
2/1/2010 7,374 7,215
3/1/2010 7,989 7,851
4/1/2010 8,279 8,164
5/1/2010 7,339 7,183
6/1/2010 7,478 7,214
7/1/2010 8,485 8,082
8/1/2010 8,168 7,862
9/1/2010 9,038 8,728
10/1/2010 9,509 9,100
11/1/2010 9,038 8,721
12/1/2010 9,957 9,634
1/1/2011 10,099 9,727
2/1/2011 10,400 9,984
3/1/2011 10,202 9,811
4/1/2011 11,103 10,711
5/1/2011 11,031 10,575
6/1/2011 10,679 10,219
7/1/2011 10,603 10,191
8/1/2011 9,542 9,151
9/1/2011 8,576 8,186
10/1/2011 9,482 9,081
11/1/2011 9,191 8,728
12/1/2011 8,902 8,437
1/1/2012 9,685 9,293
2/1/2012 10,475 10,156
3/1/2012 10,696 10,189
4/1/2012 10,878 10,363
5/1/2012 9,649 9,079
6/1/2012 10,118 9,511
7/1/2012 10,285 9,684
8/1/2012 10,845 10,197
9/1/2012 11,399 10,741
10/1/2012 11,646 10,963
11/1/2012 11,718 10,967
12/1/2012 12,358 11,472
1/1/2013 12,574 11,774
2/1/2013 12,684 11,840
3/1/2013 13,059 12,159
4/1/2013 13,386 12,463
5/1/2013 13,504 12,631
6/1/2013 13,207 12,176
7/1/2013 14,318 13,190
8/1/2013 14,417 13,370
9/1/2013 15,386 14,374
10/1/2013 15,934 14,880
11/1/2013 16,292 15,230
12/1/2013 17,185 15,966
1/1/2014 16,774 15,627
2/1/2014 18,273 17,142
3/1/2014 17,707 16,524
4/1/2014 17,411 16,129
5/1/2014 17,389 16,160
6/1/2014 17,369 16,121
7/1/2014 16,822 15,666
8/1/2014 17,071 15,831
9/1/2014 16,096 14,902
10/1/2014 16,051 14,807
11/1/2014 15,926 14,812
12/1/2014 16,178 15,055
1/1/2015 15,806 14,645
2/1/2015 17,287 16,091
3/1/2015 16,383 15,351
4/1/2015 17,414 16,335
5/1/2015 18,284 17,085
6/1/2015 18,229 17,106
7/1/2015 18,263 17,228
8/1/2015 17,487 16,550
9/1/2015 16,956 15,940
10/1/2015 17,565 16,646
11/1/2015 17,535 16,511
12/1/2015 17,339 16,335
1/1/2016 15,962 14,749
2/1/2016 16,607 15,624
4/1/2016 16,687 15,834
5/1/2016 16,949 16,290
6/1/2016 14,808 13,974
7/1/2016 15,607 14,778
8/1/2016 15,936 15,025 Past performance is not predictive of
9/1/2016 15,952 15,153 future performance.
10/1/2016 14,718 14,001 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
---------------------------------------------------------- MSCI data copyright MSCI 2016, all
-16.20% 9.19% 3.94% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
CONTINENTAL SMALL COMPANY PORTFOLIO VS.
MSCI EUROPE EX UK SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
Continental Small Company MSCI Europe ex UK
Portfolio Small Cap Index (net dividends)
------------------------- --------------------------------
10/1/2006 $10,000 $10,000
11/1/2006 10,689 10,700
12/1/2006 11,198 11,204
1/1/2007 11,714 11,563
2/1/2007 11,725 11,613
3/1/2007 12,408 12,230
4/1/2007 13,059 12,970
5/1/2007 13,306 13,197
6/1/2007 13,157 13,070
7/1/2007 13,081 12,975
8/1/2007 12,609 12,388
9/1/2007 12,887 12,634
10/1/2007 13,508 13,390
11/1/2007 12,505 12,432
12/1/2007 12,256 12,180
1/1/2008 11,087 10,713
2/1/2008 11,560 11,362
3/1/2008 11,924 11,593
4/1/2008 12,061 11,791
5/1/2008 12,289 11,974
6/1/2008 11,249 10,868
7/1/2008 10,652 10,251
8/1/2008 10,356 9,971
9/1/2008 8,551 7,906
10/1/2008 6,267 5,682
11/1/2008 5,776 5,211
12/1/2008 6,378 5,692
1/1/2009 5,654 5,181
2/1/2009 5,162 4,725
3/1/2009 5,533 5,090
4/1/2009 6,434 6,150
5/1/2009 7,370 7,068
6/1/2009 7,275 6,977
7/1/2009 7,852 7,604
8/1/2009 8,506 8,384
9/1/2009 9,232 9,188
10/1/2009 8,969 8,937
11/1/2009 9,238 9,121
12/1/2009 9,206 9,162
1/1/2010 9,050 9,040
2/1/2010 8,858 8,782
3/1/2010 9,512 9,494
4/1/2010 9,422 9,435
5/1/2010 8,079 7,975
6/1/2010 8,022 7,856
7/1/2010 8,983 8,797
8/1/2010 8,570 8,379
9/1/2010 9,754 9,672
10/1/2010 10,301 10,292
11/1/2010 9,498 9,513
12/1/2010 10,732 10,844
1/1/2011 11,031 11,090
2/1/2011 11,215 11,278
3/1/2011 11,594 11,658
4/1/2011 12,371 12,473
5/1/2011 11,949 11,997
6/1/2011 11,561 11,610
7/1/2011 10,903 10,905
8/1/2011 9,785 9,766
9/1/2011 8,303 8,299
10/1/2011 9,159 9,208
11/1/2011 8,546 8,488
12/1/2011 8,212 8,200
1/1/2012 8,990 9,013
2/1/2012 9,560 9,705
3/1/2012 9,579 9,626
4/1/2012 9,353 9,466
5/1/2012 8,073 8,168
6/1/2012 8,420 8,570
7/1/2012 8,337 8,540
8/1/2012 8,709 8,912
9/1/2012 9,167 9,392
10/1/2012 9,328 9,554
11/1/2012 9,443 9,700
12/1/2012 10,013 10,223
1/1/2013 10,769 11,055
2/1/2013 10,659 11,022
3/1/2013 10,420 10,738
4/1/2013 10,840 11,155
5/1/2013 11,041 11,409
6/1/2013 10,672 10,901
7/1/2013 11,598 11,892
8/1/2013 11,611 11,870
9/1/2013 12,620 12,885
10/1/2013 13,338 13,661
11/1/2013 13,575 13,904
12/1/2013 13,952 14,265
1/1/2014 13,866 14,147
2/1/2014 15,080 15,383
3/1/2014 15,153 15,396
4/1/2014 15,291 15,460
5/1/2014 15,350 15,634
6/1/2014 15,214 15,482
7/1/2014 14,317 14,569
8/1/2014 14,143 14,451
9/1/2014 13,383 13,655
10/1/2014 12,980 13,209
11/1/2014 13,289 13,596
12/1/2014 12,867 13,271
1/1/2015 12,947 13,302
2/1/2015 13,835 14,284
3/1/2015 13,768 14,139
4/1/2015 14,501 14,896
5/1/2015 14,514 14,797
6/1/2015 14,202 14,447
7/1/2015 14,597 14,983
8/1/2015 14,045 14,404
9/1/2015 13,545 13,917
10/1/2015 14,196 14,713
11/1/2015 14,168 14,674
12/1/2015 14,340 14,892
1/1/2016 13,366 13,714
2/1/2016 13,339 13,762
3/1/2016 14,472 14,996
4/1/2016 14,767 15,184
5/1/2016 14,794 15,248
6/1/2016 13,983 14,258
7/1/2016 14,898 15,183
8/1/2016 15,086 15,313 Past performance is not predictive of
9/1/2016 15,458 15,680 future performance.
10/1/2016 15,004 15,097 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
--------------------------------------------------------------- MSCI data copyright MSCI 2016, all
5.70% 10.38% 4.14% rights reserved.
--------------------------------------------------------------------------------
11
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO VS.
S&P GLOBAL EX U.S. REIT INDEX (NET DIVIDENDS)
MARCH 1, 2007-OCTOBER 31, 2016
[CHART]
DFA International
Real Estate Securities S&P Global ex U.S.
Portfolio REIT Index (net dividends)
------------------------------- --------------------------
3/1/2007 $10,000 $10,000
3/1/2007 10,480 10,343
4/1/2007 10,570 10,492
5/1/2007 10,780 10,647
6/1/2007 10,061 9,995
7/1/2007 9,459 9,513
8/1/2007 9,679 9,662
9/1/2007 10,130 10,149
10/1/2007 10,211 10,249
11/1/2007 9,462 9,433
12/1/2007 8,995 9,061
1/1/2008 8,627 8,529
2/1/2008 8,585 8,635
3/1/2008 8,606 8,552
4/1/2008 8,659 8,703
5/1/2008 8,332 8,348
6/1/2008 7,450 7,505
7/1/2008 7,215 7,301
8/1/2008 6,970 7,088
9/1/2008 6,457 6,368
10/1/2008 4,461 4,537
11/1/2008 4,152 4,234
12/1/2008 4,325 4,363
1/1/2009 3,873 3,947
2/1/2009 3,356 3,433
3/1/2009 3,587 3,636
4/1/2009 3,950 4,053
5/1/2009 4,479 4,503
6/1/2009 4,578 4,610
7/1/2009 4,985 5,022
8/1/2009 5,535 5,634
9/1/2009 5,887 6,017
10/1/2009 5,766 5,922
11/1/2009 5,832 5,926
12/1/2009 5,925 6,027
1/1/2010 5,704 5,831
2/1/2010 5,728 5,809
3/1/2010 5,925 6,011
4/1/2010 5,974 6,082
5/1/2010 5,347 5,414
6/1/2010 5,360 5,435
7/1/2010 5,987 6,026
8/1/2010 5,999 6,044
9/1/2010 6,577 6,624
10/1/2010 6,859 6,894
11/1/2010 6,429 6,471
12/1/2010 6,997 7,046
1/1/2011 7,025 7,045
2/1/2011 7,318 7,329
3/1/2011 7,332 7,348
4/1/2011 7,792 7,804
5/1/2011 7,750 7,761
6/1/2011 7,694 7,685
7/1/2011 7,569 7,575
8/1/2011 7,262 7,261
9/1/2011 6,328 6,367
10/1/2011 6,830 6,889
11/1/2011 6,691 6,606
12/1/2011 6,455 6,440
1/1/2012 6,897 6,857
2/1/2012 7,133 7,133
3/1/2012 7,221 7,159
4/1/2012 7,369 7,331
5/1/2012 6,941 6,853
6/1/2012 7,398 7,322
7/1/2012 7,737 7,719
8/1/2012 7,855 7,792
9/1/2012 8,032 8,000
10/1/2012 8,356 8,295
11/1/2012 8,415 8,352
12/1/2012 8,611 8,495
1/1/2013 8,745 8,714
2/1/2013 8,811 8,792
3/1/2013 9,161 9,125
4/1/2013 9,644 9,604
5/1/2013 8,761 8,738
6/1/2013 8,445 8,368
7/1/2013 8,478 8,386
8/1/2013 8,162 8,091
9/1/2013 8,861 8,784
10/1/2013 9,128 9,045
11/1/2013 8,845 8,764
12/1/2013 8,807 8,696
1/1/2014 8,649 8,539
2/1/2014 9,158 9,013
3/1/2014 9,140 8,980
4/1/2014 9,526 9,339
5/1/2014 9,807 9,618
6/1/2014 10,018 9,863
7/1/2014 10,000 9,879
8/1/2014 10,175 10,042
9/1/2014 9,509 9,368
10/1/2014 9,877 9,661
11/1/2014 9,912 9,755
12/1/2014 9,785 9,647
1/1/2015 10,158 9,968
2/1/2015 10,326 10,149
3/1/2015 10,046 9,857
4/1/2015 10,270 10,074
5/1/2015 9,990 9,793
6/1/2015 9,766 9,546
7/1/2015 9,841 9,650
8/1/2015 9,299 9,107
9/1/2015 9,374 9,136
10/1/2015 9,841 9,665
11/1/2015 9,542 9,361
12/1/2015 9,431 9,306
1/1/2016 9,278 9,054
2/1/2016 9,469 9,349
3/1/2016 10,248 10,106
4/1/2016 10,590 10,457
5/1/2016 10,305 10,150
6/1/2016 10,438 10,238
7/1/2016 10,914 10,730 Past performance is not predictive of
8/1/2016 10,647 10,488 future performance.
9/1/2016 10,647 10,471 The returns shown do not reflect the
10/1/2016 9,944 9,789 deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE SINCE would pay on fund distributions or the
TOTAL RETURN YEAR YEARS INCEPTION redemption of fund shares.
-------------------------------------------------------------- The S&P data are provided by Standard
1.05% 7.80% -0.06% & Poor's Index Services Group.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO VS.
S&P GLOBAL REIT INDEX (NET DIVIDENDS)
JUNE 4, 2008-OCTOBER 31, 2016
[CHART]
DFA Global Real S&P Global
Estate Securities Portfolio REIT Index (net dividends)
--------------------------- --------------------------
6/1/2008 $10,000 $10,000
6/1/2008 9,000 8,970
7/1/2008 9,020 8,995
8/1/2008 9,000 8,979
9/1/2008 8,710 8,552
10/1/2008 6,040 5,939
11/1/2008 5,040 4,955
12/1/2008 5,632 5,465
1/1/2009 4,817 4,698
2/1/2009 3,982 3,887
3/1/2009 4,186 4,070
4/1/2009 5,051 4,921
5/1/2009 5,438 5,235
6/1/2009 5,408 5,208
7/1/2009 5,937 5,716
8/1/2009 6,670 6,460
9/1/2009 7,108 6,889
10/1/2009 6,874 6,673
11/1/2009 7,159 6,897
12/1/2009 7,471 7,199
1/1/2010 7,133 6,884
2/1/2010 7,362 7,066
3/1/2010 7,875 7,557
4/1/2010 8,202 7,887
5/1/2010 7,591 7,270
6/1/2010 7,373 7,054
7/1/2010 8,158 7,772
8/1/2010 8,115 7,722
9/1/2010 8,649 8,231
10/1/2010 9,031 8,595
11/1/2010 8,682 8,264
12/1/2010 9,249 8,789
1/1/2011 9,448 8,947
2/1/2011 9,856 9,334
3/1/2011 9,786 9,258
4/1/2011 10,370 9,804
5/1/2011 10,428 9,853
6/1/2011 10,195 9,617
7/1/2011 10,218 9,647
8/1/2011 9,728 9,153
9/1/2011 8,583 8,093
10/1/2011 9,588 9,052
11/1/2011 9,296 8,693
12/1/2011 9,417 8,843
1/1/2012 10,020 9,412
2/1/2012 10,092 9,489
3/1/2012 10,454 9,791
4/1/2012 10,719 10,055
5/1/2012 10,176 9,518
6/1/2012 10,791 10,090
7/1/2012 11,105 10,413
8/1/2012 11,153 10,448
9/1/2012 11,117 10,424
10/1/2012 11,249 10,520
11/1/2012 11,249 10,526
12/1/2012 11,599 10,822
1/1/2013 11,921 11,170
2/1/2013 12,037 11,290
3/1/2013 12,423 11,651
4/1/2013 13,182 12,361
5/1/2013 12,230 11,472
6/1/2013 11,921 11,139
7/1/2013 11,998 11,213
8/1/2013 11,316 10,573
9/1/2013 11,908 11,121
10/1/2013 12,346 11,548
11/1/2013 11,805 11,041
12/1/2013 11,804 11,010
1/1/2014 12,005 11,195
2/1/2014 12,659 11,773
3/1/2014 12,699 11,783
4/1/2014 13,180 12,205
5/1/2014 13,527 12,519
6/1/2014 13,714 12,718
7/1/2014 13,714 12,724
8/1/2014 14,048 13,028
9/1/2014 13,166 12,200
10/1/2014 14,195 13,084
11/1/2014 14,395 13,289
12/1/2014 14,489 13,381
1/1/2015 15,321 14,107
2/1/2015 15,057 13,878
3/1/2015 15,071 13,866
4/1/2015 14,628 13,456
5/1/2015 14,447 13,286
6/1/2015 13,934 12,771
7/1/2015 14,461 13,264
8/1/2015 13,615 12,462
9/1/2015 13,934 12,702
10/1/2015 14,683 13,423
11/1/2015 14,475 13,210
12/1/2015 14,589 13,323
1/1/2016 14,191 12,894
2/1/2016 14,262 13,015
3/1/2016 15,626 14,247
4/1/2016 15,555 14,194
5/1/2016 15,626 14,226
6/1/2016 16,421 14,885
7/1/2016 17,131 15,561 Past performance is not predictive of
8/1/2016 16,606 15,049 future performance.
9/1/2016 16,407 14,851 The returns shown do not reflect the
10/1/2016 15,398 13,944 deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE SINCE would pay on fund distributions or the
TOTAL RETURN YEAR YEARS INCEPTION redemption of fund shares.
-------------------------------------------------------------- The S&P data are provided by Standard
4.87% 9.94% 5.27% & Poor's Index Services Group.
--------------------------------------------------------------------------------
12
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO VS.
MSCI WORLD EX USA SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
DFA International Small Cap Value MSCI World ex USA
Portfolio Small Cap Index (net dividends)
--------------------------------- -------------------------------
10/31/06 $10,000 $10,000
11/30/06 10,483 10,430
12/31/06 10,876 10,739
01/31/07 11,166 10,958
02/28/07 11,368 11,150
03/31/07 11,862 11,520
04/30/07 12,214 11,964
05/31/07 12,447 12,141
06/30/07 12,394 12,114
07/31/07 12,363 12,040
08/31/07 11,856 11,405
09/30/07 12,102 11,662
10/31/07 12,579 12,450
11/30/07 11,557 11,426
12/31/07 11,196 11,091
01/31/08 10,458 10,016
02/29/08 10,687 10,492
03/31/08 10,786 10,376
04/30/08 10,970 10,629
05/31/08 11,211 10,843
06/30/08 10,231 10,006
07/31/08 9,777 9,501
08/31/08 9,462 9,150
09/30/08 8,100 7,541
10/31/08 6,337 5,679
11/30/08 5,986 5,404
12/31/08 6,530 5,764
01/31/09 5,979 5,430
02/28/09 5,322 4,934
03/31/09 5,669 5,250
04/30/09 6,589 6,060
05/31/09 7,496 6,957
06/30/09 7,471 7,040
07/31/09 8,167 7,606
08/31/09 8,874 8,192
09/30/09 9,292 8,653
10/31/09 8,962 8,519
11/30/09 9,004 8,585
12/31/09 9,110 8,694
01/31/10 8,935 8,580
02/28/10 8,850 8,530
03/31/10 9,569 9,165
04/30/10 9,689 9,346
05/31/10 8,385 8,223
06/30/10 8,217 8,146
07/31/10 9,016 8,844
08/31/10 8,595 8,614
09/30/10 9,560 9,592
10/31/10 9,859 9,987
11/30/10 9,578 9,725
12/31/10 10,759 10,825
01/31/11 10,984 10,882
02/28/11 11,303 11,191
03/31/11 11,359 11,181
04/30/11 11,847 11,735
05/31/11 11,441 11,410
06/30/11 11,191 11,163
07/31/11 10,976 11,102
08/31/11 9,932 10,225
09/30/11 8,760 9,051
10/31/11 9,427 9,786
11/30/11 9,122 9,295
12/31/11 8,880 9,114
01/31/12 9,769 9,866
02/29/12 10,351 10,425
03/31/12 10,364 10,356
04/30/12 10,076 10,302
05/31/12 8,795 9,092
06/30/12 9,228 9,405
07/31/12 9,202 9,478
08/31/12 9,540 9,750
09/30/12 9,986 10,212
10/31/12 10,079 10,262
11/30/12 10,219 10,315
12/31/12 10,856 10,706
01/31/13 11,413 11,222
02/28/13 11,481 11,262
03/31/13 11,715 11,482
04/30/13 12,048 11,815
05/31/13 11,810 11,537
06/30/13 11,450 11,081
07/31/13 12,304 11,774
08/31/13 12,153 11,753
09/30/13 13,330 12,740
10/31/13 13,888 13,116
11/30/13 13,909 13,133
12/31/13 14,372 13,442
01/31/14 14,174 13,210
02/28/14 15,149 13,959
03/31/14 15,248 13,906
04/30/14 15,184 13,863
05/31/14 15,304 14,037
06/30/14 15,544 14,356
07/31/14 14,999 13,984
08/31/14 15,098 14,018
09/30/14 14,219 13,169
10/31/14 13,906 12,835
11/30/14 13,807 12,823
12/31/14 13,655 12,724
01/31/15 13,567 12,611
02/28/15 14,580 13,418
03/31/15 14,294 13,237
04/30/15 15,013 13,910
05/31/15 15,248 13,994
06/30/15 15,036 13,787
07/31/15 14,851 13,766
08/31/15 14,217 13,154
09/30/15 13,650 12,681
10/31/15 14,367 13,433
11/30/15 14,256 13,404
12/31/15 14,200 13,418
01/31/16 13,151 12,397
02/29/16 13,037 12,463
03/31/16 14,085 13,499
04/30/16 14,566 13,926
05/31/16 14,451 13,943
06/30/16 13,640 13,326
07/31/16 14,622 14,118 Past performance is not predictive of
08/31/16 14,676 13,999 future performance.
09/30/16 15,078 14,393 The returns shown do not reflect the
10/31/16 14,954 13,965 deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
-------------------------------------------------------------- MSCI data copyright MSCI 2016, all
4.09% 9.67% 4.11% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
INTERNATIONAL VECTOR EQUITY PORTFOLIO VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
AUGUST 14, 2008-OCTOBER 31, 2016
[CHART]
International Vector MSCI World ex USA
Equity Portfolio Index (net dividends)
-------------------- ---------------------
08/14/08 $10,000 $10,000
08/31/08 10,050 10,052
09/30/08 8,750 8,601
10/31/08 6,740 6,812
11/30/08 6,340 6,442
12/31/08 6,798 6,782
01/31/09 6,065 6,149
02/28/09 5,392 5,527
03/31/09 5,903 5,891
04/30/09 6,919 6,650
05/31/09 7,985 7,491
06/30/09 7,932 7,414
07/31/09 8,715 8,110
08/31/09 9,274 8,499
09/30/09 9,740 8,849
10/31/09 9,404 8,707
11/30/09 9,608 8,923
12/31/09 9,715 9,065
01/31/10 9,377 8,640
02/28/10 9,357 8,631
03/31/10 10,099 9,187
04/30/10 10,120 9,050
05/31/10 8,870 8,051
06/30/10 8,736 7,935
07/31/10 9,659 8,668
08/31/10 9,254 8,409
09/30/10 10,289 9,216
10/31/10 10,684 9,544
11/30/10 10,300 9,140
12/31/10 11,397 9,876
01/31/11 11,660 10,089
02/28/11 12,050 10,463
03/31/11 11,881 10,253
04/30/11 12,482 10,812
05/31/11 12,071 10,491
06/30/11 11,823 10,342
07/31/11 11,545 10,171
08/31/11 10,519 9,311
09/30/11 9,260 8,376
10/31/11 10,045 9,191
11/30/11 9,733 8,766
12/31/11 9,464 8,670
01/31/12 10,238 9,138
02/29/12 10,780 9,641
03/31/12 10,780 9,570
04/30/12 10,514 9,407
05/31/12 9,219 8,335
06/30/12 9,745 8,881
07/31/12 9,700 8,991
08/31/12 10,038 9,248
09/30/12 10,435 9,529
10/31/12 10,537 9,595
11/30/12 10,706 9,797
12/31/12 11,253 10,093
01/31/13 11,755 10,590
02/28/13 11,652 10,484
03/31/13 11,784 10,567
04/30/13 12,218 11,049
05/31/13 11,944 10,801
06/30/13 11,564 10,397
07/31/13 12,305 10,950
08/31/13 12,213 10,809
09/30/13 13,183 11,573
10/31/13 13,648 11,961
11/30/13 13,682 12,034
12/31/13 13,989 12,215
01/31/14 13,612 11,722
02/28/14 14,448 12,362
03/31/14 14,414 12,306
04/30/14 14,555 12,501
05/31/14 14,685 12,694
06/30/14 14,923 12,874
07/31/14 14,493 12,645
08/31/14 14,553 12,655
09/30/14 13,757 12,135
10/31/14 13,505 11,942
11/30/14 13,445 12,089
12/31/14 13,112 11,687
01/31/15 13,015 11,646
02/28/15 13,893 12,342
03/31/15 13,649 12,135
04/30/15 14,356 12,661
05/31/15 14,393 12,551
06/30/15 14,064 12,194
07/31/15 13,990 12,387
08/31/15 13,186 11,485
09/30/15 12,594 10,905
10/31/15 13,351 11,726
11/30/15 13,289 11,539
12/31/15 13,112 11,332
01/31/16 12,248 10,552
02/29/16 12,047 10,405
03/31/16 13,002 11,111
04/30/16 13,429 11,468
05/31/16 13,379 11,339
06/30/16 12,867 10,994
07/31/16 13,568 11,535
08/31/16 13,670 11,546 Past performance is not predictive of
09/30/16 13,972 11,686 future performance.
10/31/16 13,780 11,459 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE SINCE would pay on fund distributions or the
TOTAL RETURN YEAR YEARS INCEPTION redemption of fund shares.
-------------------------------------------------------------- MSCI data copyright MSCI 2016, all
3.21% 6.53% 3.98% rights reserved.
--------------------------------------------------------------------------------
13
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
WORLD EX U.S. VALUE PORTFOLIO VS.
MSCI ALL COUNTRY WORLD EX USA INDEX (NET DIVIDENDS)
AUGUST 23, 2010-OCTOBER 31, 2016
[CHART]
World Ex U.S. MSCI All Country World
Value Portfolio ex USA Index (net dividends)
------------------ -----------------------------
8/23/2010 $10,000 $10,000
8/31/2010 9,890 9,920
9/30/2010 10,980 10,906
10/31/2010 11,350 11,278
11/30/2010 10,850 10,843
12/31/2010 11,859 11,692
1/31/2011 12,122 11,807
2/28/2011 12,385 12,118
3/31/2011 12,311 12,090
4/30/2011 12,899 12,681
5/31/2011 12,433 12,315
6/30/2011 12,238 12,136
7/31/2011 11,920 11,971
8/31/2011 10,670 10,945
9/30/2011 9,314 9,727
10/31/2011 10,261 10,752
11/30/2011 9,880 10,203
12/31/2011 9,590 10,089
1/31/2012 10,422 10,774
2/29/2012 10,984 11,379
3/31/2012 10,811 11,222
4/30/2012 10,436 11,045
5/31/2012 9,177 9,791
6/30/2012 9,755 10,369
7/31/2012 9,703 10,515
8/31/2012 10,041 10,735
9/30/2012 10,475 11,136
10/31/2012 10,538 11,179
11/30/2012 10,687 11,392
12/31/2012 11,281 11,787
1/31/2013 11,720 12,266
2/28/2013 11,442 12,137
3/31/2013 11,460 12,161
4/30/2013 11,899 12,608
5/31/2013 11,696 12,316
6/30/2013 11,154 11,782
7/31/2013 11,796 12,298
8/31/2013 11,666 12,128
9/30/2013 12,556 12,971
10/31/2013 13,026 13,447
11/30/2013 12,993 13,470
12/31/2013 13,201 13,589
1/31/2014 12,652 12,972
2/28/2014 13,289 13,623
3/31/2014 13,361 13,658
4/30/2014 13,527 13,839
5/31/2014 13,760 14,108
6/30/2014 13,969 14,345
7/31/2014 13,778 14,203
8/31/2014 13,857 14,281
9/30/2014 13,101 13,590
10/31/2014 12,921 13,455
11/30/2014 12,864 13,552
12/31/2014 12,384 13,064
1/31/2015 12,293 13,044
2/28/2015 13,080 13,742
3/31/2015 12,783 13,520
4/30/2015 13,604 14,203
5/31/2015 13,490 13,981
6/30/2015 13,108 13,591
7/31/2015 12,774 13,553
8/31/2015 11,805 12,517
9/30/2015 11,128 11,937
10/31/2015 11,916 12,825
11/30/2015 11,696 12,561
12/31/2015 11,357 12,324
1/31/2016 10,526 11,486
2/29/2016 10,304 11,354
3/31/2016 11,258 12,278
4/30/2016 11,728 12,601
5/31/2016 11,399 12,388
6/30/2016 11,179 12,199
7/31/2016 11,763 12,802
8/31/2016 12,026 12,883
9/30/2016 12,182 13,042
10/31/2016 12,338 12,854 Past performance is not predictive of
future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE SINCE would pay on fund distributions or the
TOTAL RETURN YEAR YEARS INCEPTION redemption of fund shares.
----------------------------------------------------------- MSCI data copyright MSCI 2016, all
3.54% 3.75% 3.45% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
WORLD EX U.S. TARGETED VALUE PORTFOLIO VS.
MSCI ALL COUNTRY WORLD EX USA SMALL CAP INDEX (NET DIVIDENDS)
NOVEMBER 1, 2012-OCTOBER 31, 2016
[CHART]
World Ex U.S. Targeted MSCI All Country World ex USA
Value Portfolio Small Cap Index (net dividends)
----------------------- ----------------------------------
11/1/2012 $10,000 $10,000
11/30/2012 10,120 10,013
12/31/2012 10,735 10,417
1/31/2013 11,157 10,868
2/28/2013 11,147 10,925
3/31/2013 11,278 11,098
4/30/2013 11,549 11,398
5/31/2013 11,298 11,175
6/30/2013 10,766 10,607
7/31/2013 11,376 11,134
8/31/2013 11,193 11,038
9/30/2013 12,191 11,920
10/31/2013 12,690 12,289
11/30/2013 12,629 12,257
12/31/2013 12,872 12,472
1/31/2014 12,497 12,231
2/28/2014 13,185 12,888
3/31/2014 13,404 12,904
4/30/2014 13,404 12,883
5/31/2014 13,633 13,090
6/30/2014 13,888 13,374
7/31/2014 13,616 13,121
8/31/2014 13,773 13,215
9/30/2014 12,908 12,464
10/31/2014 12,698 12,170
11/30/2014 12,571 12,119
12/31/2014 12,294 11,969
1/31/2015 12,219 11,925
2/28/2015 12,977 12,575
3/31/2015 12,710 12,439
4/30/2015 13,511 13,182
5/31/2015 13,489 13,256
6/30/2015 13,224 12,964
7/31/2015 12,816 12,717
8/31/2015 12,088 12,007
9/30/2015 11,599 11,665
10/31/2015 12,332 12,356
11/30/2015 12,170 12,268
12/31/2015 12,035 12,280
1/31/2016 11,171 11,339
2/29/2016 11,149 11,377
3/31/2016 12,256 12,364
4/30/2016 12,733 12,710
5/31/2016 12,408 12,626
6/30/2016 12,109 12,256
7/31/2016 12,909 12,938
8/31/2016 13,019 12,907
9/30/2016 13,305 13,225 Past performance is not predictive of
10/31/2016 13,218 12,877 future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE SINCE would pay on fund distributions or the
TOTAL RETURN YEAR INCEPTION redemption of fund shares.
-------------------------------------------------------- MSCI data copyright MSCI 2016, all
7.18% 7.23% rights reserved.
--------------------------------------------------------------------------------
14
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
WORLD EX U.S. CORE EQUITY PORTFOLIO VS.
MSCI ALL COUNTRY WORLD EX USA INDEX (NET DIVIDENDS)
APRIL 9, 2013-OCTOBER 31, 2016
[CHART]
World Ex U.S. Core MSCI All Country World
Equity Portfolio ex USA Index (net dividends)
------------------ ----------------------------
4/09/2013 $10,000 $10,000
4/30/2013 10,160 10,415
5/31/2013 9,890 10,174
6/30/2013 9,485 9,733
7/31/2013 9,971 10,159
8/31/2013 9,830 10,019
9/30/2013 10,575 10,715
10/31/2013 10,962 11,108
11/30/2013 10,952 11,127
12/31/2013 11,104 11,225
1/31/2014 10,653 10,715
2/28/2014 11,227 11,254
3/31/2014 11,309 11,282
4/30/2014 11,422 11,431
5/31/2014 11,597 11,654
6/30/2014 11,810 11,850
7/31/2014 11,592 11,732
8/31/2014 11,706 11,797
9/30/2014 11,072 11,226
10/31/2014 10,957 11,115
11/30/2014 10,916 11,195
12/31/2014 10,565 10,791
1/31/2015 10,565 10,775
2/28/2015 11,162 11,351
3/31/2015 10,968 11,168
4/30/2015 11,608 11,732
5/31/2015 11,534 11,549
6/30/2015 11,209 11,227
7/31/2015 10,976 11,196
8/31/2015 10,234 10,340
9/30/2015 9,847 9,860
10/31/2015 10,465 10,595
11/30/2015 10,348 10,376
12/31/2015 10,164 10,180
1/31/2016 9,533 9,488
2/29/2016 9,372 9,379
3/31/2016 10,212 10,142
4/30/2016 10,459 10,409
5/31/2016 10,319 10,233
6/30/2016 10,173 10,077
7/31/2016 10,705 10,575
8/31/2016 10,792 10,642 Past performance is not predictive of
9/30/2016 10,993 10,773 future performance.
10/31/2016 10,840 10,618 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE SINCE would pay on fund distributions or the
TOTAL RETURN YEAR INCEPTION redemption of fund shares.
-------------------------------------------------------- MSCI data copyright MSCI 2016, all
3.58% 2.29% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
WORLD CORE EQUITY PORTFOLIO VS.
MSCI ALL COUNTRY WORLD INDEX (NET DIVIDENDS)
MARCH 7, 2012-OCTOBER 31, 2016
[CHART]
MSCI All Country World
World Core Equity Portfolio Index (net dividends)
---------------------------- -------------------------
3/07/2012 $10,000 $10,000
3/31/2012 10,170 10,307
4/30/2012 10,050 10,189
5/31/2012 9,400 9,276
6/30/2012 9,822 9,734
7/31/2012 9,913 9,867
8/31/2012 10,175 10,082
9/30/2012 10,465 10,399
10/31/2012 10,354 10,330
11/30/2012 10,425 10,462
12/31/2012 10,644 10,699
1/31/2013 11,175 11,192
2/28/2013 11,266 11,190
3/31/2013 11,598 11,395
4/30/2013 11,843 11,720
5/31/2013 11,986 11,688
6/30/2013 11,754 11,346
7/31/2013 12,382 11,890
8/31/2013 12,053 11,642
9/30/2013 12,609 12,243
10/31/2013 13,125 12,735
11/30/2013 13,477 12,916
12/31/2013 13,786 13,138
1/31/2014 13,260 12,613
2/28/2014 13,902 13,222
3/31/2014 14,000 13,281
4/30/2014 14,074 13,407
5/31/2014 14,359 13,693
6/30/2014 14,684 13,950
7/31/2014 14,355 13,781
8/31/2014 14,726 14,086
9/30/2014 14,116 13,629
10/31/2014 14,222 13,725
11/30/2014 14,340 13,954
12/31/2014 14,128 13,685
1/31/2015 13,902 13,471
2/28/2015 14,731 14,221
3/31/2015 14,555 14,001
4/30/2015 14,944 14,407
5/31/2015 14,987 14,388
6/30/2015 14,696 14,049
7/31/2015 14,642 14,171
8/31/2015 13,729 13,200
9/30/2015 13,239 12,722
10/31/2015 14,135 13,720
11/30/2015 14,113 13,607
12/31/2015 13,780 13,362
1/31/2016 12,967 12,556
2/29/2016 12,901 12,469
3/31/2016 13,930 13,393
4/30/2016 14,140 13,591
5/31/2016 14,173 13,608
6/30/2016 14,055 13,526
7/31/2016 14,700 14,109
8/31/2016 14,789 14,156 Past performance is not predictive of
9/30/2016 14,929 14,243 future performance.
10/31/2016 14,662 14,001 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE SINCE would pay on fund distributions or the
TOTAL RETURN YEAR INCEPTION redemption of fund shares.
-------------------------------------------------------- MSCI data copyright MSCI 2016, all
3.73% 8.58% rights reserved.
--------------------------------------------------------------------------------
15
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO VS.
MSCI ALL COUNTRY WORLD INDEX (NET DIVIDENDS)
NOVEMBER 14, 2011-OCTOBER 31, 2016
[CHART]
Selectively Hedged Global MSCI All Country World
Equity Portfolio Index (net dividends)
------------------------- -----------------------
11/14/2011 $10,000 $10,000
11/30/2011 9,920 9,873
12/31/2011 9,828 9,853
1/31/2012 10,533 10,426
2/29/2012 11,077 10,951
3/31/2012 11,141 11,024
4/30/2012 10,939 10,898
5/31/2012 9,962 9,921
6/30/2012 10,442 10,410
7/31/2012 10,463 10,553
8/31/2012 10,748 10,782
9/30/2012 11,122 11,122
10/31/2012 11,112 11,048
11/30/2012 11,265 11,189
12/31/2012 11,718 11,443
1/31/2013 12,225 11,970
2/28/2013 12,287 11,968
3/31/2013 12,576 12,187
4/30/2013 12,814 12,535
5/31/2013 12,897 12,501
6/30/2013 12,514 12,135
7/31/2013 13,114 12,716
8/31/2013 12,845 12,451
9/30/2013 13,569 13,094
10/31/2013 14,096 13,621
11/30/2013 14,324 13,813
12/31/2013 14,611 14,052
1/31/2014 14,001 13,490
2/28/2014 14,675 14,141
3/31/2014 14,847 14,204
4/30/2014 14,879 14,339
5/31/2014 15,136 14,644
6/30/2014 15,500 14,920
7/31/2014 15,200 14,739
8/31/2014 15,628 15,065
9/30/2014 15,061 14,576
10/31/2014 15,200 14,679
11/30/2014 15,360 14,924
12/31/2014 15,182 14,636
1/31/2015 14,958 14,408
2/28/2015 15,878 15,210
3/31/2015 15,766 14,974
4/30/2015 16,136 15,409
5/31/2015 16,226 15,388
6/30/2015 15,867 15,026
7/31/2015 15,754 15,157
8/31/2015 14,700 14,118
9/30/2015 14,172 13,606
10/31/2015 15,148 14,674
11/30/2015 15,204 14,553
12/31/2015 14,728 14,290
1/31/2016 13,907 13,429
2/29/2016 13,768 13,336
3/31/2016 14,797 14,324
4/30/2016 14,948 14,536
5/31/2016 15,063 14,554
6/30/2016 14,971 14,466
7/31/2016 15,641 15,090
8/31/2016 15,792 15,140 Past performance is not predictive of
9/30/2016 15,930 15,233 future performance.
10/31/2016 15,803 14,975 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE SINCE would pay on fund distributions or the
TOTAL RETURN YEAR INCEPTION redemption of fund shares.
---------------------------------------------------------- MSCI data copyright MSCI 2016, all
4.32% 9.66% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
EMERGING MARKETS PORTFOLIO VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
MSCI Emerging Markets
Emerging Markets Portfolio Index (net dividends)
-------------------------- ---------------------
10/31/2006 $10,000 $10,000
11/30/2006 10,637 10,743
12/31/2006 11,065 11,227
1/31/2007 11,226 11,108
2/28/2007 11,048 11,043
3/31/2007 11,552 11,481
4/30/2007 12,284 12,025
5/31/2007 13,106 12,609
6/30/2007 13,319 13,200
7/31/2007 13,635 13,897
8/31/2007 13,396 13,601
9/30/2007 14,576 15,103
10/31/2007 16,168 16,788
11/30/2007 15,112 15,597
12/31/2007 15,051 15,652
1/31/2008 13,735 13,699
2/29/2008 14,171 14,710
3/31/2008 13,728 13,932
4/30/2008 14,704 15,062
5/31/2008 14,790 15,342
6/30/2008 13,268 13,811
7/31/2008 13,091 13,290
8/31/2008 12,311 12,229
9/30/2008 10,594 10,089
10/31/2008 7,802 7,328
11/30/2008 7,093 6,776
12/31/2008 7,646 7,305
1/31/2009 7,061 6,833
2/28/2009 6,598 6,447
3/31/2009 7,552 7,374
4/30/2009 8,668 8,601
5/31/2009 10,144 10,071
6/30/2009 10,055 9,935
7/31/2009 11,202 11,052
8/31/2009 11,239 11,013
9/30/2009 12,224 12,012
10/31/2009 11,968 12,027
11/30/2009 12,680 12,544
12/31/2009 13,133 13,039
1/31/2010 12,414 12,312
2/28/2010 12,563 12,355
3/31/2010 13,611 13,353
4/30/2010 13,689 13,514
5/31/2010 12,412 12,326
6/30/2010 12,431 12,235
7/31/2010 13,522 13,254
8/31/2010 13,205 12,997
9/30/2010 14,703 14,441
10/31/2010 15,144 14,860
11/30/2010 14,801 14,468
12/31/2010 15,998 15,500
1/31/2011 15,581 15,080
2/28/2011 15,466 14,939
3/31/2011 16,322 15,818
4/30/2011 16,891 16,308
5/31/2011 16,421 15,880
6/30/2011 16,221 15,636
7/31/2011 16,090 15,567
8/31/2011 14,783 14,176
9/30/2011 12,545 12,109
10/31/2011 14,111 13,713
11/30/2011 13,614 12,799
12/31/2011 13,212 12,645
1/31/2012 14,630 14,079
2/29/2012 15,419 14,922
3/31/2012 15,013 14,424
4/30/2012 14,741 14,252
5/31/2012 13,151 12,653
6/30/2012 13,794 13,142
7/31/2012 13,906 13,398
8/31/2012 13,990 13,354
9/30/2012 14,771 14,159
10/31/2012 14,687 14,073
11/30/2012 14,878 14,252
12/31/2012 15,743 14,949
1/31/2013 15,823 15,155
2/28/2013 15,635 14,965
3/31/2013 15,409 14,707
4/30/2013 15,575 14,818
5/31/2013 15,065 14,438
6/30/2013 14,117 13,518
7/31/2013 14,319 13,660
8/31/2013 13,978 13,425
9/30/2013 14,975 14,298
10/31/2013 15,654 14,993
11/30/2013 15,416 14,774
12/31/2013 15,252 14,560
1/31/2014 14,189 13,615
2/28/2014 14,700 14,066
3/31/2014 15,211 14,497
4/30/2014 15,299 14,546
5/31/2014 15,816 15,053
6/30/2014 16,251 15,453
7/31/2014 16,440 15,752
8/31/2014 16,948 16,107
9/30/2014 15,696 14,913
10/31/2014 15,863 15,089
11/30/2014 15,702 14,930
12/31/2014 14,991 14,241
1/31/2015 15,087 14,327
2/28/2015 15,542 14,770
3/31/2015 15,213 14,560
4/30/2015 16,225 15,680
5/31/2015 15,572 15,052
6/30/2015 15,193 14,661
7/31/2015 14,213 13,645
8/31/2015 13,036 12,411
9/30/2015 12,682 12,038
10/31/2015 13,446 12,896
11/30/2015 12,979 12,393
12/31/2015 12,621 12,117
1/31/2016 12,084 11,331
2/29/2016 12,011 11,312
3/31/2016 13,595 12,809
4/30/2016 13,675 12,879
5/31/2016 13,136 12,398
6/30/2016 13,830 12,894
7/31/2016 14,539 13,543
8/31/2016 14,711 13,879 Past performance is not predictive of
9/30/2016 14,895 14,058 future performance.
10/31/2016 14,926 14,091 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
------------------------------------------------------- MSCI data copyright MSCI 2016, all
11.01% 1.13% 4.09% rights reserved.
--------------------------------------------------------------------------------
16
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
EMERGING MARKETS SMALL CAP PORTFOLIO VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
Emerging Markets Small Cap MSCI Emerging Markets
Portfolio Index (net dividends)
------------------------------- ---------------------
10/31/2006 $10,000 $10,000
11/30/2006 10,761 10,743
12/31/2006 11,250 11,227
1/31/2007 11,461 11,108
2/28/2007 11,564 11,043
3/31/2007 12,076 11,481
4/30/2007 12,999 12,025
5/31/2007 14,030 12,609
6/30/2007 14,449 13,200
7/31/2007 15,151 13,897
8/31/2007 14,520 13,601
9/30/2007 15,518 15,103
10/31/2007 16,681 16,788
11/30/2007 15,343 15,597
12/31/2007 15,526 15,652
1/31/2008 13,654 13,699
2/29/2008 14,049 14,710
3/31/2008 13,384 13,932
4/30/2008 14,202 15,062
5/31/2008 14,112 15,342
6/30/2008 12,486 13,811
7/31/2008 12,290 13,290
8/31/2008 11,548 12,229
9/30/2008 9,462 10,089
10/31/2008 6,591 7,328
11/30/2008 6,188 6,776
12/31/2008 7,059 7,305
1/31/2009 6,516 6,833
2/28/2009 6,116 6,447
3/31/2009 6,958 7,374
4/30/2009 8,366 8,601
5/31/2009 10,283 10,071
6/30/2009 10,232 9,935
7/31/2009 11,530 11,052
8/31/2009 11,667 11,013
9/30/2009 12,640 12,012
10/31/2009 12,625 12,027
11/30/2009 13,363 12,544
12/31/2009 14,100 13,039
1/31/2010 13,475 12,312
2/28/2010 13,708 12,355
3/31/2010 14,878 13,353
4/30/2010 15,118 13,514
5/31/2010 13,592 12,326
6/30/2010 13,952 12,235
7/31/2010 15,232 13,254
8/31/2010 15,305 12,997
9/30/2010 17,159 14,441
10/31/2010 17,843 14,860
11/30/2010 17,358 14,468
12/31/2010 18,356 15,500
1/31/2011 17,577 15,080
2/28/2011 17,059 14,939
3/31/2011 18,005 15,818
4/30/2011 18,951 16,308
5/31/2011 18,516 15,880
6/30/2011 18,366 15,636
7/31/2011 18,573 15,567
8/31/2011 16,807 14,176
9/30/2011 13,818 12,109
10/31/2011 15,340 13,713
11/30/2011 14,591 12,799
12/31/2011 14,203 12,645
1/31/2012 15,804 14,079
2/29/2012 17,095 14,922
3/31/2012 16,649 14,424
4/30/2012 16,250 14,252
5/31/2012 14,761 12,653
6/30/2012 15,326 13,142
7/31/2012 15,134 13,398
8/31/2012 15,527 13,354
9/30/2012 16,434 14,159
10/31/2012 16,370 14,073
11/30/2012 16,652 14,252
12/31/2012 17,675 14,949
1/31/2013 18,001 15,155
2/28/2013 18,184 14,965
3/31/2013 18,099 14,707
4/30/2013 18,467 14,818
5/31/2013 18,199 14,438
6/30/2013 16,625 13,518
7/31/2013 16,700 13,660
8/31/2013 16,003 13,425
9/30/2013 17,171 14,298
10/31/2013 17,830 14,993
11/30/2013 17,577 14,774
12/31/2013 17,431 14,560
1/31/2014 16,685 13,615
2/28/2014 17,422 14,066
3/31/2014 18,020 14,497
4/30/2014 18,168 14,546
5/31/2014 18,783 15,053
6/30/2014 19,266 15,453
7/31/2014 19,310 15,752
8/31/2014 19,901 16,107
9/30/2014 18,910 14,913
10/31/2014 18,744 15,089
11/30/2014 18,525 14,930
12/31/2014 17,954 14,241
1/31/2015 18,243 14,327
2/28/2015 18,712 14,770
3/31/2015 18,568 14,560
4/30/2015 19,886 15,680
5/31/2015 19,606 15,052
6/30/2015 18,933 14,661
7/31/2015 17,777 13,645
8/31/2015 16,033 12,411
9/30/2015 16,007 12,038
10/31/2015 16,893 12,896
11/30/2015 16,546 12,393
12/31/2015 16,393 12,117
1/31/2016 15,414 11,331
2/29/2016 15,349 11,312
3/31/2016 17,237 12,809
4/30/2016 17,668 12,879
5/31/2016 16,929 12,398
6/30/2016 17,865 12,894
7/31/2016 18,903 13,543
8/31/2016 19,016 13,879 Past performance is not predictive of
9/30/2016 19,326 14,058 future performance.
10/31/2016 19,251 14,091 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
----------------------------------------------------------- MSCI data copyright MSCI 2016, all
13.96% 4.65% 6.77% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
EMERGING MARKETS VALUE PORTFOLIO -- CLASS R2 VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
JANUARY 29, 2008-OCTOBER 31, 2016
[CHART]
Emerging Markets Value MSCI Emerging Markets Index
Portfolio Class R2 (net dividends)
---------------------- ---------------------------
1/29/2008 $10,000 $10,000
1/31/2008 10,050 9,871
2/29/2008 10,450 10,599
3/31/2008 10,097 10,038
4/30/2008 10,872 10,853
5/31/2008 10,962 11,054
6/30/2008 9,677 9,952
7/31/2008 9,489 9,576
8/31/2008 8,674 8,811
9/30/2008 7,174 7,269
10/31/2008 4,949 5,280
11/30/2008 4,569 4,882
12/31/2008 5,120 5,263
1/31/2009 4,675 4,923
2/28/2009 4,262 4,646
3/31/2009 5,002 5,313
4/30/2009 5,996 6,197
5/31/2009 7,342 7,256
6/30/2009 7,241 7,159
7/31/2009 8,197 7,964
8/31/2009 8,265 7,935
9/30/2009 9,035 8,655
10/31/2009 8,823 8,666
11/30/2009 9,388 9,038
12/31/2009 9,847 9,395
1/31/2010 9,297 8,871
2/28/2010 9,347 8,902
3/31/2010 10,147 9,621
4/30/2010 10,246 9,738
5/31/2010 9,147 8,881
6/30/2010 9,199 8,816
7/31/2010 10,085 9,550
8/31/2010 9,864 9,365
9/30/2010 11,031 10,405
10/31/2010 11,444 10,707
11/30/2010 11,031 10,425
12/31/2010 11,960 11,169
1/31/2011 11,583 10,866
2/28/2011 11,391 10,764
3/31/2011 12,043 11,397
4/30/2011 12,466 11,751
5/31/2011 11,990 11,443
6/30/2011 11,738 11,267
7/31/2011 11,639 11,217
8/31/2011 10,454 10,214
9/30/2011 8,577 8,725
10/31/2011 9,701 9,881
11/30/2011 9,206 9,222
12/31/2011 8,875 9,111
1/31/2012 10,102 10,144
2/29/2012 10,714 10,752
3/31/2012 10,253 10,393
4/30/2012 9,918 10,269
5/31/2012 8,817 9,117
6/30/2012 9,214 9,469
7/31/2012 9,155 9,654
8/31/2012 9,279 9,622
9/30/2012 9,873 10,202
10/31/2012 9,742 10,140
11/30/2012 9,849 10,269
12/31/2012 10,564 10,771
1/31/2013 10,734 10,920
2/28/2013 10,550 10,783
3/31/2013 10,459 10,597
4/30/2013 10,547 10,677
5/31/2013 10,243 10,403
6/30/2013 9,377 9,741
7/31/2013 9,559 9,842
8/31/2013 9,356 9,673
9/30/2013 10,045 10,302
10/31/2013 10,497 10,803
11/30/2013 10,242 10,645
12/31/2013 10,137 10,491
1/31/2014 9,424 9,810
2/28/2014 9,634 10,135
3/31/2014 10,060 10,446
4/30/2014 10,122 10,481
5/31/2014 10,533 10,847
6/30/2014 10,806 11,135
7/31/2014 11,008 11,350
8/31/2014 11,250 11,606
9/30/2014 10,328 10,746
10/31/2014 10,313 10,872
11/30/2014 10,139 10,757
12/31/2014 9,665 10,262
1/31/2015 9,586 10,323
2/28/2015 9,924 10,643
3/31/2015 9,643 10,491
4/30/2015 10,597 11,298
5/31/2015 10,123 10,846
6/30/2015 9,800 10,564
7/31/2015 9,012 9,832
8/31/2015 8,193 8,943
9/30/2015 7,917 8,674
10/31/2015 8,406 9,292
11/30/2015 8,077 8,930
12/31/2015 7,831 8,731
1/31/2016 7,392 8,164
2/29/2016 7,434 8,151
3/31/2016 8,524 9,230
4/30/2016 8,753 9,280
5/31/2016 8,180 8,934
6/30/2016 8,625 9,291
7/31/2016 9,167 9,758
8/31/2016 9,334 10,001 Past performance is not predictive of
9/30/2016 9,463 10,129 future performance.
10/31/2016 9,666 10,153 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE FROM would pay on fund distributions or the
TOTAL RETURN YEAR YEARS 01/29/2008 redemption of fund shares.
-------------------------------------------------------------- MSCI data copyright MSCI 2016, all
14.98% -0.07% -0.39% rights reserved.
--------------------------------------------------------------------------------
17
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
EMERGING MARKETS VALUE PORTFOLIO -- INSTITUTIONAL CLASS VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
Emerging Markets
Value Portfolio - MSCI Emerging Markets
Institutional Class Index (net dividends)
----------------------- ---------------------
10/31/2006 $10,000 $10,000
11/30/2006 10,731 10,743
12/31/2006 11,107 11,227
1/31/2007 11,278 11,108
2/28/2007 11,341 11,043
3/31/2007 11,931 11,481
4/30/2007 12,882 12,025
5/31/2007 13,861 12,609
6/30/2007 14,254 13,200
7/31/2007 14,929 13,897
8/31/2007 14,448 13,601
9/30/2007 15,750 15,103
10/31/2007 17,478 16,788
11/30/2007 16,202 15,597
12/31/2007 16,177 15,652
1/31/2008 14,566 13,699
2/29/2008 15,148 14,710
3/31/2008 14,638 13,932
4/30/2008 15,767 15,062
5/31/2008 15,901 15,342
6/30/2008 14,052 13,811
7/31/2008 13,776 13,290
8/31/2008 12,596 12,229
9/30/2008 10,423 10,089
10/31/2008 7,186 7,328
11/30/2008 6,640 6,776
12/31/2008 7,451 7,305
1/31/2009 6,778 6,833
2/28/2009 6,202 6,447
3/31/2009 7,275 7,374
4/30/2009 8,706 8,601
5/31/2009 10,664 10,071
6/30/2009 10,533 9,935
7/31/2009 11,945 11,052
8/31/2009 12,034 11,013
9/30/2009 13,144 12,012
10/31/2009 12,833 12,027
11/30/2009 13,650 12,544
12/31/2009 14,327 13,039
1/31/2010 13,511 12,312
2/28/2010 13,616 12,355
3/31/2010 14,814 13,353
4/30/2010 14,910 13,514
5/31/2010 13,347 12,326
6/30/2010 13,430 12,235
7/31/2010 14,673 13,254
8/31/2010 14,407 12,997
9/30/2010 16,136 14,441
10/31/2010 16,689 14,860
11/30/2010 16,146 14,468
12/31/2010 17,487 15,500
1/31/2011 16,940 15,080
2/28/2011 16,655 14,939
3/31/2011 17,612 15,818
4/30/2011 18,241 16,308
5/31/2011 17,545 15,880
6/30/2011 17,185 15,636
7/31/2011 17,040 15,567
8/31/2011 15,310 14,176
9/30/2011 12,561 12,109
10/31/2011 14,212 13,713
11/30/2011 13,492 12,799
12/31/2011 13,007 12,645
1/31/2012 14,811 14,079
2/29/2012 15,713 14,922
3/31/2012 15,036 14,424
4/30/2012 14,545 14,252
5/31/2012 12,937 12,653
6/30/2012 13,522 13,142
7/31/2012 13,436 13,398
8/31/2012 13,623 13,354
9/30/2012 14,499 14,159
10/31/2012 14,311 14,073
11/30/2012 14,468 14,252
12/31/2012 15,526 14,949
1/31/2013 15,775 15,155
2/28/2013 15,510 14,965
3/31/2013 15,377 14,707
4/30/2013 15,513 14,818
5/31/2013 15,070 14,438
6/30/2013 13,801 13,518
7/31/2013 14,069 13,660
8/31/2013 13,770 13,425
9/30/2013 14,787 14,298
10/31/2013 15,457 14,993
11/30/2013 15,083 14,774
12/31/2013 14,935 14,560
1/31/2014 13,891 13,615
2/28/2014 14,199 14,066
3/31/2014 14,832 14,497
4/30/2014 14,930 14,546
5/31/2014 15,536 15,053
6/30/2014 15,941 15,453
7/31/2014 16,239 15,752
8/31/2014 16,602 16,107
9/30/2014 15,240 14,913
10/31/2014 15,224 15,089
11/30/2014 14,972 14,930
12/31/2014 14,276 14,241
1/31/2015 14,159 14,327
2/28/2015 14,664 14,770
3/31/2015 14,248 14,560
4/30/2015 15,667 15,680
5/31/2015 14,969 15,052
6/30/2015 14,492 14,661
7/31/2015 13,328 13,645
8/31/2015 12,119 12,411
9/30/2015 11,715 12,038
10/31/2015 12,443 12,896
11/30/2015 11,956 12,393
12/31/2015 11,596 12,117
1/31/2016 10,942 11,331
2/29/2016 11,010 11,312
3/31/2016 12,628 12,809
4/30/2016 12,970 12,879
5/31/2016 12,126 12,398
6/30/2016 12,790 12,894
7/31/2016 13,594 13,543
8/31/2016 13,841 13,879 Past performance is not predictive of
9/30/2016 14,032 14,058 future performance.
10/31/2016 14,338 14,091 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
---------------------------------------------------------- MSCI data copyright MSCI 2016, all
15.23% 0.18% 3.67% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
EMERGING MARKETS CORE EQUITY PORTFOLIO VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
Emerging Markets Core Equity MSCI Emerging Markets
Portfolio Index (net dividends)
------------------------------- ---------------------
10/31/2006 $10,000 $10,000
11/30/2006 10,692 10,743
12/31/2006 11,113 11,227
1/31/2007 11,270 11,108
2/28/2007 11,185 11,043
3/31/2007 11,669 11,481
4/30/2007 12,453 12,025
5/31/2007 13,359 12,609
6/30/2007 13,675 13,200
7/31/2007 14,140 13,897
8/31/2007 13,775 13,601
9/30/2007 14,958 15,103
10/31/2007 16,513 16,788
11/30/2007 15,311 15,597
12/31/2007 15,279 15,652
1/31/2008 13,783 13,699
2/29/2008 14,233 14,710
3/31/2008 13,716 13,932
4/30/2008 14,756 15,062
5/31/2008 14,822 15,342
6/30/2008 13,169 13,811
7/31/2008 13,030 13,290
8/31/2008 12,165 12,229
9/30/2008 10,258 10,089
10/31/2008 7,359 7,328
11/30/2008 6,868 6,776
12/31/2008 7,539 7,305
1/31/2009 6,866 6,833
2/28/2009 6,403 6,447
3/31/2009 7,414 7,374
4/30/2009 8,768 8,601
5/31/2009 10,496 10,071
6/30/2009 10,394 9,935
7/31/2009 11,652 11,052
8/31/2009 11,697 11,013
9/30/2009 12,706 12,012
10/31/2009 12,471 12,027
11/30/2009 13,235 12,544
12/31/2009 13,840 13,039
1/31/2010 13,080 12,312
2/28/2010 13,225 12,355
3/31/2010 14,365 13,353
4/30/2010 14,502 13,514
5/31/2010 13,097 12,326
6/30/2010 13,207 12,235
7/31/2010 14,400 13,254
8/31/2010 14,209 12,997
9/30/2010 15,907 14,441
10/31/2010 16,376 14,860
11/30/2010 15,938 14,468
12/31/2010 17,108 15,500
1/31/2011 16,568 15,080
2/28/2011 16,282 14,939
3/31/2011 17,209 15,818
4/30/2011 17,888 16,308
5/31/2011 17,394 15,880
6/30/2011 17,152 15,636
7/31/2011 17,113 15,567
8/31/2011 15,569 14,176
9/30/2011 12,993 12,109
10/31/2011 14,642 13,713
11/30/2011 14,017 12,799
12/31/2011 13,576 12,645
1/31/2012 15,175 14,079
2/29/2012 16,128 14,922
3/31/2012 15,624 14,424
4/30/2012 15,277 14,252
5/31/2012 13,671 12,653
6/30/2012 14,284 13,142
7/31/2012 14,292 13,398
8/31/2012 14,442 13,354
9/30/2012 15,265 14,159
10/31/2012 15,161 14,073
11/30/2012 15,393 14,252
12/31/2012 16,357 14,949
1/31/2013 16,502 15,155
2/28/2013 16,389 14,965
3/31/2013 16,215 14,707
4/30/2013 16,400 14,818
5/31/2013 15,950 14,438
6/30/2013 14,804 13,518
7/31/2013 15,006 13,660
8/31/2013 14,618 13,425
9/30/2013 15,662 14,298
10/31/2013 16,337 14,993
11/30/2013 16,069 14,774
12/31/2013 15,926 14,560
1/31/2014 14,919 13,615
2/28/2014 15,459 14,066
3/31/2014 16,024 14,497
4/30/2014 16,139 14,546
5/31/2014 16,670 15,053
6/30/2014 17,104 15,453
7/31/2014 17,260 15,752
8/31/2014 17,794 16,107
9/30/2014 16,555 14,913
10/31/2014 16,646 15,089
11/30/2014 16,472 14,930
12/31/2014 15,780 14,241
1/31/2015 15,905 14,327
2/28/2015 16,364 14,770
3/31/2015 16,089 14,560
4/30/2015 17,198 15,680
5/31/2015 16,589 15,052
6/30/2015 16,147 14,661
7/31/2015 15,067 13,645
8/31/2015 13,753 12,411
9/30/2015 13,463 12,038
10/31/2015 14,234 12,896
11/30/2015 13,776 12,393
12/31/2015 13,436 12,117
1/31/2016 12,813 11,331
2/29/2016 12,737 11,312
3/31/2016 14,411 12,809
4/30/2016 14,583 12,879
5/31/2016 13,958 12,398
6/30/2016 14,731 12,894
7/31/2016 15,541 13,543
8/31/2016 15,696 13,879 Past performance is not predictive of
9/30/2016 15,906 14,058 future performance.
10/31/2016 15,923 14,091 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
----------------------------------------------------------- MSCI data copyright MSCI 2016, all
11.87% 1.69% 4.76% rights reserved.
--------------------------------------------------------------------------------
18
DFA INVESTMENT DIMENSIONS GROUP INC.
MANAGEMENT'S DISCUSSION AND ANALYSIS
(UNAUDITED)
U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2016
Most U.S. equities had positive returns during the period. The broad U.S.
equity market, as measured by the Russell 3000(R) Index, gained approximately
4.2%. Large-cap stocks outperformed small-cap stocks as measured by the Russell
indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2016
-------------------------------------------------
Russell 3000(R) Index............................. 4.24%
Russell Microcap(R) Index (micro-cap stocks)...... 1.54%
Russell 2000(R) Index (small-cap stocks).......... 4.11%
Russell 1000(R) Index (large-cap stocks).......... 4.26%
Dow Jones U.S. Select REIT Index/SM/.............. 4.96%
Value stocks outperformed growth stocks as measured by the Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2016
-------------------------------------------------
Russell 2000(R) Value Index (small-cap value
stocks)......................................... 8.81%
Russell 2000(R) Growth Index (small-cap growth
stocks)......................................... -0.49%
Russell 1000(R) Value Index (large-cap value
stocks)......................................... 6.37%
Russell 1000(R) Growth Index (large-cap growth
stocks)......................................... 2.28%
----------
Source: Frank Russell Company is the source and owner of the trademarks,
service marks, and copyrights related to the Russell Indexes.
MASTER-FEEDER STRUCTURE
Certain portfolios described below, called "Feeder Funds," do not buy
individual securities directly; instead, these portfolios invest in
corresponding funds called "Master Funds." Master Funds, in turn, purchase
stocks and/or other securities directly.
ENHANCED U.S. LARGE COMPANY PORTFOLIO
The Enhanced U.S. Large Company Portfolio seeks to outperform the total
return of the S&P 500(R) Index. This strategy uses S&P 500(R) Index futures
contracts, swaps, and/or ETFs in conjunction with short-term investment grade
fixed income instruments. As of October 31, 2016, 100% of the equity exposure
consisted of S&P 500(R) Index futures contracts. The behavior of S&P 500(R)
Index futures contracts is determined principally by the performance of the S&P
500(R) Index.
For the 12 months ended October 31, 2016, the total return was 4.75% for the
Portfolio and 4.51% for the S&P 500(R) Index, the Portfolio's benchmark.
Relative to the benchmark, the Portfolio's outperformance was primarily due to
the performance of the fixed income component of the Portfolio. The net return
of the fixed income component was greater than the average interest rate priced
into the S&P 500(R) Index futures contracts that the Portfolio purchased
throughout the year.
U.S. LARGE CAP EQUITY PORTFOLIO
The U.S. Large Cap Equity Portfolio invests in a broadly diversified group
of U.S. securities with increased exposure to lower total market capitalization
large company stocks, value stocks, and higher large cap profitability stocks
relative to the U.S. large-cap universe. Value is measured primarily by
book-to-market ratio. The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2016, the Portfolio held approximately
900 securities. In general, average cash exposure throughout the year was less
than 1% of the Portfolio's assets.
19
For the 12 months ended October 31, 2016, total returns were 3.51% for the
Portfolio and 4.26% for the Russell 1000(R) Index, the Portfolio's benchmark.
As a result of the Portfolio's diversified investment approach, performance was
determined principally by broad trends in the U.S. equity market, rather than
the behavior of a limited number of stocks. The Portfolio had a greater
allocation than the benchmark to lower total market capitalization stocks of
large companies, which detracted from the Portfolio's performance as mid-cap
stocks underperformed.
U.S. LARGE CAP VALUE PORTFOLIO
The U.S. Large Cap Value Portfolio is designed to capture the returns of
U.S. large-cap value stocks by purchasing shares of The U.S. Large Cap Value
Series, a Master Fund that invests in such stocks. Value is measured primarily
by book-to-market ratio. The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2016, the Master Fund held
approximately 300 securities. In general, average cash exposure throughout the
year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2016, total returns were 4.58% for the
Portfolio and 6.37% for the Russell 1000(R) Value Index, the Portfolio's
benchmark. As a result of the Master Fund's diversified investment approach,
performance was determined principally by broad trends in the U.S. equity
market rather than the behavior of a limited number of stocks. The Master Fund
had a larger allocation than the benchmark to lower relative price stocks,
which detracted from the Portfolio's performance relative to the benchmark, as
the lowest relative price quartile underperformed. The Master Fund's exclusion
of real estate investment trusts (REITs) and utilities detracted from
performance relative to the benchmark, as REITs and utilities outperformed most
other sectors during the period.
U.S. TARGETED VALUE PORTFOLIO
The U.S. Targeted Value Portfolio invests in a broadly diversified group of
U.S. small and mid-capitalization value stocks. Value is measured primarily by
book-to-market ratio. The U.S. Targeted Value Portfolio also may consider
profitability in the Portfolio's construction. In assessing profitability, the
Advisor may consider such factors as earnings or profits from operations
relative to book value or assets. The investment strategy is process driven,
emphasizing broad diversification. As of October 31, 2016, the Portfolio held
approximately 1,500 securities. In general, average cash exposure throughout
the year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2016, total returns were 4.21% for the
Portfolio's Class R1 shares, 4.04% for the Portfolio's Class R2 shares, 4.29%
for the Portfolio's Institutional Class shares, and 8.81% for the Russell
2000(R) Value Index, the Portfolio's benchmark. As a result of the Portfolio's
diversified investment approach, performance was determined principally by
broad trends in the U.S. equity market, rather than the behavior of a limited
number of stocks. The Portfolio had a greater allocation than the benchmark to
mid-cap stocks and a lower allocation to small-cap stocks. Mid-cap stocks
underperformed small-caps during the period and detracted from the Portfolio's
performance, relative to the benchmark. Within small-cap and mid-cap value
stocks, the Portfolio's greater emphasis on higher profitability stocks
detracted from relative performance as these stocks underperformed lower
profitability stocks during the period. The Portfolio's exclusion of real
estate investment trusts (REITs) and utilities detracted from relative
performance as these sectors outperformed most other sectors during the period.
U.S. SMALL CAP VALUE PORTFOLIO
The U.S. Small Cap Value Portfolio invests in a broadly diversified group of
U.S. small capitalization value stocks. Value is measured primarily by
book-to-market ratio. The U.S. Small Cap Value Portfolio also may consider
profitability in the Portfolio's construction. In assessing profitability, the
Advisor may consider such factors as earnings or profits from operations
relative to book value or assets. The investment strategy is process driven,
emphasizing broad diversification. As of October 31, 2016, the Portfolio held
approximately 1,100 securities. In general, average cash exposure throughout
the year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2016, total returns were 4.49% for the
Portfolio and 8.81% for the Russell 2000(R) Value Index, the Portfolio's
benchmark. As a result of the Portfolio's diversified investment approach,
performance was determined principally by broad trends in the U.S. equity
market, rather than the
20
behavior of a limited number of stocks. The Portfolio invests in a broader
market capitalization range of securities than the benchmark. This detracted
from the Portfolio's performance relative to the benchmark, as stocks above the
range of market capitalization held by the benchmark underperformed. The
Portfolio's greater allocation than the benchmark to deep value stocks also
detracted from relative performance. Within small-cap value stocks, the
Portfolio's greater emphasis on stocks with higher profitability detracted from
relative performance as these stocks underperformed lower profitability stocks
during the period. The Portfolio's exclusion of real estate investment trusts
and utilities detracted from relative performance as these sectors outperformed
most other sectors during the period.
U.S. CORE EQUITY 1 PORTFOLIO
The U.S. Core Equity 1 Portfolio invests in a broadly diversified group of
U.S. securities with increased exposure to smaller company stocks and value
stocks relative to the market. Value is measured primarily by book-to-market
ratio. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2016, the Portfolio held approximately 2,700
securities. In general, average cash exposure throughout the year was less than
1% of the Portfolio's assets.
For the 12 months ended October 31, 2016, total returns were 3.68% for the
Portfolio and 4.24% for the Russell 3000(R) Index, the Portfolio's benchmark.
As a result of the Portfolio's diversified investment approach, performance was
determined principally by broad trends in the U.S. equity market, rather than
the behavior of a limited number of stocks. The Portfolio had a greater
allocation than the benchmark to lower total market capitalization stocks,
which detracted from the Portfolio's performance as mid-cap stocks
underperformed. The Portfolio also had a lesser allocation to large cap growth
stocks, which outperformed.
U.S. CORE EQUITY 2 PORTFOLIO
The U.S. Core Equity 2 Portfolio invests in a broadly diversified group of
U.S. securities with increased exposure to smaller company stocks and value
stocks relative to the U.S. Core Equity 1 Portfolio and the market. Value is
measured primarily by book-to-market ratio. The investment strategy is process
driven, emphasizing broad diversification. As of October 31, 2016, the
Portfolio held approximately 2,700 securities. In general, average cash
exposure throughout the year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2016, total returns were 3.47% for the
Portfolio and 4.24% for the Russell 3000(R) Index, the Portfolio's benchmark.
As a result of the Portfolio's diversified investment approach, performance was
determined principally by broad trends in the U.S. equity market, rather than
the behavior of a limited number of stocks. The Portfolio had a greater
allocation than the benchmark to lower total market capitalization stocks,
which detracted from the Portfolio's performance as mid-cap stocks
underperformed. The Portfolio also had a lesser allocation to large cap growth
stocks, which outperformed.
U.S. VECTOR EQUITY PORTFOLIO
The U.S. Vector Equity Portfolio invests in a broadly diversified group of
U.S. securities with increased exposure to smaller company stocks and value
stocks relative to the market. Value is measured primarily by book-to-market
ratio. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2016, the Portfolio held approximately 2,600
securities. In general, average cash exposure throughout the year was less than
1% of the Portfolio's assets.
For the 12 months ended October 31, 2016, total returns were 3.28% for the
Portfolio and 4.24% for the Russell 3000(R) Index, the Portfolio's benchmark.
As a result of the Portfolio's diversified investment approach, performance was
determined principally by broad trends in the U.S. equity market, rather than
the behavior of a limited number of stocks. The Portfolio had a greater
allocation than the benchmark to lower total market capitalization stocks,
which detracted from the Portfolio's performance as mid-cap stocks
underperformed. The Portfolio also had a lesser allocation to large cap growth
stocks, which outperformed.
U.S. SMALL CAP PORTFOLIO
The U.S. Small Cap Portfolio invests in a broadly diversified group of U.S.
small company stocks. The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2016, the Portfolio held
21
approximately 2,000 securities. In general, average cash exposure throughout
the year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2016, total returns were 3.89% for the
Portfolio and 4.11% for the Russell 2000(R) Index, the Portfolio's benchmark.
As a result of the Portfolio's diversified investment approach, performance was
determined principally by broad trends in the U.S. equity market, rather than
the behavior of a limited number of stocks. The Portfolio's exclusion of real
estate investment trusts (REITs) detracted from its performance relative to the
benchmark, as REITs outperformed most other sectors during the period. Within
small-cap stocks, the Portfolio excluded certain stocks with lower
profitability and higher relative price, which benefited the Portfolio's
performance. These excluded stocks generally underperformed the benchmark
return during the period.
U.S. MICRO CAP PORTFOLIO
The U.S. Micro Cap Portfolio invests in a broadly diversified group of the
smallest U.S. company stocks and generally has a smaller market capitalization
profile than the U.S. Small Cap Portfolio. The investment strategy is process
driven, emphasizing broad diversification. As of October 31, 2016, the
Portfolio held approximately 1,600 securities. In general, average cash
exposure throughout the year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2016, total returns were 4.32% for the
Portfolio and 4.11% for the Russell 2000(R) Index, the Portfolio's benchmark.
As a result of the Portfolio's diversified investment approach, performance was
determined principally by broad trends in the U.S. equity market, rather than
the behavior of a limited number of stocks. Within small-caps, the Portfolio
excluded certain stocks with lower profitability and higher relative price,
which contributed to outperformance over the benchmark. These excluded stocks
generally underperformed the benchmark return during the period. The
Portfolio's exclusion of real estate investment trusts (REITs) detracted from
its performance relative to the benchmark as REITs outperformed most other
sectors during the period.
DFA REAL ESTATE SECURITIES PORTFOLIO
The DFA Real Estate Securities Portfolio is designed to capture the returns
of a broadly diversified portfolio of U.S. real estate securities. As of
October 31, 2016, the Portfolio held approximately 150 securities. In general,
cash exposure was low throughout the year with an average cash balance of less
than 1% of portfolio assets.
For the 12 months ended October 31, 2016, total returns were 6.89% for the
Portfolio, 4.96% for the Dow Jones U.S. Select REIT Index/SM/, the Portfolio's
benchmark, and 4.51% for the S&P 500(R) Index. As a result of the Portfolio's
diversified investment approach, performance was determined principally by
broad trends in the U.S. real estate securities market rather than the behavior
of a limited number of securities. Differences in REIT eligibility between the
Portfolio and the Dow Jones U.S. Select REIT Index/SM/ were the primary driver
of the Portfolio's outperformance relative to the benchmark.
INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2016
Performance of non-U.S. developed markets was varied for the period.
Small-cap stocks had positive returns, while large-cap stocks had negative
returns. As measured by the MSCI World ex USA indices, small-cap stocks
outperformed large-cap stocks, and value stocks outperformed growth stocks.
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
RETURN IN U.S. DOLLARS
----------------------
MSCI World ex USA Index............ -2.27%
MSCI World ex USA Small Cap Index.. 3.96%
MSCI World ex USA Value Index...... -2.07%
MSCI World ex USA Growth Index..... -2.58%
During the period, the performance of the U.S. dollar was mixed when
compared against currencies of other developed markets. In particular, while
the U.S. dollar appreciated significantly against the British pound, it
22
depreciated significantly against the Japanese yen. Overall, currency
fluctuations detracted from USD-denominated returns in developed markets.
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLARS
--------------------------------------------------- ------------ ----------------------
Japan............................. -10.14% 3.19%
United Kingdom.................... 13.55% -10.24%
France............................ -4.31% -5.04%
Switzerland....................... -8.27% -8.57%
Canada............................ 11.55% 8.90%
Germany........................... -2.14% -2.89%
Australia......................... 5.52% 12.55%
Hong Kong......................... 8.52% 8.45%
Spain............................. -8.40% -9.10%
Netherlands....................... 0.63% -0.20%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2016, all rights reserved
Emerging markets had stronger performance over the period than non-U.S.
developed markets. As measured by the MSCI emerging markets indices, small-cap
stocks underperformed large-cap stocks, and growth stocks outperformed value
stocks.
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
RETURN IN U.S. DOLLARS
----------------------
MSCI Emerging Markets Index............. 9.27%
MSCI Emerging Markets Small Cap Index... 4.78%
MSCI Emerging Markets Value Index....... 8.60%
MSCI Emerging Markets Growth Index...... 9.81%
During the period, the performance of the U.S. dollar was mixed when
compared against currencies of emerging markets. In particular, while the U.S.
dollar appreciated significantly against the Mexican peso, it also depreciated
significantly against the Brazilian real. Overall, currency fluctuations
benfitted from USD-denominated returns in emerging markets.
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
TEN LARGEST EMERGING MARKETS BY MARKET
CAP LOCAL RETURN RETURN IN U.S. DOLLARS
-------------------------------------- ------------ ----------------------
China................................... 1.62% 1.54%
Korea................................... 5.56% 5.17%
Taiwan.................................. 14.56% 17.85%
India................................... 6.28% 3.99%
South Africa............................ -0.92% 1.46%
Brazil.................................. 40.59% 70.69%
Mexico.................................. 8.65% -4.51%
Russia.................................. 17.86% 18.61%
Malaysia................................ 4.44% 6.95%
Indonesia............................... 26.13% 32.31%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2016, all rights reserved.
For funds investing in non-US equities traded outside of the U.S. market time
zone, differences in the valuation timing and methodology between a fund and
its benchmark index may impact relative performance over the
23
referenced period. The funds price foreign exchange rates at the closing of the
U.S. market while their benchmark indices use rates at 4 pm London time. The
funds also may use fair value pricing to price certain portfolio securities at
the closing of the U.S. market, while benchmark indices may use local market
closing prices. For the one-year period ended October 31, 2016, these
differences generally benefitted the funds' relative performance.
GLOBAL REAL ESTATE MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2016
Publicly traded global real estate investment trusts (REITs) and REIT-like
securities produced positive overall returns during the period. REITs and
REIT-like securities generally outperformed developed non-U.S. equity markets
but underperformed U.S. and emerging markets equities. The U.S. REIT market,
the world's largest, had positive performance and outperformed non-U.S. REITs
and REIT-like securities overall. Across larger REIT and REIT-like markets,
Japan and Australia were among the stronger performers, while the U.K. had the
weakest performance during the period. As measured by the S&P Global REIT
Index, industrial and healthcare REITs and REIT-like securities had the largest
gains, while hotel/resort and retail REITs and REIT-like securities had the
weakest returns.
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
RETURN IN U.S. DOLLARS
----------------------
S&P Global ex U.S. REIT Index (net dividends)... 1.28%
S&P Global REIT Index (net dividends)........... 3.89%
----------
Source: Standard and Poor's. Copyright S&P, 2016. All rights reserved.
For funds investing in non-US REITs and REIT-like securities traded outside of
the U.S. market time zone, differences in the valuation timing and methodology
between a fund and its benchmark index may impact relative performance over the
referenced period. The funds price foreign exchange rates at the closing of the
U.S. market while their benchmark indices use rates at 4 pm London time. The
funds also may use fair value pricing to price certain portfolio securities at
the closing of the U.S. market, while benchmark indices may use local market
closing prices. For the one-year period ended October 31, 2016, these
differences generally benefitted the funds' relative performance.
MASTER-FEEDER STRUCTURE
Certain portfolios described below, called "Feeder Funds," do not buy
individual securities directly; instead, these portfolios invest in
corresponding funds called "Master Funds." Master Funds, in turn, purchase
stocks and/or other securities directly.
LARGE CAP INTERNATIONAL PORTFOLIO
The Large Cap International Portfolio seeks to capture the returns of a
broadly diversified portfolio of developed ex U.S. large company stocks. The
investment strategy is process driven, emphasizing broad diversification. As of
October 31, 2016, the Portfolio held approximately 1,300 securities in 22
eligible developed markets. In general, average cash exposure throughout the
year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2016, total returns were -1.30% for the
Portfolio and -2.27% for the MSCI World ex USA Index (net dividends), the
Portfolio's benchmark. As a result of the Portfolio's diversified investment
approach, performance was determined principally by broad trends in developed
ex U.S. equity markets rather than by the behavior of a limited number of
stocks. The Portfolio's emphasis on large company stocks with relatively
smaller market capitalization rather than on the broad large-cap universe
contributed positively to its performance relative to the benchmark, as those
stocks outperformed for the period.
INTERNATIONAL CORE EQUITY PORTFOLIO
The International Core Equity Portfolio invests in a broadly diversified
group of stocks in developed ex U.S. markets, with increased exposure to stocks
with smaller market capitalization and lower relative price. The investment
strategy is process driven, emphasizing broad diversification. As of October
31, 2016, the Portfolio held approximately 5,100 securities in 22 eligible
developed markets. In general, average cash exposure throughout the year was
less than 1% of the Portfolio's assets.
24
For the 12 months ended October 31, 2016, total returns were 1.62% for the
Portfolio and -2.27% for the MSCI World ex USA Index (net dividends), the
Portfolio's benchmark. As a result of the Portfolio's diversified investment
approach, performance was determined principally by broad trends in developed
ex U.S. equity markets rather than by the behavior of a limited number of
stocks. The Portfolio invests in stocks across all size categories, while the
benchmark primarily includes large- and mid-cap stocks. With developed ex U.S.
small-cap stocks generally outperforming large-cap stocks during the period,
the Portfolio's inclusion of small-cap stocks contributed positively to
performance relative to the benchmark. To a lesser extent, the Portfolio's
greater emphasis than the benchmark on low relative price (value) stocks also
had a positive impact on the Portfolio's relative performance, as value stocks
generally outperformed during the period.
INTERNATIONAL SMALL COMPANY PORTFOLIO
The International Small Company Portfolio is designed to capture the returns
of developed ex U.S. small company stocks by purchasing shares of five Master
Funds managed by Dimensional that invest individually in Canada, the United
Kingdom, Europe (including Israel and excluding the U.K.), Japan, and the Asia
Pacific region (ex Japan). The investment strategy is process driven,
emphasizing broad diversification. As of October 31, 2016, the Master Funds
collectively held approximately 4,200 securities in 22 eligible developed
markets. In general, average cash exposure throughout the year was less than 1%
of the Portfolio's assets.
For the 12 months ended October 31, 2016, total returns were 5.43% for the
Portfolio and 3.96% for the MSCI World ex USA Small Cap Index (net dividends),
the Portfolio's benchmark. As a result of each Master Fund's diversified
investment approach, performance was determined principally by broad trends in
developed ex U.S. equity markets rather than by the behavior of a limited
number of stocks. The Master Funds' greater allocation than the benchmark to
micro-cap securities was the primary driver of outperformance, as micro caps
generally outperformed other small-cap securities. The Master Funds generally
exclude real estate investment trusts (REITs), which also contributed
positively to relative performance, as REITs generally underperformed the
benchmark.
JAPANESE SMALL COMPANY PORTFOLIO
The Japanese Small Company Portfolio is designed to capture the returns of
Japanese small company stocks by purchasing shares of the Japanese Small
Company Series, a Master Fund managed by Dimensional that invests in such
securities. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2016, the Master Fund held approximately
1,500 securities. In general, average cash exposure throughout the year was
less than 1% of the Master Fund's assets.
For the 12 months ended October 31, 2016, total returns were 14.04% for the
Portfolio and 13.21% for the MSCI Japan Small Cap Index (net dividends), the
Portfolio's benchmark. As a result of the Master Fund's diversified investment
approach, performance was determined principally by broad trends in the
Japanese equity market rather than by the behavior of a limited number of
stocks. The Master Fund's greater allocation than the benchmark to micro-cap
securities had a positive impact on its performance relative to the benchmark ,
as micro-caps generally outperformed other small-cap securities. The Master
Fund's outperformance was partially offset by the exclusion of real estate
investment trusts (REITs), which outperformed the overall benchmark.
ASIA PACIFIC SMALL COMPANY PORTFOLIO
The Asia Pacific Small Company Portfolio is designed to capture the returns
of small company stocks in Australia, Hong Kong, New Zealand, and Singapore by
purchasing shares of the Asia Pacific Small Company Series, a Master Fund
managed by Dimensional that invests in such securities. The investment strategy
is process driven, emphasizing broad diversification. As of October 31, 2016,
the Master Fund held approximately 850 securities across the eligible
countries. Country allocations generally reflect the approximate weights of
individual securities within a universe of these countries' stocks constructed
by the Advisor. In general, average cash exposure throughout the year was less
than 1% of the Master Fund's assets.
For the 12 months ended October 31, 2016, total returns were 16.18% for the
Portfolio and 10.56% for the MSCI Pacific ex Japan Small Cap Index (net
dividends), the Portfolio's benchmark. As a result of the Master Fund's
diversified investment approach, performance was determined principally by
broad trends in Asia Pacific
25
equity markets rather than by the behavior of a limited number of stocks. The
Master Fund's exclusion of small- and micro-cap stocks with high relative price
(growth) and low profitability contributed to outperformance relative to the
benchmark, as that segment of the market underperformed. The Master Fund's
holdings of micro-cap securities, which were held at higher weight than in the
benchmark, outperformed and also contributed positively to relative
performance. In addition, due to differences in methodology the Master Fund may
invest in or hold securities that the benchmark deems to be too large to be
eligible for inclusion; during the period, these securities also outperformed,
contributing to the Master Fund's relative performance.
UNITED KINGDOM SMALL COMPANY PORTFOLIO
The United Kingdom Small Company Portfolio is designed to capture the
returns of small company stocks in the U.K. by purchasing shares of the United
Kingdom Small Company Series, a Master Fund managed by Dimensional that invests
in such securities. The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2016, the Master Fund held
approximately 320 securities. In general, average cash exposure throughout the
year was less than 1% of the Master Fund's assets.
For the 12 months ended October 31, 2016, total returns were -16.20% for the
Portfolio and -15.89% for the MSCI UK Small Cap Index (net dividends), the
Portfolio's benchmark. As a result of the Master Fund's diversified investment
approach, performance was determined principally by broad trends in the U.K.
equity market rather than by the behavior of a limited number of stocks. The
Master Fund's overall performance was adversely affected by the British vote on
June 23, 2016 to exit the European Union. The Master Fund's investments are
denominated primarily in British pounds, which depreciated approximately 16%
from the aftermath of the vote through October 31, 2016. The Master Fund
generally excludes real estate investment trusts (REITs), which contributed
positively to its performance relative to the benchmark, as REITs in the U.K.
underperformed all other sectors during the period. This was offset by
differences between the Master Fund's and the benchmark's holdings in the
consumer discretionary sector, as the benchmark's holdings in this sector
outperformed those of the Master Fund.
CONTINENTAL SMALL COMPANY PORTFOLIO
The Continental Small Company Portfolio is designed to capture the returns
of small company stocks in the developed markets of Europe (excluding the U.K.)
and Israel by purchasing shares of the Continental Small Company Series, a
Master Fund managed by Dimensional that invests in such securities. The
investment strategy is process driven, emphasizing broad diversification. As of
October 31, 2016, the Master Fund held approximately 1,160 securities in 14
eligible developed European countries plus Israel. In general, average cash
exposure throughout the year was less than 1% of the Master Fund's assets.
For the 12 months ended October 31, 2016, total returns were 5.70% for the
Portfolio and 2.61% for the MSCI Europe ex UK Small Cap Index (net dividends),
the Portfolio's benchmark. As a result of the Master Fund's diversified
investment approach, performance was determined principally by broad trends in
the European (excluding the U.K.) and Israeli equity markets rather than by the
behavior of a limited number of stocks. The Master Fund's holdings of microcap
securities, held at a higher weight than in the benchmark, outperformed and
contributed to performance relative to the benchmark. In addition, due to
differences in methodology, the Master Fund may invest in or hold securities
that the benchmark deems to be too large to be eligible for inclusion. During
the period, the Master Fund's holdings of these securities outperformed and
contributed positively to relative performance. The Master Fund generally
excludes real estate investment trusts (REITs), which contributed positively to
outperformance relative to the benchmark, as REITs underperformed the overall
index.
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
The DFA International Real Estate Securities Portfolio is designed to
capture the returns of a broadly diversified portfolio of real estate
securities in developed ex U.S. and emerging markets. As of October 31, 2016,
the Portfolio held approximately 260 securities in 21 approved developed ex
U.S. and emerging markets countries. In general, average cash exposure
throughout the year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2016, total returns were 1.05% for the
Portfolio and 1.28% for the S&P Global ex US REIT Index (net dividends), the
Portfolio's benchmark. As a result of the Portfolio's diversified approach,
performance was generally determined by broad trends in developed ex U.S. real
estate securities
26
markets rather than by the behavior of a limited number of stocks. The
Portfolio's overall performance and its benchmark were adversely affected by
the British vote on June 23, 2016 to exit the European Union. The Portfolio
held an average weight of approximately 15% in UK REITs over the one year
period ended October 31, 2016. The Portfolio's exclusion of Thailand REITs,
which outperformed and were included in the benchmark, detracted from the
Portfolio's performance relative to the benchmark. In addition, small holdings
differences in Japan, the U.K., and Australia, resulting from differences in
the classification of eligible securities between the Portfolio and the
benchmark, also detracted from relative performance.
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
The DFA Global Real Estate Securities Portfolio is designed to capture the
returns of a broadly diversified group of real estate securities in developed
and emerging markets. As of October 31, 2016, the Portfolio invested in the DFA
International Real Estate Securities Portfolio, the DFA Real Estate Securities
Portfolio, and individual securities. As of October 31, 2016, the Portfolio
held, either directly or through the underlying portfolios, approximately 410
securities in 22 approved developed and emerging markets countries. In general,
average cash exposure throughout the year was less than 1% of the Portfolio's
assets.
For the 12 months ended October 31, 2016, total returns were 4.87% for the
Portfolio and 3.89% for the S&P Global REIT Index (net dividends), the
Portfolio's benchmark. As a result of the Portfolio's diversified approach,
performance was generally determined by broad trends in global real estate
markets rather than by the behavior of a limited number of stocks. The
Portfolio's overall performance and its benchmark were adversely affected by
the British vote on June 23, 2016 to exit the European Union. The Portfolio
held an average weight of approximately 5% in UK REITs over the one year period
ended October 31, 2016. The Portfolio's holdings in the U.S. outperformed those
in the benchmark. Withholding tax rate differences between the Portfolio and
the benchmark also contributed positively to the Portfolio's relative
performance relative to the benchmark.
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
The DFA International Small Cap Value Portfolio is designed to capture the
returns of small-cap value stocks in developed ex U.S. markets. Value is
measured primarily by price-to-book ratio. The investment strategy is process
driven, emphasizing broad diversification. As of October 31, 2016, the
Portfolio held over 2,200 securities in 22 eligible developed markets. In
general, average cash exposure throughout the year was less than 1% of the
Portfolio's assets.
For the 12 months ended October 31, 2016, total returns were 4.09% for the
Portfolio and 3.96% for the MSCI World ex USA Small Cap Index (net dividends),
the Portfolio's benchmark. As a result of the Portfolio's diversified
investment approach, performance was determined principally by broad trends in
developed ex U.S. equity markets rather than by the behavior of a limited
number of stocks. The Portfolio focuses on deep value stocks, while the
benchmark does not. This difference had a positive impact on the Portfolio's
performance relative to the benchmark, as value stocks generally outperformed
during the period. The Portfolio generally excludes real estate investment
trusts (REITs), which also had a positive impact on relative outperformance as
REITs underperformed the benchmark.
INTERNATIONAL VECTOR EQUITY PORTFOLIO
The International Vector Equity Portfolio is designed to capture the returns
of a broadly diversified group of stocks in developed ex U.S. markets, with
increased exposure to stocks with smaller market capitalization, lower relative
price, and higher profitability. The investment strategy is process driven,
emphasizing broad diversification. As of October 31, 2016, the Portfolio held
approximately 4,600 securities in 22 eligible developed markets. In general,
average cash exposure throughout the year was less than 1% of the Portfolio's
assets.
For the 12 months ended October 31, 2016, total returns were 3.21% for the
Portfolio and -2.27% for the MSCI World ex USA Index (net dividends), the
Portfolio's benchmark. As a result of the Portfolio's diversified investment
approach, performance was determined principally by broad trends in developed
ex U.S. equity markets rather than by the behavior of a limited number of
stocks. The Portfolio invests in stocks across all size categories, while the
benchmark primarily includes large and mid-cap stocks. With developed ex U.S.
small-cap stocks generally
27
outperforming large-cap stocks during the period, the Portfolio's inclusion of
small-cap stocks contributed positively to performance relative to the
benchmark. To a lesser extent, the Portfolio's greater emphasis than the
benchmark on low relative price (value) stocks also had a positive impact on
the Portfolio's relative performance, as value stocks outperformed during the
period.
WORLD EX U.S. VALUE PORTFOLIO
The World ex U.S. Value Portfolio is designed to capture the returns of
value stocks across all market capitalizations in developed ex U.S. and
emerging markets. The Portfolio may pursue its objective by holding direct
securities; by purchasing shares of funds managed by Dimensional: the DFA
International Value Series, the DFA International Small Cap Value Portfolio,
and the Dimensional Emerging Markets Value Fund (the "Underlying Funds"); or by
a combination of securities and Underlying Funds. Value is measured primarily
by price-to-book ratio. The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2016, the Underlying Funds
collectively held approximately 4,900 securities in 41 eligible developed ex US
and emerging markets. In general, average cash exposure throughout the year was
less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2016, total returns were 3.54% for the
Portfolio and 0.22% for the MSCI All Country World ex USA Index (net
dividends), the Portfolio's benchmark. As a result of the Underlying Funds'
diversified investment approach, performance was determined principally by
broad trends in developed ex U.S. and emerging equity markets rather than by
the behavior of a limited number of stocks. The Underlying Funds invest
primarily in value stocks, while the benchmark is neutral with regard to value
or growth stocks. The Underlying Funds' emphasis on deep value stocks
contributed positively to the Portfolio's performance relative to the
benchmark, as that segment of the market outperformed for the year. The
Underlying Funds' inclusion of and emphasis on small and mid-cap stocks also
contributed positively to the Portfolio's performance relative to the
benchmark, as those stocks outperformed for the period.
WORLD EX U.S. TARGETED VALUE PORTFOLIO
The World ex U.S. Targeted Value Portfolio is designed to capture the
returns of small and mid-cap value stocks in developed ex U.S. and emerging
markets. Value is measured primarily by price-to-book ratio. The investment
strategy is process driven, emphasizing broad diversification. As of October
31, 2016, the Portfolio held approximately 3,600 securities. In general,
average cash exposure throughout the year was less than 1% of the Portfolio's
assets.
For the 12 months ended October 31, 2016, total returns were 7.18% for the
Portfolio and 4.22% for the MSCI All Country World ex USA Small Cap Index (net
dividends), the Portfolio's benchmark. As a result of the Portfolio's
diversified investment approach, performance was determined principally by
broad trends in developed ex U.S. and emerging markets rather than by the
behavior of a limited number of stocks. The Portfolio's emphasis on value
stocks, compared to the benchmark, which is neutral with regard to value or
growth stocks, had a positive impact on the Portfolio's performance relative to
the benchmark, as value stocks generally outperformed during the period. The
Portfolio generally excludes real estate investment trusts (REITs), which also
contributed positively to relative performance as REITs underperformed the
benchmark.
WORLD EX U.S. CORE EQUITY PORTFOLIO
The World ex U.S. Core Equity Portfolio is designed to capture the returns
of a broadly diversified group of stocks in developed ex U.S. and emerging
markets with increased exposure to stocks with smaller market capitalization
and lower relative price. The investment strategy is process driven,
emphasizing broad diversification. As of October 31, 2016, the Portfolio held
approximately 7,000 securities in 43 eligible developed and emerging markets.
In general, average cash exposure throughout the year was less than 1% of the
Portfolio's assets.
For the 12 months ended October 31, 2016, total returns were 3.58% for the
Portfolio and 0.22% for the MSCI All Country World ex USA Index (net
dividends), the Portfolio's benchmark. As a result of the Portfolio's
diversified investment approach, performance was determined principally by
broad trends in developed ex U.S. and emerging equity markets rather than by
the behavior of a limited number of stocks. The Portfolio invests in stocks
across all size categories, while the benchmark primarily holds large and
mid-cap stocks. The Portfolio's inclusion of
28
small-cap stocks contributed positively to performance relative to the
benchmark. To a lesser extent, the Portfolio's greater emphasis than the
benchmark on low relative price (value) stocks also had a positive impact on
the Portfolio's relative performance, as value stocks outperformed during the
period.
WORLD CORE EQUITY PORTFOLIO
The World Core Equity Portfolio seeks long-term capital appreciation
generally by investing in a combination of mutual funds managed by Dimensional.
As of the date of this report, the Portfolio's investments included the U.S.
Core Equity 1 Portfolio, International Core Equity Portfolio, and Emerging
Markets Core Equity Portfolio (collectively, the "Underlying Funds"). The
investment strategy is process driven, emphasizing broad diversification. As of
October 31, 2016, the Underlying Funds collectively held more than 12,000
equity securities in 44 countries.
For the 12 months ended October 31, 2016, total returns were 3.73% for the
Portfolio and 2.05% for the MSCI All Country World Index (net dividends), the
Portfolio's benchmark. As a result of the Underlying Funds' diversified
investment approach, performance was determined principally by broad trends in
global equity markets rather than the behavior of a limited group of stocks.
The Underlying Funds' greater exposure than the benchmark to smaller and deeper
value stocks, both of which generally outperformed the benchmark, contributed
to the Portfolio's performance relative to the benchmark.
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO
The Selectively Hedged Global Equity Portfolio seeks long-term capital
appreciation by investing in a combination of mutual funds managed by
Dimensional. As of the date of this report, the Portfolio invests in the U.S.
Core Equity 2 Portfolio, International Core Equity Portfolio, and Emerging
Markets Core Equity Portfolio (the "Underlying Funds"). The Portfolio hedges
foreign currency exposure on a selective basis to capture positive forward
currency premiums. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2016, the Underlying Funds collectively held
more than 12,000 equity securities in 44 countries.
For the 12 months ended October 31, 2016, total returns were 4.32% for the
Portfolio and 2.05% for the MSCI All Country World Index (net dividends), the
Portfolio's benchmark. As a result of the Underlying Funds' diversified
investment approach, performance was determined principally by broad trends in
global equity markets rather than the behavior of a limited group of stocks in
a particular industry or country. The Underlying Funds invest in stocks across
all eligible countries but had a lower allocation than the benchmark to the
U.S. and a higher allocation than the benchmark to emerging markets. For the
period, emerging markets securities outperformed both U.S. and developed ex
U.S. securities, and the Underlying Funds' country allocation contributed to
the Portfolio's performance relative to the benchmark. The Underlying Funds'
greater exposure than the benchmark to smaller and deeper value stocks, both of
which outperformed, contributed to the Portfolio's relative performance. To a
lesser extent, the Portfolio's strategy of selectively hedging foreign currency
exposure contributed to relative returns, particularly hedging British pound
exposure, as the British pound depreciated against the U.S. dollar.
EMERGING MARKETS PORTFOLIO
The Emerging Markets Portfolio is designed to capture the returns of
large-cap stocks in selected emerging markets countries by purchasing shares of
The Emerging Markets Series, a Master Fund managed by Dimensional that invests
in such securities. The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2016, the Master Fund held
approximately 1,000 securities across 21 eligible emerging markets. In general,
average cash exposure throughout the year was less than 1% of the Master Fund's
assets.
For the 12 months ended October 31, 2016, total returns were 11.01% for the
Portfolio and 9.27% for the MSCI Emerging Markets Index (net dividends), the
Portfolio's benchmark. As a result of the Master Fund's diversified approach,
performance was generally determined by broad trends in emerging markets rather
than by the behavior of a limited number of stocks. The relative outperformance
of the Master Fund was driven primarily by country allocation differences
between the Master Fund and the benchmark. The Master Fund's lesser allocation
to China contributed positively to the Portfolio's performance relative to the
benchmark, as China underperformed the benchmark during the period. The Master
Fund's greater allocation to Brazil (due to caps on larger countries such as
China) also had a positive impact on relative performance, as Brazil was the
strongest-performing country for
29
the year. In addition, the Master Fund's emphasis on value stocks contributed
positively to relative performance, as that segment of the market outperformed
for the year.
EMERGING MARKETS SMALL CAP PORTFOLIO
The Emerging Markets Small Cap Portfolio is designed to capture the returns
of small company stocks in selected emerging markets by purchasing shares of
The Emerging Markets Small Cap Series, a Master Fund managed by Dimensional
that invests in such securities. The Master Fund's investment strategy is
process driven, emphasizing broad diversification. As of October 31, 2016, the
Master Fund held approximately 3,600 securities across 17 eligible emerging
markets. In general, average cash exposure throughout the year was less than 1%
of the Master Fund's assets.
For the 12 months ended October 31, 2016, total returns were 13.96% for the
Portfolio and 9.27% for the MSCI Emerging Markets Index (net dividends), the
Portfolio's benchmark. As a result of the Master Fund's diversified approach,
performance was principally determined by broad trends in emerging markets
rather than by the behavior of a limited number of stocks. The relative
outperformance of the Master Fund was driven primarily by size allocation
differences between the Master Fund and the benchmark. The Master Fund focuses
on small-cap stocks while the benchmark primarily holds large-cap and mid-cap
stocks. Emerging markets small-cap stocks outperformed emerging markets
large-caps and mid-caps during the period, contributing to the Master Fund's
outperformance relative to the benchmark. The Master Fund's lesser allocation
to China also contributed positively to relative performance, as China
underperformed the benchmark during the period. The Master Fund's greater
allocation to Brazil also had a positive impact on relative performance, as
Brazil was the strongest-performing country for the year.
EMERGING MARKETS VALUE PORTFOLIO
The Emerging Markets Value Portfolio is designed to capture the returns of
value stocks of large and small companies in selected emerging markets by
purchasing shares of the Dimensional Emerging Markets Value Fund, a Master Fund
managed by Dimensional that invests in such securities. Value is measured
primarily by price-to-book ratio. The investment strategy is process driven,
emphasizing broad diversification. As of October 31, 2016, the Master Fund held
approximately 2,200 securities across 19 eligible emerging markets. In general,
average cash exposure throughout the year was less than 1% of the Master Fund's
assets.
For the 12 months ended October 31, 2016, total returns were 14.98% for the
Portfolio's Class R2 shares, 15.23% for the Portfolio's Institutional
Class shares, and 9.27% for the MSCI Emerging Markets Index (net dividends),
the Portfolio's benchmark. As a result of the Master Fund's diversified
investment approach, performance was generally determined by broad trends in
emerging markets rather than by the behavior of a limited number of stocks. The
Master Fund invests primarily in low relative price (value) stocks, while the
benchmark is neutral with regard to value or growth stocks. The Master Fund's
emphasis on the lowest relative price (deep value) stocks contributed
positively to the Portfolio's performance relative to the benchmark, as that
segment of the market outperformed for the year, especially among small-caps.
In addition, differences in country allocations contributed positively to the
Master Fund's relative performance. The Master Fund held a lesser allocation to
China, which underperformed, and a greater allocation to Brazil, which
outperformed, in each case contributing positively to relative performance.
EMERGING MARKETS CORE EQUITY PORTFOLIO
The Emerging Markets Core Equity Portfolio is designed to capture the
returns of a broadly diversified group of stocks in emerging markets, with
increased exposure to stocks with smaller market capitalization, lower relative
price, and higher profitability. The investment strategy is process driven,
emphasizing broad diversification. As of October 31, 2016, the Portfolio held
approximately 4,400 securities across 21 eligible emerging markets. In general,
average cash exposure throughout the year was less than 1% of the Portfolio's
assets.
For the 12 months ended October 31, 2016, total returns were 11.87% for the
Portfolio and 9.27% for the MSCI Emerging Markets Index (net dividends), the
Portfolio's benchmark. As a result of the Portfolio's diversified approach,
performance was generally determined by broad trends in emerging markets rather
than by the behavior of a limited number of stocks. The Portfolio's inclusion
of small-cap securities, particularly the lowest relative price
30
(deep value) small-cap securities, contributed positively to its performance
relative to the benchmark, as that segment of the market outperformed for the
year. At the country level, the Portfolio's lesser allocation to China
benefited relative performance, as China underperformed. In addition, the
Portfolio's greater allocation to Brazil had a positive impact on the
Portfolio's relative performance, as Brazil was the strongest performer in the
benchmark for the year.
31
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2016
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/16 10/31/16 RATIO* PERIOD*
--------- --------- ---------- --------
ENHANCED U.S. LARGE COMPANY PORTFOLIO
-------------------------------------
Actual Fund Return
Institutional Class Shares........... $1,000.00 $1,040.10 0.23% $1.18
Hypothetical 5% Annual Return
Institutional Class Shares........... $1,000.00 $1,023.98 0.23% $1.17
32
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/16 10/31/16 RATIO* PERIOD*
--------- --------- ---------- --------
U.S. LARGE CAP EQUITY PORTFOLIO
-------------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,038.80 0.17% $0.87
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,024.28 0.17% $0.87
U.S. LARGE CAP VALUE PORTFOLIO**
--------------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,046.00 0.27% $1.39
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,023.78 0.27% $1.37
U.S. TARGETED VALUE PORTFOLIO
-----------------------------
Actual Fund Return
Class R1 Shares................. $1,000.00 $1,036.30 0.47% $2.41
Class R2 Shares................. $1,000.00 $1,035.10 0.62% $3.17
Institutional Class Shares...... $1,000.00 $1,036.80 0.37% $1.89
Hypothetical 5% Annual Return
Class R1 Shares................. $1,000.00 $1,022.77 0.47% $2.39
Class R2 Shares................. $1,000.00 $1,022.02 0.62% $3.15
Institutional Class Shares...... $1,000.00 $1,023.28 0.37% $1.88
U.S. SMALL CAP VALUE PORTFOLIO
------------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,038.50 0.52% $2.66
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,022.52 0.52% $2.64
U.S. CORE EQUITY 1 PORTFOLIO
----------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,038.70 0.19% $0.97
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,024.18 0.19% $0.97
U.S. CORE EQUITY 2 PORTFOLIO
----------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,039.40 0.22% $1.13
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,024.03 0.22% $1.12
U.S. VECTOR EQUITY PORTFOLIO
----------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,038.70 0.32% $1.64
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,023.53 0.32% $1.63
33
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/16 10/31/16 RATIO* PERIOD*
--------- --------- ---------- --------
U.S. SMALL CAP PORTFOLIO
------------------------
Actual Fund Return
Institutional Class Shares................ $1,000.00 $1,041.40 0.37% $1.90
Hypothetical 5% Annual Return
Institutional Class Shares................ $1,000.00 $1,023.28 0.37% $1.88
U.S. MICRO CAP PORTFOLIO
------------------------
Actual Fund Return
Institutional Class Shares................ $1,000.00 $1,045.90 0.52% $2.67
Hypothetical 5% Annual Return
Institutional Class Shares................ $1,000.00 $1,022.52 0.52% $2.64
DFA REAL ESTATE SECURITIES PORTFOLIO
------------------------------------
Actual Fund Return
Institutional Class Shares................ $1,000.00 $1,018.40 0.18% $0.91
Hypothetical 5% Annual Return
Institutional Class Shares................ $1,000.00 $1,024.23 0.18% $0.92
LARGE CAP INTERNATIONAL PORTFOLIO
---------------------------------
Actual Fund Return
Institutional Class Shares................ $1,000.00 $1,011.00 0.28% $1.42
Hypothetical 5% Annual Return
Institutional Class Shares................ $1,000.00 $1,023.73 0.28% $1.42
INTERNATIONAL CORE EQUITY PORTFOLIO
-----------------------------------
Actual Fund Return
Institutional Class Shares................ $1,000.00 $1,019.00 0.38% $1.93
Hypothetical 5% Annual Return
Institutional Class Shares................ $1,000.00 $1,023.23 0.38% $1.93
INTERNATIONAL SMALL COMPANY PORTFOLIO*****
------------------------------------------
Actual Fund Return
Institutional Class Shares................ $1,000.00 $1,023.90 0.54% $2.75
Hypothetical 5% Annual Return
Institutional Class Shares................ $1,000.00 $1,022.42 0.54% $2.75
JAPANESE SMALL COMPANY PORTFOLIO**
----------------------------------
Actual Fund Return
Institutional Class Shares................ $1,000.00 $1,133.50 0.54% $2.90
Hypothetical 5% Annual Return
Institutional Class Shares................ $1,000.00 $1,022.42 0.54% $2.75
ASIA PACIFIC SMALL COMPANY PORTFOLIO**
--------------------------------------
Actual Fund Return
Institutional Class Shares................ $1,000.00 $1,064.00 0.55% $2.85
Hypothetical 5% Annual Return
Institutional Class Shares................ $1,000.00 $1,022.37 0.55% $2.80
34
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/16 10/31/16 RATIO* PERIOD*
--------- --------- ---------- --------
UNITED KINGDOM SMALL COMPANY PORTFOLIO**
----------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $ 882.00 0.59% $2.79
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,022.17 0.59% $3.00
CONTINENTAL SMALL COMPANY PORTFOLIO**
-------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,016.10 0.55% $2.79
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,022.37 0.55% $2.80
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
--------------------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $ 939.00 0.28% $1.36
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,023.73 0.28% $1.42
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO****
-----------------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $ 990.00 0.24% $1.20
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,023.93 0.24% $1.22
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
-------------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,026.70 0.68% $3.46
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,021.72 0.68% $3.46
INTERNATIONAL VECTOR EQUITY PORTFOLIO
-------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,026.10 0.49% $2.50
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,022.67 0.49% $2.49
WORLD EX U.S. VALUE PORTFOLIO***
--------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,052.00 0.52% $2.68
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,022.52 0.52% $2.64
WORLD EX U.S. TARGETED VALUE PORTFOLIO
--------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,038.00 0.79% $4.05
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,021.17 0.79% $4.01
35
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/16 10/31/16 RATIO* PERIOD*
--------- --------- ---------- --------
WORLD EX U.S. CORE EQUITY PORTFOLIO
-----------------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $1,036.40 0.47% $2.41
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,022.77 0.47% $2.39
WORLD CORE EQUITY PORTFOLIO***
------------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $1,036.90 0.30% $1.54
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,023.63 0.30% $1.53
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO***
---------------------------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $1,057.20 0.35% $1.81
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,023.38 0.35% $1.78
EMERGING MARKETS PORTFOLIO**
----------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $1,091.50 0.56% $2.94
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,022.32 0.56% $2.85
EMERGING MARKETS SMALL CAP PORTFOLIO**
--------------------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $1,089.60 0.71% $3.73
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,021.57 0.71% $3.61
EMERGING MARKETS VALUE PORTFOLIO**
----------------------------------
Actual Fund Return
Class R2 Shares.............................. $1,000.00 $1,104.40 0.81% $4.28
Institutional Class Shares................... $1,000.00 $1,105.50 0.56% $2.96
Hypothetical 5% Annual Return
Class R2 Shares.............................. $1,000.00 $1,021.06 0.81% $4.12
Institutional Class Shares................... $1,000.00 $1,022.32 0.56% $2.85
EMERGING MARKETS CORE EQUITY PORTFOLIO
--------------------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $1,092.00 0.61% $3.21
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,022.07 0.61% $3.10
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), 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 Funds.
***The Portfolio is a Fund of Funds. The expenses shown reflect the direct
expenses of the Fund of Funds and the Fund of Funds' portion of the expenses
of its Underlying Funds (Affiliated Investment Companies).
****The Portfolio invests directly and indirectly through other funds. The
expenses shown reflect the direct expenses of the fund and the fund's
portion of the expenses of its Underlying Funds (Affiliated Investment
Companies).
*****The Portfolio is a Fund of Funds. The expenses shown reflect the direct
expenses of the Fund of Funds and the Fund of Funds' portion of the
expenses of its Master Funds.
36
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on September 28, 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%
37
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....................... 15.1%
Consumer Staples............................. 9.3%
Energy....................................... 6.2%
Financials................................... 13.6%
Health Care.................................. 13.0%
Industrials.................................. 11.9%
Information Technology....................... 21.1%
Materials.................................... 3.9%
Real Estate.................................. 0.2%
Telecommunication Services................... 3.1%
Utilities.................................... 2.6%
-----
100.0%
U.S. TARGETED VALUE PORTFOLIO
Consumer Discretionary....................... 12.9%
Consumer Staples............................. 2.8%
Energy....................................... 8.1%
Financials................................... 27.5%
Health Care.................................. 4.7%
Industrials.................................. 20.1%
Information Technology....................... 14.8%
Materials.................................... 6.9%
Real Estate.................................. 0.4%
Telecommunication Services................... 1.3%
Utilities.................................... 0.5%
-----
100.0%
U.S. SMALL CAP VALUE PORTFOLIO
Consumer Discretionary....................... 13.1%
Consumer Staples............................. 4.6%
Energy....................................... 10.7%
Financials................................... 27.3%
Health Care.................................. 4.5%
Industrials.................................. 19.1%
Information Technology....................... 13.8%
Materials.................................... 5.7%
Real Estate.................................. 0.2%
Telecommunication Services................... 0.8%
Utilities.................................... 0.2%
-----
100.0%
U.S. CORE EQUITY 1 PORTFOLIO
Consumer Discretionary....................... 15.5%
Consumer Staples............................. 8.6%
Energy....................................... 6.0%
Financials................................... 14.7%
Health Care.................................. 11.4%
Industrials.................................. 13.3%
Information Technology....................... 20.0%
Materials.................................... 4.5%
Real Estate.................................. 0.2%
Telecommunication Services................... 2.7%
Utilities.................................... 3.1%
-----
100.0%
U.S. CORE EQUITY 2 PORTFOLIO
Consumer Discretionary....................... 14.4%
Consumer Staples............................. 7.3%
Energy....................................... 7.4%
Financials................................... 17.3%
Health Care.................................. 10.7%
Industrials.................................. 14.0%
Information Technology....................... 18.7%
Materials.................................... 4.7%
Real Estate.................................. 0.3%
Telecommunication Services................... 3.0%
Utilities.................................... 2.2%
-----
100.0%
U.S. VECTOR EQUITY PORTFOLIO
Consumer Discretionary....................... 14.2%
Consumer Staples............................. 4.8%
Energy....................................... 7.9%
Financials................................... 24.6%
Health Care.................................. 8.1%
Industrials.................................. 15.6%
Information Technology....................... 15.1%
Materials.................................... 5.3%
Real Estate.................................. 0.5%
Telecommunication Services................... 2.7%
Utilities.................................... 1.2%
-----
100.0%
U.S. SMALL CAP PORTFOLIO
Consumer Discretionary....................... 16.0%
Consumer Staples............................. 4.6%
Energy....................................... 4.2%
Financials................................... 19.8%
Health Care.................................. 8.3%
Industrials.................................. 19.1%
Information Technology....................... 16.2%
Materials.................................... 5.8%
Real Estate.................................. 0.6%
Telecommunication Services................... 1.0%
Utilities.................................... 4.4%
-----
100.0%
U.S. MICRO CAP PORTFOLIO
Consumer Discretionary....................... 16.3%
Consumer Staples............................. 3.5%
Energy....................................... 2.7%
Financials................................... 21.8%
Health Care.................................. 9.6%
Industrials.................................. 20.8%
Information Technology....................... 14.3%
Materials.................................... 5.6%
Real Estate.................................. 0.9%
Telecommunication Services................... 1.8%
Utilities.................................... 2.7%
-----
100.0%
DFA REAL ESTATE SECURITIES PORTFOLIO
Real Estate.................................. 100.0%
-----
100.0%
38
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
LARGE CAP INTERNATIONAL PORTFOLIO
Consumer Discretionary....................... 13.4%
Consumer Staples............................. 11.2%
Energy....................................... 6.3%
Financials................................... 20.1%
Health Care.................................. 9.6%
Industrials.................................. 14.2%
Information Technology....................... 5.0%
Materials.................................... 9.7%
Real Estate.................................. 2.1%
Telecommunication Services................... 4.8%
Utilities.................................... 3.6%
-----
100.0%
INTERNATIONAL CORE EQUITY PORTFOLIO
Consumer Discretionary....................... 15.8%
Consumer Staples............................. 8.1%
Energy....................................... 7.2%
Financials................................... 17.0%
Health Care.................................. 5.7%
Industrials.................................. 18.0%
Information Technology....................... 6.4%
Materials.................................... 13.2%
Real Estate.................................. 2.6%
Telecommunication Services................... 2.9%
Utilities.................................... 3.1%
-----
100.0%
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
Health Care.................................. 0.2%
Real Estate.................................. 99.8%
-----
100.0%
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
Affiliated Investment Companies.............. 67.4%
Real Estate.................................. 32.6%
-----
100.0%
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
Consumer Discretionary....................... 14.1%
Consumer Staples............................. 5.5%
Energy....................................... 7.0%
Financials................................... 18.5%
Health Care.................................. 1.7%
Industrials.................................. 23.8%
Information Technology....................... 5.2%
Materials.................................... 19.9%
Real Estate.................................. 2.8%
Telecommunication Services................... 0.5%
Utilities.................................... 1.0%
-----
100.0%
INTERNATIONAL VECTOR EQUITY PORTFOLIO
Consumer Discretionary....................... 15.1%
Consumer Staples............................. 7.0%
Energy....................................... 7.8%
Financials................................... 18.0%
Health Care.................................. 4.7%
Industrials.................................. 18.9%
Information Technology....................... 6.9%
Materials.................................... 14.8%
Real Estate.................................. 2.7%
Telecommunication Services................... 2.0%
Utilities.................................... 2.1%
-----
100.0%
WORLD EX U.S. TARGETED VALUE PORTFOLIO
Consumer Discretionary....................... 14.9%
Consumer Staples............................. 5.6%
Energy....................................... 5.7%
Financials................................... 18.3%
Health Care.................................. 2.2%
Industrials.................................. 20.0%
Information Technology....................... 7.0%
Materials.................................... 19.4%
Real Estate.................................. 4.3%
Telecommunication Services................... 1.2%
Utilities.................................... 1.4%
-----
100.0%
WORLD EX U.S. CORE EQUITY PORTFOLIO
Consumer Discretionary....................... 15.1%
Consumer Staples............................. 7.7%
Energy....................................... 6.9%
Financials................................... 17.9%
Health Care.................................. 5.0%
Industrials.................................. 16.4%
Information Technology....................... 8.9%
Materials.................................... 12.8%
Real Estate.................................. 3.2%
Telecommunication Services................... 2.9%
Utilities.................................... 3.2%
-----
100.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO
Consumer Discretionary....................... 11.7%
Consumer Staples............................. 8.6%
Energy....................................... 6.3%
Financials................................... 19.9%
Health Care.................................. 3.7%
Industrials.................................. 9.6%
Information Technology....................... 18.6%
Materials.................................... 9.9%
Real Estate.................................. 3.5%
Telecommunication Services................... 4.3%
Utilities.................................... 3.9%
-----
100.0%
39
ENHANCED U.S. LARGE COMPANY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
FACE
AMOUNT^ VALUE+
------- ------
(000)
BONDS -- (83.5%)
AUSTRALIA -- (7.0%)
ANZ New Zealand International Ltd.
1.400%, 04/27/17............................. 1,600 $ 1,601,467
Commonwealth Bank of Australia
1.900%, 09/18/17............................. 3,250 3,266,997
## 1.375%, 09/06/18............................. 3,000 2,990,274
Westpac Banking Corp.
1.500%, 12/01/17............................. 2,500 2,504,013
2.250%, 07/30/18............................. 3,000 3,037,617
Other Securities............................................ 2,919,569
-----------
TOTAL AUSTRALIA............................................. 16,319,937
-----------
CANADA -- (11.4%)
Ontario, Province of Canada
2.000%, 09/27/18............................. 6,700 6,797,934
Quebec, Province of Canada
4.625%, 05/14/18............................. 5,000 5,265,115
Royal Bank of Canada
1.250%, 06/16/17............................. 2,000 2,000,960
1.500%, 01/16/18............................. 2,000 2,003,486
Toronto-Dominion Bank (The)
1.400%, 04/30/18............................. 3,000 3,001,851
1.750%, 07/23/18............................. 2,000 2,010,198
Other Securities............................................ 5,625,334
-----------
TOTAL CANADA................................................ 26,704,878
-----------
DENMARK -- (2.0%)
Kommunekredit
1.250%, 08/27/18............................. 3,300 3,305,610
Other Securities............................................ 1,501,200
-----------
TOTAL DENMARK............................................... 4,806,810
-----------
FINLAND -- (2.8%)
Municipality Finance P.L.C.
1.125%, 04/17/18............................. 4,500 4,500,454
Other Securities............................................ 2,002,806
-----------
TOTAL FINLAND............................................... 6,503,260
-----------
FRANCE -- (2.0%)
BNP Paribas SA
1.375%, 03/17/17............................. 1,800 1,801,743
Societe Generale SA
2.750%, 10/12/17............................. 1,980 2,005,522
Other Securities............................................ 1,001,024
-----------
TOTAL FRANCE................................................ 4,808,289
-----------
GERMANY -- (11.0%)
Erste Abwicklungsanstalt
1.000%, 10/13/17............................. 1,800 1,798,166
1.125%, 02/12/18............................. 2,000 1,997,082
FACE
AMOUNT^ VALUE+
------- ------
(000)
GERMANY -- (Continued)
FMS Wertmanagement AoeR
1.125%, 09/05/17............................. 5,000 $ 5,005,225
KFW
1.000%, 09/07/18............................. 3,000 2,995,332
Landeskreditbank Baden- Wuerttemberg Foerderbank
1.000%, 04/23/18............................. 5,500 5,489,847
State of North Rhine-Westphalia
1.125%, 11/21/17............................. 3,000 2,999,586
1.375%, 07/16/18............................. 2,500 2,508,507
Other Securities................................. 2,915,935
-----------
TOTAL GERMANY.................................... 25,709,680
-----------
IRELAND -- (0.5%)
Other Securities................................. 1,204,738
-----------
JAPAN -- (3.9%)
Toyota Motor Credit Corp.
1.750%, 05/22/17............................. 5,000 5,019,315
1.550%, 07/13/18............................. 1,500 1,506,684
Other Securities................................. 2,726,816
-----------
TOTAL JAPAN...................................... 9,252,815
-----------
NETHERLANDS -- (6.7%)
Bank Nederlandse Gemeenten NV
## 1.000%, 09/20/18............................. 5,000 4,982,860
Cooperatieve Centrale Raiffeisen- Boerenleenbank
BA
1.700%, 03/19/18............................. 3,435 3,446,600
Nederlandse Waterschapsbank NV
0.875%, 07/13/18............................. 3,500 3,482,451
Other Securities................................. 3,839,402
-----------
TOTAL NETHERLANDS................................ 15,751,313
-----------
NORWAY -- (1.2%)
Statoil ASA
1.200%, 01/17/18............................. 2,000 1,995,908
Other Securities................................. 748,997
-----------
TOTAL NORWAY..................................... 2,744,905
-----------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (1.0%)
African Development Bank
1.625%, 10/02/18............................. 2,250 2,271,440
-----------
SWEDEN -- (3.6%)
Kommuninvest I Sverige AB
1.000%, 01/29/18............................. 3,000 2,997,069
Svensk Exportkredit AB
1.125%, 04/05/18............................. 2,430 2,430,705
40
ENHANCED U.S. LARGE COMPANY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
SWEDEN -- (Continued)
Svenska Handelsbanken AB
1.625%, 03/21/18............................. 3,000 $3,007,401
----------
TOTAL SWEDEN..................................... 8,435,175
----------
SWITZERLAND -- (0.9%)
Other Securities................................. 2,098,249
----------
UNITED KINGDOM -- (3.5%)
Network Rail Infrastructure Finance P.L.C.
0.875%, 05/15/18............................. 4,000 3,983,600
Other Securities................................. 4,117,071
----------
TOTAL UNITED KINGDOM............................. 8,100,671
----------
UNITED STATES -- (26.0%)
AT&T, Inc.
2.400%, 03/15/17............................. $1,500 1,507,641
Berkshire Hathaway Finance Corp
1.450%, 03/07/18............................. 2,000 2,009,944
Berkshire Hathaway, Inc.
1.550%, 02/09/18............................. 4,000 4,018,224
Capital One Financial Corp.
5.250%, 02/21/17............................. 1,492 1,510,249
Cardinal Health, Inc.
1.900%, 06/15/17............................. 1,500 1,507,014
Chevron Corp.
1.344%, 11/09/17............................. 3,200 3,206,624
1.365%, 03/02/18............................. 1,762 1,764,867
Cisco Systems, Inc.
1.650%, 06/15/18............................. 5,300 5,337,243
Exxon Mobil Corp.
1.439%, 03/01/18............................. 3,000 3,010,707
Molson Coors Brewing Co.
2.000%, 05/01/17............................. 1,715 1,721,949
NYSE Euronext
2.000%, 10/05/17............................. 1,500 1,512,765
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Pfizer, Inc.
1.200%, 06/01/18......................... $ 5,000 $ 5,003,205
UnitedHealth Group, Inc.
6.000%, 06/15/17......................... 1,500 1,545,975
Other Securities............................... 27,214,231
------------
TOTAL UNITED STATES............................ 60,870,638
------------
TOTAL BONDS.................................... 195,582,798
------------
AGENCY OBLIGATIONS -- (5.6%)
Federal Home Loan Mortgage Corporation
0.750%, 01/12/18......................... 8,000 7,998,264
Federal National Mortgage Association
1.875%, 09/18/18......................... 5,000 5,089,485
------------
TOTAL AGENCY OBLIGATIONS....................... 13,087,749
------------
U.S. TREASURY OBLIGATIONS -- (10.9%)
U.S. Treasury Notes
^^ 0.875%, 11/15/17......................... 22,500 22,532,512
0.875%, 01/15/18......................... 3,000 3,004,806
------------
TOTAL U.S. TREASURY OBLIGATIONS................ 25,537,318
------------
TOTAL INVESTMENT SECURITIES.................... 234,207,865
------------
SHARES
------
SECURITIES LENDING COLLATERAL -- (--%)
(S)@ DFA Short Term Investment Fund........... 23 270
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $234,199,804).......................... $234,208,135
============
Summary of the Portfolio's investments as of October 31, 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.................... -- $ 16,319,937 -- $ 16,319,937
Canada....................... -- 26,704,878 -- 26,704,878
Denmark...................... -- 4,806,810 -- 4,806,810
Finland...................... -- 6,503,260 -- 6,503,260
France....................... -- 4,808,289 -- 4,808,289
Germany...................... -- 25,709,680 -- 25,709,680
Ireland...................... -- 1,204,738 -- 1,204,738
Japan........................ -- 9,252,815 -- 9,252,815
Netherlands.................. -- 15,751,313 -- 15,751,313
Norway....................... -- 2,744,905 -- 2,744,905
41
ENHANCED U.S. LARGE COMPANY PORTFOLIO
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------- ------------ ------- ------------
Supranational Organization
Obligations...................... -- $ 2,271,440 -- $ 2,271,440
Sweden............................. -- 8,435,175 -- 8,435,175
Switzerland........................ -- 2,098,249 -- 2,098,249
United Kingdom..................... -- 8,100,671 -- 8,100,671
United States...................... -- 60,870,638 -- 60,870,638
Agency Obligations.................. -- 13,087,749 -- 13,087,749
U.S. Treasury Obligations........... -- 25,537,318 -- 25,537,318
Securities Lending Collateral....... -- 270 -- 270
Futures Contracts**................. $251,626 -- -- 251,626
-------- ------------ -- ------------
TOTAL............................... $251,626 $234,208,135 -- $234,459,761
======== ============ == ============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
42
U.S. LARGE CAP EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (94.5%)
Consumer Discretionary -- (14.2%)
* Amazon.com, Inc............... 16,644 $ 13,145,764 1.5%
Comcast Corp. Class A......... 135,240 8,360,537 1.0%
Home Depot, Inc. (The)........ 49,003 5,978,856 0.7%
McDonald's Corp............... 34,541 3,888,280 0.5%
Time Warner, Inc.............. 36,139 3,216,010 0.4%
Walt Disney Co. (The)......... 67,452 6,252,126 0.7%
Other Securities.............. 86,938,994 10.2%
------------ -----
Total Consumer Discretionary...... 127,780,567 15.0%
------------ -----
Consumer Staples -- (8.8%)
Altria Group, Inc............. 79,821 5,277,765 0.6%
Coca-Cola Co. (The)........... 142,593 6,045,943 0.7%
CVS Health Corp............... 48,410 4,071,281 0.5%
PepsiCo, Inc.................. 58,593 6,281,170 0.7%
Philip Morris International,
Inc.......................... 47,352 4,566,627 0.5%
Procter & Gamble Co. (The).... 103,082 8,947,518 1.1%
Wal-Mart Stores, Inc.......... 86,141 6,031,593 0.7%
Other Securities.............. 37,710,466 4.5%
------------ -----
Total Consumer Staples............ 78,932,363 9.3%
------------ -----
Energy -- (5.9%)
Chevron Corp.................. 61,119 6,402,215 0.8%
Exxon Mobil Corp.............. 138,324 11,525,156 1.4%
Schlumberger, Ltd............. 41,728 3,264,381 0.4%
Other Securities.............. 31,555,639 3.6%
------------ -----
Total Energy...................... 52,747,391 6.2%
------------ -----
Financials -- (12.9%)
Bank of America Corp.......... 267,185 4,408,553 0.5%
* Berkshire Hathaway, Inc.
Class B...................... 60,345 8,707,784 1.0%
Citigroup, Inc................ 75,262 3,699,127 0.4%
JPMorgan Chase & Co........... 145,465 10,074,906 1.2%
Wells Fargo & Co.............. 191,846 8,826,834 1.0%
Other Securities.............. 79,882,386 9.5%
------------ -----
Total Financials.................. 115,599,590 13.6%
------------ -----
Health Care -- (12.3%)
AbbVie, Inc................... 66,571 3,713,330 0.4%
Amgen, Inc.................... 29,359 4,144,316 0.5%
Gilead Sciences, Inc.......... 54,053 3,979,922 0.5%
Johnson & Johnson............. 107,847 12,509,174 1.5%
Medtronic P.L.C............... 40,674 3,336,082 0.4%
Merck & Co., Inc.............. 119,713 7,029,547 0.8%
Pfizer, Inc................... 292,583 9,277,807 1.1%
UnitedHealth Group, Inc....... 37,625 5,317,541 0.6%
Other Securities.............. 60,905,220 7.1%
------------ -----
Total Health Care................. 110,212,939 12.9%
------------ -----
43
U.S. LARGE CAP EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (11.2%)
3M Co......................................................... 24,565 $ 4,060,594 0.5%
Boeing Co. (The).............................................. 23,780 3,386,985 0.4%
General Electric Co........................................... 230,877 6,718,521 0.8%
Honeywell International, Inc.................................. 31,952 3,504,495 0.4%
Union Pacific Corp............................................ 37,430 3,300,577 0.4%
United Parcel Service, Inc. Class B........................... 28,060 3,023,746 0.4%
United Technologies Corp...................................... 36,270 3,706,794 0.4%
Other Securities.............................................. 73,222,851 8.6%
------------ ------
Total Industrials................................................... 100,924,563 11.9%
------------ ------
Information Technology -- (19.9%)
* Alphabet, Inc. Class A........................................ 9,593 7,769,371 0.9%
* Alphabet, Inc. Class C........................................ 10,253 8,043,889 1.0%
Apple, Inc.................................................... 272,646 30,956,227 3.6%
Cisco Systems, Inc............................................ 198,197 6,080,684 0.7%
* Facebook, Inc. Class A........................................ 59,975 7,856,125 0.9%
Intel Corp.................................................... 250,249 8,726,183 1.0%
International Business Machines Corp.......................... 36,994 5,685,608 0.7%
Mastercard, Inc. Class A...................................... 39,435 4,220,334 0.5%
Microsoft Corp................................................ 268,968 16,116,563 1.9%
Oracle Corp................................................... 121,109 4,653,008 0.6%
QUALCOMM, Inc................................................. 57,128 3,925,836 0.5%
# Visa, Inc. Class A............................................ 58,180 4,800,432 0.6%
Other Securities.............................................. 69,767,237 8.1%
------------ ------
Total Information Technology........................................ 178,601,497 21.0%
------------ ------
Materials -- (3.6%)
Other Securities.............................................. 32,740,265 3.8%
------------ ------
Real Estate -- (0.2%)
Other Securities.............................................. 1,600,080 0.2%
------------ ------
Telecommunication Services -- (3.0%)
AT&T, Inc..................................................... 347,768 12,794,385 1.5%
Verizon Communications, Inc................................... 202,782 9,753,814 1.1%
Other Securities.............................................. 4,152,720 0.5%
------------ ------
Total Telecommunication Services.................................... 26,700,919 3.1%
------------ ------
Utilities -- (2.5%)
Other Securities.............................................. 22,316,605 2.6%
------------ ------
TOTAL COMMON STOCKS................................................. 848,156,779 99.6%
------------ ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 7,339 0.0%
------------ ------
TOTAL INVESTMENT SECURITIES......................................... 848,164,118
------------
TEMPORARY CASH INVESTMENTS -- (0.4%)
State Street Institutional U.S. Government Money Market Fund,
0.260%....................................................... 3,254,122 3,254,122 0.4%
------------ ------
SECURITIES LENDING COLLATERAL -- (5.1%)
(S)@ DFA Short Term Investment Fund................................ 3,978,329 46,037,222 5.4%
------------ ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $843,199,221)............................................. $897,455,462 105.4%
============ ======
44
U.S. LARGE CAP EQUITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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......... $127,780,567 -- -- $127,780,567
Consumer Staples............... 78,932,363 -- -- 78,932,363
Energy......................... 52,747,391 -- -- 52,747,391
Financials..................... 115,599,590 -- -- 115,599,590
Health Care.................... 110,212,939 -- -- 110,212,939
Industrials.................... 100,924,563 -- -- 100,924,563
Information Technology......... 178,601,497 -- -- 178,601,497
Materials...................... 32,740,265 -- -- 32,740,265
Real Estate.................... 1,600,080 -- -- 1,600,080
Telecommunication Services..... 26,700,919 -- -- 26,700,919
Utilities...................... 22,316,605 -- -- 22,316,605
Rights/Warrants................. -- $ 7,339 -- 7,339
Temporary Cash Investments...... 3,254,122 -- -- 3,254,122
Securities Lending Collateral... -- 46,037,222 -- 46,037,222
------------ ----------- -- ------------
TOTAL........................... $851,410,901 $46,044,561 -- $897,455,462
============ =========== == ============
See accompanying Notes to Financial Statements.
45
U.S. LARGE CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
VALUE+
---------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The U.S. Large Cap Value Series of The DFA
Investment Trust Company.................................. $17,646,269,059
---------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$13,161,852,368)....................................... $17,646,269,059
===============
Summary of the Portfolio's Master Fund's investments as of October 31, 2016,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
46
U.S. TARGETED VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (85.7%)
Consumer Discretionary -- (11.1%)
# CalAtlantic Group, Inc............................ 950,452 $ 30,718,609 0.4%
# Penske Automotive Group, Inc...................... 670,459 30,003,040 0.4%
PulteGroup, Inc................................... 2,619,087 48,715,018 0.6%
#* Toll Brothers, Inc................................ 1,825,686 50,096,824 0.6%
# Wendy's Co. (The)................................. 2,467,549 26,748,231 0.3%
Other Securities.................................. 842,546,526 10.5%
-------------- -----
Total Consumer Discretionary.......................... 1,028,828,248 12.8%
-------------- -----
Consumer Staples -- (2.4%)
Ingredion, Inc.................................... 308,331 40,443,777 0.5%
* Post Holdings, Inc................................ 452,753 34,513,361 0.4%
Other Securities.................................. 152,404,280 1.9%
-------------- -----
Total Consumer Staples................................ 227,361,418 2.8%
-------------- -----
Energy -- (7.0%)
# CONSOL Energy, Inc................................ 2,053,549 34,807,656 0.4%
# Helmerich & Payne, Inc............................ 981,328 61,931,610 0.8%
# Nabors Industries, Ltd............................ 2,649,417 31,528,062 0.4%
# Patterson-UTI Energy, Inc......................... 1,467,463 32,988,568 0.4%
#* Transocean, Ltd................................... 3,859,284 37,087,719 0.5%
* WPX Energy, Inc................................... 2,495,721 27,103,530 0.3%
Other Securities.................................. 423,271,669 5.2%
-------------- -----
Total Energy.......................................... 648,718,814 8.0%
-------------- -----
Financials -- (23.5%)
Allied World Assurance Co. Holdings AG............ 916,893 39,408,061 0.5%
American Financial Group, Inc..................... 410,982 30,618,159 0.4%
Assurant, Inc..................................... 690,273 55,580,782 0.7%
Assured Guaranty, Ltd............................. 1,411,615 42,193,172 0.5%
Axis Capital Holdings, Ltd........................ 833,379 47,477,602 0.6%
Endurance Specialty Holdings, Ltd................. 556,970 51,213,391 0.6%
# Investors Bancorp, Inc............................ 3,372,014 41,340,892 0.5%
Old Republic International Corp................... 1,651,907 27,851,152 0.4%
# PacWest Bancorp................................... 1,062,252 46,091,114 0.6%
# People's United Financial, Inc.................... 3,573,174 58,028,346 0.7%
# Prosperity Bancshares, Inc........................ 566,971 31,449,881 0.4%
Reinsurance Group of America, Inc................. 529,505 57,112,409 0.7%
# RenaissanceRe Holdings, Ltd....................... 413,158 51,351,408 0.6%
Umpqua Holdings Corp.............................. 2,309,943 35,295,929 0.4%
Validus Holdings, Ltd............................. 731,070 37,357,677 0.5%
# WR Berkley Corp................................... 503,536 28,751,906 0.4%
# Zions Bancorporation.............................. 2,055,260 66,199,925 0.8%
Other Securities.................................. 1,442,305,161 17.8%
-------------- -----
Total Financials...................................... 2,189,626,967 27.1%
-------------- -----
Health Care -- (4.1%)
Other Securities.................................. 378,473,936 4.7%
-------------- -----
47
U.S. TARGETED VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (17.2%)
* AECOM......................................................... 1,159,540 $ 32,293,189 0.4%
AGCO Corp..................................................... 894,626 45,697,496 0.6%
Curtiss-Wright Corp........................................... 299,743 26,862,968 0.3%
#* Genesee & Wyoming, Inc. Class A............................... 449,223 30,520,211 0.4%
* Jacobs Engineering Group, Inc................................. 1,318,143 67,989,816 0.8%
* Quanta Services, Inc.......................................... 1,588,395 45,666,356 0.6%
Ryder System, Inc............................................. 518,458 35,975,801 0.5%
# Trinity Industries, Inc....................................... 1,681,931 35,909,227 0.4%
* United Rentals, Inc........................................... 381,529 28,866,484 0.4%
Other Securities.............................................. 1,250,108,938 15.4%
-------------- ------
Total Industrials................................................... 1,599,890,486 19.8%
-------------- ------
Information Technology -- (12.7%)
* Arrow Electronics, Inc........................................ 917,670 56,087,990 0.7%
Avnet, Inc.................................................... 1,392,357 58,409,376 0.7%
#* Cirrus Logic, Inc............................................. 580,482 31,334,418 0.4%
#* First Solar, Inc.............................................. 938,396 37,995,654 0.5%
Ingram Micro, Inc. Class A.................................... 1,355,507 50,424,860 0.6%
Marvell Technology Group, Ltd................................. 2,895,763 37,731,792 0.5%
Other Securities.............................................. 906,143,941 11.2%
-------------- ------
Total Information Technology........................................ 1,178,128,031 14.6%
-------------- ------
Materials -- (5.9%)
Albemarle Corp................................................ 447,820 37,415,361 0.5%
Huntsman Corp................................................. 1,712,055 29,019,332 0.4%
Reliance Steel & Aluminum Co.................................. 799,232 54,971,177 0.7%
Steel Dynamics, Inc........................................... 1,783,702 48,980,457 0.6%
Other Securities.............................................. 377,919,526 4.6%
-------------- ------
Total Materials..................................................... 548,305,853 6.8%
-------------- ------
Real Estate -- (0.3%)
Other Securities.............................................. 31,044,144 0.4%
-------------- ------
Telecommunication Services -- (1.1%)
# Frontier Communications Corp.................................. 10,593,249 42,584,861 0.5%
Other Securities.............................................. 60,816,043 0.8%
-------------- ------
Total Telecommunication Services.................................... 103,400,904 1.3%
-------------- ------
Utilities -- (0.4%)
Other Securities.............................................. 41,264,674 0.5%
-------------- ------
TOTAL COMMON STOCKS................................................. 7,975,043,475 98.8%
-------------- ------
TOTAL INVESTMENT SECURITIES......................................... 7,975,043,475
--------------
TEMPORARY CASH INVESTMENTS -- (0.9%)
State Street Institutional U.S. Government Money Market Fund,
0.260%....................................................... 87,592,812 87,592,812 1.1%
-------------- ------
SECURITIES LENDING COLLATERAL -- (13.4%)
(S)@ DFA Short Term Investment Fund................................ 107,201,971 1,240,541,205 15.4%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $8,412,322,925)........................................... $9,303,177,492 115.3%
============== ======
48
U.S. TARGETED VALUE PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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......... $1,028,828,248 -- -- $1,028,828,248
Consumer Staples............... 227,361,418 -- -- 227,361,418
Energy......................... 648,718,814 -- -- 648,718,814
Financials..................... 2,189,620,054 $ 6,913 -- 2,189,626,967
Health Care.................... 378,473,936 -- -- 378,473,936
Industrials.................... 1,599,890,486 -- -- 1,599,890,486
Information Technology......... 1,178,128,031 -- -- 1,178,128,031
Materials...................... 548,305,853 -- -- 548,305,853
Real Estate.................... 31,044,144 -- -- 31,044,144
Telecommunication Services..... 103,400,904 -- -- 103,400,904
Utilities...................... 41,264,674 -- -- 41,264,674
Temporary Cash Investments...... 87,592,812 -- -- 87,592,812
Securities Lending Collateral... -- 1,240,541,205 -- 1,240,541,205
Futures Contracts**............. (2,038,880) -- -- (2,038,880)
-------------- -------------- -- --------------
TOTAL........................... $8,060,590,494 $1,240,548,118 -- $9,301,138,612
============== ============== == ==============
**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
U.S. SMALL CAP VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (85.5%)
Consumer Discretionary -- (11.2%)
Aaron's, Inc...................................... 2,619,654 $ 64,731,650 0.5%
# Marriott Vacations Worldwide Corp................. 886,647 56,373,016 0.5%
Scholastic Corp................................... 1,405,229 53,750,009 0.4%
Other Securities.................................. 1,437,550,390 11.4%
-------------- -----
Total Consumer Discretionary.......................... 1,612,405,065 12.8%
-------------- -----
Consumer Staples -- (3.9%)
* Darling Ingredients, Inc.......................... 5,273,808 71,723,789 0.6%
# Fresh Del Monte Produce, Inc...................... 1,819,097 109,782,504 0.9%
#* Post Holdings, Inc................................ 729,726 55,627,013 0.4%
#* Seaboard Corp..................................... 18,550 62,791,750 0.5%
Other Securities.................................. 266,035,208 2.1%
-------------- -----
Total Consumer Staples................................ 565,960,264 4.5%
-------------- -----
Energy -- (9.1%)
# Nabors Industries, Ltd............................ 6,743,367 80,246,067 0.6%
#* Oasis Petroleum, Inc.............................. 7,099,759 74,476,472 0.6%
# Patterson-UTI Energy, Inc......................... 5,206,407 117,040,029 0.9%
#* PDC Energy, Inc................................... 1,354,503 83,071,669 0.7%
# Rowan Cos. P.L.C. Class A......................... 4,670,168 61,973,129 0.5%
* RSP Permian, Inc.................................. 2,076,424 74,958,906 0.6%
#* WPX Energy, Inc................................... 8,320,294 90,358,393 0.7%
Other Securities.................................. 728,160,751 5.8%
-------------- -----
Total Energy.......................................... 1,310,285,416 10.4%
-------------- -----
Financials -- (23.3%)
American Equity Investment Life Holding Co........ 3,022,120 54,186,612 0.4%
Argo Group International Holdings, Ltd............ 1,114,881 61,987,384 0.5%
Aspen Insurance Holdings, Ltd..................... 2,180,395 105,204,059 0.8%
# Associated Banc-Corp.............................. 5,119,075 103,917,222 0.8%
CNO Financial Group, Inc.......................... 5,075,652 76,540,832 0.6%
Endurance Specialty Holdings, Ltd................. 1,510,269 138,869,235 1.1%
# FNB Corp.......................................... 4,087,225 53,420,031 0.4%
# Fulton Financial Corp............................. 5,483,715 81,707,353 0.7%
# Hancock Holding Co................................ 2,430,305 81,536,733 0.7%
# Hanover Insurance Group, Inc. (The)............... 1,211,123 92,275,461 0.7%
# Iberiabank Corp................................... 1,089,503 71,525,872 0.6%
# Kemper Corp....................................... 1,719,925 64,583,184 0.5%
MB Financial, Inc................................. 2,019,391 73,485,638 0.6%
# Old National Bancorp.............................. 3,911,008 57,491,818 0.5%
# Provident Financial Services, Inc................. 2,304,932 52,298,907 0.4%
# Selective Insurance Group, Inc.................... 1,813,049 66,992,161 0.5%
# Washington Federal, Inc........................... 3,026,177 82,463,323 0.7%
# Webster Financial Corp............................ 1,721,848 69,562,659 0.6%
# Wintrust Financial Corp........................... 1,662,760 89,705,902 0.7%
Other Securities.................................. 1,872,244,452 14.8%
-------------- -----
Total Financials...................................... 3,349,998,838 26.6%
-------------- -----
Health Care -- (3.9%)
#* LifePoint Health, Inc............................. 1,329,027 79,542,266 0.6%
Other Securities.................................. 478,998,709 3.8%
-------------- -----
Total Health Care..................................... 558,540,975 4.4%
-------------- -----
50
U.S. SMALL CAP VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (16.3%)
# AMERCO........................................................ 257,968 $ 83,166,304 0.7%
#* DigitalGlobe, Inc............................................. 2,364,203 59,341,495 0.5%
#* Esterline Technologies Corp................................... 1,119,490 82,226,540 0.7%
# GATX Corp..................................................... 1,668,824 73,044,426 0.6%
# Terex Corp.................................................... 2,260,148 53,972,334 0.4%
#* WESCO International, Inc...................................... 1,292,611 70,059,516 0.6%
Other Securities.............................................. 1,921,247,349 15.1%
--------------- ------
Total Industrials................................................... 2,343,057,964 18.6%
--------------- ------
Information Technology -- (11.8%)
* CACI International, Inc. Class A.............................. 858,360 83,990,526 0.7%
# Convergys Corp................................................ 3,815,481 111,412,045 0.9%
MKS Instruments, Inc.......................................... 1,746,536 88,112,741 0.7%
* Sanmina Corp.................................................. 2,632,783 72,796,450 0.6%
# SYNNEX Corp................................................... 1,127,587 115,622,771 0.9%
* Tech Data Corp................................................ 1,052,415 81,057,003 0.7%
# Vishay Intertechnology, Inc................................... 4,973,378 70,124,630 0.6%
Other Securities.............................................. 1,073,379,767 8.3%
--------------- ------
Total Information Technology........................................ 1,696,495,933 13.4%
--------------- ------
Materials -- (4.9%)
# Commercial Metals Co.......................................... 4,211,702 66,165,838 0.5%
Domtar Corp................................................... 2,244,104 80,675,539 0.6%
Hecla Mining Co............................................... 11,724,548 70,230,043 0.6%
Other Securities.............................................. 487,436,138 3.9%
--------------- ------
Total Materials..................................................... 704,507,558 5.6%
--------------- ------
Real Estate -- (0.2%)
Other Securities.............................................. 23,804,157 0.2%
--------------- ------
Telecommunication Services -- (0.7%)
Other Securities.............................................. 103,486,357 0.8%
--------------- ------
Utilities -- (0.2%)
Other Securities.............................................. 23,427,929 0.2%
--------------- ------
TOTAL COMMON STOCKS................................................. 12,291,970,456 97.5%
--------------- ------
TOTAL INVESTMENT SECURITIES......................................... 12,291,970,456
---------------
TEMPORARY CASH INVESTMENTS -- (2.0%)
State Street Institutional U.S. Government Money Market Fund,
0.260%....................................................... 283,404,183 283,404,183 2.2%
--------------- ------
SECURITIES LENDING COLLATERAL -- (12.5%)
(S)@ DFA Short Term Investment Fund................................ 155,722,809 1,802,024,349 14.3%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $12,171,084,667).......................................... $14,377,398,988 114.0%
=============== ======
51
U.S. SMALL CAP VALUE PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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............ $ 1,612,405,065 -- -- $ 1,612,405,065
Consumer Staples.................. 565,960,264 -- -- 565,960,264
Energy............................ 1,310,285,416 -- -- 1,310,285,416
Financials........................ 3,349,986,790 $ 12,048 -- 3,349,998,838
Health Care....................... 558,540,975 -- -- 558,540,975
Industrials....................... 2,343,057,964 -- -- 2,343,057,964
Information Technology............ 1,696,495,933 -- -- 1,696,495,933
Materials......................... 704,507,558 -- -- 704,507,558
Real Estate....................... 23,804,157 -- -- 23,804,157
Telecommunication Services........ 103,486,357 -- -- 103,486,357
Utilities......................... 23,427,929 -- -- 23,427,929
Temporary Cash Investments......... 283,404,183 -- -- 283,404,183
Securities Lending Collateral...... -- 1,802,024,349 -- 1,802,024,349
Futures Contracts**................ (3,945,888) -- -- (3,945,888)
--------------- -------------- -- ---------------
TOTAL.............................. $12,571,416,703 $1,802,036,397 -- $14,373,453,100
=============== ============== == ===============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
52
U.S. CORE EQUITY 1 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (90.3%)
Consumer Discretionary -- (14.0%)
* Amazon.com, Inc......................... 250,397 $ 197,768,559 1.3%
Comcast Corp. Class A................... 1,901,433 117,546,588 0.8%
Home Depot, Inc. (The).................. 756,178 92,261,278 0.6%
McDonald's Corp......................... 530,776 59,749,454 0.4%
Starbucks Corp.......................... 870,072 46,174,721 0.3%
Time Warner, Inc........................ 482,981 42,980,479 0.3%
Walt Disney Co. (The)................... 805,208 74,634,730 0.5%
Other Securities........................ 1,657,204,270 11.1%
---------------- -----
Total Consumer Discretionary................ 2,288,320,079 15.3%
---------------- -----
Consumer Staples -- (7.8%)
Altria Group, Inc....................... 1,195,886 79,071,982 0.5%
Coca-Cola Co. (The)..................... 2,096,157 88,877,057 0.6%
CVS Health Corp......................... 645,839 54,315,060 0.4%
PepsiCo, Inc............................ 877,848 94,105,306 0.6%
Philip Morris International, Inc........ 687,129 66,266,721 0.5%
Procter & Gamble Co. (The).............. 1,135,621 98,571,903 0.7%
Wal-Mart Stores, Inc.................... 1,208,559 84,623,301 0.6%
Other Securities........................ 706,978,514 4.6%
---------------- -----
Total Consumer Staples...................... 1,272,809,844 8.5%
---------------- -----
Energy -- (5.4%)
Chevron Corp............................ 976,212 102,258,207 0.7%
Exxon Mobil Corp........................ 2,081,293 173,413,333 1.2%
Other Securities........................ 613,459,356 4.0%
---------------- -----
Total Energy................................ 889,130,896 5.9%
---------------- -----
Financials -- (13.2%)
Bank of America Corp.................... 4,254,770 70,203,705 0.5%
* Berkshire Hathaway, Inc. Class B........ 839,905 121,198,291 0.8%
Citigroup, Inc.......................... 1,228,689 60,390,064 0.4%
JPMorgan Chase & Co..................... 1,957,414 135,570,494 0.9%
Wells Fargo & Co........................ 2,832,919 130,342,603 0.9%
Other Securities........................ 1,653,107,668 11.0%
---------------- -----
Total Financials............................ 2,170,812,825 14.5%
---------------- -----
Health Care -- (10.3%)
AbbVie, Inc............................. 996,807 55,601,894 0.4%
Amgen, Inc.............................. 323,892 45,720,595 0.3%
Gilead Sciences, Inc.................... 809,650 59,614,529 0.4%
Johnson & Johnson....................... 1,195,271 138,639,483 0.9%
Merck & Co., Inc........................ 1,202,109 70,587,840 0.5%
Pfizer, Inc............................. 2,732,131 86,635,874 0.6%
UnitedHealth Group, Inc................. 505,441 71,433,977 0.5%
Other Securities........................ 1,152,557,911 7.6%
---------------- -----
Total Health Care........................... 1,680,792,103 11.2%
---------------- -----
Industrials -- (12.0%)
3M Co................................... 374,232 61,860,550 0.4%
# Boeing Co. (The)........................ 368,258 52,450,987 0.4%
General Electric Co..................... 2,137,237 62,193,597 0.4%
Lockheed Martin Corp.................... 168,798 41,588,451 0.3%
Union Pacific Corp...................... 498,031 43,916,374 0.3%
United Parcel Service, Inc. Class B..... 428,021 46,123,543 0.3%
53
U.S. CORE EQUITY 1 PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (Continued)
United Technologies Corp................................ 496,912 $ 50,784,406 0.4%
Other Securities........................................ 1,615,098,714 10.7%
---------------- ------
Total Industrials............................................. 1,974,016,622 13.2%
---------------- ------
Information Technology -- (18.1%)
Accenture P.L.C. Class A................................ 364,757 42,399,354 0.3%
* Alphabet, Inc. Class A.................................. 96,373 78,052,493 0.5%
* Alphabet, Inc. Class C.................................. 101,097 79,314,640 0.5%
Apple, Inc.............................................. 3,494,715 396,789,941 2.7%
Cisco Systems, Inc...................................... 3,096,820 95,010,438 0.6%
* Facebook, Inc. Class A.................................. 724,263 94,871,210 0.6%
Intel Corp.............................................. 3,555,626 123,984,679 0.8%
# International Business Machines Corp.................... 550,964 84,677,657 0.6%
Mastercard, Inc. Class A................................ 586,074 62,721,639 0.4%
Microsoft Corp.......................................... 3,909,747 234,272,040 1.6%
Oracle Corp............................................. 1,433,762 55,085,136 0.4%
QUALCOMM, Inc........................................... 905,277 62,210,635 0.4%
# Visa, Inc. Class A...................................... 980,278 80,882,738 0.6%
Other Securities........................................ 1,467,222,979 9.8%
---------------- ------
Total Information Technology.................................. 2,957,495,579 19.8%
---------------- ------
Materials -- (4.1%)
Other Securities........................................ 665,729,324 4.5%
---------------- ------
Real Estate -- (0.2%)
Other Securities........................................ 36,928,080 0.3%
---------------- ------
Telecommunication Services -- (2.4%)
AT&T, Inc............................................... 4,867,797 179,086,252 1.2%
Verizon Communications, Inc............................. 2,600,726 125,094,921 0.9%
Other Securities........................................ 89,185,801 0.5%
---------------- ------
Total Telecommunication Services.............................. 393,366,974 2.6%
---------------- ------
Utilities -- (2.8%)
Other Securities........................................ 466,182,552 3.1%
---------------- ------
TOTAL COMMON STOCKS........................................... 14,795,584,878 98.9%
---------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities........................................ 288,782 0.0%
---------------- ------
FACE
AMOUNT
------
(000)
BONDS -- (0.0%)
Financials -- (0.0%)
Other Securities........................................ 486 0.0%
---------------- ------
TOTAL INVESTMENT SECURITIES................................... 14,795,874,146
----------------
SHARES
------
TEMPORARY CASH INVESTMENTS -- (1.0%)
State Street Institutional U.S. Government Money Market
Fund, 0.260%........................................... 164,854,069 164,854,069 1.1%
---------------- ------
SECURITIES LENDING COLLATERAL -- (8.7%)
(S)@ DFA Short Term Investment Fund.......................... 122,384,250 1,416,230,536 9.5%
---------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $12,906,896,966).................................... $ 16,376,958,751 109.5%
================ ======
54
U.S. CORE EQUITY 1 PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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......... $ 2,288,319,629 $ 450 -- $ 2,288,320,079
Consumer Staples............... 1,272,809,844 -- -- 1,272,809,844
Energy......................... 889,130,896 -- -- 889,130,896
Financials..................... 2,170,812,811 14 -- 2,170,812,825
Health Care.................... 1,680,792,103 -- -- 1,680,792,103
Industrials.................... 1,974,016,622 -- -- 1,974,016,622
Information Technology......... 2,957,495,579 -- -- 2,957,495,579
Materials...................... 665,729,324 -- -- 665,729,324
Real Estate.................... 36,928,080 -- -- 36,928,080
Telecommunication Services..... 393,366,974 -- -- 393,366,974
Utilities...................... 466,182,552 -- -- 466,182,552
Rights/Warrants................. -- 288,782 -- 288,782
Bonds
Financials..................... -- 486 -- 486
Temporary Cash Investments...... 164,854,069 -- -- 164,854,069
Securities Lending Collateral... -- 1,416,230,536 -- 1,416,230,536
Futures Contracts**............. (3,223,874) -- -- (3,223,874)
--------------- -------------- -- ---------------
TOTAL........................... $14,957,214,609 $1,416,520,268 -- $16,373,734,877
=============== ============== == ===============
**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
U.S. CORE EQUITY 2 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (89.1%)
Consumer Discretionary -- (12.8%)
* Amazon.com, Inc....................... 92,798 $ 73,293,716 0.4%
Comcast Corp. Class A................. 2,688,214 166,185,389 1.0%
Ford Motor Co......................... 4,094,278 48,066,824 0.3%
General Motors Co..................... 1,628,062 51,446,759 0.3%
Time Warner, Inc...................... 819,384 72,916,982 0.4%
Walt Disney Co. (The)................. 797,924 73,959,576 0.4%
Other Securities...................... 1,912,343,860 11.4%
---------------- -----
Total Consumer Discretionary.............. 2,398,213,106 14.2%
---------------- -----
Consumer Staples -- (6.5%)
Coca-Cola Co. (The)................... 1,116,947 47,358,553 0.3%
CVS Health Corp....................... 951,257 80,000,714 0.5%
Mondelez International, Inc. Class A.. 1,063,522 47,794,679 0.3%
PepsiCo, Inc.......................... 441,915 47,373,288 0.3%
Procter & Gamble Co. (The)............ 1,378,860 119,685,048 0.7%
Wal-Mart Stores, Inc.................. 1,736,979 121,623,270 0.7%
Walgreens Boots Alliance, Inc......... 601,602 49,770,533 0.3%
Other Securities...................... 704,946,070 4.1%
---------------- -----
Total Consumer Staples.................... 1,218,552,155 7.2%
---------------- -----
Energy -- (6.6%)
Chevron Corp.......................... 903,415 94,632,721 0.6%
Exxon Mobil Corp...................... 3,452,202 287,637,471 1.7%
Schlumberger, Ltd..................... 707,001 55,308,688 0.3%
Other Securities...................... 792,436,584 4.7%
---------------- -----
Total Energy.............................. 1,230,015,464 7.3%
---------------- -----
Financials -- (15.4%)
American Express Co................... 891,891 59,239,400 0.4%
Bank of America Corp.................. 4,757,621 78,500,746 0.5%
* Berkshire Hathaway, Inc. Class B...... 418,047 60,324,182 0.4%
Citigroup, Inc........................ 1,387,754 68,208,109 0.4%
JPMorgan Chase & Co................... 2,648,420 183,429,569 1.1%
U.S. Bancorp.......................... 1,202,817 53,838,089 0.3%
Wells Fargo & Co...................... 4,176,562 192,163,618 1.1%
Other Securities...................... 2,186,100,062 12.9%
---------------- -----
Total Financials.......................... 2,881,803,775 17.1%
---------------- -----
Health Care -- (9.6%)
Abbott Laboratories................... 977,224 38,346,270 0.2%
Amgen, Inc............................ 302,107 42,645,424 0.3%
* Express Scripts Holding Co............ 708,012 47,720,009 0.3%
Johnson & Johnson..................... 1,146,077 132,933,471 0.8%
Medtronic P.L.C....................... 632,272 51,858,949 0.3%
Merck & Co., Inc...................... 1,166,009 68,468,048 0.4%
Pfizer, Inc........................... 4,006,194 127,036,412 0.8%
Thermo Fisher Scientific, Inc......... 263,037 38,674,330 0.2%
UnitedHealth Group, Inc............... 576,403 81,463,036 0.5%
Other Securities...................... 1,159,142,075 6.8%
---------------- -----
Total Health Care......................... 1,788,288,024 10.6%
---------------- -----
56
U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (12.4%)
FedEx Corp...................... 216,896 $ 37,809,311 0.2%
General Electric Co............. 2,865,545 83,387,360 0.5%
Union Pacific Corp.............. 697,153 61,474,952 0.4%
United Technologies Corp........ 668,943 68,365,975 0.4%
Other Securities................ 2,076,061,696 12.3%
---------------- -----
Total Industrials.................... 2,327,099,294 13.8%
---------------- -----
Information Technology -- (16.7%)
* Alphabet, Inc. Class A.......... 92,515 74,927,898 0.5%
* Alphabet, Inc. Class C.......... 97,000 76,100,380 0.5%
Apple, Inc...................... 3,310,342 375,856,231 2.2%
Cisco Systems, Inc.............. 4,466,540 137,033,447 0.8%
* Facebook, Inc. Class A.......... 369,031 48,339,371 0.3%
Hewlett Packard Enterprise Co... 1,807,285 40,609,694 0.3%
Intel Corp...................... 5,141,165 179,272,424 1.1%
Microsoft Corp.................. 3,539,615 212,093,731 1.3%
Oracle Corp..................... 1,315,382 50,536,976 0.3%
QUALCOMM, Inc................... 1,310,728 90,073,228 0.5%
# Visa, Inc. Class A.............. 547,188 45,148,482 0.3%
Other Securities................ 1,784,149,765 10.4%
---------------- -----
Total Information Technology......... 3,114,141,627 18.5%
---------------- -----
Materials -- (4.2%)
Dow Chemical Co. (The).......... 878,752 47,285,645 0.3%
Other Securities................ 742,321,499 4.4%
---------------- -----
Total Materials...................... 789,607,144 4.7%
---------------- -----
Real Estate -- (0.3%)
Other Securities................ 54,654,832 0.3%
---------------- -----
Telecommunication Services -- (2.7%)
AT&T, Inc....................... 7,348,948 270,367,797 1.6%
Verizon Communications, Inc..... 2,287,031 110,006,191 0.7%
Other Securities................ 121,517,343 0.7%
---------------- -----
Total Telecommunication Services..... 501,891,331 3.0%
---------------- -----
Utilities -- (1.9%)
Other Securities................ 359,606,647 2.2%
---------------- -----
TOTAL COMMON STOCKS.................. 16,663,873,399 98.9%
---------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities................ 316,401 0.0%
---------------- -----
FACE
AMOUNT
------
(000)
BONDS -- (0.0%)
Financials -- (0.0%)
Other Securities................ 1,134 0.0%
---------------- -----
TOTAL INVESTMENT SECURITIES.......... 16,664,190,934
----------------
57
U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
TEMPORARY CASH INVESTMENTS -- (1.0%)
State Street Institutional U.S. Government Money Market
Fund, 0.260%........................................... 183,777,496 $ 183,777,496 1.1%
---------------- ------
SECURITIES LENDING COLLATERAL -- (9.9%)
(S)@ DFA Short Term Investment Fund.......................... 161,181,286 1,865,189,843 11.1%
---------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $14,482,818,245).................................... $ 18,713,158,273 111.1%
================ ======
Summary of the Portfolio's investments as of October 31, 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......... $ 2,398,212,074 $ 1,032 -- $ 2,398,213,106
Consumer Staples............... 1,218,552,155 -- -- 1,218,552,155
Energy......................... 1,230,015,464 -- -- 1,230,015,464
Financials..................... 2,881,802,054 1,721 -- 2,881,803,775
Health Care.................... 1,788,288,024 -- -- 1,788,288,024
Industrials.................... 2,327,099,294 -- -- 2,327,099,294
Information Technology......... 3,114,141,627 -- -- 3,114,141,627
Materials...................... 789,607,144 -- -- 789,607,144
Real Estate.................... 54,654,832 -- -- 54,654,832
Telecommunication Services..... 501,891,331 -- -- 501,891,331
Utilities...................... 359,606,647 -- -- 359,606,647
Rights/Warrants................. -- 316,401 -- 316,401
Bonds
Financials..................... -- 1,134 -- 1,134
Temporary Cash Investments...... 183,777,496 -- -- 183,777,496
Securities Lending Collateral... -- 1,865,189,843 -- 1,865,189,843
Futures Contracts**............. (3,629,644) -- -- (3,629,644)
--------------- -------------- -- ---------------
TOTAL........................... $16,844,018,498 $1,865,510,131 -- $18,709,528,629
=============== ============== == ===============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
58
U.S. VECTOR EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (87.4%)
Consumer Discretionary -- (12.4%)
* Charter Communications, Inc. Class A.. 37,711 $ 9,423,602 0.3%
Comcast Corp. Class A................. 467,989 28,931,080 0.8%
Ford Motor Co......................... 829,745 9,741,206 0.3%
General Motors Co..................... 339,484 10,727,694 0.3%
Time Warner, Inc...................... 94,912 8,446,219 0.2%
Walt Disney Co. (The)................. 118,253 10,960,871 0.3%
Other Securities...................... 459,291,025 11.9%
------------ -----
Total Consumer Discretionary.............. 537,521,697 14.1%
------------ -----
Consumer Staples -- (4.2%)
CVS Health Corp....................... 102,304 8,603,766 0.2%
JM Smucker Co. (The).................. 60,483 7,942,023 0.2%
Procter & Gamble Co. (The)............ 99,988 8,678,958 0.2%
Wal-Mart Stores, Inc.................. 179,784 12,588,476 0.3%
Other Securities...................... 144,905,623 3.9%
------------ -----
Total Consumer Staples.................... 182,718,846 4.8%
------------ -----
Energy -- (6.9%)
Chevron Corp.......................... 222,498 23,306,665 0.6%
Exxon Mobil Corp...................... 465,409 38,777,878 1.0%
Tesoro Corp........................... 121,066 10,286,978 0.3%
Valero Energy Corp.................... 125,201 7,416,907 0.2%
Other Securities...................... 218,565,840 5.7%
------------ -----
Total Energy.............................. 298,354,268 7.8%
------------ -----
Financials -- (21.5%)
American International Group, Inc..... 128,798 7,946,837 0.2%
Bank of America Corp.................. 1,204,998 19,882,467 0.5%
Chubb, Ltd............................ 58,676 7,451,852 0.2%
Citigroup, Inc........................ 347,253 17,067,485 0.5%
Endurance Specialty Holdings, Ltd..... 95,353 8,767,708 0.2%
Fifth Third Bancorp................... 403,189 8,773,393 0.2%
Goldman Sachs Group, Inc. (The)....... 44,550 7,940,592 0.2%
Huntington Bancshares, Inc............ 748,332 7,932,319 0.2%
JPMorgan Chase & Co................... 550,713 38,142,382 1.0%
KeyCorp............................... 521,658 7,365,811 0.2%
Principal Financial Group, Inc........ 157,281 8,587,543 0.2%
Travelers Cos., Inc. (The)............ 66,684 7,213,875 0.2%
Wells Fargo & Co...................... 913,280 42,020,013 1.1%
Other Securities...................... 743,387,298 19.5%
------------ -----
Total Financials.......................... 932,479,575 24.4%
------------ -----
Health Care -- (7.1%)
* Allergan P.L.C........................ 38,459 8,035,623 0.2%
Johnson & Johnson..................... 98,222 11,392,770 0.3%
Merck & Co., Inc...................... 149,737 8,792,557 0.2%
Pfizer, Inc........................... 459,005 14,555,049 0.4%
UnitedHealth Group, Inc............... 69,193 9,779,047 0.3%
Other Securities...................... 254,811,203 6.6%
------------ -----
Total Health Care......................... 307,366,249 8.0%
------------ -----
59
U.S. VECTOR EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (13.7%)
General Electric Co............ 299,460 $ 8,714,286 0.2%
Union Pacific Corp............. 79,133 6,977,948 0.2%
* United Rentals, Inc............ 117,421 8,884,073 0.2%
United Technologies Corp....... 74,891 7,653,860 0.2%
Other Securities............... 559,426,056 14.7%
-------------- -----
Total Industrials.................... 591,656,223 15.5%
-------------- -----
Information Technology -- (13.2%)
* Alphabet, Inc. Class A......... 9,286 7,520,731 0.2%
* Alphabet, Inc. Class C......... 9,743 7,643,773 0.2%
Apple, Inc..................... 329,973 37,465,134 1.0%
Cisco Systems, Inc............. 479,871 14,722,442 0.4%
Intel Corp..................... 578,019 20,155,523 0.5%
* Micron Technology, Inc......... 650,355 11,160,092 0.3%
Microsoft Corp................. 278,222 16,671,062 0.4%
QUALCOMM, Inc.................. 140,266 9,639,080 0.3%
# Visa, Inc. Class A............. 116,012 9,572,150 0.3%
Other Securities............... 438,055,756 11.4%
-------------- -----
Total Information Technology......... 572,605,743 15.0%
-------------- -----
Materials -- (4.6%)
Newmont Mining Corp............ 252,066 9,336,525 0.3%
Other Securities............... 191,048,264 4.9%
-------------- -----
Total Materials...................... 200,384,789 5.2%
-------------- -----
Real Estate -- (0.4%)
Other Securities............... 16,384,164 0.4%
-------------- -----
Telecommunication Services -- (2.3%)
AT&T, Inc...................... 1,215,522 44,719,054 1.2%
# CenturyLink, Inc............... 526,869 14,004,178 0.4%
Verizon Communications, Inc.... 259,639 12,488,636 0.3%
Other Securities............... 30,610,456 0.8%
-------------- -----
Total Telecommunication Services..... 101,822,324 2.7%
-------------- -----
Utilities -- (1.1%)
UGI Corp....................... 157,006 7,267,808 0.2%
Other Securities............... 38,789,597 1.0%
-------------- -----
Total Utilities...................... 46,057,405 1.2%
-------------- -----
TOTAL COMMON STOCKS.................. 3,787,351,283 99.1%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities............... 61,431 0.0%
-------------- -----
FACE
AMOUNT
------
(000)
BONDS -- (0.0%)
Financials -- (0.0%)
Other Securities............... 249 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES.......... 3,787,412,963
--------------
60
U.S. VECTOR EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
TEMPORARY CASH INVESTMENTS -- (0.9%)
State Street Institutional U.S. Government Money Market Fund,
0.260%....................................................... 37,303,788 $ 37,303,788 1.0%
-------------- ------
SECURITIES LENDING COLLATERAL -- (11.7%)
(S)@ DFA Short Term Investment Fund................................ 44,015,065 509,342,336 13.3%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,439,212,409)........................................... $4,334,059,087 113.4%
============== ======
Summary of the Portfolio's investments as of October 31, 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......... $ 537,521,697 -- -- $ 537,521,697
Consumer Staples............... 182,718,846 -- -- 182,718,846
Energy......................... 298,354,268 -- -- 298,354,268
Financials..................... 932,479,561 $ 14 -- 932,479,575
Health Care.................... 307,366,249 -- -- 307,366,249
Industrials.................... 591,656,223 -- -- 591,656,223
Information Technology......... 572,605,743 -- -- 572,605,743
Materials...................... 200,384,789 -- -- 200,384,789
Real Estate.................... 16,384,164 -- -- 16,384,164
Telecommunication Services..... 101,822,324 -- -- 101,822,324
Utilities...................... 46,057,405 -- -- 46,057,405
Rights/Warrants................. -- 61,431 -- 61,431
Bonds
Financials..................... -- 249 -- 249
Temporary Cash Investments...... 37,303,788 -- -- 37,303,788
Securities Lending Collateral... -- 509,342,336 -- 509,342,336
Futures Contracts**............. (834,976) -- -- (834,976)
-------------- ------------ -- --------------
TOTAL........................... $3,823,820,081 $509,404,030 -- $4,333,224,111
============== ============ == ==============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
61
U.S. SMALL CAP PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (82.5%)
Consumer Discretionary -- (13.2%)
# Brinker International, Inc........................ 617,456 $ 30,403,533 0.2%
Jack in the Box, Inc.............................. 357,108 33,471,733 0.3%
* Murphy USA, Inc................................... 419,540 28,855,961 0.2%
# Papa John's International, Inc.................... 393,634 29,699,685 0.2%
#* Tenneco, Inc...................................... 550,288 30,304,360 0.2%
# Texas Roadhouse, Inc.............................. 698,310 28,295,521 0.2%
Thor Industries, Inc.............................. 471,347 37,382,531 0.3%
# Wendy's Co. (The)................................. 2,782,938 30,167,048 0.2%
Other Securities.................................. 1,799,231,492 14.0%
-------------- -----
Total Consumer Discretionary.......................... 2,047,811,864 15.8%
-------------- -----
Consumer Staples -- (3.8%)
# Snyder's-Lance, Inc............................... 822,391 29,252,448 0.2%
Other Securities.................................. 557,877,990 4.3%
-------------- -----
Total Consumer Staples................................ 587,130,438 4.5%
-------------- -----
Energy -- (3.5%)
* Parsley Energy, Inc. Class A...................... 1,036,429 34,098,514 0.3%
# Patterson-UTI Energy, Inc......................... 1,368,035 30,753,427 0.2%
# Superior Energy Services, Inc..................... 2,025,077 28,675,090 0.2%
Other Securities.................................. 452,526,393 3.5%
-------------- -----
Total Energy.......................................... 546,053,424 4.2%
-------------- -----
Financials -- (16.3%)
# Associated Banc-Corp.............................. 1,454,729 29,530,999 0.2%
# Bank of Hawaii Corp............................... 422,076 31,719,011 0.2%
# FNB Corp.......................................... 2,174,721 28,423,603 0.2%
MarketAxess Holdings, Inc......................... 232,513 35,053,660 0.3%
# Mercury General Corp.............................. 537,758 29,291,678 0.2%
# Primerica, Inc.................................... 604,825 33,083,927 0.3%
PrivateBancorp, Inc............................... 716,638 32,420,703 0.3%
ProAssurance Corp................................. 573,835 30,585,405 0.2%
#* Texas Capital Bancshares, Inc..................... 519,188 30,787,848 0.2%
# UMB Financial Corp................................ 504,045 31,275,992 0.2%
# United Bankshares, Inc............................ 780,243 29,415,161 0.2%
Other Securities.................................. 2,192,611,155 17.0%
-------------- -----
Total Financials...................................... 2,534,199,142 19.5%
-------------- -----
Health Care -- (6.8%)
Cantel Medical Corp............................... 414,757 29,543,141 0.2%
#* Integra LifeSciences Holdings Corp................ 391,182 31,102,881 0.2%
#* NuVasive, Inc..................................... 483,734 28,893,432 0.2%
Other Securities.................................. 974,356,810 7.6%
-------------- -----
Total Health Care..................................... 1,063,896,264 8.2%
-------------- -----
Industrials -- (15.8%)
# CLARCOR, Inc...................................... 480,948 29,919,775 0.2%
EMCOR Group, Inc.................................. 543,968 32,888,305 0.3%
EnerSys........................................... 439,795 28,643,848 0.2%
# Landstar System, Inc.............................. 405,580 28,857,017 0.2%
# Valmont Industries, Inc........................... 241,944 30,956,735 0.2%
Other Securities.................................. 2,303,425,786 17.8%
-------------- -----
Total Industrials..................................... 2,454,691,466 18.9%
-------------- -----
62
U.S. SMALL CAP PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Information Technology -- (13.4%)
* Cirrus Logic, Inc............................................. 640,150 $ 34,555,297 0.3%
* Coherent, Inc................................................. 280,344 29,189,417 0.2%
Fair Isaac Corp............................................... 241,729 29,171,856 0.2%
#* Finisar Corp.................................................. 1,068,758 29,262,594 0.2%
* Integrated Device Technology, Inc............................. 1,375,469 28,485,963 0.2%
Intersil Corp. Class A........................................ 1,298,168 28,663,549 0.2%
Littelfuse, Inc............................................... 214,417 29,911,171 0.2%
Mentor Graphics Corp.......................................... 1,218,313 35,209,246 0.3%
#* Paycom Software, Inc.......................................... 565,608 29,258,902 0.2%
Science Applications International Corp....................... 441,505 30,424,110 0.2%
Other Securities.............................................. 1,773,252,649 13.8%
--------------- ------
Total Information Technology........................................ 2,077,384,754 16.0%
--------------- ------
Materials -- (4.8%)
Hecla Mining Co............................................... 5,071,896 30,380,657 0.2%
* Louisiana-Pacific Corp........................................ 1,673,693 30,712,267 0.2%
Sensient Technologies Corp.................................... 410,208 30,564,598 0.2%
# United States Steel Corp...................................... 2,199,218 42,532,876 0.3%
Worthington Industries, Inc................................... 635,344 29,861,168 0.2%
Other Securities.............................................. 580,757,928 4.6%
--------------- ------
Total Materials..................................................... 744,809,494 5.7%
--------------- ------
Real Estate -- (0.5%)
Other Securities.............................................. 76,852,267 0.6%
--------------- ------
Telecommunication Services -- (0.8%)
Other Securities.............................................. 123,052,617 1.0%
--------------- ------
Utilities -- (3.6%)
ALLETE, Inc................................................... 482,475 29,570,893 0.2%
# Black Hills Corp.............................................. 507,714 31,402,111 0.2%
Portland General Electric Co.................................. 690,542 30,135,253 0.2%
Southwest Gas Corp............................................ 436,198 31,606,907 0.3%
Other Securities.............................................. 446,178,138 3.5%
--------------- ------
Total Utilities..................................................... 568,893,302 4.4%
--------------- ------
TOTAL COMMON STOCKS................................................. 12,824,775,032 98.8%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 20 0.0%
--------------- ------
FACE
AMOUNT
------
(000)
BONDS -- (0.0%)
Financials -- (0.0%)
Other Securities.............................................. 2,106 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES......................................... 12,824,777,158
---------------
TEMPORARY CASH INVESTMENTS -- (1.0%)
State Street Institutional U.S. Government Money Market Fund,
0.260%....................................................... 159,359,591 159,359,591 1.2%
--------------- ------
SECURITIES LENDING COLLATERAL -- (16.5%)
(S)@ DFA Short Term Investment Fund................................ 221,707,965 2,565,604,574 19.8%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $13,461,178,185).......................................... $15,549,741,323 119.8%
=============== ======
63
U.S. SMALL CAP PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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......... $ 2,047,809,164 $ 2,700 -- $ 2,047,811,864
Consumer Staples............... 587,130,438 -- -- 587,130,438
Energy......................... 546,048,955 4,469 -- 546,053,424
Financials..................... 2,534,173,706 25,436 -- 2,534,199,142
Health Care.................... 1,063,896,264 -- -- 1,063,896,264
Industrials.................... 2,454,691,466 -- -- 2,454,691,466
Information Technology......... 2,077,384,754 -- -- 2,077,384,754
Materials...................... 744,809,494 -- -- 744,809,494
Real Estate.................... 76,852,267 -- -- 76,852,267
Telecommunication Services..... 123,052,617 -- -- 123,052,617
Utilities...................... 568,893,302 -- -- 568,893,302
Rights/Warrants................. -- 20 -- 20
Bonds
Financials..................... -- 2,106 -- 2,106
Temporary Cash Investments...... 159,359,591 -- -- 159,359,591
Securities Lending Collateral... -- 2,565,604,574 -- 2,565,604,574
Futures Contracts**............. (4,289,881) -- -- (4,289,881)
--------------- -------------- -- ---------------
TOTAL........................... $12,979,812,137 $2,565,639,305 -- $15,545,451,442
=============== ============== == ===============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
64
U.S. MICRO CAP PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (85.6%)
Consumer Discretionary -- (14.0%)
* American Axle & Manufacturing Holdings, Inc.. 801,076 $ 14,355,282 0.3%
# Children's Place, Inc. (The)................. 197,911 15,031,340 0.3%
#* iRobot Corp.................................. 256,033 12,980,873 0.3%
La-Z-Boy, Inc................................ 582,277 13,625,282 0.3%
# Nexstar Broadcasting Group, Inc. Class A..... 270,654 13,207,915 0.3%
#* Popeyes Louisiana Kitchen, Inc............... 268,854 14,351,427 0.3%
#* Smith & Wesson Holding Corp.................. 524,678 13,867,240 0.3%
# Sonic Corp................................... 598,492 13,711,452 0.3%
Standard Motor Products, Inc................. 256,836 12,559,280 0.3%
Other Securities............................. 700,845,778 13.4%
-------------- -----
Total Consumer Discretionary..................... 824,535,869 16.1%
-------------- -----
Consumer Staples -- (3.0%)
# WD-40 Co..................................... 145,060 15,467,022 0.3%
Other Securities............................. 163,581,879 3.2%
-------------- -----
Total Consumer Staples........................... 179,048,901 3.5%
-------------- -----
Energy -- (2.3%)
Other Securities............................. 133,958,199 2.6%
-------------- -----
Financials -- (18.7%)
#* BofI Holding, Inc............................ 689,616 12,847,546 0.3%
# Columbia Banking System, Inc................. 385,842 12,740,503 0.3%
# Community Bank System, Inc................... 265,690 12,516,656 0.3%
FBL Financial Group, Inc. Class A............ 265,072 16,779,058 0.3%
First Midwest Bancorp, Inc................... 753,336 14,546,918 0.3%
FirstCash, Inc............................... 343,499 16,213,153 0.3%
Horace Mann Educators Corp................... 408,077 14,670,368 0.3%
Independent Bank Corp........................ 230,864 12,732,150 0.3%
# LegacyTexas Financial Group, Inc............. 475,476 16,266,034 0.3%
# Northwest Bancshares, Inc.................... 947,369 14,911,588 0.3%
Other Securities............................. 956,160,755 18.5%
-------------- -----
Total Financials................................. 1,100,384,729 21.5%
-------------- -----
Health Care -- (8.2%)
#* Cambrex Corp................................. 340,394 13,717,878 0.3%
#* ICU Medical, Inc............................. 113,977 15,876,996 0.3%
* Natus Medical, Inc........................... 355,299 13,981,016 0.3%
* Omnicell, Inc................................ 388,890 12,687,536 0.3%
Other Securities............................. 425,847,551 8.2%
-------------- -----
Total Health Care................................ 482,110,977 9.4%
-------------- -----
Industrials -- (17.8%)
# AAON, Inc.................................... 563,173 16,867,031 0.3%
Exponent, Inc................................ 266,014 15,229,301 0.3%
Forward Air Corp............................. 308,222 12,735,733 0.3%
G&K Services, Inc. Class A................... 178,867 16,938,705 0.3%
Insperity, Inc............................... 230,702 17,348,790 0.3%
John Bean Technologies Corp.................. 209,011 16,689,528 0.3%
* MRC Global, Inc.............................. 966,521 14,246,520 0.3%
Mueller Water Products, Inc. Class A......... 1,171,951 14,438,436 0.3%
#* Trex Co., Inc................................ 299,194 16,099,629 0.3%
Other Securities............................. 907,722,426 17.7%
-------------- -----
Total Industrials................................ 1,048,316,099 20.4%
-------------- -----
65
U.S. MICRO CAP PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Information Technology -- (12.3%)
* Advanced Energy Industries, Inc................... 353,998 $ 16,885,705 0.3%
Cabot Microelectronics Corp....................... 273,995 15,140,964 0.3%
# CSG Systems International, Inc.................... 348,861 13,267,184 0.3%
* ExlService Holdings, Inc.......................... 330,438 14,549,185 0.3%
Methode Electronics, Inc.......................... 456,176 14,232,691 0.3%
#* NETGEAR, Inc...................................... 248,640 12,556,320 0.3%
NIC, Inc.......................................... 621,988 14,274,625 0.3%
#* OSI Systems, Inc.................................. 210,211 14,742,097 0.3%
Other Securities.................................. 608,447,189 11.7%
-------------- -----
Total Information Technology.......................... 724,095,960 14.1%
-------------- -----
Materials -- (4.8%)
Innospec, Inc..................................... 251,708 15,165,407 0.3%
Neenah Paper, Inc................................. 166,919 13,336,828 0.3%
Quaker Chemical Corp.............................. 133,400 14,340,500 0.3%
Stepan Co......................................... 188,462 13,386,456 0.3%
Other Securities.................................. 227,984,277 4.3%
-------------- -----
Total Materials....................................... 284,213,468 5.5%
-------------- -----
Real Estate -- (0.7%)
Other Securities.................................. 43,411,885 0.9%
-------------- -----
Telecommunication Services -- (1.5%)
# Shenandoah Telecommunications Co.................. 502,216 13,258,502 0.3%
Other Securities.................................. 78,954,809 1.5%
-------------- -----
Total Telecommunication Services...................... 92,213,311 1.8%
-------------- -----
Utilities -- (2.3%)
# American States Water Co.......................... 394,204 15,760,276 0.3%
# California Water Service Group.................... 493,470 15,297,570 0.3%
# MGE Energy, Inc................................... 270,481 15,809,614 0.3%
Northwest Natural Gas Co.......................... 215,566 12,675,281 0.3%
Other Securities.................................. 74,233,231 1.4%
-------------- -----
Total Utilities....................................... 133,775,972 2.6%
-------------- -----
TOTAL COMMON STOCKS................................... 5,046,065,370 98.4%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities.................................. 16 0.0%
-------------- -----
FACE
AMOUNT
------
(000)
BONDS -- (0.0%)
Financials -- (0.0%)
Other Securities.................................. 8,945 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES........................... 5,046,074,331
--------------
66
U.S. MICRO CAP PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
TEMPORARY CASH INVESTMENTS -- (0.7%)
State Street Institutional U.S. Government Money Market Fund,
0.260%....................................................... 42,875,826 $ 42,875,826 0.8%
-------------- ------
SECURITIES LENDING COLLATERAL -- (13.7%)
(S)@ DFA Short Term Investment Fund................................ 69,547,620 804,805,059 15.7%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,608,078,487)........................................... $5,893,755,216 114.9%
============== ======
Summary of the Portfolio's investments as of October 31, 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........................... $ 824,512,903 $ 22,966 -- $ 824,535,869
Consumer Staples................................. 179,048,901 -- -- 179,048,901
Energy........................................... 133,941,707 16,492 -- 133,958,199
Financials....................................... 1,100,381,682 3,047 -- 1,100,384,729
Health Care...................................... 482,110,977 -- -- 482,110,977
Industrials...................................... 1,048,316,099 -- -- 1,048,316,099
Information Technology........................... 724,095,960 -- -- 724,095,960
Materials........................................ 284,213,468 -- -- 284,213,468
Real Estate...................................... 43,411,885 -- -- 43,411,885
Telecommunication Services....................... 92,213,311 -- -- 92,213,311
Utilities........................................ 133,775,972 -- -- 133,775,972
Rights/Warrants................................... -- 16 -- 16
Bonds
Financials....................................... -- 8,945 -- 8,945
Temporary Cash Investments........................ 42,875,826 -- -- 42,875,826
Securities Lending Collateral..................... -- 804,805,059 -- 804,805,059
Futures Contracts**............................... (1,662,432) -- -- (1,662,432)
-------------- ------------ -- --------------
TOTAL............................................. $5,087,236,259 $804,856,525 -- $5,892,092,784
============== ============ == ==============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
67
DFA REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (93.1%)
Real Estate -- (93.1%)
# Alexandria Real Estate Equities, Inc.............. 720,216 $ 77,646,487 1.1%
# American Campus Communities, Inc.................. 1,213,467 63,233,765 0.9%
Apartment Investment & Management Co. Class A..... 1,525,464 67,227,198 0.9%
AvalonBay Communities, Inc........................ 1,327,485 227,238,882 3.1%
Boston Properties, Inc............................ 1,506,103 181,455,289 2.5%
Brixmor Property Group, Inc....................... 2,184,902 55,540,209 0.8%
# Camden Property Trust............................. 844,698 68,792,205 0.9%
CubeSmart......................................... 1,753,596 45,716,248 0.6%
DCT Industrial Trust, Inc......................... 903,208 42,224,974 0.6%
DDR Corp.......................................... 3,104,998 47,475,419 0.7%
# Digital Realty Trust, Inc......................... 1,447,241 135,215,727 1.9%
# Douglas Emmett, Inc............................... 1,378,896 50,329,704 0.7%
# Duke Realty Corp.................................. 3,381,456 88,425,074 1.2%
EPR Properties.................................... 582,095 42,329,948 0.6%
Equinix, Inc...................................... 544,188 194,427,489 2.7%
Equity Lifestyle Properties, Inc.................. 784,291 59,480,629 0.8%
Equity Residential................................ 3,532,521 218,133,172 3.0%
Essex Property Trust, Inc......................... 642,088 137,464,620 1.9%
# Extra Space Storage, Inc.......................... 1,156,690 84,611,873 1.2%
Federal Realty Investment Trust................... 677,286 98,362,246 1.4%
Gaming and Leisure Properties, Inc................ 1,519,882 49,897,726 0.7%
General Growth Properties, Inc.................... 5,585,578 139,360,171 1.9%
HCP, Inc.......................................... 4,530,819 155,180,551 2.1%
Highwoods Properties, Inc......................... 930,202 46,165,925 0.6%
# Host Hotels & Resorts, Inc........................ 7,456,077 115,420,072 1.6%
# Iron Mountain, Inc................................ 2,162,348 72,935,998 1.0%
Kilroy Realty Corp................................ 896,716 64,411,110 0.9%
Kimco Realty Corp................................. 4,031,807 107,286,384 1.5%
Liberty Property Trust............................ 1,471,333 59,485,993 0.8%
Macerich Co. (The)................................ 1,466,447 103,795,119 1.4%
Mid-America Apartment Communities, Inc............ 735,123 68,182,658 0.9%
National Retail Properties, Inc................... 1,321,316 60,278,436 0.8%
# Omega Healthcare Investors, Inc................... 1,734,691 55,215,215 0.8%
Prologis, Inc..................................... 5,065,428 264,212,724 3.6%
Public Storage.................................... 1,433,171 306,297,306 4.2%
# Realty Income Corp................................ 2,392,365 141,723,703 2.0%
Regency Centers Corp.............................. 958,173 69,055,528 1.0%
Senior Housing Properties Trust................... 2,309,088 49,114,302 0.7%
Simon Property Group, Inc......................... 2,957,958 550,061,870 7.6%
# SL Green Realty Corp.............................. 972,860 95,554,309 1.3%
Spirit Realty Capital, Inc........................ 4,534,334 54,003,918 0.7%
Sun Communities, Inc.............................. 586,641 45,130,292 0.6%
Taubman Centers, Inc.............................. 620,452 44,957,952 0.6%
UDR, Inc.......................................... 2,556,062 89,385,488 1.2%
Ventas, Inc....................................... 3,250,505 220,221,714 3.0%
VEREIT, Inc. REIT................................. 8,620,068 81,028,639 1.1%
Vornado Realty Trust.............................. 1,669,064 154,855,758 2.1%
Weingarten Realty Investors....................... 1,173,966 42,509,309 0.6%
Welltower, Inc.................................... 3,434,840 235,389,585 3.2%
WP Carey, Inc..................................... 949,550 57,675,667 0.8%
Other Securities.................................. 1,609,452,453 22.3%
-------------- -----
TOTAL COMMON STOCKS................................... 7,193,577,033 99.1%
-------------- -----
TOTAL INVESTMENT SECURITIES........................... 7,193,577,033
--------------
68
DFA REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
TEMPORARY CASH INVESTMENTS -- (0.9%)
State Street Institutional U.S. Government Money
Market Fund, 0.260%.............................. 67,516,660 $ 67,516,660 0.9%
-------------- ------
SECURITIES LENDING COLLATERAL -- (6.0%)
(S)@ DFA Short Term Investment Fund.................... 39,885,634 461,556,560 6.4%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $5,617,986,921)................................. $7,722,650,253 106.4%
============== ======
Summary of the Portfolio's investments as of October 31, 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...................................... $7,193,577,033 -- -- $7,193,577,033
Temporary Cash Investments........................ 67,516,660 -- -- 67,516,660
Securities Lending Collateral..................... -- $461,556,560 -- 461,556,560
Futures Contracts**............................... (1,518,080) -- -- (1,518,080)
-------------- ------------ -- --------------
TOTAL............................................. $7,259,575,613 $461,556,560 -- $7,721,132,173
============== ============ == ==============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
69
LARGE CAP INTERNATIONAL PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (93.9%)
AUSTRALIA -- (5.8%)
Australia & New Zealand Banking Group, Ltd.... 643,282 $ 13,583,162 0.4%
BHP Billiton, Ltd............................. 816,132 14,258,502 0.4%
# Commonwealth Bank of Australia................ 360,229 20,054,267 0.6%
National Australia Bank, Ltd.................. 570,039 12,100,464 0.4%
Westpac Banking Corp.......................... 790,393 18,277,786 0.5%
Other Securities.............................. 136,917,797 3.8%
------------ ----
TOTAL AUSTRALIA................................... 215,191,978 6.1%
------------ ----
AUSTRIA -- (0.2%)
Other Securities.............................. 6,631,352 0.2%
------------ ----
BELGIUM -- (1.2%)
Anheuser-Busch InBev SA....................... 170,354 19,551,493 0.6%
Other Securities.............................. 24,710,275 0.7%
------------ ----
TOTAL BELGIUM..................................... 44,261,768 1.3%
------------ ----
CANADA -- (8.3%)
Bank of Nova Scotia (The)..................... 181,668 9,762,640 0.3%
Royal Bank of Canada.......................... 246,120 15,376,766 0.4%
Toronto-Dominion Bank (The)................... 270,619 12,279,037 0.4%
Other Securities.............................. 268,497,721 7.6%
------------ ----
TOTAL CANADA...................................... 305,916,164 8.7%
------------ ----
DENMARK -- (1.5%)
Novo Nordisk A.S. Class B..................... 411,533 14,661,061 0.3%
Other Securities.............................. 39,053,449 1.2%
------------ ----
TOTAL DENMARK..................................... 53,714,510 1.5%
------------ ----
FINLAND -- (0.9%)
Other Securities.............................. 33,176,858 0.9%
------------ ----
FRANCE -- (8.2%)
BNP Paribas SA................................ 261,502 15,162,737 0.4%
Danone SA..................................... 140,586 9,750,811 0.3%
L'Oreal SA.................................... 61,025 10,933,185 0.3%
LVMH Moet Hennessy Louis Vuitton SE........... 74,220 13,512,577 0.4%
Sanofi........................................ 243,641 18,959,844 0.5%
Total SA...................................... 399,254 19,126,223 0.5%
Other Securities.............................. 215,281,036 6.2%
------------ ----
TOTAL FRANCE...................................... 302,726,413 8.6%
------------ ----
GERMANY -- (7.2%)
Allianz SE.................................... 76,148 11,887,025 0.3%
BASF SE....................................... 233,002 20,568,940 0.6%
Bayer AG...................................... 177,385 17,612,490 0.5%
Daimler AG.................................... 265,526 18,943,149 0.5%
Deutsche Telekom AG........................... 829,875 13,539,591 0.4%
SAP SE........................................ 185,556 16,347,377 0.5%
Siemens AG.................................... 151,354 17,196,439 0.5%
Other Securities.............................. 148,923,152 4.2%
------------ ----
TOTAL GERMANY..................................... 265,018,163 7.5%
------------ ----
70
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
HONG KONG -- (2.9%)
AIA Group, Ltd.......................... 2,502,600 $ 15,743,861 0.5%
Other Securities........................ 89,463,523 2.5%
------------ -----
TOTAL HONG KONG............................. 105,207,384 3.0%
------------ -----
IRELAND -- (0.5%)
Other Securities........................ 17,246,217 0.5%
------------ -----
ISRAEL -- (0.5%)
Other Securities........................ 17,274,396 0.5%
------------ -----
ITALY -- (1.7%)
Other Securities........................ 61,192,587 1.7%
------------ -----
JAPAN -- (22.8%)
Japan Tobacco, Inc...................... 294,200 11,185,520 0.3%
KDDI Corp............................... 492,100 14,956,471 0.4%
SoftBank Group Corp..................... 258,360 16,271,791 0.5%
Sumitomo Mitsui Financial Group, Inc.... 300,940 10,434,090 0.3%
Toyota Motor Corp....................... 516,669 29,970,271 0.9%
Toyota Motor Corp. Sponsored ADR........ 96,721 11,186,751 0.3%
Other Securities........................ 745,363,913 21.1%
------------ -----
TOTAL JAPAN................................. 839,368,807 23.8%
------------ -----
NETHERLANDS -- (2.6%)
# Unilever NV............................. 256,547 10,730,329 0.3%
Other Securities........................ 85,584,302 2.4%
------------ -----
TOTAL NETHERLANDS........................... 96,314,631 2.7%
------------ -----
NEW ZEALAND -- (0.2%)
Other Securities........................ 7,703,900 0.2%
------------ -----
NORWAY -- (0.7%)
Other Securities........................ 24,569,910 0.7%
------------ -----
PORTUGAL -- (0.2%)
Other Securities........................ 5,616,292 0.2%
------------ -----
SINGAPORE -- (1.0%)
Other Securities........................ 38,097,183 1.1%
------------ -----
SPAIN -- (2.6%)
Banco Santander SA...................... 2,510,082 12,299,466 0.3%
Other Securities........................ 85,110,915 2.5%
------------ -----
TOTAL SPAIN................................. 97,410,381 2.8%
------------ -----
SWEDEN -- (2.4%)
Other Securities........................ 90,092,687 2.5%
------------ -----
SWITZERLAND -- (7.2%)
Nestle SA............................... 782,441 56,737,823 1.6%
Novartis AG............................. 431,870 30,648,770 0.9%
Roche Holding AG........................ 183,267 42,093,048 1.2%
Other Securities........................ 137,305,900 3.9%
------------ -----
TOTAL SWITZERLAND........................... 266,785,541 7.6%
------------ -----
71
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
UNITED KINGDOM -- (15.3%)
BP P.L.C. Sponsored ADR............................ 798,270 $ 28,378,481 0.8%
British American Tobacco P.L.C..................... 322,533 18,485,313 0.5%
# Diageo P.L.C. Sponsored ADR........................ 106,769 11,480,871 0.3%
GlaxoSmithKline P.L.C.............................. 566,003 11,181,008 0.3%
# GlaxoSmithKline P.L.C. Sponsored ADR............... 364,297 14,575,523 0.4%
* Glencore P.L.C..................................... 3,170,885 9,706,413 0.3%
HSBC Holdings P.L.C................................ 1,783,266 13,430,020 0.4%
# HSBC Holdings P.L.C. Sponsored ADR................. 538,345 20,257,922 0.6%
Imperial Brands P.L.C.............................. 213,827 10,343,202 0.3%
Reckitt Benckiser Group P.L.C...................... 153,746 13,754,195 0.4%
Royal Dutch Shell P.L.C. Class A................... 449,764 11,202,290 0.3%
Royal Dutch Shell P.L.C. Sponsored ADR, Class A.... 293,116 14,600,121 0.4%
# Royal Dutch Shell P.L.C. Sponsored ADR, Class B.... 270,733 14,162,043 0.4%
Unilever P.L.C. Sponsored ADR...................... 241,380 10,058,305 0.3%
Vodafone Group P.L.C............................... 4,075,813 11,193,505 0.3%
Other Securities................................... 349,728,527 9.9%
-------------- ------
TOTAL UNITED KINGDOM..................................... 562,537,739 15.9%
-------------- ------
UNITED STATES -- (0.0%)
Other Securities................................... 227,016 0.0%
-------------- ------
TOTAL COMMON STOCKS...................................... 3,456,281,877 98.0%
-------------- ------
PREFERRED STOCKS -- (0.5%)
GERMANY -- (0.5%)
Other Securities................................... 16,981,064 0.5%
-------------- ------
TOTAL PREFERRED STOCKS................................... 16,981,064 0.5%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
SPAIN -- (0.0%)
Other Securities................................... 202,968 0.0%
-------------- ------
SWEDEN -- (0.0%)
Other Securities................................... 42,577 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS.................................... 245,545 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES.............................. 3,473,508,486
--------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (5.6%)
(S)@ DFA Short Term Investment Fund..................... 17,954,930 207,774,454 5.9%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,448,198,124).................................. $3,681,282,940 104.4%
============== ======
72
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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...................... $ 5,086,440 $ 210,105,538 -- $ 215,191,978
Austria........................ -- 6,631,352 -- 6,631,352
Belgium........................ 22,518,893 21,742,875 -- 44,261,768
Canada......................... 305,916,164 -- -- 305,916,164
Denmark........................ 2,149,708 51,564,802 -- 53,714,510
Finland........................ 1,417,006 31,759,852 -- 33,176,858
France......................... 9,305,388 293,421,025 -- 302,726,413
Germany........................ 16,983,548 248,034,615 -- 265,018,163
Hong Kong...................... 571,437 104,635,947 -- 105,207,384
Ireland........................ 3,949,806 13,296,411 -- 17,246,217
Israel......................... 9,067,086 8,207,310 -- 17,274,396
Italy.......................... 3,474,243 57,718,344 -- 61,192,587
Japan.......................... 36,199,503 803,169,304 -- 839,368,807
Netherlands.................... 20,384,578 75,930,053 -- 96,314,631
New Zealand.................... -- 7,703,900 -- 7,703,900
Norway......................... 768,438 23,801,472 -- 24,569,910
Portugal....................... -- 5,616,292 -- 5,616,292
Singapore...................... -- 38,097,183 -- 38,097,183
Spain.......................... 12,512,270 84,898,111 -- 97,410,381
Sweden......................... -- 90,092,687 -- 90,092,687
Switzerland.................... 16,403,240 250,382,301 -- 266,785,541
United Kingdom................. 181,389,085 381,148,654 -- 562,537,739
United States.................. -- 227,016 -- 227,016
Preferred Stocks
Germany........................ -- 16,981,064 -- 16,981,064
Rights/Warrants
Spain.......................... -- 202,968 -- 202,968
Sweden......................... -- 42,577 -- 42,577
Securities Lending Collateral... -- 207,774,454 -- 207,774,454
Futures Contracts**............. (869,741) -- -- (869,741)
------------ -------------- -- --------------
TOTAL........................... $647,227,092 $3,033,186,107 -- $3,680,413,199
============ ============== == ==============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
73
INTERNATIONAL CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (92.7%)
AUSTRALIA -- (6.0%)
# Australia & New Zealand Banking Group, Ltd... 2,056,866 $ 43,431,565 0.3%
BHP Billiton, Ltd............................ 2,388,698 41,732,533 0.3%
# Commonwealth Bank of Australia............... 536,081 29,844,102 0.2%
Macquarie Group, Ltd......................... 602,362 36,412,406 0.2%
National Australia Bank, Ltd................. 1,864,442 39,577,315 0.2%
Westpac Banking Corp......................... 1,908,557 44,135,255 0.3%
Woodside Petroleum, Ltd...................... 1,399,661 29,961,126 0.2%
Other Securities............................. 809,573,794 4.6%
-------------- ----
TOTAL AUSTRALIA.................................. 1,074,668,096 6.3%
-------------- ----
AUSTRIA -- (0.5%)
Other Securities............................. 91,731,975 0.5%
-------------- ----
BELGIUM -- (1.4%)
Anheuser-Busch InBev SA...................... 393,517 45,163,864 0.3%
Other Securities............................. 199,927,530 1.1%
-------------- ----
TOTAL BELGIUM.................................... 245,091,394 1.4%
-------------- ----
CANADA -- (8.5%)
Royal Bank of Canada......................... 699,021 43,674,832 0.3%
Toronto-Dominion Bank (The).................. 680,144 30,860,780 0.2%
Other Securities............................. 1,449,023,827 8.5%
-------------- ----
TOTAL CANADA..................................... 1,523,559,439 9.0%
-------------- ----
CHINA -- (0.0%)
Other Securities............................. 2,708,191 0.0%
-------------- ----
DENMARK -- (1.8%)
Other Securities............................. 320,918,627 1.9%
-------------- ----
FINLAND -- (1.7%)
UPM-Kymmene Oyj.............................. 1,573,268 36,596,585 0.2%
Other Securities............................. 270,742,567 1.6%
-------------- ----
TOTAL FINLAND.................................... 307,339,152 1.8%
-------------- ----
FRANCE -- (6.7%)
BNP Paribas SA............................... 796,740 46,197,577 0.3%
Cie de Saint-Gobain.......................... 677,742 30,093,894 0.2%
Cie Generale des Etablissements Michelin..... 362,160 39,224,836 0.2%
Orange SA.................................... 2,108,185 33,169,456 0.2%
Total SA..................................... 1,954,493 93,629,793 0.6%
Other Securities............................. 956,157,803 5.5%
-------------- ----
TOTAL FRANCE..................................... 1,198,473,359 7.0%
-------------- ----
GERMANY -- (6.6%)
Adidas AG.................................... 191,209 31,414,494 0.2%
BASF SE...................................... 707,050 62,416,929 0.4%
Bayerische Motoren Werke AG.................. 472,907 41,258,985 0.3%
Daimler AG................................... 1,158,983 82,684,133 0.5%
Deutsche Telekom AG.......................... 2,550,534 41,612,518 0.3%
E.ON SE...................................... 5,371,567 39,367,437 0.2%
74
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
GERMANY -- (Continued)
Fresenius SE & Co. KGaA............ 594,150 $ 43,900,083 0.3%
Other Securities................... 836,999,292 4.7%
-------------- -----
TOTAL GERMANY.......................... 1,179,653,871 6.9%
-------------- -----
HONG KONG -- (2.8%)
AIA Group, Ltd..................... 6,136,600 38,605,361 0.2%
Other Securities................... 462,170,603 2.7%
-------------- -----
TOTAL HONG KONG........................ 500,775,964 2.9%
-------------- -----
IRELAND -- (0.5%)
Other Securities................... 85,350,165 0.5%
-------------- -----
ISRAEL -- (0.6%)
Other Securities................... 104,555,277 0.6%
-------------- -----
ITALY -- (2.3%)
Assicurazioni Generali SpA......... 2,476,453 31,989,189 0.2%
Eni SpA............................ 2,230,601 32,371,056 0.2%
Other Securities................... 354,242,498 2.1%
-------------- -----
TOTAL ITALY............................ 418,602,743 2.5%
-------------- -----
JAPAN -- (23.2%)
# Honda Motor Co., Ltd............... 1,287,400 38,521,073 0.2%
Mitsubishi UFJ Financial Group,
Inc............................... 6,194,700 31,963,466 0.2%
Nissan Motor Co., Ltd.............. 3,081,900 31,350,574 0.2%
NTT DOCOMO, Inc.................... 1,305,900 32,796,350 0.2%
Toyota Motor Corp.................. 1,432,494 83,094,269 0.5%
# Toyota Motor Corp. Sponsored ADR... 384,641 44,487,578 0.3%
Other Securities................... 3,908,722,637 23.0%
-------------- -----
TOTAL JAPAN............................ 4,170,935,947 24.6%
-------------- -----
NETHERLANDS -- (2.5%)
Koninklijke Ahold Delhaize NV...... 2,136,192 48,731,664 0.3%
Other Securities................... 406,732,883 2.4%
-------------- -----
TOTAL NETHERLANDS...................... 455,464,547 2.7%
-------------- -----
NEW ZEALAND -- (0.4%)
Other Securities................... 75,118,626 0.4%
-------------- -----
NORWAY -- (0.8%)
Other Securities................... 149,177,332 0.9%
-------------- -----
PORTUGAL -- (0.3%)
Other Securities................... 44,394,308 0.3%
-------------- -----
SINGAPORE -- (1.0%)
Other Securities................... 182,338,798 1.1%
-------------- -----
SPAIN -- (2.2%)
Banco Santander SA................. 8,235,475 40,354,037 0.3%
Iberdrola SA....................... 6,182,145 42,072,266 0.3%
Other Securities................... 321,145,827 1.8%
-------------- -----
TOTAL SPAIN............................ 403,572,130 2.4%
-------------- -----
75
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
SWEDEN -- (2.6%)
Other Securities.................................. $ 474,138,525 2.8%
--------------- -----
SWITZERLAND -- (6.0%)
ABB, Ltd.......................................... 1,450,592 29,926,319 0.2%
Nestle SA......................................... 2,417,067 175,270,877 1.0%
Novartis AG Sponsored ADR......................... 794,013 56,390,803 0.3%
Roche Holding AG.................................. 153,905 35,349,138 0.2%
Syngenta AG....................................... 92,858 37,158,601 0.2%
Other Securities.................................. 745,940,760 4.5%
--------------- -----
TOTAL SWITZERLAND..................................... 1,080,036,498 6.4%
--------------- -----
UNITED KINGDOM -- (14.3%)
BP P.L.C. Sponsored ADR........................... 2,592,381 92,159,153 0.6%
# HSBC Holdings P.L.C. Sponsored ADR................ 1,960,952 73,790,624 0.4%
Lloyds Banking Group P.L.C........................ 46,732,230 32,634,191 0.2%
# Rio Tinto P.L.C. Sponsored ADR.................... 929,561 32,395,201 0.2%
Royal Dutch Shell P.L.C. Class A.................. 1,299,991 32,378,927 0.2%
Royal Dutch Shell P.L.C. Sponsored ADR, Class A... 1,185,020 59,025,846 0.4%
# Royal Dutch Shell P.L.C. Sponsored ADR, Class B... 1,354,884 70,873,982 0.4%
* Tesco P.L.C....................................... 11,587,266 29,845,153 0.2%
# Vodafone Group P.L.C. Sponsored ADR............... 1,397,631 38,910,039 0.2%
Other Securities.................................. 2,114,841,864 12.4%
--------------- -----
TOTAL UNITED KINGDOM.................................. 2,576,854,980 15.2%
--------------- -----
UNITED STATES -- (0.0%)
Other Securities.................................. 3,901,386 0.0%
--------------- -----
TOTAL COMMON STOCKS................................... 16,669,361,330 98.1%
--------------- -----
PREFERRED STOCKS -- (0.4%)
GERMANY -- (0.4%)
Volkswagen AG..................................... 225,791 31,131,053 0.2%
Other Securities.................................. 34,513,017 0.2%
--------------- -----
TOTAL GERMANY......................................... 65,644,070 0.4%
--------------- -----
UNITED KINGDOM -- (0.0%)
Other Securities.................................. 14,278 0.0%
--------------- -----
TOTAL PREFERRED STOCKS................................ 65,658,348 0.4%
--------------- -----
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities.................................. 87,327 0.0%
--------------- -----
FRANCE -- (0.0%)
Other Securities.................................. 35 0.0%
--------------- -----
HONG KONG -- (0.0%)
Other Securities.................................. 736 0.0%
--------------- -----
SINGAPORE -- (0.0%)
Other Securities.................................. 26,148 0.0%
--------------- -----
SPAIN -- (0.0%)
Other Securities.................................. 604,074 0.0%
--------------- -----
76
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
SWEDEN -- (0.0%)
Other Securities................ $ 299,130 0.0%
--------------- ------
UNITED KINGDOM -- (0.0%)
Other Securities................ 1,203,565 0.0%
--------------- ------
TOTAL RIGHTS/WARRANTS.................. 2,221,015 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES............ 16,737,240,693
---------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (6.9%)
(S)@ DFA Short Term Investment Fund.. 106,864,635 1,236,637,558 7.3%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $17,498,407,878)............. $17,973,878,251 105.8%
=============== ======
Summary of the Portfolio's investments as of October 31, 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.................... $ 37,103,287 $1,037,564,809 -- $1,074,668,096
Austria...................... 49,098 91,682,877 -- 91,731,975
Belgium...................... 58,744,725 186,346,669 -- 245,091,394
Canada....................... 1,523,377,449 181,990 -- 1,523,559,439
China........................ -- 2,708,191 -- 2,708,191
Denmark...................... 21,156,358 299,762,269 -- 320,918,627
Finland...................... 6,367,123 300,972,029 -- 307,339,152
France....................... 69,350,590 1,129,122,769 -- 1,198,473,359
Germany...................... 79,163,985 1,100,489,886 -- 1,179,653,871
Hong Kong.................... 1,718,770 499,057,194 -- 500,775,964
Ireland...................... 19,547,023 65,803,142 -- 85,350,165
Israel....................... 28,473,368 76,081,909 -- 104,555,277
Italy........................ 11,331,958 407,270,785 -- 418,602,743
Japan........................ 115,521,400 4,055,414,547 -- 4,170,935,947
Netherlands.................. 67,080,426 388,384,121 -- 455,464,547
New Zealand.................. 656,849 74,461,777 -- 75,118,626
Norway....................... 12,717,633 136,459,699 -- 149,177,332
Portugal..................... 238,098 44,156,210 -- 44,394,308
Singapore.................... 680 182,338,118 -- 182,338,798
Spain........................ 25,603,409 377,968,721 -- 403,572,130
Sweden....................... 2,614,670 471,523,855 -- 474,138,525
Switzerland.................. 93,775,066 986,261,432 -- 1,080,036,498
United Kingdom............... 602,836,047 1,974,018,933 -- 2,576,854,980
United States................ 1,630,990 2,270,396 -- 3,901,386
Preferred Stocks
Germany...................... -- 65,644,070 -- 65,644,070
United Kingdom............... -- 14,278 -- 14,278
77
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
-------------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------- --------------- ------- ---------------
Rights/Warrants
Australia...................... -- $ 87,327 -- $ 87,327
France......................... -- 35 -- 35
Hong Kong...................... -- 736 -- 736
Singapore...................... -- 26,148 -- 26,148
Spain.......................... -- 604,074 -- 604,074
Sweden......................... -- 299,130 -- 299,130
United Kingdom................. -- 1,203,565 -- 1,203,565
Securities Lending Collateral... -- 1,236,637,558 -- 1,236,637,558
Futures Contracts**............. $ (2,947,701) -- -- (2,947,701)
-------------- --------------- -- ---------------
TOTAL........................... $2,776,111,301 $15,194,819,249 -- $17,970,930,550
============== =============== == ===============
**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
INTERNATIONAL SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
VALUE+
---------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The Continental Small Company Series of
The DFA Investment Trust Company....................... $ 3,831,133,408
Investment in The Japanese Small Company Series of
The DFA Investment Trust Company....................... 2,622,939,356
Investment in The United Kingdom Small Company Series of
The DFA Investment Trust Company....................... 1,623,793,646
Investment in The Asia Pacific Small Company Series of
The DFA Investment Trust Company....................... 1,304,060,854
Investment in The Canadian Small Company Series of
The DFA Investment Trust Company....................... 912,080,702
---------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $9,548,011,247)............................... 10,294,007,966
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $9,548,011,247)............................... $10,294,007,966
===============
Summary of the Portfolio's investments as of October 31, 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... $10,294,007,966 -- -- $10,294,007,966
Futures Contracts**............... (2,788,124) -- -- (2,788,124)
--------------- -- -- ---------------
TOTAL............................. $10,291,219,842 -- -- $10,291,219,842
=============== == == ===============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
79
SCHEDULES OF INVESTMENTS
OCTOBER 31, 2016
JAPANESE SMALL COMPANY PORTFOLIO
VALUE+
------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Japanese Small Company Series of
The DFA Investment Trust Company..................... $509,654,577
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $438,858,924)............................... $509,654,577
============
Summary of the Portfolio's Master Fund's investments as of October 31, 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..................... $251,675,013
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $260,212,173)............................... $251,675,013
============
Summary of the Portfolio's Master Fund's investments as of October 31, 2016,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
80
SCHEDULES OF INVESTMENTS
OCTOBER 31, 2016
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....................... $32,369,395
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $30,007,760).................................. $32,369,395
===========
Summary of the Portfolio's Master Fund's investments as of October 31, 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..................... $292,248,971
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $254,355,139)............................... $292,248,971
============
Summary of the Portfolio's Master Fund's investments as of October 31, 2016,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
81
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (96.3%)
AUSTRALIA -- (19.3%)
Dexus Property Group..... 10,421,155 $ 70,792,307 1.7%
Goodman Group............ 18,851,899 97,172,423 2.3%
GPT Group (The).......... 19,362,947 68,455,268 1.6%
Scentre Group............ 54,296,774 173,778,720 4.2%
Stockland................ 25,313,761 85,014,734 2.0%
Vicinity Centres......... 34,732,755 75,743,821 1.8%
Westfield Corp........... 20,974,759 141,744,743 3.4%
Other Securities......... 109,559,306 2.7%
------------ -----
TOTAL AUSTRALIA.............. 822,261,322 19.7%
------------ -----
BELGIUM -- (1.9%)
Cofinimmo SA............. 238,829 27,961,580 0.6%
Other Securities......... 53,212,619 1.3%
------------ -----
TOTAL BELGIUM................ 81,174,199 1.9%
------------ -----
CANADA -- (5.4%)
H&R REIT................. 1,595,665 27,135,707 0.7%
# RioCan REIT.............. 1,689,942 32,858,933 0.8%
Other Securities......... 172,649,171 4.1%
------------ -----
TOTAL CANADA................. 232,643,811 5.6%
------------ -----
CHINA -- (0.3%)
Other Securities......... 11,237,887 0.3%
------------ -----
FRANCE -- (5.7%)
Fonciere Des Regions..... 379,734 33,187,074 0.8%
Gecina SA................ 377,040 54,972,887 1.3%
ICADE.................... 402,909 28,934,036 0.7%
Klepierre................ 2,396,542 97,941,331 2.4%
Other Securities......... 28,802,314 0.6%
------------ -----
TOTAL FRANCE................. 243,837,642 5.8%
------------ -----
GERMANY -- (0.6%)
Other Securities......... 25,143,013 0.6%
------------ -----
GREECE -- (0.0%)
Other Securities......... 744,713 0.0%
------------ -----
HONG KONG -- (4.9%)
Link REIT................ 23,556,305 167,578,021 4.0%
Other Securities......... 43,309,315 1.1%
------------ -----
TOTAL HONG KONG.............. 210,887,336 5.1%
------------ -----
IRELAND -- (0.0%)
Other Securities......... 1,374,206 0.0%
------------ -----
ITALY -- (0.3%)
Other Securities......... 11,138,933 0.3%
------------ -----
JAPAN -- (23.0%)
Advance Residence
Investment Corp......... 13,996 39,173,593 0.9%
# Daiwa House REIT
Investment Corp......... 12,360 33,510,134 0.8%
# Daiwa Office Investment
Corp.................... 3,983 22,498,132 0.5%
82
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
JAPAN -- (Continued)
# Frontier Real Estate Investment Corp......... 5,413 $ 25,460,606 0.6%
# GLP J-Reit................................... 22,433 28,111,373 0.7%
Japan Hotel REIT Investment Corp............. 40,160 27,094,758 0.6%
# Japan Logistics Fund, Inc.................... 10,121 22,012,338 0.5%
Japan Prime Realty Investment Corp........... 9,039 39,035,811 0.9%
Japan Real Estate Investment Corp............ 14,179 82,108,307 2.0%
Japan Retail Fund Investment Corp............ 27,239 61,968,555 1.5%
# Kenedix Office Investment Corp............... 5,113 28,829,953 0.7%
# Mori Hills REIT Investment Corp.............. 17,770 25,055,593 0.6%
# Nippon Accommodations Fund, Inc.............. 5,159 23,476,891 0.6%
# Nippon Building Fund, Inc.................... 15,266 90,714,220 2.2%
# Nomura Real Estate Master Fund, Inc.......... 39,926 64,808,049 1.6%
Orix JREIT, Inc.............................. 26,064 44,647,991 1.1%
# United Urban Investment Corp................. 31,108 52,604,206 1.3%
Other Securities............................. 270,972,139 6.4%
------------ -----
TOTAL JAPAN...................................... 982,082,649 23.5%
------------ -----
MALAYSIA -- (0.6%)
Other Securities............................. 26,876,659 0.7%
------------ -----
MEXICO -- (2.0%)
# Fibra Uno Administracion S.A. de C.V......... 27,780,766 52,868,851 1.3%
Other Securities............................. 31,820,022 0.7%
------------ -----
TOTAL MEXICO..................................... 84,688,873 2.0%
------------ -----
NETHERLANDS -- (6.7%)
Unibail-Rodamco SE........................... 978,160 232,180,914 5.6%
Other Securities............................. 53,692,413 1.2%
------------ -----
TOTAL NETHERLANDS................................ 285,873,327 6.8%
------------ -----
NEW ZEALAND -- (0.9%)
Other Securities............................. 38,938,815 0.9%
------------ -----
SINGAPORE -- (7.5%)
Ascendas REIT................................ 25,809,800 43,983,702 1.1%
CapitaLand Commercial Trust.................. 28,645,800 32,416,256 0.8%
CapitaLand Mall Trust........................ 27,289,300 40,664,892 1.0%
Suntec REIT.................................. 26,331,900 31,803,711 0.8%
Other Securities............................. 171,622,152 4.0%
------------ -----
TOTAL SINGAPORE.................................. 320,490,713 7.7%
------------ -----
SOUTH AFRICA -- (3.9%)
# Growthpoint Properties, Ltd.................. 25,861,189 48,224,649 1.2%
Redefine Properties, Ltd..................... 45,551,268 38,977,751 0.9%
Resilient REIT, Ltd.......................... 2,831,518 23,424,603 0.6%
Other Securities............................. 53,783,748 1.2%
------------ -----
TOTAL SOUTH AFRICA............................... 164,410,751 3.9%
------------ -----
SPAIN -- (0.9%)
Merlin Properties Socimi SA.................. 3,441,570 38,613,634 0.9%
------------ -----
TAIWAN -- (0.3%)
Other Securities............................. 12,147,545 0.3%
------------ -----
TURKEY -- (0.7%)
Other Securities............................. 29,344,452 0.7%
------------ -----
UNITED KINGDOM -- (11.4%)
British Land Co. P.L.C. (The)................ 10,898,856 78,029,194 1.9%
Derwent London P.L.C......................... 1,176,748 34,800,232 0.8%
83
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
UNITED KINGDOM -- (Continued)
Great Portland Estates P.L.C....... 3,858,150 $ 27,994,372 0.7%
Hammerson P.L.C.................... 8,960,814 60,284,091 1.4%
# Intu Properties P.L.C.............. 10,648,168 35,886,732 0.8%
Land Securities Group P.L.C........ 8,807,163 107,540,737 2.6%
Segro P.L.C........................ 8,436,335 45,185,521 1.1%
Shaftesbury P.L.C.................. 2,926,579 32,832,178 0.8%
Other Securities................... 63,665,670 1.5%
-------------- ------
TOTAL UNITED KINGDOM..................... 486,218,727 11.6%
-------------- ------
TOTAL COMMON STOCKS...................... 4,110,129,207 98.3%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
SINGAPORE -- (0.0%)
Other Securities................... 14,393 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES.............. 4,110,143,600
--------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (3.7%)
(S)@ DFA Short Term Investment Fund..... 13,647,290 157,926,434 3.8%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,136,479,829).................. $4,268,070,034 102.1%
============== ======
Summary of the Portfolio's investments as of October 31, 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...................... -- $ 822,261,322 -- $ 822,261,322
Belgium........................ -- 81,174,199 -- 81,174,199
Canada......................... $232,643,811 -- -- 232,643,811
China.......................... -- 11,237,887 -- 11,237,887
France......................... 8,846,020 234,991,622 -- 243,837,642
Germany........................ -- 25,143,013 -- 25,143,013
Greece......................... -- 744,713 -- 744,713
Hong Kong...................... -- 210,887,336 -- 210,887,336
Ireland........................ -- 1,374,206 -- 1,374,206
Italy.......................... -- 11,138,933 -- 11,138,933
Japan.......................... -- 982,082,649 -- 982,082,649
Malaysia....................... -- 26,876,659 -- 26,876,659
Mexico......................... 84,688,873 -- -- 84,688,873
Netherlands.................... -- 285,873,327 -- 285,873,327
New Zealand.................... -- 38,938,815 -- 38,938,815
Singapore...................... -- 320,490,713 -- 320,490,713
South Africa................... -- 164,410,751 -- 164,410,751
Spain.......................... -- 38,613,634 -- 38,613,634
Taiwan......................... -- 12,147,545 -- 12,147,545
Turkey......................... -- 29,344,452 -- 29,344,452
United Kingdom................. -- 486,218,727 -- 486,218,727
Rights/Warrants
Singapore...................... -- 14,393 -- 14,393
Securities Lending Collateral... -- 157,926,434 -- 157,926,434
Futures Contracts**............. (303,666) -- -- (303,666)
------------ -------------- -- --------------
TOTAL........................... $325,875,038 $3,941,891,330 -- $4,267,766,368
============ ============== == ==============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
84
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (32.3%)
UNITED STATES -- (32.3%)
Alexandria Real Estate Equities, Inc.... 174,347 $ 18,796,350 0.4%
American Campus Communities, Inc........ 279,406 14,559,847 0.3%
Apartment Investment & Management Co.
Class A................................ 335,438 14,782,753 0.3%
AvalonBay Communities, Inc.............. 291,915 49,970,010 1.0%
Boston Properties, Inc.................. 327,235 39,425,273 0.8%
Brixmor Property Group, Inc............. 530,182 13,477,226 0.3%
# Camden Property Trust................... 187,245 15,249,233 0.3%
CubeSmart............................... 382,314 9,966,926 0.2%
DDR Corp................................ 666,214 10,186,412 0.2%
Digital Realty Trust, Inc............... 326,268 30,483,219 0.6%
# Douglas Emmett, Inc..................... 305,331 11,144,582 0.2%
Duke Realty Corp........................ 751,217 19,644,325 0.4%
EPR Properties.......................... 137,096 9,969,621 0.2%
Equinix, Inc............................ 152,062 54,328,711 1.1%
Equity Lifestyle Properties, Inc........ 163,143 12,372,765 0.3%
Equity Residential...................... 779,120 48,110,660 1.0%
Essex Property Trust, Inc............... 138,955 29,748,876 0.6%
Extra Space Storage, Inc................ 269,405 19,706,976 0.4%
Federal Realty Investment Trust......... 152,350 22,125,790 0.5%
Gaming and Leisure Properties, Inc...... 353,547 11,606,948 0.2%
General Growth Properties, Inc.......... 1,218,319 30,397,059 0.6%
HCP, Inc................................ 996,797 34,140,297 0.7%
# Highwoods Properties, Inc............... 212,512 10,546,971 0.2%
Hospitality Properties Trust............ 348,626 9,538,407 0.2%
# Host Hotels & Resorts, Inc.............. 1,590,717 24,624,299 0.5%
Iron Mountain, Inc...................... 537,781 18,139,353 0.4%
# Kilroy Realty Corp...................... 197,573 14,191,669 0.3%
# Kimco Realty Corp....................... 891,266 23,716,588 0.5%
Liberty Property Trust.................. 314,355 12,709,373 0.3%
Macerich Co. (The)...................... 259,337 18,355,873 0.4%
# Mid-America Apartment Communities, Inc.. 159,688 14,811,062 0.3%
National Retail Properties, Inc......... 314,811 14,361,678 0.3%
# Omega Healthcare Investors, Inc......... 414,309 13,187,455 0.3%
Prologis, Inc........................... 1,126,524 58,759,492 1.2%
Public Storage.......................... 316,191 67,576,341 1.4%
Realty Income Corp...................... 548,676 32,503,566 0.7%
Regency Centers Corp.................... 224,566 16,184,472 0.3%
Senior Housing Properties Trust......... 511,739 10,884,689 0.2%
Simon Property Group, Inc............... 675,550 125,625,278 2.6%
# SL Green Realty Corp.................... 214,852 21,102,763 0.4%
Spirit Realty Capital, Inc.............. 1,027,741 12,240,395 0.3%
Sun Communities, Inc.................... 133,702 10,285,695 0.2%
UDR, Inc................................ 568,465 19,879,221 0.4%
Ventas, Inc............................. 745,527 50,509,454 1.0%
VEREIT, Inc. REIT....................... 2,089,475 19,641,065 0.4%
Vornado Realty Trust.................... 361,278 33,519,373 0.7%
Welltower, Inc.......................... 764,813 52,412,635 1.1%
WP Carey, Inc........................... 209,677 12,735,781 0.3%
Other Securities........................ 354,946,650 7.1%
-------------- -----
TOTAL COMMON STOCKS......................... 1,593,183,457 32.6%
-------------- -----
85
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
AFFILIATED INVESTMENT COMPANIES -- (67.0%)
UNITED STATES -- (67.0%)
DFA International Real Estate Securities Portfolio of DFA
Investment Dimensions Group Inc.......................... 320,901,426 $1,678,314,456 34.3%
DFA Real Estate Securities Portfolio of DFA Investment
Dimensions Group Inc..................................... 47,182,930 1,619,318,167 33.1%
-------------- ------
TOTAL UNITED STATES............................................. 3,297,632,623 67.4%
-------------- ------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT
COMPANIES...................................................... 3,297,632,623 67.4%
-------------- ------
TOTAL INVESTMENT SECURITIES..................................... 4,890,816,080
--------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (0.7%)
(S)@ DFA Short Term Investment Fund............................ 2,940,518 34,027,679 0.7%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,228,323,230)....................................... $4,924,843,759 100.7%
============== ======
Summary of the Portfolio's investments as of October 31, 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
United States................. $1,593,183,457 -- -- $1,593,183,457
Affiliated Investment Companies
United States................. 3,297,632,623 -- -- 3,297,632,623
Securities Lending Collateral... -- $34,027,679 -- 34,027,679
-------------- ----------- -- --------------
TOTAL........................... $4,890,816,080 $34,027,679 -- $4,924,843,759
============== =========== == ==============
See accompanying Notes to Financial Statements.
86
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (92.9%)
AUSTRALIA -- (7.2%)
BlueScope Steel, Ltd.............................. 10,422,296 $ 61,831,603 0.5%
Downer EDI, Ltd................................... 10,628,374 46,976,239 0.4%
OZ Minerals, Ltd.................................. 7,708,562 39,385,693 0.3%
# Primary Health Care, Ltd.......................... 12,982,539 37,841,289 0.3%
Treasury Wine Estates, Ltd........................ 5,628,238 45,883,460 0.4%
Other Securities.................................. 765,041,938 5.8%
---------------- ----
TOTAL AUSTRALIA....................................... 996,960,222 7.7%
---------------- ----
AUSTRIA -- (1.0%)
Wienerberger AG................................... 2,688,169 42,958,537 0.3%
Other Securities.................................. 93,902,207 0.8%
---------------- ----
TOTAL AUSTRIA......................................... 136,860,744 1.1%
---------------- ----
BELGIUM -- (1.2%)
Other Securities.................................. 168,390,567 1.3%
---------------- ----
CANADA -- (8.0%)
* New Gold, Inc..................................... 11,382,167 44,890,527 0.4%
# Precision Drilling Corp........................... 9,599,787 42,799,319 0.3%
Other Securities.................................. 1,015,574,961 7.8%
---------------- ----
TOTAL CANADA.......................................... 1,103,264,807 8.5%
---------------- ----
CHINA -- (0.1%)
Other Securities.................................. 10,731,956 0.1%
---------------- ----
DENMARK -- (1.7%)
Jyske Bank A.S.................................... 1,025,280 46,486,501 0.4%
Sydbank A.S....................................... 1,377,895 43,026,529 0.3%
Other Securities.................................. 143,175,738 1.1%
---------------- ----
TOTAL DENMARK......................................... 232,688,768 1.8%
---------------- ----
FINLAND -- (2.5%)
Cargotec Oyj Class B.............................. 973,185 39,910,579 0.3%
Kesko Oyj Class B................................. 1,458,967 72,495,964 0.6%
Other Securities.................................. 225,344,052 1.7%
---------------- ----
TOTAL FINLAND......................................... 337,750,595 2.6%
---------------- ----
FRANCE -- (4.4%)
Arkema SA......................................... 1,001,886 95,001,175 0.7%
* Nexans SA......................................... 759,787 43,188,043 0.3%
Rexel SA.......................................... 3,645,764 50,563,981 0.4%
Other Securities.................................. 412,423,919 3.2%
---------------- ----
TOTAL FRANCE.......................................... 601,177,118 4.6%
---------------- ----
GERMANY -- (6.8%)
Aareal Bank AG.................................... 1,773,002 64,129,789 0.5%
Aurubis AG........................................ 1,167,679 60,878,661 0.5%
DMG Mori AG....................................... 999,797 45,763,876 0.4%
Lanxess AG........................................ 1,639,319 105,120,810 0.8%
Osram Licht AG.................................... 1,096,994 62,305,723 0.5%
Rheinmetall AG.................................... 1,078,306 74,853,689 0.6%
87
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
GERMANY -- (Continued)
Salzgitter AG........................... 1,332,610 $ 43,805,512 0.4%
Other Securities........................ 481,546,452 3.5%
---------------- -----
TOTAL GERMANY............................... 938,404,512 7.2%
---------------- -----
GREECE -- (0.0%)
Other Securities........................ 1,886 0.0%
---------------- -----
HONG KONG -- (3.1%)
Other Securities........................ 420,368,732 3.2%
---------------- -----
IRELAND -- (0.3%)
Other Securities........................ 43,620,825 0.3%
---------------- -----
ISRAEL -- (0.6%)
Other Securities........................ 82,215,729 0.6%
---------------- -----
ITALY -- (3.0%)
Banca Popolare dell'Emilia Romagna SC... 13,794,426 64,820,979 0.5%
# Banca Popolare di Milano Scarl.......... 131,508,015 60,272,546 0.5%
Unipol Gruppo Finanziario SpA........... 12,280,894 37,597,880 0.3%
Other Securities........................ 256,609,430 1.9%
---------------- -----
TOTAL ITALY................................. 419,300,835 3.2%
---------------- -----
JAPAN -- (25.9%)
Fujikura, Ltd........................... 6,644,200 39,038,012 0.3%
Kyushu Financial Group, Inc............. 5,673,395 37,724,890 0.3%
Other Securities........................ 3,491,498,246 26.8%
---------------- -----
TOTAL JAPAN................................. 3,568,261,148 27.4%
---------------- -----
NETHERLANDS -- (2.1%)
# APERAM SA............................... 1,295,977 58,939,499 0.5%
Delta Lloyd NV.......................... 7,177,283 43,360,353 0.3%
# SBM Offshore NV......................... 4,403,531 63,209,832 0.5%
Other Securities........................ 129,334,903 1.0%
---------------- -----
TOTAL NETHERLANDS........................... 294,844,587 2.3%
---------------- -----
NEW ZEALAND -- (0.4%)
Other Securities........................ 58,409,655 0.4%
---------------- -----
NORWAY -- (0.7%)
Other Securities........................ 94,820,762 0.7%
---------------- -----
PORTUGAL -- (0.3%)
Other Securities........................ 39,952,792 0.3%
---------------- -----
SINGAPORE -- (1.2%)
Other Securities........................ 158,940,173 1.2%
---------------- -----
SPAIN -- (2.3%)
Acciona SA.............................. 641,361 48,739,153 0.4%
# Acerinox SA............................. 3,328,284 40,957,184 0.3%
Gamesa Corp. Tecnologica SA............. 2,275,221 52,531,263 0.4%
Other Securities........................ 169,582,811 1.3%
---------------- -----
TOTAL SPAIN................................. 311,810,411 2.4%
---------------- -----
88
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
SWEDEN -- (3.0%)
BillerudKorsnas AB.................. 2,518,920 $ 41,364,292 0.3%
Holmen AB Class B................... 1,244,509 42,581,753 0.3%
Saab AB Class B..................... 1,090,814 38,634,039 0.3%
Other Securities.................... 290,912,982 2.3%
---------------- -----
TOTAL SWEDEN............................. 413,493,066 3.2%
---------------- -----
SWITZERLAND -- (4.4%)
Baloise Holding AG.................. 499,895 61,501,836 0.5%
Helvetia Holding AG................. 166,174 86,454,389 0.7%
Other Securities.................... 458,006,489 3.5%
---------------- -----
TOTAL SWITZERLAND........................ 605,962,714 4.7%
---------------- -----
UNITED KINGDOM -- (12.7%)
Beazley P.L.C....................... 13,328,414 59,345,802 0.5%
Bellway P.L.C....................... 3,292,215 95,270,849 0.7%
Bodycote P.L.C...................... 5,196,658 37,662,195 0.3%
Bovis Homes Group P.L.C............. 4,562,935 42,247,075 0.3%
Centamin P.L.C...................... 25,014,912 48,451,085 0.4%
Close Brothers Group P.L.C.......... 2,394,726 38,860,135 0.3%
Greene King P.L.C................... 7,070,307 63,247,094 0.5%
Hiscox, Ltd......................... 7,430,506 92,783,332 0.7%
Inchcape P.L.C...................... 6,553,522 52,105,182 0.4%
John Wood Group P.L.C............... 7,902,149 74,273,651 0.6%
Man Group P.L.C..................... 27,750,733 42,307,017 0.3%
Melrose Industries P.L.C............ 38,390,186 79,225,571 0.6%
Other Securities.................... 1,028,984,021 7.9%
---------------- -----
TOTAL UNITED KINGDOM..................... 1,754,763,009 13.5%
---------------- -----
UNITED STATES -- (0.0%)
Other Securities.................... 3,056,896 0.0%
---------------- -----
TOTAL COMMON STOCKS...................... 12,796,052,509 98.3%
---------------- -----
PREFERRED STOCKS -- (0.1%)
GERMANY -- (0.1%)
Other Securities.................... 7,352,563 0.1%
---------------- -----
TOTAL PREFERRED STOCKS................... 7,352,563 0.1%
---------------- -----
RIGHTS/WARRANTS -- (0.1%)
AUSTRALIA -- (0.0%)
Other Securities.................... 91,309 0.0%
---------------- -----
SINGAPORE -- (0.0%)
Other Securities.................... 131,043 0.0%
---------------- -----
SPAIN -- (0.0%)
Other Securities.................... 215,821 0.0%
---------------- -----
UNITED KINGDOM -- (0.1%)
Other Securities.................... 6,722,457 0.1%
---------------- -----
TOTAL RIGHTS/WARRANTS.................... 7,160,630 0.1%
---------------- -----
TOTAL INVESTMENT SECURITIES.............. 12,810,565,702
----------------
89
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
SECURITIES LENDING COLLATERAL -- (6.9%)
(S)@ DFA Short Term Investment Fund.. 81,879,790 $ 947,512,927 7.3%
---------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $12,684,369,059)............. $ 13,758,078,629 105.8%
================ ======
Summary of the Portfolio's investments as of October 31, 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...................... -- $ 996,960,222 -- $ 996,960,222
Austria........................ -- 136,860,744 -- 136,860,744
Belgium........................ -- 168,390,567 -- 168,390,567
Canada......................... $1,102,402,780 862,027 -- 1,103,264,807
China.......................... -- 10,731,956 -- 10,731,956
Denmark........................ -- 232,688,768 -- 232,688,768
Finland........................ -- 337,750,595 -- 337,750,595
France......................... 86,852 601,090,266 -- 601,177,118
Germany........................ -- 938,404,512 -- 938,404,512
Greece......................... -- 1,886 -- 1,886
Hong Kong...................... 79,646 420,289,086 -- 420,368,732
Ireland........................ -- 43,620,825 -- 43,620,825
Israel......................... -- 82,215,729 -- 82,215,729
Italy.......................... -- 419,300,835 -- 419,300,835
Japan.......................... 4,531,599 3,563,729,549 -- 3,568,261,148
Netherlands.................... -- 294,844,587 -- 294,844,587
New Zealand.................... -- 58,409,655 -- 58,409,655
Norway......................... -- 94,820,762 -- 94,820,762
Portugal....................... -- 39,952,792 -- 39,952,792
Singapore...................... 438,984 158,501,189 -- 158,940,173
Spain.......................... -- 311,810,411 -- 311,810,411
Sweden......................... -- 413,493,066 -- 413,493,066
Switzerland.................... -- 605,962,714 -- 605,962,714
United Kingdom................. -- 1,754,763,009 -- 1,754,763,009
United States.................. 150,425 2,906,471 -- 3,056,896
Preferred Stocks
Germany........................ -- 7,352,563 -- 7,352,563
Rights/Warrants
Australia...................... -- 91,309 -- 91,309
Singapore...................... -- 131,043 -- 131,043
Spain.......................... -- 215,821 -- 215,821
United Kingdom................. -- 6,722,457 -- 6,722,457
Securities Lending Collateral... -- 947,512,927 -- 947,512,927
Futures Contracts**............. (3,457,941) -- -- (3,457,941)
-------------- --------------- -- ---------------
TOTAL........................... $1,104,232,345 $12,650,388,343 -- $13,754,620,688
============== =============== == ===============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
90
INTERNATIONAL VECTOR EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (92.4%)
AUSTRALIA -- (6.2%)
Australia & New Zealand Banking Group, Ltd.. 214,260 $ 4,524,187 0.3%
BHP Billiton, Ltd........................... 314,531 5,495,117 0.3%
# Fortescue Metals Group, Ltd................. 868,376 3,644,250 0.2%
Macquarie Group, Ltd........................ 80,830 4,886,127 0.3%
Treasury Wine Estates, Ltd.................. 356,118 2,903,204 0.2%
Woodside Petroleum, Ltd..................... 224,990 4,816,133 0.3%
Other Securities............................ 97,973,431 5.1%
--------------- ----
TOTAL AUSTRALIA................................. 124,242,449 6.7%
--------------- ----
AUSTRIA -- (0.6%)
Other Securities............................ 12,418,345 0.7%
--------------- ----
BELGIUM -- (1.7%)
Ageas....................................... 83,970 3,067,703 0.2%
# Anheuser-Busch InBev SA..................... 27,589 3,166,384 0.2%
Umicore SA.................................. 56,575 3,438,746 0.2%
Other Securities............................ 23,106,059 1.2%
--------------- ----
TOTAL BELGIUM................................... 32,778,892 1.8%
--------------- ----
CANADA -- (8.2%)
Suncor Energy, Inc.......................... 139,453 4,184,723 0.2%
Other Securities............................ 160,062,099 8.7%
--------------- ----
TOTAL CANADA.................................... 164,246,822 8.9%
--------------- ----
CHINA -- (0.0%)
Other Securities............................ 811,856 0.0%
--------------- ----
DENMARK -- (1.8%)
Other Securities............................ 36,479,776 2.0%
--------------- ----
FINLAND -- (2.1%)
UPM-Kymmene Oyj............................. 273,652 6,365,558 0.4%
Other Securities............................ 35,417,221 1.9%
--------------- ----
TOTAL FINLAND................................... 41,782,779 2.3%
--------------- ----
FRANCE -- (6.0%)
BNP Paribas SA.............................. 73,561 4,265,306 0.2%
Cie de Saint-Gobain......................... 105,119 4,667,617 0.3%
Technip SA.................................. 50,974 3,383,140 0.2%
Total SA.................................... 240,139 11,503,835 0.6%
Other Securities............................ 95,214,376 5.1%
--------------- ----
TOTAL FRANCE.................................... 119,034,274 6.4%
--------------- ----
GERMANY -- (5.6%)
Allianz SE.................................. 25,753 4,020,152 0.2%
BASF SE..................................... 38,075 3,361,183 0.2%
Daimler AG.................................. 89,896 6,413,358 0.4%
E.ON SE..................................... 588,434 4,312,548 0.2%
* RWE AG...................................... 247,438 3,936,537 0.2%
Other Securities............................ 89,878,733 4.8%
--------------- ----
TOTAL GERMANY................................... 111,922,511 6.0%
--------------- ----
91
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
HONG KONG -- (3.0%)
Other Securities................................... $ 60,120,275 3.2%
--------------- -----
IRELAND -- (0.5%)
Other Securities................................... 9,302,904 0.5%
--------------- -----
ISRAEL -- (0.7%)
Other Securities................................... 13,848,935 0.7%
--------------- -----
ITALY -- (2.5%)
Assicurazioni Generali SpA......................... 303,243 3,917,093 0.2%
Eni SpA............................................ 211,731 3,072,695 0.2%
Other Securities................................... 42,065,042 2.2%
--------------- -----
TOTAL ITALY............................................. 49,054,830 2.6%
--------------- -----
JAPAN -- (23.8%)
Honda Motor Co., Ltd............................... 108,123 3,235,214 0.2%
Mitsubishi Chemical Holdings Corp.................. 462,400 3,036,083 0.2%
Mitsubishi UFJ Financial Group, Inc................ 817,300 4,217,111 0.2%
Sumitomo Mitsui Financial Group, Inc............... 88,341 3,062,929 0.2%
Toyota Motor Corp.................................. 55,363 3,211,426 0.2%
Toyota Motor Corp. Sponsored ADR................... 36,827 4,259,411 0.3%
Other Securities................................... 453,241,144 24.2%
--------------- -----
TOTAL JAPAN............................................. 474,263,318 25.5%
--------------- -----
NETHERLANDS -- (2.7%)
Koninklijke Ahold Delhaize NV...................... 290,458 6,626,044 0.4%
Koninklijke DSM NV................................. 62,767 4,034,318 0.2%
Other Securities................................... 43,716,231 2.3%
--------------- -----
TOTAL NETHERLANDS....................................... 54,376,593 2.9%
--------------- -----
NEW ZEALAND -- (0.5%)
Other Securities................................... 10,447,365 0.6%
--------------- -----
NORWAY -- (0.9%)
Other Securities................................... 18,361,505 1.0%
--------------- -----
PORTUGAL -- (0.3%)
Other Securities................................... 5,076,833 0.3%
--------------- -----
SINGAPORE -- (1.1%)
Other Securities................................... 21,758,685 1.2%
--------------- -----
SPAIN -- (2.1%)
Banco Santander SA................................. 853,014 4,179,790 0.2%
Other Securities................................... 37,107,416 2.0%
--------------- -----
TOTAL SPAIN............................................. 41,287,206 2.2%
--------------- -----
SWEDEN -- (2.6%)
Other Securities................................... 50,731,426 2.7%
--------------- -----
SWITZERLAND -- (6.1%)
Baloise Holding AG................................. 26,119 3,213,408 0.2%
Clariant AG........................................ 182,599 3,023,740 0.2%
Flughafen Zuerich AG............................... 16,575 3,046,882 0.2%
Lonza Group AG..................................... 15,916 3,003,376 0.2%
Nestle SA.......................................... 110,012 7,977,396 0.4%
92
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
SWITZERLAND -- (Continued)
Novartis AG....................................... 52,784 $ 3,745,953 0.2%
Novartis AG Sponsored ADR......................... 73,269 5,203,564 0.3%
Swiss Life Holding AG............................. 12,759 3,376,447 0.2%
Swiss Re AG....................................... 39,527 3,668,568 0.2%
Zurich Insurance Group AG......................... 11,416 2,988,212 0.2%
Other Securities.................................. 81,499,610 4.2%
--------------- -----
TOTAL SWITZERLAND..................................... 120,747,156 6.5%
--------------- -----
UNITED KINGDOM -- (13.4%)
* Anglo American P.L.C.............................. 210,298 2,918,769 0.2%
BP P.L.C. Sponsored ADR........................... 259,985 9,242,472 0.5%
HSBC Holdings P.L.C. Sponsored ADR................ 228,451 8,596,611 0.5%
Melrose Industries P.L.C.......................... 1,702,272 3,512,968 0.2%
Royal Dutch Shell P.L.C. Sponsored ADR, Class A... 147,757 7,359,766 0.4%
Royal Dutch Shell P.L.C. Sponsored ADR, Class B... 113,939 5,960,149 0.3%
* Standard Chartered P.L.C.......................... 374,495 3,256,575 0.2%
# Vodafone Group P.L.C. Sponsored ADR............... 142,624 3,970,657 0.2%
WM Morrison Supermarkets P.L.C.................... 1,327,157 3,673,920 0.2%
Other Securities.................................. 218,402,900 11.7%
--------------- -----
TOTAL UNITED KINGDOM.................................. 266,894,787 14.4%
--------------- -----
UNITED STATES -- (0.0%)
Other Securities.................................. 700,028 0.0%
--------------- -----
TOTAL COMMON STOCKS................................... 1,840,689,550 99.1%
--------------- -----
PREFERRED STOCKS -- (0.4%)
GERMANY -- (0.4%)
Other Securities.................................. 6,885,828 0.4%
--------------- -----
UNITED KINGDOM -- (0.0%)
Other Securities.................................. 1,326 0.0%
--------------- -----
TOTAL PREFERRED STOCKS................................ 6,887,154 0.4%
--------------- -----
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities.................................. 4,475 0.0%
--------------- -----
HONG KONG -- (0.0%)
Other Securities.................................. 151 0.0%
--------------- -----
SPAIN -- (0.0%)
Other Securities.................................. 60,463 0.0%
--------------- -----
SWEDEN -- (0.0%)
Other Securities.................................. 37,741 0.0%
--------------- -----
UNITED KINGDOM -- (0.0%)
Other Securities.................................. 236,150 0.0%
--------------- -----
TOTAL RIGHTS/WARRANTS................................. 338,980 0.0%
--------------- -----
TOTAL INVESTMENT SECURITIES........................... 1,847,915,684
---------------
93
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
SECURITIES LENDING COLLATERAL -- (7.2%)
(S)@ DFA Short Term Investment Fund.. 12,465,810 $ 144,254,351 7.8%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,899,597,169).............. $ 1,992,170,035 107.3%
=============== ======
Summary of the Portfolio's investments as of October 31, 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...................... $ 2,866,003 $ 121,376,446 -- $ 124,242,449
Austria........................ -- 12,418,345 -- 12,418,345
Belgium........................ 3,908,754 28,870,138 -- 32,778,892
Canada......................... 164,215,258 31,564 -- 164,246,822
China.......................... -- 811,856 -- 811,856
Denmark........................ -- 36,479,776 -- 36,479,776
Finland........................ -- 41,782,779 -- 41,782,779
France......................... 488,883 118,545,391 -- 119,034,274
Germany........................ 3,778,788 108,143,723 -- 111,922,511
Hong Kong...................... 372,251 59,748,024 -- 60,120,275
Ireland........................ 2,225,599 7,077,305 -- 9,302,904
Israel......................... 2,102,368 11,746,567 -- 13,848,935
Italy.......................... 507,826 48,547,004 -- 49,054,830
Japan.......................... 9,015,112 465,248,206 -- 474,263,318
Netherlands.................... 6,228,570 48,148,023 -- 54,376,593
New Zealand.................... 49,885 10,397,480 -- 10,447,365
Norway......................... 490,003 17,871,502 -- 18,361,505
Portugal....................... -- 5,076,833 -- 5,076,833
Singapore...................... 14,322 21,744,363 -- 21,758,685
Spain.......................... 2,418,495 38,868,711 -- 41,287,206
Sweden......................... 132,406 50,599,020 -- 50,731,426
Switzerland.................... 8,678,108 112,069,048 -- 120,747,156
United Kingdom................. 51,871,871 215,022,916 -- 266,894,787
United States.................. 248,573 451,455 -- 700,028
Preferred Stocks
Germany........................ -- 6,885,828 -- 6,885,828
United Kingdom................. -- 1,326 -- 1,326
Rights/Warrants
Australia...................... -- 4,475 -- 4,475
Hong Kong...................... -- 151 -- 151
Spain.......................... -- 60,463 -- 60,463
Sweden......................... -- 37,741 -- 37,741
United Kingdom................. -- 236,150 -- 236,150
Securities Lending Collateral... -- 144,254,351 -- 144,254,351
------------ -------------- -- --------------
TOTAL........................... $259,613,075 $1,732,556,960 -- $1,992,170,035
============ ============== == ==============
See accompanying Notes to Financial Statements.
94
WORLD EX U.S. VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
SHARES VALUE+
--------- -------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The DFA International Value Series of
The DFA Investment Trust Company........................... $ 122,604,492
Investment in Dimensional Emerging Markets Value Fund........ 45,155,236
Investment in DFA International Small Cap Value Portfolio of
DFA Investment Dimensions Group Inc........................ 1,059,135 20,451,904
-------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $188,081,378)..................................... 188,211,632
-------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $188,081,378)..................................... $ 188,211,632
=============
Summary of the Portfolio's investments as of October 31, 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.... $188,211,632 -- -- $188,211,632
------------ -- -- ------------
TOTAL.............................. $188,211,632 -- -- $188,211,632
============ == == ============
See accompanying Notes to Financial Statements.
95
WORLD EX U.S. TARGETED VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (96.8%)
AUSTRALIA -- (4.7%)
BlueScope Steel, Ltd............ 88,385 $ 524,355 0.2%
Challenger, Ltd................. 73,657 601,300 0.2%
Orica, Ltd...................... 46,842 578,704 0.2%
Santos, Ltd..................... 212,526 568,666 0.2%
Treasury Wine Estates, Ltd...... 78,127 636,920 0.2%
Other Securities................ 10,485,523 3.8%
----------- ----
TOTAL AUSTRALIA..................... 13,395,468 4.8%
----------- ----
AUSTRIA -- (0.6%)
Other Securities................ 1,846,597 0.7%
----------- ----
BELGIUM -- (0.9%)
Ageas........................... 28,003 1,023,045 0.4%
Other Securities................ 1,650,898 0.6%
----------- ----
TOTAL BELGIUM....................... 2,673,943 1.0%
----------- ----
BRAZIL -- (1.4%)
Kroton Educacional SA........... 178,300 888,149 0.3%
Other Securities................ 3,067,544 1.1%
----------- ----
TOTAL BRAZIL........................ 3,955,693 1.4%
----------- ----
CANADA -- (6.5%)
First Quantum Minerals, Ltd..... 103,517 983,230 0.4%
Teck Resources, Ltd. Class B.... 48,198 1,040,643 0.4%
Other Securities................ 16,511,927 5.8%
----------- ----
TOTAL CANADA........................ 18,535,800 6.6%
----------- ----
CHILE -- (0.3%)
Other Securities................ 820,569 0.3%
----------- ----
CHINA -- (6.6%)
Other Securities................ 18,991,993 6.8%
----------- ----
COLOMBIA -- (0.1%)
Other Securities................ 188,478 0.1%
----------- ----
DENMARK -- (1.4%)
* TDC A.S......................... 96,517 532,146 0.2%
Other Securities................ 3,355,721 1.2%
----------- ----
TOTAL DENMARK....................... 3,887,867 1.4%
----------- ----
FINLAND -- (2.1%)
Neste Oyj....................... 17,647 761,329 0.3%
Stora Enso Oyj Class R.......... 70,796 669,031 0.2%
UPM-Kymmene Oyj................. 72,885 1,695,415 0.6%
Other Securities................ 3,023,290 1.1%
----------- ----
TOTAL FINLAND....................... 6,149,065 2.2%
----------- ----
FRANCE -- (4.0%)
Arkema SA....................... 9,229 875,115 0.3%
Atos SE......................... 5,086 527,792 0.2%
96
WORLD EX U.S. TARGETED VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
FRANCE -- (Continued)
Rexel SA........................ 43,153 $ 598,499 0.2%
SCOR SE......................... 23,193 751,073 0.3%
STMicroelectronics NV........... 87,664 832,020 0.3%
Technip SA...................... 15,411 1,022,827 0.4%
Other Securities................ 6,730,753 2.3%
----------- -----
TOTAL FRANCE........................ 11,338,079 4.0%
----------- -----
GERMANY -- (4.5%)
Lanxess AG...................... 11,884 762,058 0.3%
Osram Licht AG.................. 10,639 604,261 0.2%
Rheinmetall AG.................. 8,438 585,748 0.2%
* RWE AG.......................... 53,047 843,935 0.3%
Other Securities................ 9,983,758 3.5%
----------- -----
TOTAL GERMANY....................... 12,779,760 4.5%
----------- -----
HONG KONG -- (2.1%)
Hang Lung Group, Ltd............ 135,000 516,407 0.2%
Other Securities................ 5,470,545 1.9%
----------- -----
TOTAL HONG KONG..................... 5,986,952 2.1%
----------- -----
INDIA -- (4.1%)
Other Securities................ 11,697,767 4.2%
----------- -----
INDONESIA -- (1.0%)
Other Securities................ 2,942,436 1.0%
----------- -----
IRELAND -- (0.5%)
Smurfit Kappa Group P.L.C....... 34,342 753,542 0.3%
Other Securities................ 735,704 0.2%
----------- -----
TOTAL IRELAND....................... 1,489,246 0.5%
----------- -----
ISRAEL -- (0.5%)
Other Securities................ 1,527,113 0.5%
----------- -----
ITALY -- (2.5%)
# Fiat Chrysler Automobiles NV.... 99,560 729,867 0.3%
Other Securities................ 6,334,151 2.2%
----------- -----
TOTAL ITALY......................... 7,064,018 2.5%
----------- -----
JAPAN -- (17.7%)
Other Securities................ 50,738,692 18.0%
----------- -----
MALAYSIA -- (0.9%)
Other Securities................ 2,613,089 0.9%
----------- -----
MEXICO -- (1.2%)
* Cemex S.A.B. de C.V............. 905,938 783,667 0.3%
Other Securities................ 2,518,164 0.9%
----------- -----
TOTAL MEXICO........................ 3,301,831 1.2%
----------- -----
NETHERLANDS -- (1.0%)
APERAM SA....................... 14,890 677,180 0.3%
Other Securities................ 2,176,908 0.7%
----------- -----
TOTAL NETHERLANDS................... 2,854,088 1.0%
----------- -----
97
WORLD EX U.S. TARGETED VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
NEW ZEALAND -- (0.4%)
Other Securities................ $ 1,288,946 0.5%
----------- ----
NORWAY -- (0.8%)
Other Securities................ 2,227,940 0.8%
----------- ----
PHILIPPINES -- (0.3%)
Other Securities................ 1,004,770 0.4%
----------- ----
POLAND -- (0.3%)
Other Securities................ 939,013 0.3%
----------- ----
PORTUGAL -- (0.2%)
Other Securities................ 550,784 0.2%
----------- ----
SINGAPORE -- (0.8%)
Other Securities................ 2,206,646 0.8%
----------- ----
SOUTH AFRICA -- (2.0%)
* AngloGold Ashanti, Ltd.
Sponsored ADR.................. 47,956 658,916 0.2%
Other Securities................ 5,090,776 1.8%
----------- ----
TOTAL SOUTH AFRICA.................. 5,749,692 2.0%
----------- ----
SOUTH KOREA -- (4.9%)
Other Securities................ 14,046,582 5.0%
----------- ----
SPAIN -- (1.3%)
Banco de Sabadell SA............ 566,408 756,284 0.3%
Other Securities................ 3,087,463 1.1%
----------- ----
TOTAL SPAIN......................... 3,843,747 1.4%
----------- ----
SWEDEN -- (1.8%)
Other Securities................ 5,080,507 1.8%
----------- ----
SWITZERLAND -- (3.4%)
Baloise Holding AG.............. 6,236 767,212 0.3%
* Dufry AG........................ 4,813 585,538 0.2%
Helvetia Holding AG............. 1,207 627,959 0.2%
Swiss Life Holding AG........... 4,696 1,242,715 0.5%
Other Securities................ 6,423,050 2.2%
----------- ----
TOTAL SWITZERLAND................... 9,646,474 3.4%
----------- ----
TAIWAN -- (4.4%)
Other Securities................ 12,698,779 4.5%
----------- ----
THAILAND -- (0.8%)
Other Securities................ 2,273,285 0.8%
----------- ----
TURKEY -- (0.4%)
Other Securities................ 1,037,862 0.4%
----------- ----
UNITED KINGDOM -- (10.4%)
Barratt Developments P.L.C...... 95,492 529,544 0.2%
Bellway P.L.C................... 25,648 742,208 0.3%
Coca-Cola HBC AG................ 24,514 529,010 0.2%
Direct Line Insurance Group
P.L.C.......................... 174,812 739,555 0.3%
GKN P.L.C....................... 201,823 787,073 0.3%
Hiscox, Ltd..................... 55,044 687,324 0.3%
98
WORLD EX U.S. TARGETED VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
UNITED KINGDOM -- (Continued)
Inchcape P.L.C................................ 64,830 $ 515,445 0.2%
J Sainsbury P.L.C............................. 241,161 739,410 0.3%
Johnson Matthey P.L.C......................... 24,288 1,012,409 0.4%
Marks & Spencer Group P.L.C................... 150,625 626,719 0.2%
Persimmon P.L.C............................... 29,335 607,230 0.2%
Royal Mail P.L.C.............................. 123,358 740,085 0.3%
Smiths Group P.L.C............................ 49,987 866,184 0.3%
Tate & Lyle P.L.C............................. 57,850 551,713 0.2%
Travis Perkins P.L.C.......................... 34,083 554,511 0.2%
WM Morrison Supermarkets P.L.C................ 299,653 829,518 0.3%
Other Securities.............................. 18,779,099 6.4%
------------ -----
TOTAL UNITED KINGDOM............................... 29,837,037 10.6%
------------ -----
UNITED STATES -- (0.0%)
Other Securities.............................. 66,196 0.0%
------------ -----
TOTAL COMMON STOCKS................................ 277,276,804 98.6%
------------ -----
PREFERRED STOCKS -- (0.7%)
BRAZIL -- (0.5%)
Other Securities.............................. 1,303,313 0.5%
------------ -----
CHILE -- (0.0%)
Other Securities.............................. 30,737 0.0%
------------ -----
COLOMBIA -- (0.0%)
Other Securities.............................. 129,859 0.0%
------------ -----
GERMANY -- (0.2%)
Other Securities.............................. 487,381 0.2%
------------ -----
SOUTH KOREA -- (0.0%)
Other Securities.............................. 27,468 0.0%
------------ -----
TOTAL PREFERRED STOCKS............................. 1,978,758 0.7%
------------ -----
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities.............................. 3,794 0.0%
------------ -----
HONG KONG -- (0.0%)
Other Securities.............................. 231 0.0%
------------ -----
INDIA -- (0.0%)
Other Securities.............................. 8,078 0.0%
------------ -----
SPAIN -- (0.0%)
Other Securities.............................. 1,620 0.0%
------------ -----
SWEDEN -- (0.0%)
Other Securities.............................. 13,288 0.0%
------------ -----
UNITED KINGDOM -- (0.0%)
Other Securities.............................. 48,844 0.1%
------------ -----
TOTAL RIGHTS/WARRANTS.............................. 75,855 0.1%
------------ -----
TOTAL INVESTMENT SECURITIES........................ 279,331,417
------------
99
WORLD EX U.S. TARGETED VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
SECURITIES LENDING COLLATERAL -- (2.5%)
(S)@ DFA Short Term Investment Fund.. 617,478 $ 7,145,456 2.5%
------------ ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $272,647,227)................ $286,476,873 101.9%
============ ======
Summary of the Portfolio's investments as of October 31, 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...................... -- $ 13,395,468 -- $ 13,395,468
Austria........................ -- 1,846,597 -- 1,846,597
Belgium........................ -- 2,673,943 -- 2,673,943
Brazil......................... $ 3,955,693 -- -- 3,955,693
Canada......................... 18,533,056 2,744 -- 18,535,800
Chile.......................... 269,518 551,051 -- 820,569
China.......................... 272,255 18,719,738 -- 18,991,993
Colombia....................... 188,478 -- -- 188,478
Denmark........................ -- 3,887,867 -- 3,887,867
Finland........................ -- 6,149,065 -- 6,149,065
France......................... -- 11,338,079 -- 11,338,079
Germany........................ 31,774 12,747,986 -- 12,779,760
Hong Kong...................... 39,535 5,947,417 -- 5,986,952
India.......................... 28,376 11,669,391 -- 11,697,767
Indonesia...................... -- 2,942,436 -- 2,942,436
Ireland........................ -- 1,489,246 -- 1,489,246
Israel......................... 20,588 1,506,525 -- 1,527,113
Italy.......................... -- 7,064,018 -- 7,064,018
Japan.......................... 159,283 50,579,409 -- 50,738,692
Malaysia....................... -- 2,613,089 -- 2,613,089
Mexico......................... 3,301,831 -- -- 3,301,831
Netherlands.................... 55,536 2,798,552 -- 2,854,088
New Zealand.................... -- 1,288,946 -- 1,288,946
Norway......................... -- 2,227,940 -- 2,227,940
Philippines.................... -- 1,004,770 -- 1,004,770
Poland......................... -- 939,013 -- 939,013
Portugal....................... -- 550,784 -- 550,784
Singapore...................... 16,121 2,190,525 -- 2,206,646
South Africa................... 1,273,262 4,476,430 -- 5,749,692
South Korea.................... 15,289 14,031,293 -- 14,046,582
Spain.......................... -- 3,843,747 -- 3,843,747
Sweden......................... -- 5,080,507 -- 5,080,507
Switzerland.................... -- 9,646,474 -- 9,646,474
Taiwan......................... -- 12,698,779 -- 12,698,779
Thailand....................... 2,273,285 -- -- 2,273,285
Turkey......................... -- 1,037,862 -- 1,037,862
United Kingdom................. -- 29,837,037 -- 29,837,037
United States.................. -- 66,196 -- 66,196
Preferred Stocks
Brazil......................... 1,303,313 -- -- 1,303,313
Chile.......................... -- 30,737 -- 30,737
Colombia....................... 129,859 -- -- 129,859
Germany........................ -- 487,381 -- 487,381
South Korea.................... 27,468 -- -- 27,468
100
WORLD EX U.S. TARGETED VALUE PORTFOLIO
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
---------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
----------- ------------ ------- ------------
Rights/Warrants
Australia...................... -- $ 3,794 -- $ 3,794
Hong Kong...................... -- 231 -- 231
India.......................... -- 8,078 -- 8,078
Spain.......................... -- 1,620 -- 1,620
Sweden......................... -- 13,288 -- 13,288
United Kingdom................. -- 48,844 -- 48,844
Securities Lending Collateral... -- 7,145,456 -- 7,145,456
----------- ------------ -- ------------
TOTAL........................... $31,894,520 $254,582,353 -- $286,476,873
=========== ============ == ============
See accompanying Notes to Financial Statements.
101
WORLD EX U.S. CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (93.2%)
AUSTRALIA -- (4.6%)
Australia & New Zealand Banking
Group, Ltd......................... 136,042 $ 2,872,582 0.2%
BHP Billiton, Ltd................... 219,729 3,838,848 0.3%
Commonwealth Bank of Australia...... 42,958 2,391,510 0.2%
National Australia Bank, Ltd........ 167,814 3,562,260 0.2%
Westpac Banking Corp................ 198,957 4,600,868 0.3%
Other Securities.................... 62,753,461 3.6%
------------ ----
TOTAL AUSTRALIA.......................... 80,019,529 4.8%
------------ ----
AUSTRIA -- (0.4%)
Other Securities.................... 7,680,103 0.5%
------------ ----
BELGIUM -- (1.1%)
Anheuser-Busch InBev SA............. 39,170 4,495,533 0.3%
Other Securities.................... 14,059,749 0.8%
------------ ----
TOTAL BELGIUM............................ 18,555,282 1.1%
------------ ----
BRAZIL -- (1.5%)
Other Securities.................... 26,540,217 1.6%
------------ ----
CANADA -- (6.1%)
Bank of Montreal.................... 43,272 2,752,099 0.2%
Bank of Nova Scotia (The)........... 50,621 2,721,385 0.2%
Canadian Natural Resources, Ltd..... 74,149 2,351,265 0.2%
Royal Bank of Canada................ 72,182 4,509,931 0.3%
Toronto-Dominion Bank (The)......... 54,161 2,457,826 0.2%
Other Securities.................... 92,344,997 5.4%
------------ ----
TOTAL CANADA............................. 107,137,503 6.5%
------------ ----
CHILE -- (0.3%)
Other Securities.................... 4,757,960 0.3%
------------ ----
CHINA -- (5.2%)
China Construction Bank Corp.
Class H............................ 6,570,000 4,797,721 0.3%
Industrial & Commercial Bank of
China, Ltd. Class H................ 4,897,000 2,939,372 0.2%
Tencent Holdings, Ltd............... 91,900 2,435,563 0.2%
Other Securities.................... 79,872,000 4.7%
------------ ----
TOTAL CHINA.............................. 90,044,656 5.4%
------------ ----
COLOMBIA -- (0.1%)
Other Securities.................... 1,515,620 0.1%
------------ ----
CZECH REPUBLIC -- (0.0%)
Other Securities.................... 405,216 0.0%
------------ ----
DENMARK -- (1.3%)
Other Securities.................... 22,550,888 1.4%
------------ ----
EGYPT -- (0.0%)
Other Securities.................... 139,538 0.0%
------------ ----
FINLAND -- (1.2%)
UPM-Kymmene Oyj..................... 130,315 3,031,323 0.2%
Other Securities.................... 18,204,516 1.1%
------------ ----
TOTAL FINLAND............................ 21,235,839 1.3%
------------ ----
102
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
FRANCE -- (5.0%)
BNP Paribas SA................................ 50,207 $ 2,911,165 0.2%
Cie Generale des Etablissements Michelin...... 28,430 3,079,197 0.2%
Orange SA..................................... 153,965 2,422,432 0.2%
Sanofi........................................ 39,753 3,093,530 0.2%
Total SA...................................... 185,779 8,899,725 0.6%
Other Securities.............................. 67,700,511 3.9%
------------ -----
TOTAL FRANCE....................................... 88,106,560 5.3%
------------ -----
GERMANY -- (4.8%)
Allianz SE.................................... 15,044 2,348,432 0.2%
BASF SE....................................... 63,703 5,623,571 0.4%
Bayerische Motoren Werke AG................... 37,367 3,260,101 0.2%
Daimler AG.................................... 84,976 6,062,355 0.4%
Deutsche Telekom AG........................... 206,421 3,367,804 0.2%
E.ON SE....................................... 360,877 2,644,815 0.2%
Other Securities.............................. 59,721,059 3.4%
------------ -----
TOTAL GERMANY...................................... 83,028,137 5.0%
------------ -----
GREECE -- (0.0%)
Other Securities.............................. 432,683 0.0%
------------ -----
HONG KONG -- (2.1%)
AIA Group, Ltd................................ 557,400 3,506,604 0.2%
Other Securities.............................. 33,937,074 2.1%
------------ -----
TOTAL HONG KONG.................................... 37,443,678 2.3%
------------ -----
HUNGARY -- (0.1%)
Other Securities.............................. 1,321,333 0.1%
------------ -----
INDIA -- (2.6%)
Other Securities.............................. 46,087,975 2.8%
------------ -----
INDONESIA -- (0.7%)
Other Securities.............................. 11,630,052 0.7%
------------ -----
IRELAND -- (0.4%)
Other Securities.............................. 6,869,216 0.4%
------------ -----
ISRAEL -- (0.5%)
Other Securities.............................. 7,991,959 0.5%
------------ -----
ITALY -- (1.7%)
Eni SpA....................................... 205,577 2,983,386 0.2%
Other Securities.............................. 26,311,110 1.6%
------------ -----
TOTAL ITALY........................................ 29,294,496 1.8%
------------ -----
JAPAN -- (17.7%)
Hitachi, Ltd.................................. 498,000 2,654,784 0.2%
Honda Motor Co., Ltd.......................... 104,700 3,132,792 0.2%
Nissan Motor Co., Ltd......................... 257,500 2,619,414 0.2%
Toyota Motor Corp............................. 156,288 9,065,753 0.6%
Other Securities.............................. 291,593,321 17.5%
------------ -----
TOTAL JAPAN........................................ 309,066,064 18.7%
------------ -----
103
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
MALAYSIA -- (0.7%)
Other Securities..................... $11,274,046 0.7%
----------- ----
MEXICO -- (0.9%)
Other Securities..................... 16,495,098 1.0%
----------- ----
NETHERLANDS -- (1.9%)
Koninklijke Ahold Delhaize NV........ 155,008 3,536,098 0.2%
Koninklijke DSM NV................... 40,578 2,608,131 0.2%
Other Securities..................... 26,922,912 1.6%
----------- ----
TOTAL NETHERLANDS......................... 33,067,141 2.0%
----------- ----
NEW ZEALAND -- (0.4%)
Other Securities..................... 7,022,283 0.4%
----------- ----
NORWAY -- (0.6%)
Other Securities..................... 10,675,154 0.6%
----------- ----
PERU -- (0.0%)
Other Securities..................... 352,679 0.0%
----------- ----
PHILIPPINES -- (0.3%)
Other Securities..................... 5,911,104 0.4%
----------- ----
POLAND -- (0.3%)
Other Securities..................... 5,277,124 0.3%
----------- ----
PORTUGAL -- (0.2%)
Other Securities..................... 3,621,321 0.2%
----------- ----
RUSSIA -- (0.3%)
Other Securities..................... 4,682,726 0.3%
----------- ----
SINGAPORE -- (0.8%)
Other Securities..................... 13,524,076 0.8%
----------- ----
SOUTH AFRICA -- (1.8%)
Other Securities..................... 31,676,545 1.9%
----------- ----
SOUTH KOREA -- (4.1%)
Samsung Electronics Co., Ltd......... 7,245 10,362,727 0.7%
Other Securities..................... 61,042,613 3.6%
----------- ----
TOTAL SOUTH KOREA......................... 71,405,340 4.3%
----------- ----
SPAIN -- (1.8%)
Banco Bilbao Vizcaya Argentaria SA... 419,111 3,017,052 0.2%
Banco Santander SA................... 715,205 3,504,525 0.2%
Other Securities..................... 24,651,683 1.5%
----------- ----
TOTAL SPAIN............................... 31,173,260 1.9%
----------- ----
SWEDEN -- (1.9%)
Other Securities..................... 33,786,883 2.0%
----------- ----
SWITZERLAND -- (4.5%)
ABB, Ltd............................. 127,841 2,637,413 0.2%
Nestle SA............................ 188,507 13,669,372 0.8%
Novartis AG.......................... 47,933 3,401,689 0.2%
Roche Holding AG..................... 11,852 2,722,186 0.2%
104
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
SWITZERLAND -- (Continued)
Syngenta AG............................. 8,330 $ 3,333,382 0.2%
Other Securities........................ 53,010,824 3.2%
-------------- -----
TOTAL SWITZERLAND........................... 78,774,866 4.8%
-------------- -----
TAIWAN -- (3.6%)
Taiwan Semiconductor Manufacturing Co.,
Ltd. Sponsored ADR..................... 123,087 3,828,006 0.3%
Other Securities........................ 58,897,843 3.5%
-------------- -----
TOTAL TAIWAN................................ 62,725,849 3.8%
-------------- -----
THAILAND -- (0.7%)
Other Securities........................ 11,481,135 0.7%
-------------- -----
TURKEY -- (0.3%)
Other Securities........................ 5,328,110 0.3%
-------------- -----
UNITED KINGDOM -- (10.7%)
BP P.L.C. Sponsored ADR................. 275,906 9,808,458 0.6%
# HSBC Holdings P.L.C. Sponsored ADR...... 146,019 5,494,695 0.3%
Royal Dutch Shell P.L.C. Sponsored ADR,
Class A................................ 112,390 5,598,146 0.4%
Royal Dutch Shell P.L.C. Sponsored ADR,
Class B................................ 91,039 4,762,250 0.3%
SSE P.L.C............................... 129,263 2,513,266 0.2%
Vodafone Group P.L.C.................... 1,177,738 3,234,451 0.2%
Other Securities........................ 156,096,346 9.3%
-------------- -----
TOTAL UNITED KINGDOM........................ 187,507,612 11.3%
-------------- -----
UNITED STATES -- (0.0%)
Other Securities........................ 593,241 0.0%
-------------- -----
TOTAL COMMON STOCKS......................... 1,628,210,097 98.3%
-------------- -----
PREFERRED STOCKS -- (1.0%)
BRAZIL -- (0.7%)
Other Securities........................ 11,035,263 0.7%
-------------- -----
CHILE -- (0.0%)
Other Securities........................ 173,093 0.0%
-------------- -----
COLOMBIA -- (0.0%)
Other Securities........................ 246,622 0.0%
-------------- -----
GERMANY -- (0.3%)
Volkswagen AG........................... 17,044 2,349,951 0.2%
Other Securities........................ 3,111,594 0.2%
-------------- -----
TOTAL GERMANY............................... 5,461,545 0.4%
-------------- -----
SOUTH KOREA -- (0.0%)
Other Securities........................ 61,114 0.0%
-------------- -----
UNITED KINGDOM -- (0.0%)
Other Securities........................ 1,830 0.0%
-------------- -----
TOTAL PREFERRED STOCKS...................... 16,979,467 1.1%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities........................ 48,457 0.0%
-------------- -----
105
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
BRAZIL -- (0.0%)
Other Securities................ $ 80 0.0%
-------------- ------
CHINA -- (0.0%)
Other Securities................ 263 0.0%
-------------- ------
INDIA -- (0.0%)
Other Securities................ 14,019 0.0%
-------------- ------
SPAIN -- (0.0%)
Other Securities................ 48,645 0.0%
-------------- ------
SWEDEN -- (0.0%)
Other Securities................ 22,703 0.0%
-------------- ------
UNITED KINGDOM -- (0.0%)
Other Securities................ 110,403 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS.................. 244,570 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES............ 1,645,434,134
--------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (5.8%)
(S)@ DFA Short Term Investment Fund.. 8,774,063 101,533,454 6.1%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,755,514,830).............. $1,746,967,588 105.5%
============== ======
Summary of the Portfolio's investments as of October 31, 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...................... $ 891,056 $ 79,128,473 -- $ 80,019,529
Austria........................ -- 7,680,103 -- 7,680,103
Belgium........................ 4,851,820 13,703,462 -- 18,555,282
Brazil......................... 26,540,217 -- -- 26,540,217
Canada......................... 107,135,128 2,375 -- 107,137,503
Chile.......................... 1,106,857 3,651,103 -- 4,757,960
China.......................... 6,089,017 83,955,639 -- 90,044,656
Colombia....................... 1,515,620 -- -- 1,515,620
Czech Republic................. -- 405,216 -- 405,216
Denmark........................ 189,926 22,360,962 -- 22,550,888
Egypt.......................... -- 139,538 -- 139,538
Finland........................ 163,491 21,072,348 -- 21,235,839
France......................... 1,670,790 86,435,770 -- 88,106,560
Germany........................ 2,997,165 80,030,972 -- 83,028,137
Greece......................... -- 432,683 -- 432,683
Hong Kong...................... 137,953 37,305,725 -- 37,443,678
Hungary........................ -- 1,321,333 -- 1,321,333
India.......................... 941,362 45,146,613 -- 46,087,975
Indonesia...................... 203,564 11,426,488 -- 11,630,052
Ireland........................ 1,807,573 5,061,643 -- 6,869,216
Israel......................... 2,183,220 5,808,739 -- 7,991,959
106
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
--------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------------ -------------- ------- --------------
Italy.......................... $ 150,542 $ 29,143,954 -- $ 29,294,496
Japan.......................... 3,248,558 305,817,506 -- 309,066,064
Malaysia....................... -- 11,274,046 -- 11,274,046
Mexico......................... 16,495,098 -- -- 16,495,098
Netherlands.................... 3,265,362 29,801,779 -- 33,067,141
New Zealand.................... 9,966 7,012,317 -- 7,022,283
Norway......................... 262,785 10,412,369 -- 10,675,154
Peru........................... 352,679 -- -- 352,679
Philippines.................... 28,620 5,882,484 -- 5,911,104
Poland......................... -- 5,277,124 -- 5,277,124
Portugal....................... -- 3,621,321 -- 3,621,321
Russia......................... 390,926 4,291,800 -- 4,682,726
Singapore...................... -- 13,524,076 -- 13,524,076
South Africa................... 3,779,428 27,897,117 -- 31,676,545
South Korea.................... 1,111,922 70,293,418 -- 71,405,340
Spain.......................... 760,670 30,412,590 -- 31,173,260
Sweden......................... 45,801 33,741,082 -- 33,786,883
Switzerland.................... 3,055,601 75,719,265 -- 78,774,866
Taiwan......................... 4,081,719 58,644,130 -- 62,725,849
Thailand....................... 11,481,135 -- -- 11,481,135
Turkey......................... 19,248 5,308,862 -- 5,328,110
United Kingdom................. 45,963,618 141,543,994 -- 187,507,612
United States.................. 465,821 127,420 -- 593,241
Preferred Stocks
Brazil......................... 11,035,263 -- -- 11,035,263
Chile.......................... -- 173,093 -- 173,093
Colombia....................... 246,622 -- -- 246,622
Germany........................ -- 5,461,545 -- 5,461,545
South Korea.................... 61,114 -- -- 61,114
United Kingdom................. -- 1,830 -- 1,830
Rights/Warrants
Australia...................... -- 48,457 -- 48,457
Brazil......................... -- 80 -- 80
China.......................... -- 263 -- 263
India.......................... -- 14,019 -- 14,019
Spain.......................... -- 48,645 -- 48,645
Sweden......................... -- 22,703 -- 22,703
United Kingdom................. -- 110,403 -- 110,403
Securities Lending Collateral... -- 101,533,454 -- 101,533,454
------------ -------------- -- --------------
TOTAL........................... $264,737,257 $1,482,230,331 -- $1,746,967,588
============ ============== == ==============
See accompanying Notes to Financial Statements.
107
WORLD CORE EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
SHARES VALUE+
---------- ------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc................................ 10,503,349 $189,060,275
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................ 11,886,670 137,647,634
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................ 2,358,062 43,388,342
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $367,362,816)............................................. 370,096,251
------------
TEMPORARY CASH INVESTMENTS -- (0.0%)
State Street Institutional U.S. Government Money Market Fund, 0.250%
(Cost $135,220).................................................... 135,220 135,220
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $367,498,036)............................................. $370,231,471
============
Summary of the Fund's investments as of October 31, 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. $370,096,251 -- -- $370,096,251
Temporary Cash Investments...... 135,220 -- -- 135,220
------------ -- -- ------------
TOTAL........................... $370,231,471 -- -- $370,231,471
============ == == ============
See accompanying Notes to Financial Statements.
108
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
SHARES VALUE+
--------- ------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in U.S. Core Equity 2 Portfolio of
DFA Investment Dimensions Group Inc.................... 7,247,010 $124,576,109
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc.................... 8,721,975 101,000,470
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc.................... 2,750,059 50,601,077
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $262,973,959)................................. 276,177,656
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $262,973,959)................................. $276,177,656
============
Summary of the Portfolio's investments as of October 31, 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. $276,177,656 -- -- $276,177,656
Futures Contracts**............. (348,246) -- -- (348,246)
Forward Currency Contracts**.... -- $648,545 -- 648,545
------------ -------- -- ------------
TOTAL........................... $275,829,410 $648,545 -- $276,477,955
============ ======== == ============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
109
SCHEDULES OF INVESTMENTS
OCTOBER 31, 2016
EMERGING MARKETS PORTFOLIO
VALUE+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Emerging Markets Series of The DFA
Investment Trust Company.................................. $4,914,328,310
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $3,933,956,774).................................. $4,914,328,310
==============
Summary of the Portfolio's Master Fund's investments as of October 31, 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.............................. $5,462,433,773
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$5,273,564,309)........................................ $5,462,433,773
==============
Summary of the Portfolio's Master Fund's investments as of October 31, 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....... $16,486,353,176
---------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$17,575,579,787)....................................... $16,486,353,176
===============
Summary of the Portfolio's Master Fund's investments as of October 31, 2016,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
110
EMERGING MARKETS CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (91.5%)
BRAZIL -- (6.7%)
AMBEV SA ADR................................. 12,546,714 $ 74,025,613 0.4%
BM&FBovespa SA - Bolsa de Valores
Mercadorias e Futuros....................... 13,167,642 77,553,781 0.4%
* Petroleo Brasileiro SA Sponsored ADR......... 3,804,709 44,400,954 0.2%
Ultrapar Participacoes SA.................... 2,067,950 46,859,281 0.3%
Other Securities............................. 1,072,346,099 5.7%
---------------- -----
TOTAL BRAZIL..................................... 1,315,185,728 7.0%
---------------- -----
CHILE -- (1.4%)
Other Securities............................. 275,769,136 1.5%
---------------- -----
CHINA -- (14.1%)
* Alibaba Group Holding, Ltd. Sponsored ADR.... 496,150 50,453,493 0.3%
Bank of China, Ltd. Class H.................. 150,583,702 67,479,412 0.4%
China Construction Bank Corp. Class H........ 236,178,302 172,468,432 0.9%
China Mobile, Ltd............................ 3,748,000 42,938,557 0.2%
China Mobile, Ltd. Sponsored ADR............. 1,846,091 106,021,006 0.6%
CNOOC, Ltd................................... 34,505,000 43,416,745 0.2%
Industrial & Commercial Bank of China, Ltd.
Class H..................................... 172,209,725 103,367,047 0.6%
Ping An Insurance Group Co. of China, Ltd.
Class H..................................... 12,889,500 67,844,082 0.4%
Tencent Holdings, Ltd........................ 10,436,500 276,591,471 1.5%
Other Securities............................. 1,819,775,830 9.6%
---------------- -----
TOTAL CHINA...................................... 2,750,356,075 14.7%
---------------- -----
COLOMBIA -- (0.4%)
Other Securities............................. 67,342,330 0.4%
---------------- -----
CZECH REPUBLIC -- (0.2%)
Other Securities............................. 30,382,918 0.2%
---------------- -----
EGYPT -- (0.1%)
Other Securities............................. 17,471,189 0.1%
---------------- -----
GREECE -- (0.3%)
Other Securities............................. 49,673,177 0.3%
---------------- -----
HONG KONG -- (0.0%)
Other Securities............................. 2,330,709 0.0%
---------------- -----
HUNGARY -- (0.3%)
Other Securities............................. 62,864,262 0.3%
---------------- -----
INDIA -- (12.6%)
HDFC Bank, Ltd............................... 2,994,559 56,121,149 0.3%
Housing Development Finance Corp., Ltd....... 2,148,830 44,361,378 0.3%
Infosys, Ltd................................. 2,997,055 44,946,786 0.3%
# Infosys, Ltd. Sponsored ADR.................. 3,708,004 56,584,141 0.3%
ITC, Ltd..................................... 12,536,994 45,357,157 0.3%
Reliance Industries, Ltd..................... 3,320,225 52,171,656 0.3%
Tata Consultancy Services, Ltd............... 1,537,993 55,052,747 0.3%
Other Securities............................. 2,112,215,323 11.1%
---------------- -----
TOTAL INDIA...................................... 2,466,810,337 13.2%
---------------- -----
111
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
INDONESIA -- (3.2%)
Astra International Tbk PT.......................... 70,413,000 $ 44,424,093 0.3%
Bank Central Asia Tbk PT............................ 41,064,300 48,823,200 0.3%
Bank Rakyat Indonesia Persero Tbk PT................ 50,598,500 47,247,330 0.3%
Other Securities.................................... 487,905,040 2.5%
---------------- -----
TOTAL INDONESIA......................................... 628,399,663 3.4%
---------------- -----
MALAYSIA -- (3.5%)
Other Securities.................................... 687,558,992 3.7%
---------------- -----
MEXICO -- (4.2%)
# America Movil S.A.B. de C.V. Series L ADR........... 3,134,148 41,182,704 0.2%
* Cemex S.A.B. de C.V. Sponsored ADR.................. 6,971,669 60,514,088 0.3%
Fomento Economico Mexicano S.A.B. de C.V. Sponsored
ADR................................................ 627,285 60,012,356 0.3%
# Grupo Financiero Banorte S.A.B. de C.V. Class O..... 8,068,930 47,599,899 0.3%
# Grupo Mexico S.A.B. de C.V. Series B................ 19,578,566 48,063,354 0.3%
Grupo Televisa S.A.B. Sponsored ADR................. 1,922,391 47,156,251 0.3%
Other Securities.................................... 521,520,285 2.7%
---------------- -----
TOTAL MEXICO............................................ 826,048,937 4.4%
---------------- -----
PERU -- (0.1%)
Other Securities.................................... 25,378,230 0.1%
---------------- -----
PHILIPPINES -- (1.5%)
Other Securities.................................... 291,108,976 1.6%
---------------- -----
POLAND -- (1.5%)
Other Securities.................................... 285,379,966 1.5%
---------------- -----
RUSSIA -- (1.3%)
Other Securities.................................... 252,847,002 1.3%
---------------- -----
SOUTH AFRICA -- (7.7%)
* AngloGold Ashanti, Ltd. Sponsored ADR............... 4,151,296 57,038,807 0.3%
FirstRand, Ltd...................................... 17,937,935 64,321,236 0.4%
MTN Group, Ltd...................................... 9,901,001 85,518,271 0.5%
Naspers, Ltd. Class N............................... 568,071 95,140,661 0.5%
Sanlam, Ltd......................................... 9,204,888 44,585,717 0.2%
Standard Bank Group, Ltd............................ 6,015,257 63,853,654 0.3%
# Steinhoff International Holdings NV................. 9,034,034 48,735,616 0.3%
Other Securities.................................... 1,038,433,994 5.5%
---------------- -----
TOTAL SOUTH AFRICA...................................... 1,497,627,956 8.0%
---------------- -----
SOUTH KOREA -- (13.6%)
Hyundai Motor Co.................................... 364,834 44,542,372 0.3%
NAVER Corp.......................................... 62,169 46,512,689 0.3%
Samsung Electronics Co., Ltd........................ 379,401 542,667,873 2.9%
SK Hynix, Inc....................................... 2,440,058 87,272,625 0.5%
Other Securities.................................... 1,926,609,968 10.1%
---------------- -----
TOTAL SOUTH KOREA....................................... 2,647,605,527 14.1%
---------------- -----
TAIWAN -- (14.1%)
# Hon Hai Precision Industry Co., Ltd................. 55,950,504 151,131,357 0.8%
Taiwan Semiconductor Manufacturing Co., Ltd......... 41,147,652 246,941,518 1.3%
112
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
TAIWAN -- (Continued)
Taiwan Semiconductor Manufacturing Co., Ltd.
Sponsored ADR............................... 5,726,641 $ 178,098,535 1.0%
Other Securities............................. 2,177,762,272 11.6%
---------------- -----
TOTAL TAIWAN..................................... 2,753,933,682 14.7%
---------------- -----
THAILAND -- (3.1%)
PTT PCL...................................... 5,479,380 54,171,455 0.3%
Other Securities............................. 554,594,571 2.9%
---------------- -----
TOTAL THAILAND................................... 608,766,026 3.2%
---------------- -----
TURKEY -- (1.6%)
Other Securities............................. 315,650,023 1.7%
---------------- -----
TOTAL COMMON STOCKS.............................. 17,858,490,841 95.4%
---------------- -----
PREFERRED STOCKS -- (3.2%)
BRAZIL -- (3.1%)
Banco Bradesco SA............................ 4,819,172 50,486,564 0.3%
Banco Bradesco SA ADR........................ 4,068,175 42,349,700 0.2%
Itau Unibanco Holding SA..................... 10,663,754 128,285,762 0.7%
Itau Unibanco Holding SA ADR................. 6,510,406 77,669,143 0.4%
* Petroleo Brasileiro SA....................... 9,738,720 53,971,791 0.3%
* Petroleo Brasileiro SA Sponsored ADR......... 4,323,435 47,817,191 0.3%
Other Securities............................. 201,052,509 1.0%
---------------- -----
TOTAL BRAZIL..................................... 601,632,660 3.2%
---------------- -----
CHILE -- (0.0%)
Other Securities............................. 3,532,418 0.0%
---------------- -----
COLOMBIA -- (0.1%)
Other Securities............................. 16,088,406 0.1%
---------------- -----
SOUTH KOREA -- (0.0%)
Other Securities............................. 762,788 0.0%
---------------- -----
TOTAL PREFERRED STOCKS........................... 622,016,272 3.3%
---------------- -----
RIGHTS/WARRANTS -- (0.0%)
BRAZIL -- (0.0%)
Other Securities............................. 3,518 0.0%
---------------- -----
CHINA -- (0.0%)
Other Securities............................. 2,893 0.0%
---------------- -----
INDIA -- (0.0%)
Other Securities............................. 681,471 0.0%
---------------- -----
KOREA -- (0.0%)
Other Securities............................. 91,836 0.0%
---------------- -----
SOUTH KOREA -- (0.0%)
Other Securities............................. 1,028,102 0.0%
---------------- -----
TAIWAN -- (0.0%)
Other Securities............................. 2,899 0.0%
---------------- -----
THAILAND -- (0.0%)
Other Securities............................. 502 0.0%
---------------- -----
TOTAL RIGHTS/WARRANTS............................ 1,811,221 0.0%
---------------- -----
TOTAL INVESTMENT SECURITIES...................... 18,482,318,334
----------------
113
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
SECURITIES LENDING COLLATERAL -- (5.3%)
(S)@ DFA Short Term Investment Fund.. 89,883,156 $ 1,040,127,884 5.6%
---------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $18,654,071,551)............. $ 19,522,446,218 104.3%
================ ======
Summary of the Portfolio's investments as of October 31, 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......................... $1,315,185,728 -- -- $ 1,315,185,728
Chile.......................... 92,720,557 $ 183,048,579 -- 275,769,136
China.......................... 296,032,195 2,454,323,880 -- 2,750,356,075
Colombia....................... 67,342,330 -- -- 67,342,330
Czech Republic................. -- 30,382,918 -- 30,382,918
Egypt.......................... 873,114 16,598,075 -- 17,471,189
Greece......................... -- 49,673,177 -- 49,673,177
Hong Kong...................... -- 2,330,709 -- 2,330,709
Hungary........................ 297,975 62,566,287 -- 62,864,262
India.......................... 118,055,293 2,348,755,044 -- 2,466,810,337
Indonesia...................... 29,984,610 598,415,053 -- 628,399,663
Malaysia....................... -- 687,558,992 -- 687,558,992
Mexico......................... 826,048,937 -- -- 826,048,937
Peru........................... 25,378,230 -- -- 25,378,230
Philippines.................... 5,316,547 285,792,429 -- 291,108,976
Poland......................... -- 285,379,966 -- 285,379,966
Russia......................... 13,016,138 239,830,864 -- 252,847,002
South Africa................... 145,078,248 1,352,549,708 -- 1,497,627,956
South Korea.................... 83,894,614 2,563,710,913 -- 2,647,605,527
Taiwan......................... 205,016,334 2,548,917,348 -- 2,753,933,682
Thailand....................... 608,588,877 177,149 -- 608,766,026
Turkey......................... 2,338,047 313,311,976 -- 315,650,023
Preferred Stocks
Brazil......................... 601,632,660 -- -- 601,632,660
Chile.......................... -- 3,532,418 -- 3,532,418
Colombia....................... 16,088,406 -- -- 16,088,406
South Korea.................... 762,788 -- -- 762,788
Rights/Warrants
Brazil......................... -- 3,518 -- 3,518
China.......................... -- 2,893 -- 2,893
India.......................... -- 681,471 -- 681,471
Korea.......................... -- 91,836 -- 91,836
South Korea.................... -- 1,028,102 -- 1,028,102
Taiwan......................... -- 2,899 -- 2,899
Thailand....................... -- 502 -- 502
Securities Lending Collateral... -- 1,040,127,884 -- 1,040,127,884
Futures Contracts**............. (3,446,602) -- -- (3,446,602)
-------------- --------------- -- ---------------
TOTAL........................... $4,450,205,026 $15,068,794,590 -- $19,518,999,616
============== =============== == ===============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
114
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2016
(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............. -- -- $ 17,646,269 --
Investments at Value (including $0, $53,986, $0 and $1,565,476
of securities on loan, respectively)............................. $ 234,208 $ 848,164 -- $ 7,975,043
Temporary Cash Investments at Value & Cost........................ -- 3,254 -- 87,593
Collateral from Securities on Loan Invested in Affiliate at Value
(including cost of $0, $46,030, $0 and $1,240,328)............... -- 46,037 -- 1,240,541
Segregated Cash for Futures Contracts............................. -- -- -- 3,420
Cash.............................................................. 8,411 -- -- --
Receivables:
Investment Securities/Affiliated Investment Company Sold........ -- 180 -- 61,483
Dividends, Interest and Tax Reclaims............................ 1,060 1,012 -- 2,380
Securities Lending Income....................................... -- 18 -- 432
Fund Shares Sold................................................ 110 539 38,325 5,191
Prepaid Expenses and Other Assets................................. 16 22 114 58
------------ ------------ -------------- ------------
Total Assets................................................. 243,805 899,226 17,684,708 9,376,141
------------ ------------ -------------- ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................................ -- 46,029 -- 1,240,317
Investment Securities/Affiliated Investment Company
Purchased...................................................... 4,829 1,147 -- 57,171
Fund Shares Redeemed............................................ 72 562 8,422 7,221
Due to Advisor.................................................. 40 109 2,260 2,439
Futures Margin Variation........................................ 427 -- -- 141
Accrued Expenses and Other Liabilities............................ 24 56 773 563
------------ ------------ -------------- ------------
Total Liabilities............................................ 5,392 47,903 11,455 1,307,852
------------ ------------ -------------- ------------
NET ASSETS........................................................ $ 238,413 $ 851,323 $ 17,673,253 $ 8,068,289
============ ============ ============== ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE:
Class R1 Shares -- based on net assets of $0; $0; $0 and
$35,661 and shares outstanding of 0; 0; 0 and 1,677,570,
respectively..................................................... N/A N/A N/A $ 21.26
============ ============ ============== ============
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
$147,945 and shares outstanding of 0; 0; 0 and 6,990,693,
respectively..................................................... N/A N/A N/A $ 21.16
============ ============ ============== ============
NUMBER OF SHARES AUTHORIZED....................................... N/A N/A N/A 100,000,000
============ ============ ============== ============
Institutional Class Shares -- based on net assets of $238,413;
$851,323; $17,673,253 and $7,884,683 and shares
outstanding of 19,513,163; 65,183,149; 541,624,567 and
370,883,194, respectively........................................ $ 12.22 $ 13.06 $ 32.63 $ 21.26
============ ============ ============== ============
NUMBER OF SHARES AUTHORIZED....................................... 300,000,000 100,000,000 2,000,000,000 700,000,000
============ ============ ============== ============
Investments in Affiliated Investment Company at Cost.............. $ -- $ -- $ 13,161,852 $ --
------------ ------------ -------------- ------------
Investments at Cost............................................... $ 234,200 $ 793,916 $ -- $ 7,084,402
============ ============ ============== ============
NET ASSETS CONSIST OF:
Paid-In Capital................................................... $ 231,408 $ 806,457 $ 12,720,635 $ 6,878,063
Undistributed Net Investment Income (Distributions in Excess of
Net Investment Income)........................................... 201 1,887 18,983 1,417
Accumulated Net Realized Gain (Loss).............................. 6,558 (11,276) 449,218 299,994
Net Unrealized Appreciation (Depreciation)........................ 246 54,255 4,484,417 888,815
------------ ------------ -------------- ------------
NET ASSETS........................................................ $ 238,413 $ 851,323 $ 17,673,253 $ 8,068,289
============ ============ ============== ============
----------
* See Note K in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
115
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
U.S. CORE U.S. CORE U.S. VECTOR
U.S. SMALL CAP EQUITY 1 EQUITY 2 EQUITY
VALUE PORTFOLIO* PORTFOLIO* PORTFOLIO* PORTFOLIO*
---------------- -------------- -------------- --------------
ASSETS:
Investments at Value (including $1,943,046,
$1,995,032, $2,369,893 and $656,011 of securities
on loan, respectively).............................. $ 12,291,970 $ 14,795,874 $ 16,664,191 $ 3,787,413
Temporary Cash Investments at Value & Cost........... 283,404 164,854 183,777 37,304
Collateral from Securities on Loan Invested in
Affiliate at Value (including cost of $1,801,739,
$1,416,026, $1,864,887 and $509,259)................ 1,802,024 1,416,231 1,865,190 509,342
Segregated Cash for Futures Contracts................ 12,321 5,040 5,670 1,305
Receivables:
Investment Securities Sold......................... 86,220 2,721 11,313 821
Dividends and Interest............................. 3,198 14,707 16,403 2,747
Securities Lending Income.......................... 507 637 832 224
Fund Shares Sold................................... 5,780 9,283 9,566 1,859
Prepaid Expenses and Other Assets.................... 116 172 115 26
-------------- -------------- -------------- --------------
Total Assets.................................... 14,485,540 16,409,519 18,757,057 4,341,041
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................... 1,801,676 1,415,949 1,864,857 509,255
Investment Securities Purchased.................... 51,203 21,930 31,705 2,159
Fund Shares Redeemed............................... 12,581 8,277 5,348 5,688
Due to Advisor..................................... 5,485 2,168 2,882 988
Futures Margin Variation........................... 507 207 233 54
Accrued Expenses and Other Liabilities............... 903 829 986 250
-------------- -------------- -------------- --------------
Total Liabilities............................... 1,872,355 1,449,360 1,906,011 518,394
-------------- -------------- -------------- --------------
NET ASSETS........................................... $ 12,613,185 $ 14,960,159 $ 16,851,046 $ 3,822,647
============== ============== ============== ==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$12,613,185; $14,960,159; $16,851,046 and
$3,822,647 and shares outstanding of
385,110,575; 831,236,058; 980,473,669 and
239,934,633, respectively........................... $ 32.75 $ 18.00 $ 17.19 $ 15.93
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED.......................... 1,700,000,000 1,500,000,000 2,300,000,000 1,000,000,000
============== ============== ============== ==============
Investments at Cost.................................. $ 10,085,942 $ 11,326,017 $ 12,434,154 $ 2,892,649
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital...................................... $ 9,878,016 $ 11,386,149 $ 12,472,449 $ 2,824,977
Undistributed Net Investment Income (Distributions
in Excess of Net Investment Income)................. (1,771) 33,644 26,714 150
Accumulated Net Realized Gain (Loss)................. 534,573 73,528 125,173 103,508
Net Unrealized Appreciation (Depreciation)........... 2,202,367 3,466,838 4,226,710 894,012
-------------- -------------- -------------- --------------
NET ASSETS........................................... $ 12,613,185 $ 14,960,159 $ 16,851,046 $ 3,822,647
============== ============== ============== ==============
----------
* See Note K in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
116
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2016
(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 $2,734,250, $866,990,
$601,613 and $199,224 of securities on loan,
respectively).............................................. $ 12,824,777 $ 5,046,074 $ 7,193,577 $ 3,473,508
Temporary Cash Investments at Value & Cost.................. 159,360 42,876 67,517 --
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $2,565,207, $804,677,
$461,489 and $207,749)..................................... 2,565,605 804,805 461,557 207,774
Segregated Cash for Futures Contracts....................... 5,903 2,709 2,412 1,473
Foreign Currencies at Value................................. -- -- -- 10,328
Cash........................................................ -- -- -- 27,839
Receivables:
Investment Securities Sold................................ 14,794 52,190 154 19,362
Dividends, Interest and Tax Reclaims...................... 3,059 1,582 5,834 11,545
Securities Lending Income................................. 1,155 358 90 253
Fund Shares Sold.......................................... 10,547 2,483 4,054 1,824
Futures Margin Variation.................................. 79 3 -- --
Unrealized Gain on Foreign Currency Contracts............... -- -- -- 2
Prepaid Expenses and Other Assets........................... 89 38 65 22
-------------- -------------- ------------ ------------
Total Assets........................................... 15,585,368 5,953,118 7,735,260 3,753,930
-------------- -------------- ------------ ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......................... 2,565,111 804,670 461,482 207,738
Investment Securities Purchased........................... 27,611 13,328 8,118 15,610
Fund Shares Redeemed...................................... 10,670 4,200 3,938 1,760
Due to Advisor............................................ 3,878 2,222 983 750
Futures Margin Variation.................................. -- -- 99 19
Unrealized Loss on Foreign Currency Contracts............... -- -- -- 10
Accrued Expenses and Other Liabilities...................... 899 375 460 268
-------------- -------------- ------------ ------------
Total Liabilities...................................... 2,608,169 824,795 475,080 226,155
-------------- -------------- ------------ ------------
NET ASSETS.................................................. $ 12,977,199 $ 5,128,323 $ 7,260,180 $ 3,527,775
============== ============== ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$12,977,199; $5,128,323; $7,260,180 and $3,527,775
and shares outstanding of 430,635,066; 275,979,542;
211,528,474 and 180,746,924, respectively.................. $ 30.14 $ 18.58 $ 34.32 $ 19.52
============== ============== ============ ============
NUMBER OF SHARES AUTHORIZED................................. 1,000,000,000 1,500,000,000 700,000,000 500,000,000
============== ============== ============ ============
Investments at Cost......................................... $ 10,736,611 $ 3,760,525 $ 5,088,981 $ 3,240,449
============== ============== ============ ============
Foreign Currencies at Cost.................................. $ -- $ -- $ -- $ 10,325
============== ============== ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 10,544,580 $ 3,590,798 $ 5,130,102 $ 3,512,948
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... 2,738 1,818 39,022 11,729
Accumulated Net Realized Gain (Loss)........................ 345,607 251,692 (12,090) (228,787)
Net Unrealized Foreign Exchange Gain (Loss)................. -- -- -- (332)
Net Unrealized Appreciation (Depreciation).................. 2,084,274 1,284,015 2,103,146 232,217
-------------- -------------- ------------ ------------
NET ASSETS.................................................. $ 12,977,199 $ 5,128,323 $ 7,260,180 $ 3,527,775
============== ============== ============ ============
----------
* See Note K in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
117
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2016
(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................................................... -- $ 10,294,008 $ 509,655 $ 251,675
Investments at Value (including $1,202,449, $0, $0 and
$0 of securities on loan, respectively)................. $ 16,737,241 -- -- --
Collateral from Securities on Loan Invested in Affiliate
at Value (including cost of $1,236,430, $0, $0 and
$0)..................................................... 1,236,638 -- -- --
Segregated Cash for Futures Contracts.................... 6,030 3,866 -- --
Foreign Currencies at Value.............................. 23,403 -- -- --
Cash..................................................... 158,681 97,178 -- --
Receivables:
Investment Securities Sold............................. 489 -- -- --
Dividends, Interest and Tax Reclaims................... 49,672 -- -- --
Securities Lending Income.............................. 2,314 -- -- --
Fund Shares Sold....................................... 21,215 2,600 -- 17
Prepaid Expenses and Other Assets........................ 158 110 8 8
-------------- -------------- ------------ ------------
Total Assets........................................ 18,235,841 10,397,762 509,663 251,700
-------------- -------------- ------------ ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned....................... 1,236,407 -- -- --
Investment Securities Purchased........................ 1,463 -- -- --
Fund Shares Redeemed................................... 8,573 6,350 67 25
Due to Advisor......................................... 5,034 3,567 170 87
Futures Margin Variation............................... 248 2 -- --
Accrued Expenses and Other Liabilities................... 1,105 482 13 13
-------------- -------------- ------------ ------------
Total Liabilities................................... 1,252,830 10,401 250 125
-------------- -------------- ------------ ------------
NET ASSETS............................................... $ 16,983,011 $ 10,387,361 $ 509,413 $ 251,575
============== ============== ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$16,983,011; $10,387,361; $509,413 and $251,575
and shares outstanding of 1,466,221,305;
584,367,957; 22,135,681 and 11,829,539,
respectively............................................ $ 11.58 $ 17.78 $ 23.01 $ 21.27
============== ============== ============ ============
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.................................................... $ -- $ 9,548,011 $ 438,859 $ 260,212
-------------- -------------- ------------ ------------
Investments at Cost...................................... $ 16,261,978 $ -- $ -- $ --
============== ============== ============ ============
Foreign Currencies at Cost............................... $ 23,405 $ -- $ -- $ --
============== ============== ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital.......................................... $ 16,830,111 $ 9,407,620 $ 470,614 $ 281,710
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................ 49,229 (18,870) 2,402 511
Accumulated Net Realized Gain (Loss)..................... (367,321) 256,462 (34,243) (22,109)
Net Unrealized Foreign Exchange Gain (Loss).............. (1,529) (1,059) (156) --
Net Unrealized Appreciation (Depreciation)............... 472,521 743,208 70,796 (8,537)
-------------- -------------- ------------ ------------
NET ASSETS............................................... $ 16,983,011 $ 10,387,361 $ 509,413 $ 251,575
============== ============== ============ ============
----------
* See Note K in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
118
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA
UNITED CONTINENTAL INTERNATIONAL DFA GLOBAL DFA
KINGDOM SMALL SMALL REAL ESTATE REAL ESTATE INTERNATIONAL
COMPANY COMPANY SECURITIES SECURITIES SMALL CAP
PORTFOLIO PORTFOLIO PORTFOLIO* PORTFOLIO VALUE PORTFOLIO*
------------- ------------ -------------- -------------- ----------------
ASSETS:
Investments in Affiliated Investment Companies at
Value............................................. $ 32,369 $ 292,249 -- $ 3,297,633 --
Investments at Value (including $0, $0, $153,418,
$33,099 and $894,648 of securities on loan,
respectively)..................................... -- -- $ 4,110,144 1,593,183 $ 12,810,566
Collateral from Securities on Loan Invested in
Affiliate at Value (including cost of $0, $0,
$157,915, $34,022 and $947,349)................... -- -- 157,926 34,028 947,513
Segregated Cash for Futures Contracts.............. -- -- 1,238 -- 5,653
Foreign Currencies at Value........................ -- -- 18,761 120 51,381
Cash............................................... -- -- 39,036 10,382 95,845
Receivables:
Investment Securities/Affiliated Investment
Company Sold.................................... -- -- 577 -- 16,986
Dividends, Interest and Tax Reclaims............. -- -- 14,191 1,322 43,106
Securities Lending Income........................ -- -- 128 10 1,924
Fund Shares Sold................................. 22 8 2,545 5,285 14,151
Unrealized Gain on Foreign Currency Contracts...... -- -- -- -- 8
Prepaid Expenses and Other Assets.................. 18 11 21 65 77
------------ ------------ -------------- -------------- --------------
Total Assets.................................. 32,409 292,268 4,344,567 4,942,028 13,987,210
------------ ------------ -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................. -- -- 157,910 34,018 947,321
Investment Securities/Affiliated Investment
Company Purchased............................... -- -- 2,811 5,093 14,693
Fund Shares Redeemed............................. 72 32 1,000 13,564 7,184
Due to Advisor................................... 10 108 891 162 7,191
Futures Margin Variation......................... -- -- 51 -- 174
Unrealized Loss on Foreign Currency Contracts...... -- -- 1 -- --
Accrued Expenses and Other Liabilities............. 4 11 280 236 918
------------ ------------ -------------- -------------- --------------
Total Liabilities............................. 86 151 162,944 53,073 977,481
------------ ------------ -------------- -------------- --------------
NET ASSETS......................................... $ 32,323 $ 292,117 $ 4,181,623 $ 4,888,955 $ 13,009,729
============ ============ ============== ============== ==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets
of $32,323; $292,117; $4,181,623; $4,888,955
and $13,009,729 and shares outstanding of
1,187,810; 13,601,917; 799,639,322;
450,869,182 and 673,643,118, respectively......... $ 27.21 $ 21.48 $ 5.23 $ 10.84 $ 19.31
============ ============ ============== ============== ==============
NUMBER OF SHARES AUTHORIZED........................ 100,000,000 100,000,000 1,200,000,000 1,500,000,000 2,300,000,000
============ ============ ============== ============== ==============
Investments in Affiliated Investment Companies at
Cost.............................................. $ 30,008 $ 254,355 $ -- $ 2,659,558 $ --
------------ ------------ -------------- -------------- --------------
Investments at Cost................................ $ -- $ -- $ 3,978,565 $ 1,534,743 $ 11,737,020
============ ============ ============== ============== ==============
Foreign Currencies at Cost......................... $ -- $ -- $ 18,681 $ 117 $ 51,989
============ ============ ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital.................................... $ 28,283 $ 264,520 $ 4,440,849 $ 4,154,717 $ 11,585,752
Undistributed Net Investment Income (Distributions
in Excess of Net Investment Income)............... 199 227 (148,335) 61,223 (39,951)
Accumulated Net Realized Gain (Loss)............... 1,478 (10,637) (241,893) (23,508) 395,817
Net Unrealized Foreign Exchange Gain (Loss)........ 2 113 (364) -- (1,533)
Net Unrealized Appreciation (Depreciation)......... 2,361 37,894 131,366 696,523 1,069,644
------------ ------------ -------------- -------------- --------------
NET ASSETS......................................... $ 32,323 $ 292,117 $ 4,181,623 $ 4,888,955 $ 13,009,729
============ ============ ============== ============== ==============
----------
* See Note K in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
119
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
INTERNATIONAL WORLD EX U.S. WORLD EX U.S.
VECTOR EQUITY WORLD EX U.S. TARGETED VALUE CORE EQUITY
PORTFOLIO* VALUE PORTFOLIO PORTFOLIO* PORTFOLIO*
------------- --------------- -------------- -------------
ASSETS:
Investments in Affiliated Investment Companies at
Value................................................... -- $ 188,212 -- --
Investments at Value (including $138,147, $0,
$7,915, $105,597 and $0 of securities on loan,
respectively)........................................... $ 1,847,916 -- $ 279,331 $ 1,645,434
Temporary Cash Investments at Value & Cost............... -- -- -- --
Collateral from Securities on Loan Invested in Affiliate
at Value (including cost of $144,230, $0, $7,144,
$101,516 and $0)........................................ 144,254 -- 7,145 101,533
Foreign Currencies at Value.............................. 4,420 -- 1,028 2,874
Cash..................................................... 284 43 18 3,306
Receivables:
Investment Securities Sold............................. 851 -- 661 61
Dividends, Interest and Tax Reclaims................... 5,604 -- 661 3,976
Securities Lending Income.............................. 273 -- 22 239
Fund Shares Sold....................................... 1,028 -- 308 1,741
From Advisor........................................... -- -- -- --
Unrealized Gain on Foreign Currency Contracts............ -- -- 1 --
Prepaid Expenses and Other Assets........................ 31 12 22 18
------------ ------------ ------------ ------------
Total Assets........................................ 2,004,661 188,267 289,197 1,759,182
------------ ------------ ------------ ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned....................... 144,226 -- 7,144 101,515
Investment Securities Purchased........................ 1,285 -- 259 80
Fund Shares Redeemed................................... 1,815 52 383 545
Due to Advisor......................................... 711 54 141 393
Unrealized Loss on Foreign Currency Contracts............ 2 -- 1 --
Accrued Expenses and Other Liabilities................... 148 7 57 204
------------ ------------ ------------ ------------
Total Liabilities................................... 148,187 113 7,985 102,737
------------ ------------ ------------ ------------
NET ASSETS............................................... $ 1,856,474 $ 188,154 $ 281,212 $ 1,656,445
============ ============ ============ ============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$1,856,474; $188,154; $281,212; $1,656,445 and
$370,229 and shares outstanding of 172,237,676;
18,255,169; 23,363,536; 166,766,789 and
28,171,065, respectively................................ $ 10.78 $ 10.31 $ 12.04 $ 9.93
============ ============ ============ ============
NUMBER OF SHARES AUTHORIZED.............................. 500,000,000 100,000,000 100,000,000 500,000,000
============ ============ ============ ============
Investments in Affiliated Investment Companies at
Cost.................................................... $ -- $ 188,081 $ -- $ --
------------ ------------ ------------ ------------
Investments at Cost...................................... $ 1,755,367 $ -- $ 265,503 $ 1,653,999
============ ============ ============ ============
Foreign Currencies at Cost............................... $ 4,427 $ -- $ 1,031 $ 2,878
============ ============ ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital.......................................... $ 1,756,001 $ 190,641 $ 274,788 $ 1,673,173
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................ 4,967 737 882 4,174
Accumulated Net Realized Gain (Loss)..................... 3,124 (3,306) (8,262) (12,234)
Net Unrealized Foreign Exchange Gain (Loss).............. (184) (48) (22) (116)
Net Unrealized Appreciation (Depreciation)............... 92,566 130 13,826 (8,552)
------------ ------------ ------------ ------------
NET ASSETS............................................... $ 1,856,474 $ 188,154 $ 281,212 $ 1,656,445
============ ============ ============ ============
WORLD CORE
EQUITY
PORTFOLIO
------------
ASSETS:
Investments in Affiliated Investment Companies at
Value................................................... $ 370,096
Investments at Value (including $138,147, $0,
$7,915, $105,597 and $0 of securities on loan,
respectively)........................................... --
Temporary Cash Investments at Value & Cost............... 135
Collateral from Securities on Loan Invested in Affiliate
at Value (including cost of $144,230, $0, $7,144,
$101,516 and $0)........................................ --
Foreign Currencies at Value.............................. --
Cash..................................................... --
Receivables:
Investment Securities Sold............................. --
Dividends, Interest and Tax Reclaims................... --
Securities Lending Income.............................. --
Fund Shares Sold....................................... 2
From Advisor........................................... 8
Unrealized Gain on Foreign Currency Contracts............ --
Prepaid Expenses and Other Assets........................ 15
------------
Total Assets........................................ 370,256
------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned....................... --
Investment Securities Purchased........................ --
Fund Shares Redeemed................................... 6
Due to Advisor......................................... --
Unrealized Loss on Foreign Currency Contracts............ --
Accrued Expenses and Other Liabilities................... 21
------------
Total Liabilities................................... 27
------------
NET ASSETS............................................... $ 370,229
============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$1,856,474; $188,154; $281,212; $1,656,445 and
$370,229 and shares outstanding of 172,237,676;
18,255,169; 23,363,536; 166,766,789 and
28,171,065, respectively................................ $ 13.14
============
NUMBER OF SHARES AUTHORIZED.............................. 100,000,000
============
Investments in Affiliated Investment Companies at
Cost.................................................... $ 367,363
------------
Investments at Cost...................................... $ --
============
Foreign Currencies at Cost............................... $ --
============
NET ASSETS CONSIST OF:
Paid-In Capital.......................................... $ 369,759
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................ 205
Accumulated Net Realized Gain (Loss)..................... (2,468)
Net Unrealized Foreign Exchange Gain (Loss).............. --
Net Unrealized Appreciation (Depreciation)............... 2,733
------------
NET ASSETS............................................... $ 370,229
============
----------
*See Note K in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
120
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2016
(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..... $ 276,178 $ 4,914,328 $ 5,462,434 $ 16,486,353
Investments at Value (including $0, $0, $0, $0 and
$1,574,094 of securities on loan, respectively)............ -- -- -- --
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $0, $0, $0, $0 and $1,039,952).... -- -- -- --
Segregated Cash for Futures Contracts....................... 572 -- -- --
Foreign Currencies at Value................................. -- -- -- --
Cash........................................................ 12,553 -- -- --
Receivables:
Investment Securities/Affiliated Investment Companies
Sold..................................................... -- -- -- --
Dividends, Interest and Tax Reclaims...................... -- -- -- --
Securities Lending Income................................. -- -- -- --
Fund Shares Sold.......................................... 40 5,121 2,266 5,442
Unrealized Gain on Forward Currency Contracts............... 847 -- -- --
Unrealized Gain on Foreign Currency Contracts............... -- -- -- --
Prepaid Expenses and Other Assets........................... 13 32 42 103
------------ ------------ ------------ --------------
Total Assets............................................ 290,203 4,919,481 5,464,742 16,491,898
------------ ------------ ------------ --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......................... -- -- -- --
Investment Securities/Affiliated Investment Companies
Purchased................................................ -- -- -- --
Fund Shares Redeemed...................................... 66 2,214 2,976 83,446
Due to Advisor............................................ -- 1,667 2,098 5,568
Futures Margin Variation.................................. 23 -- -- --
Unrealized Loss on Forward Currency Contracts............... 198 -- -- --
Unrealized Loss on Foreign Currency Contracts............... -- -- -- --
Accrued Expenses and Other Liabilities...................... 12 200 159 640
------------ ------------ ------------ --------------
Total Liabilities....................................... 299 4,081 5,233 89,654
------------ ------------ ------------ --------------
NET ASSETS.................................................. $ 289,904 $ 4,915,400 $ 5,459,509 $ 16,402,244
============ ============ ============ ==============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Class R2 Shares -- based on net assets of $0; $0; $0;
$97,923 and $0 and shares outstanding of 0; 0; 0;
3,963,250 and 0, respectively.............................. N/A N/A N/A $ 24.71
============ ============ ============ ==============
NUMBER OF SHARES AUTHORIZED................................. N/A N/A N/A 100,000,000
============ ============ ============ ==============
Institutional Class Shares -- based on net assets of
$289,904; $4,915,400; $5,459,509; $16,304,321 and
$18,712,966 and shares outstanding of 21,214,902;
203,789,810; 267,753,160; 656,277,888 and
1,017,087,290, respectively................................ $ 13.67 $ 24.12 $ 20.39 $ 24.84
============ ============ ============ ==============
NUMBER OF SHARES AUTHORIZED................................. 100,000,000 500,000,000 500,000,000 1,500,000,000
============ ============ ============ ==============
Investments in Affiliated Investment Companies at Cost...... $ 262,974 $ 3,933,957 $ 5,273,564 $ 17,575,580
------------ ------------ ------------ --------------
Investments at Cost......................................... $ -- $ -- $ -- $ --
============ ============ ============ ==============
Foreign Currencies at Cost.................................. $ -- $ -- $ -- $ --
============ ============ ============ ==============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 270,820 $ 4,153,898 $ 5,139,325 $ 18,602,540
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... 4,245 3,519 12,479 (49,300)
Accumulated Net Realized Gain (Loss)........................ 1,334 (222,448) 118,721 (1,061,981)
Net Unrealized Foreign Exchange Gain (Loss)................. 649 60 114 212
Net Unrealized Appreciation (Depreciation).................. 12,856 980,371 188,870 (1,089,227)
------------ ------------ ------------ --------------
NET ASSETS.................................................. $ 289,904 $ 4,915,400 $ 5,459,509 $ 16,402,244
============ ============ ============ ==============
EMERGING
MARKETS CORE
EQUITY
PORTFOLIO*
--------------
ASSETS:
Investments in Affiliated Investment Companies at Value..... --
Investments at Value (including $0, $0, $0, $0 and
$1,574,094 of securities on loan, respectively)............ $ 18,482,318
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $0, $0, $0, $0 and $1,039,952).... 1,040,128
Segregated Cash for Futures Contracts....................... 6,871
Foreign Currencies at Value................................. 98,558
Cash........................................................ 139,308
Receivables:
Investment Securities/Affiliated Investment Companies
Sold..................................................... 634
Dividends, Interest and Tax Reclaims...................... 12,373
Securities Lending Income................................. 5,094
Fund Shares Sold.......................................... 15,651
Unrealized Gain on Forward Currency Contracts............... --
Unrealized Gain on Foreign Currency Contracts............... 1
Prepaid Expenses and Other Assets........................... 85
--------------
Total Assets............................................ 19,801,021
--------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......................... 1,039,932
Investment Securities/Affiliated Investment Companies
Purchased................................................ 28,037
Fund Shares Redeemed...................................... 9,734
Due to Advisor............................................ 8,700
Futures Margin Variation.................................. 80
Unrealized Loss on Forward Currency Contracts............... --
Unrealized Loss on Foreign Currency Contracts............... 1
Accrued Expenses and Other Liabilities...................... 1,571
--------------
Total Liabilities....................................... 1,088,055
--------------
NET ASSETS.................................................. $ 18,712,966
==============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Class R2 Shares -- based on net assets of $0; $0; $0;
$97,923 and $0 and shares outstanding of 0; 0; 0;
3,963,250 and 0, respectively.............................. N/A
==============
NUMBER OF SHARES AUTHORIZED................................. N/A
==============
Institutional Class Shares -- based on net assets of
$289,904; $4,915,400; $5,459,509; $16,304,321 and
$18,712,966 and shares outstanding of 21,214,902;
203,789,810; 267,753,160; 656,277,888 and
1,017,087,290, respectively................................ $ 18.40
==============
NUMBER OF SHARES AUTHORIZED................................. 1,500,000,000
==============
Investments in Affiliated Investment Companies at Cost...... $ --
--------------
Investments at Cost......................................... $ 17,614,120
==============
Foreign Currencies at Cost.................................. $ 98,578
==============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 18,639,428
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... 11,774
Accumulated Net Realized Gain (Loss)........................ (803,309)
Net Unrealized Foreign Exchange Gain (Loss)................. 166
Net Unrealized Appreciation (Depreciation).................. 864,907
--------------
NET ASSETS.................................................. $ 18,712,966
==============
----------
* See Note K in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
121
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2016
(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, $17 and $0,
respectively)........................................................ -- -- $404,068 --
Income from Securities Lending........................................ -- -- 2,879 --
Expenses Allocated from Affiliated Investment Company................. -- -- (18,139) --
------ ------- -------- --------
Total Net Investment Income Received from Affiliated Investment
Company............................................................ -- -- 388,808 --
------ ------- -------- --------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0, $1, $0 and $63,
respectively)......................................................... -- $16,204 -- $114,601
Interest............................................................... $2,157 -- -- --
Income from Securities Lending......................................... -- 178 -- 6,652
------ ------- -------- --------
Total Investment Income............................................. 2,157 16,382 -- 121,253
------ ------- -------- --------
FUND EXPENSES
Investment Management Fees............................................. 418 1,135 40,630 26,301
Accounting & Transfer Agent Fees....................................... 15 45 95 420
S&P 500(R) Fees........................................................ 8 -- -- --
Custodian Fees......................................................... 5 -- -- 74
Shareholder Servicing Fees --
Class R1 Shares....................................................... -- -- -- 35
Class R2 Shares....................................................... -- -- -- 365
Filing Fees............................................................ 26 61 444 259
Shareholders' Reports.................................................. 7 17 416 322
Directors'/Trustees' Fees & Expenses................................... 1 5 112 52
Professional Fees...................................................... 5 16 33 149
Other.................................................................. 8 28 94 232
------ ------- -------- --------
Total Expenses...................................................... 493 1,307 41,824 28,209
------ ------- -------- --------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor (Note C)......................................... -- 28 (16,252) --
Fees Paid Indirectly (Note C).......................................... (6) -- -- --
------ ------- -------- --------
Net Expenses........................................................... 487 1,335 25,572 28,209
------ ------- -------- --------
NET INVESTMENT INCOME (LOSS)........................................... 1,670 15,047 363,236 93,044
------ ------- -------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**.......................................... (59) (9,470) 447,750 310,791
Futures............................................................... 7,848 -- 17,635 6,695
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............................ 118 22,964 (11,625) (32,158)
Futures............................................................... (557) -- (3,292) (2,039)
------ ------- -------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)................................ 7,350 13,494 450,468 283,289
------ ------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.......... $9,020 $28,541 $813,704 $376,333
====== ======= ======== ========
----------
* Investment Income and Realized and Unrealized Gain (Loss) were allocated from
the Portfolio's Master Fund (Affiliated Investment Company).
**Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
122
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2016
(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 $80, $49, $60 and $19,
respectively)...................................................... $176,347 $278,853 $316,205 $ 68,324
Income from Securities Lending...................................... 8,445 8,606 11,265 3,297
-------- -------- -------- --------
Total Investment Income.......................................... 185,792 287,459 327,470 71,621
-------- -------- -------- --------
EXPENSES
Investment Management Fees.......................................... 60,645 23,598 31,418 10,982
Accounting & Transfer Agent Fees.................................... 669 765 865 205
Custodian Fees...................................................... 120 117 135 25
Filing Fees......................................................... 340 490 504 113
Shareholders' Reports............................................... 344 240 285 114
Directors'/Trustees' Fees & Expenses................................ 84 95 108 25
Professional Fees................................................... 243 278 316 75
Other............................................................... 378 432 488 121
-------- -------- -------- --------
Total Expenses................................................... 62,823 26,015 34,119 11,660
-------- -------- -------- --------
NET INVESTMENT INCOME (LOSS)........................................ 122,969 261,444 293,351 59,961
-------- -------- -------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**...................................... 533,632 71,932 110,911 103,375
Futures........................................................... 42,945 14,545 16,424 3,911
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities............................................. (45,822) 193,308 180,375 (37,035)
Futures........................................................... (3,946) (3,224) (3,630) (835)
-------- -------- -------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)............................. 526,809 276,561 304,080 69,416
-------- -------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS....... $649,778 $538,005 $597,431 $129,377
======== ======== ======== ========
----------
**Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
123
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2016
(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 $39, $9, $0 and
$8,961, respectively)....................................... $161,627 $ 63,399 $233,312 $ 101,033
Income from Securities Lending............................... 16,878 5,807 784 3,010
-------- -------- -------- ---------
Total Investment Income................................... 178,505 69,206 234,096 104,043
-------- -------- -------- ---------
EXPENSES
Investment Management Fees................................... 40,791 24,790 11,950 8,053
Accounting & Transfer Agent Fees............................. 642 276 388 189
Custodian Fees............................................... 97 36 68 316
Filing Fees.................................................. 445 107 173 127
Shareholders' Reports........................................ 311 135 246 136
Directors'/Trustees' Fees & Expenses......................... 79 35 48 22
Professional Fees............................................ 229 102 142 113
Other........................................................ 354 163 199 141
-------- -------- -------- ---------
Total Expenses............................................ 42,948 25,644 13,214 9,097
-------- -------- -------- ---------
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor (Note C)................... -- -- (561) --
Fees Paid Indirectly (Note C)................................ -- -- -- (110)
-------- -------- -------- ---------
Net Expenses................................................. 42,948 25,644 12,653 8,987
-------- -------- -------- ---------
NET INVESTMENT INCOME (LOSS)................................. 135,557 43,562 221,443 95,056
-------- -------- -------- ---------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**............................... 362,082 265,995 90,717 40,972
Futures.................................................... 18,220 4,507 6,786 2,587
Foreign Currency Transactions.............................. -- -- -- (670)
Forward Currency Contracts................................. -- -- -- (1)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................. 11,454 (93,832) 133,266 (163,381)
Futures.................................................... (4,290) (1,662) (1,518) (870)
Translation of Foreign Currency Denominated Amounts........ -- -- -- (284)
-------- -------- -------- ---------
NET REALIZED AND UNREALIZED GAIN (LOSS)...................... 387,466 175,008 229,251 (121,647)
-------- -------- -------- ---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS.................................................... $523,023 $218,570 $450,694 $ (26,591)
======== ======== ======== =========
----------
**Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
124
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2016
(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, $20,552, $939 and
$212, respectively)................................................. -- $262,595 $ 8,477 $ 8,411
Income from Securities Lending....................................... -- 27,016 930 818
Expenses Allocated from Affiliated Investment Companies.............. -- (12,006) (570) (291)
-------- -------- ------- -------
Total Net Investment Income Received from Affiliated Investment
Companies.......................................................... -- 277,605 8,837 8,938
-------- -------- ------- -------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $40,187, $0, $0 and $0,
respectively)......................................................... $463,144 -- -- --
Income from Securities Lending......................................... 26,239 -- -- --
-------- -------- ------- -------
Total Investment Income............................................. 489,383 -- -- --
-------- -------- ------- -------
FUND EXPENSES
Investment Management Fees............................................. 53,516 38,540 2,232 1,120
Accounting & Transfer Agent Fees....................................... 851 58 5 4
Custodian Fees......................................................... 1,623 6 -- --
Filing Fees............................................................ 749 279 19 21
Shareholders' Reports.................................................. 400 280 7 5
Directors'/Trustees' Fees & Expenses................................... 104 66 3 2
Professional Fees...................................................... 414 66 1 --
Other.................................................................. 620 77 3 3
-------- -------- ------- -------
Total Expenses...................................................... 58,277 39,372 2,270 1,155
-------- -------- ------- -------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor (Note C)......................................... -- -- (446) (224)
Fees Paid Indirectly (Note C).......................................... (585) -- -- --
-------- -------- ------- -------
Net Expenses........................................................... 57,692 39,372 1,824 931
-------- -------- ------- -------
NET INVESTMENT INCOME (LOSS)........................................... 431,691 238,233 7,013 8,007
-------- -------- ------- -------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**......................................... (84,212) 261,664 20,065 (4,191)
Futures.............................................................. 19,275 17,796 -- --
Foreign Currency Transactions........................................ (72) 673 326 49
Forward Currency Contracts........................................... (3) -- -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........................... (7,083) 13,423 33,546 30,333
Futures.............................................................. (2,948) (2,771) -- --
Translation of Foreign Currency Denominated Amounts.................. (1,251) (814) (100) 4
-------- -------- ------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS)................................ (76,294) 289,971 53,837 26,195
-------- -------- ------- -------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.......... $355,397 $528,204 $60,850 $34,202
======== ======== ======= =======
----------
* Investment Income and Realized and Unrealized Gain (Loss) were allocated from
the Portfolio's Master Fund (Affiliated Investment Company).
**Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
125
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS)
UNITED DFA DFA
KINGDOM CONTINENTAL INTERNATIONAL DFA GLOBAL INTERNATIONAL
SMALL SMALL REAL ESTATE REAL ESTATE SMALL CAP
COMPANY COMPANY SECURITIES SECURITIES VALUE
PORTFOLIO* PORTFOLIO* PORTFOLIO PORTFOLIO PORTFOLIO
---------- ----------- ------------- ----------- -------------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated
Investment Company:
Dividends (Net of Foreign Taxes Withheld of
$1, $1,000, $0, $1 and $0, respectively)....... $ 1,468 $ 6,890 -- $ 42,420 --
Income from Securities Lending.................. 31 1,089 -- -- --
Expenses Allocated from Affiliated Investment
Company........................................ (40) (392) -- -- --
Income Distributions Received from Affiliated
Investment Companies............................ -- -- -- 71,889 --
------- ------- --------- -------- ---------
Total Net Investment Income Received from
Affiliated Investment Company................ 1,459 7,587 -- 114,309 --
------- ------- --------- -------- ---------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0,
$0, $17,637, $0 and $29,147, respectively)...... -- -- $ 151,831 -- $ 353,979
Interest.......................................... -- -- -- 44 --
Income from Securities Lending.................... -- -- 1,972 192 24,293
------- ------- --------- -------- ---------
Total Fund Investment Income................... -- -- 153,803 236 378,272
------- ------- --------- -------- ---------
FUND EXPENSES
Investment Management Fees........................ 168 1,521 9,646 9,072 80,458
Accounting & Transfer Agent Fees.................. 4 4 225 96 692
Custodian Fees.................................... -- -- 404 25 1,740
Filing Fees....................................... 21 26 137 203 257
Shareholders' Reports............................. 3 8 121 220 381
Directors'/Trustees' Fees & Expenses.............. -- 2 26 30 86
Professional Fees................................. 1 1 107 37 353
Other............................................. -- 4 126 51 526
------- ------- --------- -------- ---------
Total Expenses................................. 197 1,566 10,792 9,734 84,493
------- ------- --------- -------- ---------
Fees (Waived), (Expenses Reimbursed), and/or
Previously Waived Fees Recovered by Advisor
(Note C)........................................ (40) (304) -- (6,179) --
Fees Paid Indirectly (Note C)..................... -- -- (119) -- (296)
------- ------- --------- -------- ---------
Net Expenses...................................... 157 1,262 10,673 3,555 84,197
------- ------- --------- -------- ---------
NET INVESTMENT INCOME (LOSS)...................... 1,302 6,325 143,130 110,990 294,075
------- ------- --------- -------- ---------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**.................... 2,090 6,536 (1,596) 14,561 414,975
Futures......................................... -- 50 4,432 757 29,217
Foreign Currency Transactions................... (25) (31) 540 7 7,305
Forward Currency Contracts...................... -- -- 48 -- 27
In-Kind Redemptions............................. -- -- -- -- 29,398
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign Currency...... (8,433) 5,988 (118,705) 61,152 (242,603)
Futures......................................... -- 2 (304) -- (3,458)
Translation of Foreign Currency Denominated
Amounts........................................ (2) (3) (367) -- (1,796)
------- ------- --------- -------- ---------
NET REALIZED AND UNREALIZED GAIN (LOSS)........... (6,370) 12,542 (115,952) 76,477 233,065
------- ------- --------- -------- ---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS................................... $(5,068) $18,867 $ 27,178 $187,467 $ 527,140
======= ======= ========= ======== =========
----------
* Investment Income and Realized and Unrealized Gain (Loss) were allocated from
the Portfolio's Master Fund (Affiliated Investment Company).
**Net of foreign capital gains tax withheld of $0, $0, $92, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
126
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS)
WORLD EX U.S.
INTERNATIONAL WORLD EX U.S. TARGETED WORLD EX U.S. WORLD CORE
VECTOR EQUITY VALUE VALUE CORE EQUITY EQUITY
PORTFOLIO PORTFOLIO* PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------- ------------- ------------- ----------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated
Investment Companies:
Dividends (Net of Foreign Taxes Withheld of $0, $492,
$0, $0 and $0, respectively).............................. -- $ 5,381 -- -- --
Income from Securities Lending............................. -- 201 -- -- --
Expenses Allocated from Affiliated Investment
Companies................................................. -- (304) -- -- --
Income Distributions Received from Affiliated Investment
Companies.................................................. -- 588 -- -- $ 6,062
------- ------- ------- ------- -------
Total Net Investment Income Received from Affiliated
Investment Companies.................................... -- 5,866 -- -- 6,062
------- ------- ------- ------- -------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $4,468, $0,
$597, $3,996 and $0, respectively)......................... $51,558 -- $ 6,847 $42,011 1
Income from Securities Lending.............................. 3,343 -- 266 2,478 --
------- ------- ------- ------- -------
Total Investment Income.................................. 54,901 -- 7,113 44,489 1
------- ------- ------- ------- -------
FUND EXPENSES
Investment Management Fees.................................. 7,682 794 1,404 5,663 834
Accounting & Transfer Agent Fees............................ 107 4 26 94 4
Custodian Fees.............................................. 242 4 308 602 1
Filing Fees................................................. 114 25 60 123 61
Shareholders' Reports....................................... 78 4 7 68 4
Directors'/Trustees' Fees & Expenses........................ 12 1 2 9 2
Professional Fees........................................... 46 4 19 56 2
Other....................................................... 88 2 27 73 --
------- ------- ------- ------- -------
Total Expenses........................................... 8,369 838 1,853 6,688 908
------- ------- ------- ------- -------
Fees (Waived), (Expenses Reimbursed), and/or
Previously Waived Fees Recovered by Advisor
(Note C)................................................... -- (385) -- (34) (794)
Fees Paid Indirectly (Note C)............................... (19) 1 (4) (26) --
------- ------- ------- ------- -------
Net Expenses................................................ 8,350 454 1,849 6,628 114
------- ------- ------- ------- -------
NET INVESTMENT INCOME (LOSS)................................ 46,551 5,412 5,264 37,861 5,949
------- ------- ------- ------- -------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from Affiliated
Investment Companies....................................... -- 256 -- -- 1,313
Net Realized Gain (Loss) on:
Investment Securities Sold**............................... 4,157 (2,948) 6,843 (2,134) (2,896)
Futures.................................................... 182 112 -- (629) --
Foreign Currency Transactions.............................. 127 85 124 189 --
Forward Currency Contracts................................. (44) -- 8 -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................. 16,206 7,285 5,177 47,901 --
Affiliated Investment Companies Shares..................... -- 148 -- -- 9,340
Futures.................................................... -- (19) -- -- --
Translation of Foreign Currency Denominated
Amounts................................................... (165) (11) (20) (103) --
------- ------- ------- ------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS)..................... 20,463 4,908 12,132 45,224 7,757
------- ------- ------- ------- -------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS................................................... $67,014 $10,320 $17,396 $83,085 $13,706
======= ======= ======= ======= =======
----------
* A portion of 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.
127
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS)
SELECTIVELY EMERGING EMERGING
HEDGED EMERGING MARKETS MARKETS
GLOBAL EQUITY MARKETS SMALL CAP VALUE
PORTFOLIO PORTFOLIO* PORTFOLIO* PORTFOLIO*
------------- ---------- ---------- ----------
INVESTMENT INCOME
Net Investment Income Allocated from
Affiliated Investment Companies:
Dividends (Net of Foreign Taxes
Withheld of $0, $14,897, $12,705,
$54,004 and $0, respectively).............. -- $ 109,056 $117,674 $ 396,366
Interest.................................... -- 56 46 24
Income from Securities Lending.............. -- 6,581 38,125 30,263
Expenses Allocated from Affiliated
Investment Companies....................... -- (6,819) (13,037) (23,422)
Income Distributions Received from
Affiliated Investment Companies............. $ 5,430 -- -- --
------- --------- -------- ----------
Total Net Investment Income Received
from Affiliated Investment Companies..... 5,430 108,874 142,808 403,231
------- --------- -------- ----------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld
of $0, $0, $0, $0 and $51,428,
respectively)............................... 37 -- -- --
Income from Securities Lending................ -- -- -- --
------- --------- -------- ----------
Total Fund Investment Income............... 37 -- -- --
------- --------- -------- ----------
FUND EXPENSES
Investment Management Fees.................... 799 22,217 32,167 74,178
Accounting & Transfer Agent Fees.............. 5 29 31 87
Custodian Fees................................ 1 -- -- --
Shareholder Servicing Fees -- Class R2
Shares...................................... -- -- -- 196
Filing Fees................................... 32 151 104 229
Shareholders' Reports......................... 7 171 119 280
Directors'/Trustees' Fees & Expenses.......... 2 30 34 102
Professional Fees............................. 4 10 16 31
Other......................................... 2 28 32 89
------- --------- -------- ----------
Total Expenses............................. 852 22,636 32,503 75,192
------- --------- -------- ----------
Fees (Waived), (Expenses Reimbursed),
and/or Previously Waived Fees Recovered
by Advisor (Note C)......................... (791) (4,443) (9,898) --
Institutional Class Shares.................. -- -- -- (14,757)
Class R2 Shares............................. -- -- -- (78)
Fees Paid Indirectly (Note C)................. -- -- -- --
------- --------- -------- ----------
Net Expenses.................................. 63 18,193 22,605 60,357
------- --------- -------- ----------
NET INVESTMENT INCOME (LOSS).................. 5,406 90,681 120,203 342,874
------- --------- -------- ----------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from
Affiliated Investment Companies............. 2,164 -- -- --
Net Realized Gain (Loss) on:
Investment Securities Sold**................ (989) (105,635) 141,742 (77,435)
Futures..................................... 1,760 5,655 4,016 11,373
Foreign Currency Transactions............... -- 955 338 3,728
Forward Currency Contracts.................. 371 -- -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign
Currency................................... -- 506,131 394,050 1,954,176
Affiliated Investment Companies Shares...... 6,150 -- -- --
Futures..................................... (1,100) (263) 286 (391)
Translation of Foreign Currency
Denominated Amounts........................ -- 204 579 46
Forward Currency Contracts.................. 541 -- -- --
------- --------- -------- ----------
NET REALIZED AND UNREALIZED GAIN (LOSS)....... 8,897 407,047 541,011 1,891,497
------- --------- -------- ----------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS..................... $14,303 $ 497,728 $661,214 $2,234,371
======= ========= ======== ==========
EMERGING
MARKETS CORE
EQUITY
PORTFOLIO
------------
INVESTMENT INCOME
Net Investment Income Allocated from
Affiliated Investment Companies:
Dividends (Net of Foreign Taxes
Withheld of $0, $14,897, $12,705,
$54,004 and $0, respectively).............. --
Interest.................................... --
Income from Securities Lending.............. --
Expenses Allocated from Affiliated
Investment Companies....................... --
Income Distributions Received from
Affiliated Investment Companies............. --
----------
Total Net Investment Income Received
from Affiliated Investment Companies..... --
----------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld
of $0, $0, $0, $0 and $51,428,
respectively)............................... $ 396,631
Income from Securities Lending................ 52,227
----------
Total Fund Investment Income............... 448,858
----------
FUND EXPENSES
Investment Management Fees.................... 88,014
Accounting & Transfer Agent Fees.............. 887
Custodian Fees................................ 6,581
Shareholder Servicing Fees -- Class R2
Shares...................................... --
Filing Fees................................... 620
Shareholders' Reports......................... 503
Directors'/Trustees' Fees & Expenses.......... 107
Professional Fees............................. 640
Other......................................... 612
----------
Total Expenses............................. 97,964
----------
Fees (Waived), (Expenses Reimbursed),
and/or Previously Waived Fees Recovered
by Advisor (Note C)......................... --
Institutional Class Shares.................. --
Class R2 Shares............................. --
Fees Paid Indirectly (Note C)................. (556)
----------
Net Expenses.................................. 97,408
----------
NET INVESTMENT INCOME (LOSS).................. 351,450
----------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from
Affiliated Investment Companies............. --
Net Realized Gain (Loss) on:
Investment Securities Sold**................ (342,991)
Futures..................................... 30,116
Foreign Currency Transactions............... (539)
Forward Currency Contracts.................. --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign
Currency................................... 2,038,618
Affiliated Investment Companies Shares...... --
Futures..................................... (3,447)
Translation of Foreign Currency
Denominated Amounts........................ 726
Forward Currency Contracts.................. --
----------
NET REALIZED AND UNREALIZED GAIN (LOSS)....... 1,722,483
----------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS..................... $2,073,933
==========
----------
* 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.
128
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
ENHANCED U.S. LARGE U.S. LARGE CAP EQUITY U.S. LARGE CAP VALUE
COMPANY PORTFOLIO PORTFOLIO PORTFOLIO
------------------ -------------------- ------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2016 2015 2016 2015
-------- -------- --------- --------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)................. $ 1,670 $ 1,130 $ 15,047 $ 9,255 $ 363,236 $ 317,704
Net Realized Gain (Loss) on:
Investment Securities Sold*................ (59) 4,580 (9,470) (1,560) 447,750 681,400
Futures.................................... 7,848 15,372 -- (12) 17,635 (35)
Foreign Currency Transactions.............. -- 629 -- -- -- --
In-Kind Redemptions........................ -- -- -- 10,024 -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.................................. 118 (4,379) 22,964 (4,105) (11,625) (815,432)
Futures.................................... (557) (6,271) -- -- (3,292) 4
Translation of Foreign Currency
Denominated Amounts....................... -- (191) -- -- -- --
-------- -------- --------- --------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations................ 9,020 10,870 28,541 13,602 813,704 183,641
-------- -------- --------- --------- ----------- -----------
Distributions From:
Net Investment Income:
Institutional Class Shares................. (1,417) (799) (14,431) (8,112) (357,227) (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....................... (14,747) (28,000) (14,431) (8,663) (1,001,197) (389,168)
-------- -------- --------- --------- ----------- -----------
Capital Share Transactions (1):
Shares Issued................................ 73,655 39,673 301,960 595,263 4,078,939 3,716,590
Shares Issued in Lieu of Cash
Distributions............................... 13,002 24,405 14,259 8,492 935,970 359,045
Shares Redeemed.............................. (46,158) (60,026) (178,150) (184,505) (2,962,098) (3,209,154)
-------- -------- --------- --------- ----------- -----------
Net Increase (Decrease) from Capital
Share Transactions....................... 40,499 4,052 138,069 419,250 2,052,811 866,481
-------- -------- --------- --------- ----------- -----------
Total Increase (Decrease) in Net
Assets................................... 34,772 (13,078) 152,179 424,189 1,865,318 660,954
NET ASSETS
Beginning of Period.......................... 203,641 216,719 699,144 274,955 15,807,935 15,146,981
-------- -------- --------- --------- ----------- -----------
End of Period................................ $238,413 $203,641 $ 851,323 $ 699,144 $17,673,253 $15,807,935
======== ======== ========= ========= =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................ 6,113 3,122 24,003 46,215 131,035 110,785
Shares Issued in Lieu of Cash
Distributions............................... 1,111 2,085 1,116 675 29,906 10,996
Shares Redeemed.............................. (3,945) (4,848) (14,319) (14,242) (94,466) (95,477)
-------- -------- --------- --------- ----------- -----------
Net Increase (Decrease) from Shares
Issued and Redeemed...................... 3,279 359 10,800 32,648 66,475 26,304
======== ======== ========= ========= =========== ===========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME)....................................... $ 201 $ 48 $ 1,887 $ 1,341 $ 18,983 $ 29,922
----------
See page 1 for the Definitions of Abbreviations and Footnotes.
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
129
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
U.S. TARGETED VALUE U.S. SMALL CAP VALUE
PORTFOLIO PORTFOLIO U.S. CORE EQUITY 1 PORTFOLIO
------------------------ ------------------------ ---------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2016 2015 2016 2015
----------- ----------- ----------- ----------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................. $ 93,044 $ 81,463 $ 122,969 $ 140,359 $ 261,444 $ 209,655
Net Realized Gain (Loss) on:
Investment Securities Sold*.................. 310,791 315,026 533,632 522,294 71,932 164,919
Futures...................................... 6,695 (296) 42,945 (2,510) 14,545 --
In-Kind Redemptions.......................... -- -- -- 12,630 -- 48,790
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities........................ (32,158) (527,329) (45,822) (1,025,518) 193,308 (56,468)
Futures...................................... (2,039) -- (3,946) -- (3,224) --
----------- ----------- ----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations................. 376,333 (131,136) 649,778 (352,745) 538,005 366,896
----------- ----------- ----------- ----------- ----------- -----------
Distributions From:
Net Investment Income:
Class R1 Shares.............................. (462) (374) -- -- -- --
Class R2 Shares.............................. (1,837) (1,058) -- -- -- --
Institutional Class Shares................... (92,387) (74,793) (122,993) (130,190) (253,050) (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........................ (391,135) (323,484) (610,341) (557,305) (413,202) (249,767)
----------- ----------- ----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued................................. 1,989,566 2,861,668 2,855,521 2,562,626 3,836,889 4,137,187
Shares Issued in Lieu of Cash Distributions... 363,680 306,474 547,459 501,839 394,137 236,854
Shares Redeemed............................... (1,433,622) (1,140,962) (2,509,494) (1,986,459) (2,671,444) (1,996,226)
----------- ----------- ----------- ----------- ----------- -----------
Net Increase (Decrease) from Capital
Share Transactions........................ 919,624 2,027,180 893,486 1,078,006 1,559,582 2,377,815
----------- ----------- ----------- ----------- ----------- -----------
Total Increase (Decrease) in Net Assets.... 904,822 1,572,560 932,923 167,956 1,684,385 2,494,944
NET ASSETS
Beginning of Year............................. 7,163,467 5,590,907 11,680,262 11,512,306 13,275,774 10,780,830
----------- ----------- ----------- ----------- ----------- -----------
End of Year................................... $ 8,068,289 $ 7,163,467 $12,613,185 $11,680,262 $14,960,159 $13,275,774
=========== =========== =========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................. 99,453 127,780 94,286 73,971 221,794 230,659
Shares Issued in Lieu of Cash Distributions... 18,127 14,559 17,740 15,227 22,712 13,516
Shares Redeemed............................... (70,370) (51,364) (79,957) (57,511) (154,875) (111,260)
----------- ----------- ----------- ----------- ----------- -----------
Net Increase (Decrease) from Shares
Issued and Redeemed....................... 47,210 90,975 32,069 31,688 89,631 132,915
=========== =========== =========== =========== =========== ===========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME)........................................ $ 1,417 $ 8,044 $ (1,771) $ 6,188 $ 33,644 $ 21,625
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
130
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
U.S. CORE EQUITY 2 PORTFOLIO U.S. VECTOR EQUITY PORTFOLIO U.S. SMALL CAP PORTFOLIO
--------------------------- --------------------------- ------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2016 2015 2016 2015
----------- ----------- ---------- ---------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)........ $ 293,351 $ 239,037 $ 59,961 $ 54,509 $ 135,557 $ 112,326
Net Realized Gain (Loss) on:
Investment Securities Sold*....... 110,911 305,920 103,375 127,309 362,082 532,485
Futures........................... 16,424 1,793 3,911 (811) 18,220 --
In-Kind Redemptions............... -- -- -- -- -- 28,254
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities............. 180,375 (307,072) (37,035) (193,154) 11,454 (457,527)
Futures........................... (3,630) -- (835) -- (4,290) --
----------- ----------- ---------- ---------- ----------- -----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations...................... 597,431 239,678 129,377 (12,147) 523,023 215,538
----------- ----------- ---------- ---------- ----------- -----------
Distributions From:
Net Investment Income:
Institutional Class Shares........ (281,321) (228,075) (59,624) (51,799) (133,998) (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.............. (577,382) (317,932) (179,212) (160,844) (639,125) (373,422)
----------- ----------- ---------- ---------- ----------- -----------
Capital Share Transactions (1):
Shares Issued....................... 3,614,827 4,082,819 802,042 848,464 3,878,897 2,815,856
Shares Issued in Lieu of Cash
Distributions...................... 569,820 313,194 177,958 159,804 601,644 351,264
Shares Redeemed..................... (2,554,214) (2,036,371) (759,047) (685,067) (2,003,782) (1,640,410)
----------- ----------- ---------- ---------- ----------- -----------
Net Increase (Decrease) from
Capital Share
Transactions.................... 1,630,433 2,359,642 220,953 323,201 2,476,759 1,526,710
----------- ----------- ---------- ---------- ----------- -----------
Total Increase (Decrease) in
Net Assets...................... 1,650,482 2,281,388 171,118 150,210 2,360,657 1,368,826
NET ASSETS
Beginning of Year................... 15,200,564 12,919,176 3,651,529 3,501,319 10,616,542 9,247,716
----------- ----------- ---------- ---------- ----------- -----------
End of Year......................... $16,851,046 $15,200,564 $3,822,647 $3,651,529 $12,977,199 $10,616,542
=========== =========== ========== ========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued....................... 220,326 234,298 53,015 51,015 133,904 90,041
Shares Issued in Lieu of Cash
Distributions...................... 34,541 18,413 11,617 10,033 20,883 11,800
Shares Redeemed..................... (155,064) (116,908) (49,773) (41,495) (68,437) (52,277)
----------- ----------- ---------- ---------- ----------- -----------
Net Increase (Decrease) from
Shares Issued and
Redeemed........................ 99,803 135,803 14,859 19,553 86,350 49,563
=========== =========== ========== ========== =========== ===========
UNDISTRIBUTED NET INVESTMENT
INCOME (DISTRIBUTIONS IN EXCESS
OF NET INVESTMENT INCOME)............ $ 26,714 $ 25,434 $ 150 $ 4,454 $ 2,738 $ 7,767
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
131
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA REAL ESTATE SECURITIES LARGE CAP INTERNATIONAL
U.S. MICRO CAP PORTFOLIO PORTFOLIO PORTFOLIO
---------------------- ------------------------ ----------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2016 2015 2016 2015
---------- ---------- ----------- ----------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)................. $ 43,562 $ 41,868 $ 221,443 $ 187,615 $ 95,056 $ 86,418
Net Realized Gain (Loss) on:
Investment Securities Sold*................ 265,995 283,555 90,717 119,527 40,972 (50,887)
Futures.................................... 4,507 (2,258) 6,786 -- 2,587 769
Foreign Currency Transactions.............. -- -- -- -- (670) (528)
Forward Currency Contracts................. -- -- -- -- (1) --
In-Kind Redemptions........................ -- 12,861 -- 258,319 -- 33,199
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.................................. (93,832) (281,159) 133,266 (219,248) (163,381) (155,643)
Futures.................................... (1,662) -- (1,518) -- (870) --
Translation of Foreign Currency
Denominated Amounts....................... -- -- -- -- (284) 142
---------- ---------- ----------- ----------- ---------- ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations................ 218,570 54,867 450,694 346,213 (26,591) (86,530)
---------- ---------- ----------- ----------- ---------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares................. (43,417) (39,933) (199,996) (220,092) (92,122) (85,101)
Net Long-Term Gains:
Institutional Class Shares................. (267,818) (278,652) -- -- -- --
---------- ---------- ----------- ----------- ---------- ----------
Total Distributions....................... (311,235) (318,585) (199,996) (220,092) (92,122) (85,101)
---------- ---------- ----------- ----------- ---------- ----------
Capital Share Transactions (1):
Shares Issued................................ 728,237 657,708 1,324,786 1,268,079 1,137,696 1,019,845
Shares Issued in Lieu of Cash
Distributions............................... 288,388 296,069 180,508 216,090 81,307 76,483
Shares Redeemed.............................. (802,728) (711,995) (1,049,004) (1,664,857) (722,849) (902,210)
---------- ---------- ----------- ----------- ---------- ----------
Net Increase (Decrease) from Capital
Share Transactions....................... 213,897 241,782 456,290 (180,688) 496,154 194,118
---------- ---------- ----------- ----------- ---------- ----------
Total Increase (Decrease) in Net
Assets................................... 121,232 (21,936) 706,988 (54,567) 377,441 22,487
NET ASSETS
Beginning of Year............................ 5,007,091 5,029,027 6,553,192 6,607,759 3,150,334 3,127,847
---------- ---------- ----------- ----------- ---------- ----------
End of Year.................................. $5,128,323 $5,007,091 $ 7,260,180 $ 6,553,192 $3,527,775 $3,150,334
========== ========== =========== =========== ========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................ 41,740 33,975 38,318 38,538 59,417 48,288
Shares Issued in Lieu of Cash
Distributions............................... 16,256 16,153 5,269 6,758 4,282 3,639
Shares Redeemed.............................. (45,482) (36,869) (30,405) (51,930) (37,696) (42,081)
---------- ---------- ----------- ----------- ---------- ----------
Net Increase (Decrease) from Shares
Issued and Redeemed...................... 12,514 13,259 13,182 (6,634) 26,003 9,846
========== ========== =========== =========== ========== ==========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)............................ $ 1,818 $ 2,845 $ 39,022 $ (120) $ 11,729 $ 8,542
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
132
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
INTERNATIONAL CORE EQUITY INTERNATIONAL SMALL JAPANESE SMALL COMPANY
PORTFOLIO COMPANY PORTFOLIO PORTFOLIO
------------------------ ------------------------ ---------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2016 2015 2016 2015
----------- ----------- ----------- ----------- -------- ---------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)................ $ 431,691 $ 354,330 $ 238,233 $ 208,124 $ 7,013 $ 6,024
Net Realized Gain (Loss) on:
Investment Securities Sold*............... (84,212) 4,776 261,664 376,613 20,065 12,888
Futures................................... 19,275 -- 17,796 (4,583) -- --
Foreign Currency Transactions............. (72) (2,904) 673 (2,876) 326 (355)
Forward Currency Contracts................ (3) -- -- -- -- --
In-Kind Redemptions....................... -- 163,544 -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency................................. (7,083) (679,030) 13,423 (293,604) 33,546 20,984
Futures................................... (2,948) -- (2,771) (22) -- --
Translation of Foreign Currency
Denominated Amounts...................... (1,251) 330 (814) 344 (100) 68
----------- ----------- ----------- ----------- -------- ---------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.............................. 355,397 (158,954) 528,204 283,996 60,850 39,609
----------- ----------- ----------- ----------- -------- ---------
Distributions From:
Net Investment Income:
Institutional Class Shares................ (387,589) (367,607) (283,791) (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...................... (387,589) (367,607) (491,650) (485,924) (6,534) (7,758)
----------- ----------- ----------- ----------- -------- ---------
Capital Share Transactions (1):
Shares Issued............................... 5,576,571 5,383,645 2,126,348 1,961,417 50,775 20,159
Shares Issued in Lieu of Cash
Distributions.............................. 367,352 349,000 473,837 472,853 6,058 7,251
Shares Redeemed............................. (3,349,288) (3,080,058) (1,572,870) (1,753,367) (65,733) (103,454)
----------- ----------- ----------- ----------- -------- ---------
Net Increase (Decrease) from Capital
Share Transactions...................... 2,594,635 2,652,587 1,027,315 680,903 (8,900) (76,044)
----------- ----------- ----------- ----------- -------- ---------
Total Increase (Decrease) in Net
Assets.................................. 2,562,443 2,126,026 1,063,869 478,975 45,416 (44,193)
NET ASSETS
Beginning of Year........................... 14,420,568 12,294,542 9,323,492 8,844,517 463,997 508,190
----------- ----------- ----------- ----------- -------- ---------
End of Year................................. $16,983,011 $14,420,568 $10,387,361 $ 9,323,492 $509,413 $ 463,997
=========== =========== =========== =========== ======== =========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................... 500,176 449,331 124,163 110,551 2,413 1,017
Shares Issued in Lieu of Cash
Distributions.............................. 33,144 29,177 27,874 28,178 298 406
Shares Redeemed............................. (300,515) (256,979) (92,160) (99,058) (3,255) (5,278)
----------- ----------- ----------- ----------- -------- ---------
Net Increase (Decrease) from Shares
Issued and Redeemed..................... 232,805 221,528 59,877 39,671 (544) (3,855)
=========== =========== =========== =========== ======== =========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)........................... $ 49,229 $ 17,301 $ (18,870) $ 34,648 $ 2,402 $ 1,497
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
133
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
ASIA PACIFIC SMALL COMPANY UNITED KINGDOM SMALL CONTINENTAL SMALL COMPANY
PORTFOLIO COMPANY PORTFOLIO PORTFOLIO
------------------------- ------------------- ------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2016 2015 2016 2015
-------- --------- -------- -------- -------- --------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)................. $ 8,007 $ 9,355 $ 1,302 $ 1,058 $ 6,325 $ 4,880
Net Realized Gain (Loss) on:
Investment Securities Sold*................ (4,191) (2,042) 2,090 2,661 6,536 7,314
Futures.................................... -- -- -- -- 50 (267)
Foreign Currency Transactions.............. 49 (202) (25) 3 (31) (64)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.................................. 30,333 (43,082) (8,433) (569) 5,988 7,186
Futures.................................... -- -- -- -- 2 3
Translation of Foreign Currency
Denominated Amounts....................... 4 (3) (2) 1 (3) (4)
-------- --------- -------- ------- -------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations................ 34,202 (35,974) (5,068) 3,154 18,867 19,048
-------- --------- -------- ------- -------- --------
Distributions From:
Net Investment Income:
Institutional Class Shares................. (7,760) (16,487) (1,389) (1,011) (6,377) (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) (3,021) (3,219) (6,377) (4,771)
-------- --------- -------- ------- -------- --------
Capital Share Transactions (1):
Shares Issued................................ 30,200 13,081 12,964 4,028 68,569 112,313
Shares Issued in Lieu of Cash Distributions.. 6,990 15,524 2,476 2,521 4,981 4,167
Shares Redeemed.............................. (12,327) (139,991) (10,665) (5,897) (71,947) (21,694)
-------- --------- -------- ------- -------- --------
Net Increase (Decrease) from Capital
Share Transactions....................... 24,863 (111,386) 4,775 652 1,603 94,786
-------- --------- -------- ------- -------- --------
Total Increase (Decrease) in Net
Assets................................... 51,305 (163,847) (3,314) 587 14,093 109,063
NET ASSETS
Beginning of Year............................ 200,270 364,117 35,637 35,050 278,024 168,961
-------- --------- -------- ------- -------- --------
End of Year.................................. $251,575 $ 200,270 $ 32,323 $35,637 $292,117 $278,024
======== ========= ======== ======= ======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................ 1,570 643 473 117 3,363 5,532
Shares Issued in Lieu of Cash Distributions.. 387 792 78 78 249 199
Shares Redeemed.............................. (637) (6,841) (367) (167) (3,414) (1,061)
-------- --------- -------- ------- -------- --------
Net Increase (Decrease) from Shares
Issued and Redeemed...................... 1,320 (5,406) 184 28 198 4,670
======== ========= ======== ======= ======== ========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME)....................................... $ 511 $ 83 $ 199 $ 207 $ 227 $ 248
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
134
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA INTERNATIONAL REAL DFA GLOBAL REAL ESTATE DFA INTERNATIONAL SMALL
ESTATE SECURITIES PORTFOLIO SECURITIES PORTFOLIO CAP VALUE PORTFOLIO
-------------------------- ---------------------- ------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2016 2015 2016 2015
---------- ---------- ---------- ---------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......... $ 143,130 $ 119,980 $ 110,990 $ 154,237 $ 294,075 $ 239,388
Net Realized Gain (Loss) on:
Investment Securities Sold*......... (1,596) (17,379) 14,561 (188) 414,975 203,049
Affiliated Investment Companies
Shares Sold........................ -- -- -- (1,351) -- --
Futures............................. 4,432 -- 757 -- 29,217 (5,555)
Foreign Currency
Transactions....................... 540 (1,791) 7 -- 7,305 (4,926)
Forward Currency Contracts.......... 48 -- -- -- 27 --
In-Kind Redemptions................. -- -- -- -- 29,398 193,547
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency................... (118,705) (116,739) 61,152 (43,036) (242,603) (244,703)
Affiliated Investment Companies
Shares............................. -- -- -- (78,977) -- --
Futures............................. (304) -- -- -- (3,458) --
Translation of Foreign Currency
Denominated Amounts................ (367) 284 -- -- (1,796) 1,015
---------- ---------- ---------- ---------- ----------- -----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations........................ 27,178 (15,645) 187,467 117,133 527,140 381,815
---------- ---------- ---------- ---------- ----------- -----------
Distributions From:
Net Investment Income:
Institutional Class Shares.......... (60,576) (182,724) (97,767) (124,281) (381,199) (224,376)
Net Long-Term Gains:
Institutional Class Shares.......... -- -- -- -- (182,540) (207,080)
---------- ---------- ---------- ---------- ----------- -----------
Total Distributions................ (60,576) (182,724) (97,767) (124,281) (563,739) (431,456)
---------- ---------- ---------- ---------- ----------- -----------
Capital Share Transactions (1):
Shares Issued......................... 1,062,437 886,775 1,524,272 1,347,820 2,066,905 2,629,814
Shares Issued in Lieu of Cash
Distributions........................ 60,055 181,249 93,708 121,908 508,968 392,052
Shares Redeemed....................... (447,563) (417,939) (878,641) (708,136) (2,107,120) (2,079,421)
---------- ---------- ---------- ---------- ----------- -----------
Net Increase (Decrease) from
Capital Share
Transactions...................... 674,929 650,085 739,339 761,592 468,753 942,445
---------- ---------- ---------- ---------- ----------- -----------
Total Increase (Decrease) in
Net Assets........................ 641,531 451,716 829,039 754,444 432,154 892,804
NET ASSETS
Beginning of Year..................... 3,540,092 3,088,376 4,059,916 3,305,472 12,577,575 11,684,771
---------- ---------- ---------- ---------- ----------- -----------
End of Year........................... $4,181,623 $3,540,092 $4,888,955 $4,059,916 $13,009,729 $12,577,575
========== ========== ========== ========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued......................... 201,532 166,717 139,784 127,842 113,522 135,446
Shares Issued in Lieu of Cash
Distributions........................ 12,306 34,991 9,151 11,884 28,063 21,362
Shares Redeemed....................... (85,422) (79,211) (81,345) (67,340) (115,085) (107,415)
---------- ---------- ---------- ---------- ----------- -----------
Net Increase (Decrease) from
Shares Issued and
Redeemed.......................... 128,416 122,497 67,590 72,386 26,500 49,393
========== ========== ========== ========== =========== ===========
UNDISTRIBUTED NET INVESTMENT
INCOME (DISTRIBUTIONS IN EXCESS
OF NET INVESTMENT INCOME).............. $ (148,335) $ (221,598) $ 61,223 $ 50,527 $ (39,951) $ 44,763
----------
* Net of foreign capital gain taxes withheld of $92, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
135
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
INTERNATIONAL VECTOR EQUITY WORLD EX U.S. VALUE WORLD EX U.S. TARGETED
PORTFOLIO PORTFOLIO VALUE PORTFOLIO
-------------------------- ------------------ --------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2016 2015 2016 2015
---------- ---------- -------- -------- --------- ---------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)........................... $ 46,551 $ 37,987 $ 5,412 $ 3,484 $ 5,264 $ 3,960
Capital Gain Distributions Received from Affiliated
Investment Companies.................................. -- -- 256 169 -- 1,932
Net Realized Gain (Loss) on:
Investment Securities Sold*.......................... 4,157 5,992 (2,948) -- 6,843 (356)
Affiliated Investment Companies Shares Sold.......... -- -- -- 1,061 -- (13,958)
Futures.............................................. 182 -- 112 -- -- (347)
Foreign Currency Transactions........................ 127 (490) 85 (65) 124 (169)
Forward Currency Contracts........................... (44) -- -- -- 8 --
In-Kind Redemptions.................................. -- 10,623 -- -- -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........... 16,206 (79,483) 7,285 (16,458) 5,177 8,649
Affiliated Investment Companies Shares............... -- -- 148 -- -- (6,911)
Futures.............................................. -- -- (19) -- -- --
Translation of Foreign Currency Denominated
Amounts............................................. (165) 54 (11) 7 (20) (2)
---------- ---------- -------- -------- --------- ---------
Net Increase (Decrease) in Net Assets Resulting
from Operations.................................... 67,014 (25,317) 10,320 (11,802) 17,396 (7,202)
---------- ---------- -------- -------- --------- ---------
Distributions From:
Net Investment Income:
Institutional Class Shares........................... (43,651) (36,861) (5,358) (3,283) (4,374) (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................................. (49,367) (49,046) (5,358) (3,283) (4,374) (4,304)
---------- ---------- -------- -------- --------- ---------
Capital Share Transactions (1):
Shares Issued.......................................... 688,513 757,055 47,689 65,656 164,346 204,717
Shares Issued in Lieu of Cash Distributions............ 48,918 48,618 5,353 3,281 4,371 4,301
Shares Redeemed........................................ (493,518) (441,949) (25,151) (12,502) (128,258) (120,877)
---------- ---------- -------- -------- --------- ---------
Net Increase (Decrease) from Capital Share
Transactions....................................... 243,913 363,724 27,891 56,435 40,459 88,141
---------- ---------- -------- -------- --------- ---------
Total Increase (Decrease) in Net Assets............. 261,560 289,361 32,853 41,350 53,481 76,635
NET ASSETS
Beginning of Period.................................... 1,594,914 1,305,553 155,301 113,951 227,731 151,096
---------- ---------- -------- -------- --------- ---------
End of Period.......................................... $1,856,474 $1,594,914 $188,154 $155,301 $ 281,212 $ 227,731
========== ========== ======== ======== ========= =========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.......................................... 68,056 68,272 5,184 6,010 15,218 17,665
Shares Issued in Lieu of Cash Distributions............ 4,797 4,463 562 303 392 377
Shares Redeemed........................................ (48,877) (40,404) (2,605) (1,167) (12,154) (10,646)
---------- ---------- -------- -------- --------- ---------
Net Increase (Decrease) from Shares Issued and
Redeemed........................................... 23,976 32,331 3,141 5,146 3,456 7,396
========== ========== ======== ======== ========= =========
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS
IN EXCESS OF NET INVESTMENT INCOME)..................... $ 4,967 $ 3,889 $ 737 $ 517 $ 882 $ 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.
136
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
WORLD EX U.S. CORE EQUITY SELECTIVELY HEDGED GLOBAL
PORTFOLIO WORLD CORE EQUITY PORTFOLIO EQUITY PORTFOLIO
------------------------ -------------------------- ------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2016 2015 2016 2015
---------- ---------- -------- -------- -------- --------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).............. $ 37,861 $ 19,993 $ 5,949 $ 2,788 $ 5,406 $ 3,745
Capital Gain Distributions Received from
Affiliated Investment Companies.......... -- -- 1,313 171 2,164 469
Net Realized Gain (Loss) on:
Investment Securities Sold*.............. (2,134) 534 (2,896) -- (989) --
Affiliated Investment Companies
Shares Sold............................. -- (9,894) -- (905) -- (251)
Futures.................................. (629) 171 -- -- 1,760 (402)
Foreign Currency Transactions............ 189 (238) -- -- -- 3,159
Forward Currency Contracts............... -- -- -- -- 371 --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency................................ 47,901 (56,453) -- -- -- --
Affiliated Investment Companies
Shares.................................. -- 2,100 9,340 (4,000) 6,150 (9,320)
Futures.................................. -- -- -- -- (1,100) 701
Translation of Foreign Currency
Denominated Amounts..................... (103) (13) -- -- -- (530)
Forward Currency Contracts............... -- -- -- -- 541 --
---------- ---------- -------- -------- -------- --------
Net Increase (Decrease) in Net
Assets Resulting from
Operations............................. 83,085 (43,800) 13,706 (1,946) 14,303 (2,429)
---------- ---------- -------- -------- -------- --------
Distributions From:
Net Investment Income:
Institutional Class Shares............... (36,005) (15,824) (5,800) (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..................... (36,005) (15,824) (5,932) (2,911) (7,068) (6,883)
---------- ---------- -------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued............................. 729,178 946,814 189,580 143,661 77,521 130,229
Shares Issued in Lieu of Cash
Distributions............................ 34,930 15,654 5,702 2,860 7,066 6,883
Shares Redeemed........................... (325,571) (138,664) (35,482) (14,716) (47,024) (29,970)
---------- ---------- -------- -------- -------- --------
Net Increase (Decrease) from Capital
Share Transactions..................... 438,537 823,804 159,800 131,805 37,563 107,142
---------- ---------- -------- -------- -------- --------
Total Increase (Decrease) in Net
Assets................................. 485,617 764,180 167,574 126,948 44,798 97,830
NET ASSETS
Beginning of Period....................... 1,170,828 406,648 202,655 75,707 245,106 147,276
---------- ---------- -------- -------- -------- --------
End of Period............................. $1,656,445 $1,170,828 $370,229 $202,655 $289,904 $245,106
========== ========== ======== ======== ======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................. 78,713 92,639 14,944 10,926 6,131 9,466
Shares Issued in Lieu of Cash
Distributions............................ 3,690 1,533 451 220 552 532
Shares Redeemed........................... (34,710) (13,850) (2,883) (1,167) (3,623) (2,213)
---------- ---------- -------- -------- -------- --------
Net Increase (Decrease) from
Shares Issued and Redeemed............. 47,693 80,322 12,512 9,979 3,060 7,785
========== ========== ======== ======== ======== ========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)......................... $ 4,174 $ 3,451 $ 205 $ 121 $ 4,245 $ 5,058
EMERGING MARKETS PORTFOLIO
------------------------
YEAR YEAR
ENDED ENDED
OCT. 31, OCT. 31,
2016 2015
----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).............. $ 90,681 $ 82,136
Capital Gain Distributions Received from
Affiliated Investment Companies.......... -- --
Net Realized Gain (Loss) on:
Investment Securities Sold*.............. (105,635) (98,317)
Affiliated Investment Companies
Shares Sold............................. -- --
Futures.................................. 5,655 2,417
Foreign Currency Transactions............ 955 (2,155)
Forward Currency Contracts............... -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency................................ 506,131 (669,787)
Affiliated Investment Companies
Shares.................................. -- --
Futures.................................. (263) 4
Translation of Foreign Currency
Denominated Amounts..................... 204 (93)
Forward Currency Contracts............... -- --
----------- -----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations............................. 497,728 (685,795)
----------- -----------
Distributions From:
Net Investment Income:
Institutional Class Shares............... (89,527) (73,891)
Net Short-Term Gains:
Institutional Class Shares............... -- --
Net Long-Term Gains:
Institutional Class Shares............... -- --
----------- -----------
Total Distributions..................... (89,527) (73,891)
----------- -----------
Capital Share Transactions (1):
Shares Issued............................. 1,428,054 2,348,904
Shares Issued in Lieu of Cash
Distributions............................ 83,981 68,708
Shares Redeemed........................... (1,326,366) (1,410,094)
----------- -----------
Net Increase (Decrease) from Capital
Share Transactions..................... 185,669 1,007,518
----------- -----------
Total Increase (Decrease) in Net
Assets................................. 593,870 247,832
NET ASSETS
Beginning of Period....................... 4,321,530 4,073,698
----------- -----------
End of Period............................. $ 4,915,400 $ 4,321,530
=========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................. 67,596 98,569
Shares Issued in Lieu of Cash
Distributions............................ 3,805 3,055
Shares Redeemed........................... (62,542) (59,625)
----------- -----------
Net Increase (Decrease) from
Shares Issued and Redeemed............. 8,859 41,999
=========== ===========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)......................... $ 3,519 $ 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.
137
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
EMERGING MARKETS SMALL EMERGING MARKETS VALUE EMERGING MARKETS CORE
CAP PORTFOLIO PORTFOLIO EQUITY PORTFOLIO
---------------------- ------------------------ ------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2016 2015 2016 2015
---------- ---------- ----------- ----------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................... $ 120,203 $ 109,144 $ 342,874 $ 362,517 $ 351,450 $ 324,860
Net Realized Gain (Loss) on:
Investment Securities Sold*.................... 141,742 46,152 (77,435) (409,296) (342,991) (327,586)
Futures........................................ 4,016 -- 11,373 -- 30,116 --
Foreign Currency Transactions.................. 338 (4,493) 3,728 (7,810) (539) (8,472)
In-Kind Redemptions............................ -- -- -- -- -- 29,647
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency...................................... 394,050 (681,504) 1,954,176 (3,279,764) 2,038,618 (2,517,402)
Futures........................................ 286 -- (391) -- (3,447) --
Translation of Foreign Currency Denominated
Amounts....................................... 579 (237) 46 107 726 (300)
---------- ---------- ----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations.................... 661,214 (530,938) 2,234,371 (3,334,246) 2,073,933 (2,499,253)
---------- ---------- ----------- ----------- ----------- -----------
Distributions From:
Net Investment Income:
Class R2 Shares................................ -- -- (2,365) (1,822) -- --
Institutional Class Shares..................... (124,387) (99,603) (436,707) (349,391) (349,434) (304,141)
Net Short-Term Gains:
Institutional Class Shares..................... -- (3,364) -- -- -- --
Net Long-Term Gains:
Institutional Class Shares..................... (36,697) (88,636) -- -- -- --
---------- ---------- ----------- ----------- ----------- -----------
Total Distributions........................... (161,084) (191,603) (439,072) (351,213) (349,434) (304,141)
---------- ---------- ----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued................................... 913,984 1,309,981 2,821,337 3,635,785 6,091,963 6,175,578
Shares Issued in Lieu of Cash Distributions..... 151,141 180,085 416,149 332,144 328,562 282,610
Shares Redeemed................................. (950,920) (782,954) (3,539,505) (4,119,848) (4,288,936) (4,525,463)
---------- ---------- ----------- ----------- ----------- -----------
Net Increase (Decrease) from Capital Share
Transactions................................. 114,205 707,112 (302,019) (151,919) 2,131,589 1,932,725
---------- ---------- ----------- ----------- ----------- -----------
Total Increase (Decrease) in Net Assets....... 614,335 (15,429) 1,493,280 (3,837,378) 3,856,088 (870,669)
NET ASSETS
Beginning of Year............................... 4,845,174 4,860,603 14,908,964 18,746,342 14,856,878 15,727,547
---------- ---------- ----------- ----------- ----------- -----------
End of Year..................................... $5,459,509 $4,845,174 $16,402,244 $14,908,964 $18,712,966 $14,856,878
========== ========== =========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................... 49,652 65,569 133,176 147,429 379,414 339,318
Shares Issued in Lieu of Cash Distributions..... 8,492 9,583 19,311 14,339 19,496 16,465
Shares Redeemed................................. (52,089) (40,423) (163,363) (164,669) (265,600) (255,411)
---------- ---------- ----------- ----------- ----------- -----------
Net Increase (Decrease) from Shares
Issued and Redeemed.......................... 6,055 34,729 (10,876) (2,901) 133,310 100,372
========== ========== =========== =========== =========== ===========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME).......................................... $ 12,479 $ 14,068 $ (49,300) $ 24,502 $ 11,774 $ 17,752
----------
* Net of foreign capital gain taxes withheld of $68, $0, $144, $0, $53 and $0,
respectively.
See accompanying Notes to Financial Statements.
138
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
ENHANCED U.S. LARGE COMPANY PORTFOLIO
------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
-------------------------------------------------------------------------------------------
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)....... 0.10 0.07 0.07 0.07 0.07
Net Gains (Losses) on Securities
(Realized and Unrealized)............ 0.45 0.53 1.94 2.42 1.20
-------- -------- -------- -------- --------
Total from Investment Operations..... 0.55 0.60 2.01 2.49 1.27
-------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................. (0.08) (0.05) (0.06) (0.08) (0.13)
Net Realized Gains..................... (0.79) (1.66) -- -- --
-------- -------- -------- -------- --------
Total Distributions.................. (0.87) (1.71) (0.06) (0.08) (0.13)
-------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 12.22 $ 12.54 $ 13.65 $ 11.70 $ 9.29
======================================= ======== ======== ======== ======== ========
Total Return............................ 4.75% 5.25% 17.18% 26.99% 15.84%
-------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $238,413 $203,641 $216,719 $212,840 $190,011
Ratio of Expenses to Average Net Assets. 0.23% 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)....................... 0.24% 0.24% 0.23% 0.24% 0.25%
Ratio of Net Investment Income to
Average Net Assets..................... 0.80% 0.53% 0.55% 0.63% 0.80%
Portfolio Turnover Rate................. 119% 223% 202% 139% 76%
-------------------------------------------------------------------------------------------
U.S. LARGE CAP EQUITY PORTFOLIO
---------------------------------------
PERIOD
YEAR YEAR YEAR JUNE 25,
ENDED ENDED ENDED 2013(A) TO
OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013
---------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period.... $ 12.86 $ 12.65 $ 11.07 $ 10.00
-------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)....... 0.25 0.23 0.21 0.06
Net Gains (Losses) on Securities
(Realized and Unrealized)............ 0.19 0.21 1.57 1.04
-------- -------- -------- --------
Total from Investment Operations..... 0.44 0.44 1.78 1.10
---------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................. (0.24) (0.21) (0.20) (0.03)
Net Realized Gains..................... -- (0.02) -- --
-------- -------- -------- --------
Total Distributions.................. (0.24) (0.23) (0.20) (0.03)
---------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 13.06 $ 12.86 $ 12.65 $ 11.07
======================================= ======== ======== ======== ==========
Total Return............................ 3.51% 3.49% 16.19% 11.01%(D)
---------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $851,323 $699,144 $274,955 $135,407
Ratio of Expenses to Average Net Assets. 0.18% 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)....................... 0.17% 0.19% 0.20% 0.25%(C)(E)
Ratio of Net Investment Income to
Average Net Assets..................... 1.99% 1.77% 1.75% 1.58%(C)(E)
Portfolio Turnover Rate................. 12% 12% 1% 0%(D)
---------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
139
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. LARGE CAP VALUE PORTFOLIO
---------------------------------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013
-------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period................................ $ 33.27 $ 33.75 $ 29.72 $ 22.34
----------- ----------- ----------- -----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................... 0.70 0.69 0.56 0.47
Net Gains (Losses) on Securities (Realized and Unrealized)......... 0.71 (0.32) 4.02 7.38
----------- ----------- ----------- -----------
Total from Investment Operations................................. 1.41 0.37 4.58 7.85
-------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.............................................. (0.70) (0.66) (0.55) (0.47)
Net Realized Gains................................................. (1.35) (0.19) -- --
----------- ----------- ----------- -----------
Total Distributions.............................................. (2.05) (0.85) (0.55) (0.47)
-------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period...................................... $ 32.63 $ 33.27 $ 33.75 $ 29.72
=================================================================== =========== =========== =========== ===========
Total Return........................................................ 4.58% 1.16% 15.49% 35.52%
-------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)............................... $17,673,253 $15,807,935 $15,146,981 $11,963,072
Ratio of Expenses to Average Net Assets (B)......................... 0.27% 0.27% 0.27% 0.27%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived),
(Expenses Reimbursed), and/or Previously Waived Fees Recovered by
Advisor) (B)....................................................... 0.37% 0.30% 0.27% 0.27%
Ratio of Net Investment Income to Average Net Assets................ 2.24% 2.04% 1.75% 1.82%
-------------------------------------------------------------------------------------------------------------------------
-----------
YEAR
ENDED
OCT. 31,
2012
--------------------------------------------------------------------------------
Net Asset Value, Beginning of Period................................ $ 19.29
----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................... 0.41
Net Gains (Losses) on Securities (Realized and Unrealized)......... 3.04
----------
Total from Investment Operations................................. 3.45
--------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.............................................. (0.40)
Net Realized Gains................................................. --
----------
Total Distributions.............................................. (0.40)
--------------------------------------------------------------------------------
Net Asset Value, End of Period...................................... $ 22.34
=================================================================== ==========
Total Return........................................................ 18.14%
--------------------------------------------------------------------------------
Net Assets, End of Period (thousands)............................... $8,334,585
Ratio of Expenses to Average Net Assets (B)......................... 0.27%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived),
(Expenses Reimbursed), and/or Previously Waived Fees Recovered by
Advisor) (B)....................................................... 0.27%
Ratio of Net Investment Income to Average Net Assets................ 1.99%
--------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
140
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. TARGETED VALUE PORTFOLIO-CLASS R1 SHARES
--------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
-------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year......................................... $ 21.58 $ 23.19 $ 22.63 $17.28 $ 15.32
------- ------- ------- ------ -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).......................................... 0.24 0.26 0.18 0.27 0.15
Net Gains (Losses) on Securities (Realized and Unrealized)................ 0.60 (0.61) 1.86 6.28 2.06
------- ------- ------- ------ -------
Total from Investment Operations........................................ 0.84 (0.35) 2.04 6.55 2.21
-------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income..................................................... (0.27) (0.25) (0.16) (0.22) (0.13)
Net Realized Gains........................................................ (0.89) (1.01) (1.32) (0.98) (0.12)
------- ------- ------- ------ -------
Total Distributions..................................................... (1.16) (1.26) (1.48) (1.20) (0.25)
-------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year............................................... $ 21.26 $ 21.58 $ 23.19 $22.63 $ 17.28
========================================================================== ======== ======== ======== ======== ========
Total Return............................................................... 4.21% (1.33)% 9.47% 40.39% 14.67%
-------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)........................................ $35,661 $40,159 $16,971 $9,470 $49,423
Ratio of Expenses to Average Net Assets.................................... 0.47% 0.47% 0.47% 0.47% 0.48%
Ratio of Net Investment Income to Average Net Assets....................... 1.16% 1.15% 0.79% 1.42% 0.93%
Portfolio Turnover Rate.................................................... 28% 15% 10% 16% 20%
-------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
141
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. TARGETED VALUE PORTFOLIO-CLASS R2 SHARES
----------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
--------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year................ $ 21.51 $ 23.12 $ 22.57 $ 17.26 $ 15.31
-------- -------- ------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................. 0.20 0.23 0.15 0.19 0.13
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... 0.60 (0.61) 1.84 6.31 2.05
-------- -------- ------- ------- -------
Total from Investment Operations............... 0.80 (0.38) 1.99 6.50 2.18
--------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................ (0.26) (0.22) (0.12) (0.21) (0.11)
Net Realized Gains............................... (0.89) (1.01) (1.32) (0.98) (0.12)
-------- -------- ------- ------- -------
Total Distributions............................ (1.15) (1.23) (1.44) (1.19) (0.23)
--------------------------------------------------------------------------------------------------
Net Asset Value, End of Year...................... $ 21.16 $ 21.51 $ 23.12 $ 22.57 $ 17.26
================================================= ======== ======== ======== ======== ========
Total Return...................................... 4.04% (1.49)% 9.30% 40.10% 14.46%
--------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)............... $147,945 $135,412 $82,977 $23,305 $12,754
Ratio of Expenses to Average Net Assets........... 0.62% 0.63% 0.62% 0.62% 0.63%
Ratio of Net Investment Income to Average Net
Assets........................................... 1.00% 1.02% 0.64% 0.95% 0.78%
Portfolio Turnover Rate........................... 28% 15% 10% 16% 20%
--------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
142
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. TARGETED VALUE PORTFOLIO-INSTITUTIONAL CLASS SHARES
-----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
---------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year................ $ 21.56 $ 23.16 $ 22.60 $ 17.28 $ 15.32
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................. 0.25 0.29 0.21 0.24 0.17
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... 0.60 (0.61) 1.85 6.31 2.06
---------- ---------- ---------- ---------- ----------
Total from Investment Operations............... 0.85 (0.32) 2.06 6.55 2.23
---------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................ (0.26) (0.27) (0.18) (0.25) (0.15)
Net Realized Gains............................... (0.89) (1.01) (1.32) (0.98) (0.12)
---------- ---------- ---------- ---------- ----------
Total Distributions............................ (1.15) (1.28) (1.50) (1.23) (0.27)
---------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year...................... $ 21.26 $ 21.56 $ 23.16 $ 22.60 $ 17.28
================================================= ========== ========== ========== ========== ==========
Total Return...................................... 4.29% (1.20)% 9.58% 40.40% 14.78%
---------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)............... $7,884,683 $6,987,896 $5,490,959 $4,180,974 $2,989,632
Ratio of Expenses to Average Net Assets........... 0.37% 0.37% 0.37% 0.37% 0.38%
Ratio of Net Investment Income to Average Net
Assets........................................... 1.24% 1.28% 0.90% 1.25% 1.03%
Portfolio Turnover Rate........................... 28% 15% 10% 16% 20%
---------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
143
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. SMALL CAP VALUE PORTFOLIO
--------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year................ $ 33.08 $ 35.82 $ 34.48 $ 26.57 $ 23.50
----------- ----------- ----------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................. 0.32 0.41 0.23 0.39 0.20
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... 1.06 (1.44) 2.93 9.41 3.38
----------- ----------- ----------- ---------- ----------
Total from Investment Operations............... 1.38 (1.03) 3.16 9.80 3.58
------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................ (0.33) (0.38) (0.22) (0.37) (0.18)
Net Realized Gains............................... (1.38) (1.33) (1.60) (1.52) (0.33)
----------- ----------- ----------- ---------- ----------
Total Distributions............................ (1.71) (1.71) (1.82) (1.89) (0.51)
------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year...................... $ 32.75 $ 33.08 $ 35.82 $ 34.48 $ 26.57
================================================= =========== =========== =========== ========== ==========
Total Return...................................... 4.49% (2.83)% 9.49% 39.35% 15.60%
------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)............... $12,613,185 $11,680,262 $11,512,306 $9,526,981 $7,088,470
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........................................... 1.01% 1.18% 0.66% 1.28% 0.78%
Portfolio Turnover Rate........................... 19% 17% 9% 14% 15%
------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
144
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. CORE EQUITY 1 PORTFOLIO
-------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year.......................... $ 17.90 $ 17.71 $ 15.74 $ 12.11 $ 10.78
----------- ----------- ----------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.33 0.31 0.27 0.25 0.21
Net Gains (Losses) on Securities (Realized and Unrealized). 0.30 0.26 2.02 3.62 1.32
----------- ----------- ----------- ---------- ----------
Total from Investment Operations......................... 0.63 0.57 2.29 3.87 1.53
----------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.32) (0.30) (0.25) (0.24) (0.20)
Net Realized Gains......................................... (0.21) (0.08) (0.07) -- --
----------- ----------- ----------- ---------- ----------
Total Distributions...................................... (0.53) (0.38) (0.32) (0.24) (0.20)
----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................ $ 18.00 $ 17.90 $ 17.71 $ 15.74 $ 12.11
=========================================================== =========== =========== =========== ========== ==========
Total Return................................................ 3.68% 3.26% 14.72% 32.32% 14.29%
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)......................... $14,960,159 $13,275,774 $10,780,830 $7,566,179 $4,876,973
Ratio of Expenses to Average Net Assets..................... 0.19% 0.19% 0.19% 0.19% 0.19%
Ratio of Net Investment Income to Average Net Assets........ 1.88% 1.71% 1.61% 1.79% 1.79%
Portfolio Turnover Rate..................................... 4% 4% 5% 1% 3%
----------------------------------------------------------------------------------------------------------------------------
U.S. CORE EQUITY 2 PORTFOLIO
-------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
---------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year.......................... $ 17.26 $ 17.34 $ 15.62 $ 11.99 $ 10.61
----------- ----------- ----------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.31 0.30 0.26 0.24 0.20
Net Gains (Losses) on Securities (Realized and Unrealized). 0.25 0.02 1.86 3.73 1.36
----------- ----------- ----------- ---------- ----------
Total from Investment Operations......................... 0.56 0.32 2.12 3.97 1.56
---------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.30) (0.28) (0.24) (0.24) (0.18)
Net Realized Gains......................................... (0.33) (0.12) (0.16) (0.10) --
----------- ----------- ----------- ---------- ----------
Total Distributions...................................... (0.63) (0.40) (0.40) (0.34) (0.18)
---------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................ $ 17.19 $ 17.26 $ 17.34 $ 15.62 $ 11.99
=========================================================== =========== =========== =========== ========== ==========
Total Return................................................ 3.47% 1.92% 13.78% 33.66% 14.81%
---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)......................... $16,851,046 $15,200,564 $12,919,176 $9,989,564 $6,923,984
Ratio of Expenses to Average Net Assets..................... 0.22% 0.22% 0.22% 0.22% 0.22%
Ratio of Net Investment Income to Average Net Assets........ 1.87% 1.68% 1.55% 1.74% 1.74%
Portfolio Turnover Rate..................................... 4% 5% 6% 3% 5%
---------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
145
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. VECTOR EQUITY PORTFOLIO
-----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
--------------------------------------------------------------------------------------------
Net Asset Value, Beginning of
Year.......................... $ 16.22 $ 17.04 $ 15.62 $ 11.61 $ 10.28
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income
(Loss) (A).................. 0.25 0.25 0.21 0.20 0.16
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. 0.24 (0.30) 1.62 4.03 1.32
---------- ---------- ---------- ---------- ----------
Total from Investment
Operations................. 0.49 (0.05) 1.83 4.23 1.48
--------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income......... (0.25) (0.24) (0.19) (0.20) (0.15)
Net Realized Gains............ (0.53) (0.53) (0.22) (0.02) --
---------- ---------- ---------- ---------- ----------
Total Distributions......... (0.78) (0.77) (0.41) (0.22) (0.15)
--------------------------------------------------------------------------------------------
Net Asset Value, End of Year... $ 15.93 $ 16.22 $ 17.04 $ 15.62 $ 11.61
============================= ========== ========== ========== ========== ==========
Total Return................... 3.28% (0.18)% 11.91% 36.80% 14.55%
--------------------------------------------------------------------------------------------
Net Assets, End of Year
(thousands)................... $3,822,647 $3,651,529 $3,501,319 $2,893,842 $2,009,177
Ratio of Expenses to Average
Net Assets.................... 0.32% 0.32% 0.32% 0.32% 0.32%
Ratio of Net Investment
Income to Average Net Assets.. 1.64% 1.50% 1.26% 1.50% 1.45%
Portfolio Turnover Rate........ 10% 10% 10% 3% 9%
--------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
146
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
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,
2016 2015 2014 2013 2012
---------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year.......................... $ 30.84 $ 31.38 $ 30.03 $ 23.11 $ 20.55
----------- ----------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income
(Loss) (A).............................................. 0.34 0.35 0.26 0.35 0.25
Net Gains (Losses) on Securities (Realized and Unrealized). 0.77 0.33 2.27 8.13 2.53
----------- ----------- ---------- ---------- ----------
Total from Investment Operations......................... 1.11 0.68 2.53 8.48 2.78
---------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.35) (0.33) (0.24) (0.36) (0.22)
Net Realized Gains......................................... (1.46) (0.89) (0.94) (1.20) --
----------- ----------- ---------- ---------- ----------
Total Distributions...................................... (1.81) (1.22) (1.18) (1.56) (0.22)
---------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................ $ 30.14 $ 30.84 $ 31.38 $ 30.03 $ 23.11
=========================================================== =========== =========== ========== ========== ==========
Total Return................................................ 3.89% 2.34% 8.67% 39.03% 13.61%
---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)......................... $12,977,199 $10,616,542 $9,247,716 $7,446,827 $4,563,345
Ratio of Expenses to Average Net Assets..................... 0.37% 0.37% 0.37% 0.37% 0.37%
Ratio of Net Investment Income to Average Net Assets........ 1.16% 1.10% 0.86% 1.33% 1.14%
Portfolio Turnover Rate..................................... 10% 11% 9% 10% 16%
---------------------------------------------------------------------------------------------------------------------------
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,
2016 2015 2014 2013 2012
------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year.......................... $ 19.00 $ 20.10 $ 19.64 $ 14.84 $ 13.24
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income
(Loss) (A).............................................. 0.16 0.16 0.14 0.19 0.14
Net Gains (Losses) on Securities (Realized and Unrealized). 0.60 0.02 1.35 5.57 1.59
---------- ---------- ---------- ---------- ----------
Total from Investment Operations......................... 0.76 0.18 1.49 5.76 1.73
------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.16) (0.16) (0.13) (0.20) (0.13)
Net Realized Gains......................................... (1.02) (1.12) (0.90) (0.76) --
---------- ---------- ---------- ---------- ----------
Total Distributions...................................... (1.18) (1.28) (1.03) (0.96) (0.13)
------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................ $ 18.58 $ 19.00 $ 20.10 $ 19.64 $ 14.84
=========================================================== ========== ========== ========== ========== ==========
Total Return................................................ 4.32% 1.11% 7.88% 41.34% 13.13%
------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)......................... $5,128,323 $5,007,091 $5,029,027 $4,695,831 $3,437,958
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........ 0.88% 0.82% 0.69% 1.16% 0.99%
Portfolio Turnover Rate..................................... 15% 14% 12% 11% 15%
------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
147
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA REAL ESTATE SECURITIES PORTFOLIO
----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
-------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year.......................... $ 33.04 $ 32.24 $ 27.77 $ 25.83 $ 23.25
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income
(Loss) (A).............................................. 1.09 0.90 0.72 0.67 0.57
Net Gains (Losses) on Securities (Realized and Unrealized). 1.18 0.95 4.62 1.95 2.74
---------- ---------- ---------- ---------- ----------
Total from Investment Operations......................... 2.27 1.85 5.34 2.62 3.31
-------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.99) (1.05) (0.87) (0.68) (0.73)
---------- ---------- ---------- ---------- ----------
Total Distributions...................................... (0.99) (1.05) (0.87) (0.68) (0.73)
-------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................ $ 34.32 $ 33.04 $ 32.24 $ 27.77 $ 25.83
=========================================================== ========== ========== ========== ========== ==========
Total Return................................................ 6.89% 5.89% 19.80% 10.28% 14.45%
-------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)......................... $7,260,180 $6,553,192 $6,607,759 $4,677,418 $3,716,389
Ratio of Expenses to Average Net Assets..................... 0.18% 0.18% 0.18% 0.18% 0.22%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor and Fees Paid Indirectly)........ 0.19% 0.19% 0.19% 0.19% 0.23%
Ratio of Net Investment Income to Average Net Assets........ 3.15% 2.75% 2.48% 2.42% 2.29%
Portfolio Turnover Rate..................................... 3% 4% 0% 1% 0%
-------------------------------------------------------------------------------------------------------------------------
LARGE CAP INTERNATIONAL PORTFOLIO
------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year.......................... $ 20.36 $ 21.59 $ 22.20 $ 18.33 $ 17.91
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income
(Loss) (A).............................................. 0.57 0.58 0.75 0.58 0.60
Net Gains (Losses) on Securities (Realized and Unrealized). (0.86) (1.24) (0.62) 3.90 0.40
---------- ---------- ---------- ---------- ----------
Total from Investment Operations......................... (0.29) (0.66) 0.13 4.48 1.00
--------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.55) (0.57) (0.74) (0.61) (0.58)
---------- ---------- ---------- ---------- ----------
Total Distributions...................................... (0.55) (0.57) (0.74) (0.61) (0.58)
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................ $ 19.52 $ 20.36 $ 21.59 $ 22.20 $ 18.33
=========================================================== ========== ========== ========== ========== ==========
Total Return................................................ (1.30)% (3.10)% 0.47% 24.85% 5.89%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)......................... $3,527,775 $3,150,334 $3,127,847 $2,755,114 $2,055,759
Ratio of Expenses to Average Net Assets..................... 0.28% 0.29% 0.28% 0.29% 0.30%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor and Fees Paid Indirectly)........ 0.28% 0.29% 0.28% 0.29% 0.30%
Ratio of Net Investment Income to Average Net Assets........ 2.95% 2.71% 3.35% 2.90% 3.38%
Portfolio Turnover Rate..................................... 10% 10% 4% 5% 4%
--------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
148
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
INTERNATIONAL CORE EQUITY PORTFOLIO
---------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of
Year.......................... $ 11.69 $ 12.15 $ 12.57 $ 10.10 $ 9.89
----------- ----------- ----------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A).................. 0.32 0.32 0.38 0.31 0.31
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. (0.15) (0.45) (0.43) 2.47 0.20
----------- ----------- ----------- ---------- ----------
Total from Investment
Operations................. 0.17 (0.13) (0.05) 2.78 0.51
------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income......... (0.28) (0.33) (0.37) (0.31) (0.30)
----------- ----------- ----------- ---------- ----------
Total Distributions......... (0.28) (0.33) (0.37) (0.31) (0.30)
------------------------------------------------------------------------------------------------
Net Asset Value, End of Year... $ 11.58 $ 11.69 $ 12.15 $ 12.57 $ 10.10
============================= =========== =========== =========== ========== ==========
Total Return................... 1.62% (1.10)% (0.55)% 27.98% 5.49%
------------------------------------------------------------------------------------------------
Net Assets, End of Year
(thousands)................... $16,983,011 $14,420,568 $12,294,542 $9,508,466 $6,482,738
Ratio of Expenses to Average
Net Assets.................... 0.38% 0.38% 0.38% 0.39% 0.40%
Ratio of Expenses to Average
Net Assets (Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor and
Fees Paid Indirectly)......... 0.38% 0.38% 0.38% 0.39% 0.40%
Ratio of Net Investment
Income to Average Net Assets.. 2.83% 2.63% 3.01% 2.80% 3.18%
Portfolio Turnover Rate........ 2% 4% 7% 3% 5%
------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
149
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
INTERNATIONAL SMALL COMPANY PORTFOLIO
------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
----------------------------------------------------------------------------------------------
Net Asset Value, Beginning of
Year.......................... $ 17.78 $ 18.24 $ 19.40 $ 15.28 $ 15.21
----------- ---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A).................. 0.43 0.41 0.42 0.42 0.38
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. 0.48 0.12 (0.62) 4.16 0.39
----------- ---------- ---------- ---------- ----------
Total from Investment
Operations................. 0.91 0.53 (0.20) 4.58 0.77
----------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income......... (0.51) (0.42) (0.42) (0.37) (0.42)
Net Realized Gains............ (0.40) (0.57) (0.54) (0.09) (0.28)
----------- ---------- ---------- ---------- ----------
Total Distributions......... (0.91) (0.99) (0.96) (0.46) (0.70)
----------------------------------------------------------------------------------------------
Net Asset Value, End of Year... $ 17.78 $ 17.78 $ 18.24 $ 19.40 $ 15.28
============================= =========== ========== ========== ========== ==========
Total Return................... 5.43% 3.30% (1.09)% 30.66% 5.63%
----------------------------------------------------------------------------------------------
Net Assets, End of Year
(thousands)................... $10,387,361 $9,323,492 $8,844,517 $8,520,717 $6,423,160
Ratio of Expenses to Average
Net Assets (B)................ 0.53% 0.54% 0.53% 0.54% 0.56%
Ratio of Expenses to Average
Net Assets (Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor) (B)..... 0.53% 0.54% 0.53% 0.54% 0.56%
Ratio of Net Investment
Income to Average Net Assets.. 2.47% 2.30% 2.15% 2.47% 2.58%
----------------------------------------------------------------------------------------------
JAPANESE SMALL COMPANY PORTFOLIO
------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
---------------------------------------------------------------------------------
Net Asset Value, Beginning of
Year.......................... $ 20.46 $ 19.15 $ 19.33 $ 14.99 $ 15.24
-------- -------- -------- -------- --------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A).................. 0.32 0.25 0.24 0.26 0.29
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. 2.51 1.36 0.13 4.21 (0.26)
-------- -------- -------- -------- --------
Total from Investment
Operations................. 2.83 1.61 0.37 4.47 0.03
---------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income......... (0.28) (0.30) (0.55) (0.13) (0.28)
Net Realized Gains............ -- -- -- -- --
-------- -------- -------- -------- --------
Total Distributions......... (0.28) (0.30) (0.55) (0.13) (0.28)
---------------------------------------------------------------------------------
Net Asset Value, End of Year... $ 23.01 $ 20.46 $ 19.15 $ 19.33 $ 14.99
============================= ======== ======== ======== ======== ========
Total Return................... 14.04% 8.62% 2.00% 30.06% 0.20%
---------------------------------------------------------------------------------
Net Assets, End of Year
(thousands)................... $509,413 $463,997 $508,190 $414,132 $293,968
Ratio of Expenses to Average
Net Assets (B)................ 0.54% 0.54% 0.55% 0.56% 0.57%
Ratio of Expenses to Average
Net Assets (Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor) (B)..... 0.64% 0.57% 0.55% 0.56% 0.57%
Ratio of Net Investment
Income to Average Net Assets.. 1.57% 1.27% 1.25% 1.51% 1.88%
---------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
150
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
ASIA PACIFIC SMALL COMPANY PORTFOLIO UNITED KINGDOM SMALL COMPANY PORTFOLIO
-------------------------------------------------- --------------------------------------------
YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012 2016 2015 2014 2013 2012
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of
Year.......................... $ 19.06 $ 22.88 $ 24.82 $ 23.22 $ 23.04 $ 35.50 $ 35.92 $ 36.96 $ 27.81 $ 23.44
-------- -------- -------- -------- -------- ------- ------- ------- ------- -------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A).................. 0.71 0.75 0.83 1.01 0.87 1.18 1.06 0.95 0.88 0.69
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. 2.24 (3.51) (1.81) 1.37 0.58 (6.55) 1.95 (0.65) 9.17 4.47
-------- -------- -------- -------- -------- ------- ------- ------- ------- -------
Total from Investment
Operations................. 2.95 (2.76) (0.98) 2.38 1.45 (5.37) 3.01 0.30 10.05 5.16
---------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income......... (0.74) (1.06) (0.96) (0.78) (1.27) (1.29) (1.05) (0.93) (0.90) (0.79)
Net Realized Gains............ -- -- -- -- -- (1.63) (2.38) (0.41) -- --
-------- -------- -------- -------- -------- ------- ------- ------- ------- -------
Total Distributions......... (0.74) (1.06) (0.96) (0.78) (1.27) (2.92) (3.43) (1.34) (0.90) (0.79)
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year... $ 21.27 $ 19.06 $ 22.88 $ 24.82 $ 23.22 $ 27.21 $ 35.50 $ 35.92 $ 36.96 $ 27.81
============================= ======== ======== ======== ======== ======== ======== ======== ======== ======== ========
Total Return................... 16.18% (12.19)% (3.84)% 10.46% 7.09% (16.20)% 9.43% 0.73% 36.81% 22.82%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year
(thousands)................... $251,575 $200,270 $364,117 $331,166 $238,191 $32,323 $35,637 $35,050 $37,096 $31,316
Ratio of Expenses to Average
Net Assets (B)................ 0.54% 0.55% 0.55% 0.57% 0.59% 0.59% 0.58% 0.58% 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)..... 0.64% 0.57% 0.55% 0.57% 0.59% 0.71% 0.62% 0.62% 0.63% 0.63%
Ratio of Net Investment
Income to Average Net Assets.. 3.57% 3.67% 3.53% 4.26% 3.91% 3.87% 2.99% 2.50% 2.79% 2.83%
---------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
151
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
CONTINENTAL SMALL COMPANY PORTFOLIO
------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
--------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of
Year........................... $ 20.74 $ 19.34 $ 20.26 $ 14.51 $ 14.66
-------- -------- -------- -------- --------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)................... 0.43 0.43 0.42 0.37 0.39
Net Gains (Losses) on
Securities (Realized and
Unrealized).................. 0.72 1.38 (0.90) 5.78 (0.17)
-------- -------- -------- -------- --------
Total from Investment
Operations.................. 1.15 1.81 (0.48) 6.15 0.22
--------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.......... (0.41) (0.41) (0.44) (0.40) (0.37)
-------- -------- -------- -------- --------
Total Distributions.......... (0.41) (0.41) (0.44) (0.40) (0.37)
--------------------------------------------------------------------------------------------------
Net Asset Value, End of Year.... $ 21.48 $ 20.74 $ 19.34 $ 20.26 $ 14.51
============================== ======== ======== ======== ======== ========
Total Return.................... 5.70% 9.37% (2.68)% 42.99% 1.85%
--------------------------------------------------------------------------------------------------
Net Assets, End of Year
(thousands).................... $292,117 $278,024 $168,961 $170,806 $106,316
Ratio of Expenses to Average
Net Assets..................... 0.54%(B) 0.55%(B) 0.56%(B) 0.58%(B) 0.59%(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) 0.58%(B) 0.56%(B) 0.58%(B) 0.59%(B)
Ratio of Net Investment Income
to Average Net Assets.......... 2.08% 2.09% 1.97% 2.16% 2.78%
Portfolio Turnover Rate......... N/A N/A N/A N/A N/A
--------------------------------------------------------------------------------------------------
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
-----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
---------------------------------------------------------------------------------------------
Net Asset Value, Beginning of
Year........................... $ 5.27 $ 5.63 $ 5.48 $ 5.67 $ 4.90
---------- ---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)................... 0.20 0.19 0.22 0.22 0.27
Net Gains (Losses) on
Securities (Realized and
Unrealized).................. (0.15) (0.22) 0.19 0.25 0.75
---------- ---------- ---------- ---------- ----------
Total from Investment
Operations.................. 0.05 (0.03) 0.41 0.47 1.02
---------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.......... (0.09) (0.33) (0.26) (0.66) (0.25)
---------- ---------- ---------- ---------- ----------
Total Distributions.......... (0.09) (0.33) (0.26) (0.66) (0.25)
---------------------------------------------------------------------------------------------
Net Asset Value, End of Year.... $ 5.23 $ 5.27 $ 5.63 $ 5.48 $ 5.67
============================== ========== ========== ========== ========== ==========
Total Return.................... 1.05% (0.37)% 8.21% 9.24% 22.34%
---------------------------------------------------------------------------------------------
Net Assets, End of Year
(thousands).................... $4,181,623 $3,540,092 $3,088,376 $2,158,977 $1,531,708
Ratio of Expenses to Average
Net Assets..................... 0.28% 0.32% 0.38% 0.39% 0.41%
Ratio of Expenses to Average
Net Assets (Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor and Fees
Paid Indirectly)............... 0.28% 0.32% 0.38% 0.39% 0.41%
Ratio of Net Investment Income
to Average Net Assets.......... 3.71% 3.64% 4.14% 4.07% 5.45%
Portfolio Turnover Rate......... 1% 2% 1% 5% 3%
---------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
152
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
----------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year................. $ 10.59 $ 10.63 $ 9.59 $ 9.33 $ 8.21
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................. 0.27 0.44 0.31 0.49 0.29
Net Gains (Losses) on Securities (Realized and
Unrealized)..................................... 0.23 (0.09) 1.05 0.37 1.07
---------- ---------- ---------- ---------- ----------
Total from Investment Operations................ 0.50 0.35 1.36 0.86 1.36
-------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................ (0.25) (0.39) (0.32) (0.60) (0.24)
Net Realized Gains............................... -- -- -- -- --
---------- ---------- ---------- ---------- ----------
Total Distributions............................. (0.25) (0.39) (0.32) (0.60) (0.24)
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year....................... $ 10.84 $ 10.59 $ 10.63 $ 9.59 $ 9.33
=================================================== ========== ========== ========== ========== ==========
Total Return....................................... 4.87% 3.44% 14.98% 9.74% 17.33%
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)................ $4,888,955 $4,059,916 $3,305,472 $2,082,707 $1,315,547
Ratio of Expenses to Average Net Assets............ 0.24%(B) 0.27%(B) 0.32%(B) 0.32%(B) 0.34%(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) 0.45%(B) 0.55%(B) 0.55%(B) 0.60%(B)
Ratio of Net Investment Income to Average Net
Assets............................................ 2.45% 4.16% 3.21% 5.18% 3.38%
Portfolio Turnover Rate............................ 2% 1% N/A N/A N/A
-------------------------------------------------------------------------------------------------------------------------------
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
--------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
-------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year................. $ 19.44 $ 19.55 $ 20.17 $ 15.16 $ 14.85
----------- ----------- ----------- ----------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................. 0.44 0.38 0.37 0.37 0.34
Net Gains (Losses) on Securities (Realized and
Unrealized)..................................... 0.29 0.22 (0.34) 5.21 0.61
----------- ----------- ----------- ----------- ----------
Total from Investment Operations................ 0.73 0.60 0.03 5.58 0.95
-------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................ (0.58) (0.37) (0.35) (0.36) (0.36)
Net Realized Gains............................... (0.28) (0.34) (0.30) (0.21) (0.28)
----------- ----------- ----------- ----------- ----------
Total Distributions............................. (0.86) (0.71) (0.65) (0.57) (0.64)
-------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year....................... $ 19.31 $ 19.44 $ 19.55 $ 20.17 $ 15.16
=================================================== =========== =========== =========== =========== ==========
Total Return....................................... 4.09% 3.31% 0.13% 37.79% 6.92%
-------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)................ $13,009,729 $12,577,575 $11,684,771 $11,148,899 $8,266,610
Ratio of Expenses to Average Net Assets............ 0.68% 0.69% 0.68% 0.69% 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)......................... 0.68% 0.69% 0.68% 0.69% 0.71%
Ratio of Net Investment Income to Average Net
Assets............................................ 2.38% 1.94% 1.78% 2.16% 2.30%
Portfolio Turnover Rate............................ 19% 18% 8% 9% 18%
-------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
153
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
INTERNATIONAL VECTOR EQUITY PORTFOLIO
----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
-------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period........................ $ 10.76 $ 11.26 $ 11.75 $ 9.33 $ 9.34
---------- ---------- ---------- ---------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.28 0.28 0.32 0.26 0.27
Net Gains (Losses) on Securities (Realized and Unrealized). 0.05 (0.41) (0.43) 2.44 0.14
---------- ---------- ---------- ---------- --------
Total from Investment Operations......................... 0.33 (0.13) (0.11) 2.70 0.41
-------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.27) (0.27) (0.30) (0.25) (0.27)
Net Realized Gains......................................... (0.04) (0.10) (0.08) (0.03) (0.15)
---------- ---------- ---------- ---------- --------
Total Distributions...................................... (0.31) (0.37) (0.38) (0.28) (0.42)
-------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.............................. $ 10.78 $ 10.76 $ 11.26 $ 11.75 $ 9.33
=========================================================== ========== ========== ========== ========== ========
Total Return................................................ 3.21% (1.14)% (1.05)% 29.52% 4.90%
-------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)....................... $1,856,474 $1,594,914 $1,305,553 $1,090,774 $561,399
Ratio of Expenses to Average Net Assets..................... 0.49% 0.50% 0.49% 0.51% 0.54%
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% 0.50% 0.49% 0.51% 0.54%
Ratio of Net Investment Income to Average Net Assets........ 2.73% 2.50% 2.64% 2.51% 2.94%
Portfolio Turnover Rate..................................... 4% 8% 8% 2% 5%
-------------------------------------------------------------------------------------------------------------------------
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,
2016 2015 2014 2013 2012
----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period........................ $ 10.28 $ 11.43 $ 11.93 $ 9.94 $ 9.96
-------- -------- -------- -------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.31 0.30 0.42 0.29 0.29
Net Gains (Losses) on Securities (Realized and Unrealized). 0.03 (1.18) (0.50) 2.02 (0.05)
-------- -------- -------- -------- -------
Total from Investment Operations......................... 0.34 (0.88) (0.08) 2.31 0.24
----------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.31) (0.27) (0.42) (0.32) (0.26)
Net Realized Gains......................................... -- -- -- -- --
-------- -------- -------- -------- -------
Total Distributions...................................... (0.31) (0.27) (0.42) (0.32) (0.26)
----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.............................. $ 10.31 $ 10.28 $ 11.43 $ 11.93 $ 9.94
=========================================================== ======== ======== ======== ======== ========
Total Return................................................ 3.54% (7.77)% (0.81)% 23.61% 2.70%
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)....................... $188,154 $155,301 $113,951 $117,587 $57,197
Ratio of Expenses to Average Net Assets..................... 0.53%(B) 0.53%(B) 0.57%(B) 0.60%(B) 0.60%(B)
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor and Fees Paid Indirectly)........ 0.76%(B) 0.75%(B) 0.76%(B) 0.76%(B) 0.84%(B)
Ratio of Net Investment Income to Average Net Assets........ 3.20% 2.69% 3.54% 2.61% 2.97%
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.
154
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
WORLD EX U.S. TARGETED VALUE PORTFOLIO
---------------------------------------
PERIOD
YEAR YEAR YEAR NOV. 1,
ENDED ENDED ENDED 2012(A) TO
OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013
---------------------------------------------------------------------------------
Net Asset Value, Beginning of
Period.......................... $ 11.44 $ 12.08 $ 12.46 $ 10.00
-------- -------- -------- -------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A).................... 0.25 0.23 0.23 0.20
Net Gains (Losses) on
Securities (Realized and
Unrealized)................... 0.55 (0.58) (0.22) 2.46
-------- -------- -------- -------
Total from Investment
Operations................... 0.80 (0.35) 0.01 2.66
---------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........... (0.20) (0.26) (0.24) (0.20)
Net Realized Gains.............. -- (0.03) (0.15) --
-------- -------- -------- -------
Total Distributions........... (0.20) (0.29) (0.39) (0.20)
---------------------------------------------------------------------------------
Net Asset Value, End of Period... $ 12.04 $ 11.44 $ 12.08 $ 12.46
=============================== ======== ======== ======== ==========
Total Return..................... 7.18% (2.88)% 0.06% 26.90%(D)
---------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)..................... $281,212 $227,731 $151,096 $96,010
Ratio of Expenses to Average
Net Assets (B).................. 0.76% 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).................... 0.77% 1.06% 1.17% 1.27%(C)(E)
Ratio of Net Investment Income
to Average Net Assets........... 2.18% 1.95% 1.84% 1.78%(C)(E)
Portfolio Turnover Rate.......... 28% 1% N/A N/A
---------------------------------------------------------------------------------
WORLD EX U.S. CORE EQUITY PORTFOLIO
---------------------------------------------
PERIOD
YEAR YEAR YEAR APRIL 9,
ENDED ENDED ENDED 2013(A) TO
OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013
--------------------------------------------------------------------------------------
Net Asset Value, Beginning of
Period.......................... $ 9.83 $ 10.49 $ 10.77 $ 10.00
---------- ---------- -------- --------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A).................... 0.26 0.26 0.28 0.18
Net Gains (Losses) on
Securities (Realized and
Unrealized)................... 0.08 (0.72) (0.27) 0.77
---------- ---------- -------- --------
Total from Investment
Operations................... 0.34 (0.46) 0.01 0.95
--------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........... (0.24) (0.20) (0.28) (0.18)
Net Realized Gains.............. -- -- (0.01) --
---------- ---------- -------- --------
Total Distributions........... (0.24) (0.20) (0.29) (0.18)
--------------------------------------------------------------------------------------
Net Asset Value, End of Period... $ 9.93 $ 9.83 $ 10.49 $ 10.77
=============================== ========== ========== ======== ==========
Total Return..................... 3.58% (4.50)% (0.04)% 9.62%(D)
--------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)..................... $1,656,445 $1,170,828 $406,648 $129,720
Ratio of Expenses to Average
Net Assets (B).................. 0.47% 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).................... 0.47% 0.52% 0.88% 0.97%(C)(E)
Ratio of Net Investment Income
to Average Net Assets........... 2.67% 2.54% 2.59% 3.12%(C)(E)
Portfolio Turnover Rate.......... 1% 1% N/A N/A
--------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
155
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
WORLD CORE EQUITY PORTFOLIO
-----------------------------------------------
PERIOD
YEAR YEAR YEAR YEAR MARCH 7,
ENDED ENDED ENDED ENDED 2012(A) TO
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
----------------------------------------------------------------------------------
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)............. 0.27 0.26 0.17 0.23 0.16
Net Gains (Losses) on
Securities (Realized
and Unrealized)........ 0.20 (0.35) 0.87 2.47 0.19
-------- -------- ------- ------ ------
Total from Investment
Operations............ 0.47 (0.09) 1.04 2.70 0.35
----------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.... (0.26) (0.26) (0.24) (0.23) (0.11)
Net Realized Gains....... (0.01) (0.04) (0.18) -- --
-------- -------- ------- ------ ------
Total Distributions.... (0.27) (0.30) (0.42) (0.23) (0.11)
----------------------------------------------------------------------------------
Net Asset Value, End of
Period................... $ 13.14 $ 12.94 $ 13.33 $12.71 $10.24
======================== ======== ======== ======== ======== ==========
Total Return.............. 3.73% (0.61)% 8.36% 26.77% 3.54%(D)
----------------------------------------------------------------------------------
Net Assets, End of
Period (thousands)....... $370,229 $202,655 $75,707 $1,728 $ 191
Ratio of Expenses to
Average Net Assets (B)... 0.35% 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)............. 0.64% 0.65% 0.97% 5.71% 52.27%(C)(E)
Ratio of Net Investment
Income to Average Net
Assets................... 2.14% 1.95% 1.27% 2.01% 2.40%(C)(E)
----------------------------------------------------------------------------------
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO
------------------------------------------------
PERIOD
YEAR YEAR YEAR YEAR NOV. 14,
ENDED ENDED ENDED ENDED 2011(A) TO
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
----------------------------------------------------------------------------------
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)............. 0.26 0.27 0.27 0.24 0.22
Net Gains (Losses) on
Securities (Realized
and Unrealized)........ 0.30 (0.34) 0.76 2.65 0.87
-------- -------- -------- ------- -------
Total from Investment
Operations............ 0.56 (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................... $ 13.67 $ 13.50 $ 14.20 $ 13.63 $ 10.87
======================== ======== ======== ======== ======== ==========
Total Return.............. 4.32% (0.34)% 7.83% 26.86% 11.11%(D)
----------------------------------------------------------------------------------
Net Assets, End of
Period (thousands)....... $289,904 $245,106 $147,276 $91,348 $34,950
Ratio of Expenses to
Average Net Assets (B)... 0.35% 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% 0.66% 0.69% 0.72% 1.00%(C)(E)
Ratio of Net Investment
Income to Average Net
Assets................... 2.03% 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.
156
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS PORTFOLIO
-----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
-----------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year....................... $ 22.17 $ 26.64 $ 26.97 $ 26.06 $ 26.68
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................ 0.45 0.49 0.56 0.52 0.55
Net Gains (Losses) on Securities (Realized and
Unrealized)........................................... 1.95 (4.54) (0.20) 1.17 0.37
---------- ---------- ---------- ---------- ----------
Total from Investment Operations...................... 2.40 (4.05) 0.36 1.69 0.92
-----------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................................... (0.45) (0.42) (0.53) (0.50) (0.50)
Net Realized Gains...................................... -- -- (0.16) (0.28) (1.04)
---------- ---------- ---------- ---------- ----------
Total Distributions................................... (0.45) (0.42) (0.69) (0.78) (1.54)
-----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year............................. $ 24.12 $ 22.17 $ 26.64 $ 26.97 $ 26.06
======================================================== ========== ========== ========== ========== ==========
Total Return............................................. 11.01% (15.24)% 1.33% 6.58% 4.08%
-----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)...................... $4,915,400 $4,321,530 $4,073,698 $3,655,740 $2,797,177
Ratio of Expenses to Average Net Assets (B).............. 0.56% 0.57% 0.56% 0.57% 0.61%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor) (B)................... 0.66% 0.60% 0.56% 0.57% 0.61%
Ratio of Net Investment Income to Average Net Assets..... 2.04% 1.97% 2.11% 1.97% 2.14%
-----------------------------------------------------------------------------------------------------------------------
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,
2016 2015 2014 2013 2012
----------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year....................... $ 18.51 $ 21.42 $ 21.10 $ 20.33 $ 19.85
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................ 0.45 0.43 0.43 0.40 0.40
Net Gains (Losses) on Securities (Realized and
Unrealized)........................................... 2.04 (2.53) 0.62 1.37 0.83
---------- ---------- ---------- ---------- ----------
Total from Investment Operations...................... 2.49 (2.10) 1.05 1.77 1.23
----------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................................... (0.47) (0.41) (0.40) (0.39) (0.35)
Net Realized Gains...................................... (0.14) (0.40) (0.33) (0.61) (0.40)
---------- ---------- ---------- ---------- ----------
Total Distributions................................... (0.61) (0.81) (0.73) (1.00) (0.75)
----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year............................. $ 20.39 $ 18.51 $ 21.42 $ 21.10 $ 20.33
======================================================== ========== ========== ========== ========== ==========
Total Return............................................. 13.96% (9.88)% 5.12% 8.92% 6.71%
----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)...................... $5,459,509 $4,845,174 $4,860,603 $4,041,863 $2,907,673
Ratio of Expenses to Average Net Assets (B).............. 0.72% 0.73% 0.72% 0.75% 0.82%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor) (B)................... 0.92% 0.78% 0.72% 0.75% 0.82%
Ratio of Net Investment Income to Average Net Assets..... 2.43% 2.16% 2.02% 1.91% 2.01%
----------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
157
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS VALUE PORTFOLIO-CLASS R2 SHARES
----------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
--------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year..................... $ 22.18 $ 27.79 $ 29.27 $ 28.21 $ 29.02
------- ------- ------- -------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)...................... 0.46 0.49 0.59 0.47 0.50
Net Gains (Losses) on Securities (Realized and
Unrealized)......................................... 2.75 (5.61) (1.10) 1.68 (0.45)
------- ------- ------- -------- -------
Total from Investment Operations.................... 3.21 (5.12) (0.51) 2.15 0.05
--------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................................. (0.68) (0.49) (0.55) (0.50) (0.47)
Net Realized Gains.................................... -- -- (0.42) (0.59) (0.39)
------- ------- ------- -------- -------
Total Distributions................................. (0.68) (0.49) (0.97) (1.09) (0.86)
--------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year........................... $ 24.71 $ 22.18 $ 27.79 $ 29.27 $ 28.21
====================================================== ======== ======== ======== ======== ========
Total Return........................................... 14.98% (18.49)% (1.75)% 7.75% 0.43%
--------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).................... $97,923 $74,076 $99,066 $106,070 $99,111
Ratio of Expenses to Average Net Assets (B)............ 0.81% 0.81% 0.80% 0.82% 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)....................................... 0.91% 0.84% 0.80% 0.82% 0.86%
Ratio of Net Investment Income to Average Net Assets... 2.08% 1.93% 2.09% 1.65% 1.78%
--------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
158
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS VALUE PORTFOLIO-INSTITUTIONAL CLASS SHARES
-----------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year............................ $ 22.22 $ 27.81 $ 29.28 $ 28.22 $ 29.02
----------- ----------- ----------- ----------- -----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............................. 0.51 0.54 0.66 0.55 0.57
Net Gains (Losses) on Securities (Realized and Unrealized)... 2.77 (5.60) (1.10) 1.67 (0.44)
----------- ----------- ----------- ----------- -----------
Total from Investment Operations........................... 3.28 (5.06) (0.44) 2.22 0.13
---------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................................ (0.66) (0.53) (0.61) (0.57) (0.54)
Net Realized Gains........................................... -- -- (0.42) (0.59) (0.39)
----------- ----------- ----------- ----------- -----------
Total Distributions........................................ (0.66) (0.53) (1.03) (1.16) (0.93)
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year.................................. $ 24.84 $ 22.22 $ 27.81 $ 29.28 $ 28.22
============================================================= =========== =========== =========== =========== ===========
Total Return.................................................. 15.23% (18.27)% (1.51)% 8.01% 0.70%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)........................... $16,304,321 $14,834,888 $18,647,276 $19,162,837 $16,589,619
Ratio of Expenses to Average Net Assets (B)................... 0.56% 0.56% 0.55% 0.57% 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)........... 0.66% 0.59% 0.55% 0.57% 0.61%
Ratio of Net Investment Income to Average Net Assets.......... 2.31% 2.12% 2.35% 1.91% 2.03%
---------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
159
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS CORE EQUITY PORTFOLIO
---------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year............................ $ 16.81 $ 20.08 $ 20.09 $ 19.00 $ 18.73
----------- ----------- ----------- ----------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............................. 0.37 0.39 0.42 0.39 0.41
Net Gains (Losses) on Securities (Realized and Unrealized)... 1.59 (3.29) (0.03) 1.07 0.23
----------- ----------- ----------- ----------- ----------
Total from Investment Operations........................... 1.96 (2.90) 0.39 1.46 0.64
-------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................................ (0.37) (0.37) (0.40) (0.37) (0.37)
----------- ----------- ----------- ----------- ----------
Total Distributions........................................ (0.37) (0.37) (0.40) (0.37) (0.37)
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year.................................. $ 18.40 $ 16.81 $ 20.08 $ 20.09 $ 19.00
============================================================= =========== =========== =========== =========== ==========
Total Return.................................................. 11.87% (14.49)% 1.89% 7.75% 3.55%
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)........................... $18,712,966 $14,856,878 $15,727,547 $13,020,962 $8,594,707
Ratio of Expenses to Average Net Assets....................... 0.61% 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% 0.62% 0.61% 0.63% 0.68%
Ratio of Net Investment Income to Average Net Assets.......... 2.20% 2.06% 2.10% 1.97% 2.18%
Portfolio Turnover Rate....................................... 3% 5% 2% 1% 1%
-------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
160
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of 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. The Portfolios are investment companies, and accordingly,
follow the accounting and reporting guidance under Financial Accounting
Standards Board ("FASB") Accounting Standards Certification ("ASC") Topic 946,
"Financial Services-Investment Companies."
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 10/31/16
------------ ------------ -----------
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 16%
United Kingdom Small Company Portfolio The United Kingdom Small Company Series 2%
Continental Small Company Portfolio The Continental Small Company Series 7%
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 96%
The Asia Pacific Small Company Series 84%
The Canadian Small Company Series 98%
DFA Global Real Estate Securities Portfolio** DFA Real Estate Securities Portfolio 22%
DFA International Real Estate Securities 40%
Portfolio
World ex U.S. Value Portfolio Dimensional Emerging Markets Value Fund --*
DFA International Small Cap Value Portfolio --*
The DFA International Value Series 1%
World Core Equity Portfolio U.S. Core Equity 1 Portfolio 1%
International Core Equity Portfolio 1%
Emerging Markets Core Equity Portfolio --*
Selectively Hedged Global Equity Portfolio U.S. Core Equity 2 Portfolio 1%
International Core Equity Portfolio 1%
Emerging Markets Core Equity Portfolio --*
* Amounts designated as -- are less than 1%.
**DFA Global Real Estate Securities Portfolio invests in two Master Funds as
indicated and securities listed on its Summary Schedule of Investments.
161
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
management 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.
162
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 October 31, 2016, DFA International Real Estate Securities Portfolio had
significant transfers of securities with a total value of $64,808 (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 October 31, 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 $3,921, $32,655
and $1,460,813 (in thousands), respectively, that transferred from Level 2 to
Level 1 because fair value procedures were no longer applied.
163
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 October 31, 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.
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.
164
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 year ended October 31, 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%
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%
165
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 year ended October 31, 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/
OF PREVIOUSLY EXPENSES
WAIVED FEES/ ASSUMED
EXPENSE EXPENSES SUBJECT TO FUTURE
INSTITUTIONAL CLASS SHARES LIMITATION AMOUNT 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% 7 $ 1,726
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 24
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% -- 19,086
International Vector Equity Portfolio (1)................. 0.60% -- --
World ex U.S. Value Portfolio (8)......................... 0.60% -- 923
World ex U.S. Targeted Value Portfolio (9)................ 0.80% -- 1,507
World ex U.S. Core Equity Portfolio (10).................. 0.47% 154 1,575
World Core Equity Portfolio (11).......................... 0.35% 9 1,348
Selectively Hedged Global Equity Portfolio (12)........... 0.40% -- 1,702
Emerging Markets Portfolio (2)............................ 0.50% -- --
Emerging Markets Small Cap Portfolio (2).................. 0.65% -- --
Emerging Markets Value Portfolio (2)...................... 0.50% -- --
Emerging Markets Core Equity Portfolio (1)................ 0.85% -- --
CLASS R1 SHARES
---------------
U.S. Targeted Value Portfolio (13)........................ 0.62% -- --
CLASS R2 SHARES
---------------
U.S. Targeted Value Portfolio (13)........................ 0.77% -- --
Emerging Markets Value Portfolio (14)..................... 0.96% -- --
(1) The Advisor has contractually agreed to waive all or a portion of its
management fee and assume each Portfolio's ordinary operating expenses
(excluding the expenses a Portfolio incurs indirectly through investment in
other investment companies) ("Portfolio Expenses") to the extent necessary to
limit the Portfolio Expenses of each
166
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 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
167
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 investment of its securities lending cash collateral in The
DFA Short Term Investment Fund (the "Money Market Series") and 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 "Remaining Management Fee") to the extent necessary to reduce the
Portfolio's ordinary operating expenses (including expenses incurred through
its investment in other investment companies but excluding the expenses that
the Portfolio incurs indirectly through investment of its securities lending
cash collateral in the Money Market Series) ("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
168
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 but excluding the expenses that the Portfolio incurs
indirectly through investment of its securities lending cash collateral in the
Money Market Series) ("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
investment of its securities lending cash collateral in the Money Market Series
and 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 but excluding the expenses that the Portfolio incurs
indirectly through investment of its securities lending cash collateral in the
Money Market Series) ("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.
(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 but excluding the expenses that the
Portfolio incurs indirectly through investment of its securities lending cash
collateral in the Money Market Series) ("Portfolio Expenses") of the Portfolio
to the rate listed above as a
169
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 (including for the period prior to
July 21, 2015) to assume the direct expenses of the Class R2 shares of the
Portfolio (excluding management fees and custodian fees) to the extent
necessary to limit the annualized expenses of the Class R2 shares of the
Portfolio (excluding the expenses the Portfolio incurs indirectly through
investment in other investment companies) to the rate listed above as a
percentage of the average net assets of the Class R2 shares of the Portfolio
(the "Annualized Expense Ratio"). At any time that the annualized expenses of
the Class R2 shares of the Portfolio are less than the Annualized Expense Ratio
listed above, the Advisor retains the right to recover any fees previously
waived and/or expenses previously assumed to the extent that the amount of such
recovery does not cause the annualized expense ratio of the Class R2 shares of
the Portfolio to exceed the Annualized Expense Ratio, as listed above. Except,
the Portfolio is not obligated to reimburse the Advisor for fees waived in
connection with the Permanent Fee Waiver. Also, the Portfolio is not obligated
to reimburse the Advisor for fees previously waived or expenses previously
assumed by the Advisor more than 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 year ended October 31, 2016, expenses
reduced were as follows (amounts in thousands):
FEES PAID
INDIRECTLY
----------
Enhanced U.S. Large Company Portfolio................... $ 6
Large Cap International Portfolio....................... 110
International Core Equity Portfolio..................... 585
DFA International Real Estate Securities Portfolio...... 119
DFA International Small Cap Value Portfolio............. 296
International Vector Equity Portfolio................... 19
World ex U.S. Value Portfolio........................... (1)*
World ex U.S. Targeted Value Portfolio.................. 4
World ex U.S. Core Equity Portfolio..................... 26
Emerging Markets Core Equity Portfolio.................. 556
* A credit may be negative as a result of a negative cash balance with the
custodian.
170
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 year ended October 31, 2016, the total related amounts paid by the Fund
to the CCO were $291 (in thousands). The total related amounts paid by each of
the Portfolios are included in Other Expenses on the Statement of Operations.
D. DEFERRED COMPENSATION:
At October 31, 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....................... 4
U.S. Large Cap Value Portfolio........................ 381
U.S. Targeted Value Portfolio......................... 121
U.S. Small Cap Value Portfolio........................ 338
U.S. Core Equity 1 Portfolio.......................... 197
U.S. Core Equity 2 Portfolio.......................... 283
U.S. Vector Equity Portfolio.......................... 82
U.S. Small Cap Portfolio.............................. 201
U.S. Micro Cap Portfolio.............................. 163
DFA Real Estate Securities Portfolio.................. 143
Large Cap International Portfolio..................... 85
International Core Equity Portfolio................... 267
International Small Company Portfolio................. 257
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.... 58
DFA Global Real Estate Securities Portfolio........... 50
DFA International Small Cap Value Portfolio........... 371
International Vector Equity Portfolio................. 24
World ex U.S. Value Portfolio......................... 2
World ex U.S. Targeted Value Portfolio................ 2
World ex U.S. Core Equity Portfolio................... 6
World Core Equity Portfolio........................... 1
Selectively Hedged Global Equity Portfolio............ 2
Emerging Markets Portfolio............................ 116
Emerging Markets Small Cap Portfolio.................. 96
Emerging Markets Value Portfolio...................... 490
Emerging Markets Core Equity Portfolio................ 274
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 2016, the Portfolios transactions related to
investment securities, other than short-term securities (amounts in thousands):
U.S. GOVERNMENT SECURITIES OTHER INVESTMENT SECURITIES
-------------------------- ---------------------------
PURCHASES SALES PURCHASES SALES
--------- -------- ---------- ----------
Enhanced U.S. Large Company Portfolio................. $124,198 $187,445 $ 155,588 $ 59,010
U.S. Large Cap Equity Portfolio....................... -- -- 230,249 87,431
U.S. Targeted Value Portfolio......................... -- -- 3,296,950 2,119,996
U.S. Small Cap Value Portfolio........................ -- -- 3,224,499 2,319,214
171
U.S. GOVERNMENT SECURITIES OTHER INVESTMENT SECURITIES
-------------------------- ---------------------------
PURCHASES SALES PURCHASES SALES
--------- ----- ---------- ----------
U.S. Core Equity 1 Portfolio.......................... -- -- $2,139,073 $ 538,773
U.S. Core Equity 2 Portfolio.......................... -- -- 2,313,580 714,155
U.S. Vector Equity Portfolio.......................... -- -- 591,925 380,583
U.S. Small Cap Portfolio.............................. -- -- 3,477,660 1,180,532
U.S. Micro Cap Portfolio.............................. -- -- 938,043 829,033
DFA Real Estate Securities Portfolio.................. -- -- 657,728 210,391
Large Cap International Portfolio..................... -- -- 742,110 331,612
International Core Equity Portfolio................... -- -- 1,481,725 305,360
DFA International Real Estate Securities Portfolio.... -- -- 654,586 24,687
DFA Global Real Estate Securities Portfolio........... -- -- 896,766 84,061
DFA International Small Cap Value Portfolio........... -- -- 2,691,336 2,324,466
International Vector Equity Portfolio................. -- -- 213,086 66,645
World ex U.S. Targeted Value Portfolio................ -- -- 109,785 67,591
World ex U.S. Core Equity Portfolio................... -- -- 457,750 19,495
Emerging Markets Core Equity Portfolio................ -- -- 2,630,228 521,897
For the year ended October 31, 2016, the Fund of Funds transactions related
to Affiliated Investment Companies were as follows (amounts in thousands):
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
-----------------------------------------------------------------
BALANCE AT BALANCE AT DIVIDEND DISTRIBUTIONS OF
AFFILIATED INVESTMENT COMPANIES 10/31/2015 10/31/2016 PURCHASES SALES INCOME REALIZED GAINS
------------------------------- ---------- ---------- --------- ------- -------- ----------------
DFA International Real Estate
Securities Portfolio............ $1,448,338 $1,678,314 $271,438 $26,141 $24,916 --
DFA Real Estate Securities
Portfolio....................... 1,574,619 1,619,318 32,220 48,319 46,973 --
---------- ---------- -------- ------- ------- ----
Total............................. $3,022,957 $3,297,632 $303,658 $74,460 $71,889 --
========== ========== ======== ======= ======= ====
WORLD EX U.S. VALUE PORTFOLIO
-----------------------------------------------------------------
BALANCE AT BALANCE AT DIVIDEND DISTRIBUTIONS OF
AFFILIATED INVESTMENT COMPANIES 10/31/2015 10/31/2016 PURCHASES SALES INCOME REALIZED GAINS
------------------------------- ---------- ---------- --------- ------- -------- ----------------
DFA International Small Cap Value
Portfolio....................... $ 16,637 $ 20,452 $ 6,095 $ 2,442 $ 588 $256
---------- ---------- -------- ------- ------- ----
Total............................. $ 16,637 $ 20,452 $ 6,095 $ 2,442 $ 588 $256
========== ========== ======== ======= ======= ====
WORLD CORE EQUITY PORTFOLIO
-----------------------------------------------------------------
BALANCE AT BALANCE AT DIVIDEND DISTRIBUTIONS OF
AFFILIATED INVESTMENT COMPANIES 10/31/2015 10/31/2016 PURCHASES SALES INCOME REALIZED GAINS
------------------------------- ---------- ---------- --------- ------- -------- ----------------
U.S. Core Equity 1 Portfolio.............. $105,442 $189,060 $ 91,959 $10,829 $2,599 $1,313
International Core Equity Portfolio....... 76,621 137,648 67,241 6,540 2,806 --
Emerging Markets Core Equity Portfolio.... 20,320 43,388 22,874 3,437 657 --
-------- -------- -------- ------- ------ ------
Total..................................... $202,383 $370,096 $182,074 $20,806 $6,062 $1,313
======== ======== ======== ======= ====== ======
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO
----------------------------------------------------------------
BALANCE AT BALANCE AT DIVIDEND DISTRIBUTIONS OF
AFFILIATED INVESTMENT COMPANIES 10/31/2015 10/31/2016 PURCHASES SALES INCOME REALIZED GAINS
------------------------------- ---------- ---------- --------- ------ -------- ----------------
U.S. Core Equity 2 Portfolio.............. $110,935 $124,577 $15,341 $2,287 $2,111 $2,164
International Core Equity Portfolio....... 87,007 101,000 17,605 3,707 2,409 --
Emerging Markets Core Equity Portfolio.... 36,717 50,601 10,607 1,202 910 --
-------- -------- ------- ------ ------ ------
Total..................................... $234,659 $276,178 $43,553 $7,196 $5,430 $2,164
======== ======== ======= ====== ====== ======
172
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, 2016, 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.................. $ 535 $ (100) $ (435)
U.S. Large Cap Equity Portfolio........................ 304 (70) (234)
U.S. Large Cap Value Portfolio......................... 32,819 (16,948) (15,871)
U.S. Targeted Value Portfolio.......................... 21,874 (4,985) (16,889)
U.S. Small Cap Value Portfolio......................... 45,432 (7,935) (37,497)
U.S. Core Equity 1 Portfolio........................... 8,674 3,625 (12,299)
U.S. Core Equity 2 Portfolio........................... 10,013 (10,750) 737
U.S. Vector Equity Portfolio........................... 7,864 (4,641) (3,223)
U.S. Small Cap Portfolio............................... 24,806 (6,588) (18,218)
U.S. Micro Cap Portfolio............................... 14,933 (1,172) (13,761)
DFA Real Estate Securities Portfolio................... (11,291) 17,695 (6,404)
Large Cap International Portfolio...................... (18,977) 253 18,724
International Core Equity Portfolio.................... 12,878 (12,174) (704)
International Small Company Portfolio.................. 22,671 (7,960) (14,711)
Japanese Small Company Portfolio....................... -- 426 (426)
Asia Pacific Small Company Portfolio................... (16,317) 181 16,136
United Kingdom Small Company Portfolio................. 331 79 (410)
Continental Small Company Portfolio.................... -- 31 (31)
DFA International Real Estate Securities Portfolio..... (2,046) (9,291) 11,337
DFA Global Real Estate Securities Portfolio............ 3,345 (2,527) (818)
DFA International Small Cap Value Portfolio............ 65,378 2,410 (67,788)
International Vector Equity Portfolio.................. 2,360 (1,822) (538)
World ex U.S. Value Portfolio.......................... -- 166 (166)
World ex U.S. Targeted Value Portfolio................. 2,561 (18) (2,543)
World ex U.S. Core Equity Portfolio.................... 1,353 (1,133) (220)
World Core Equity Portfolio............................ 80 (65) (15)
Selectively Hedged Global Equity Portfolio............. 369 114 (483)
Emerging Markets Portfolio............................. 4,360 (3,397) (963)
Emerging Markets Small Cap Portfolio................... 13,361 2,519 (15,880)
Emerging Markets Value Portfolio....................... 12,432 22,396 (34,828)
Emerging Markets Core Equity Portfolio................. 5,090 (7,994) 2,904
173
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2015 and October 31, 2016 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
2015.................................. $ 11,391 $ 16,610 $ 28,001
2016.................................. 4,946 9,801 14,747
U.S. Large Cap Equity Portfolio
2015.................................. 8,398 266 8,664
2016.................................. 14,431 -- 14,431
U.S. Large Cap Value Portfolio
2015.................................. 302,945 86,223 389,168
2016.................................. 357,227 643,970 1,001,197
U.S. Targeted Value Portfolio
2015.................................. 85,573 237,911 323,484
2016.................................. 104,605 286,529 391,134
U.S. Small Cap Value Portfolio
2015.................................. 130,190 427,115 557,305
2016.................................. 122,984 487,358 610,342
U.S. Core Equity 1 Portfolio
2015.................................. 200,298 49,469 249,767
2016.................................. 253,050 160,152 413,202
U.S. Core Equity 2 Portfolio
2015.................................. 228,075 89,857 317,932
2016.................................. 281,321 296,061 577,382
U.S. Vector Equity Portfolio
2015.................................. 51,799 109,045 160,844
2016.................................. 59,624 119,588 179,212
U.S. Small Cap Portfolio
2015.................................. 105,110 268,312 373,422
2016.................................. 135,940 503,185 639,125
U.S. Micro Cap Portfolio
2015.................................. 39,933 278,651 318,584
2016.................................. 43,406 267,830 311,236
DFA Real Estate Securities Portfolio
2015.................................. 220,092 -- 220,092
2016.................................. 199,996 -- 199,996
Large Cap International Portfolio
2015.................................. 85,101 -- 85,101
2016.................................. 92,122 -- 92,122
International Core Equity Portfolio
2015.................................. 367,607 -- 367,607
2016.................................. 387,589 -- 387,589
International Small Company Portfolio
2015.................................. 235,604 250,320 485,924
2016.................................. 283,791 207,859 491,650
Japanese Small Company Portfolio
2015.................................. 7,758 -- 7,758
2016.................................. 6,534 -- 6,534
174
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- --------
Asia Pacific Small Company Portfolio
2015............................................... $ 16,487 -- $ 16,487
2016............................................... 7,760 -- 7,760
United Kingdom Small Company Portfolio
2015............................................... 1,068 $ 2,151 3,219
2016............................................... 1,389 1,632 3,021
Continental Small Company Portfolio
2015............................................... 4,771 -- 4,771
2016............................................... 6,377 -- 6,377
DFA International Real Estate Securities Portfolio
2015............................................... 182,724 -- 182,724
2016............................................... 60,576 -- 60,576
DFA Global Real Estate Securities Portfolio
2015............................................... 124,281 -- 124,281
2016............................................... 97,767 -- 97,767
DFA International Small Cap Value Portfolio
2015............................................... 224,376 207,080 431,456
2016............................................... 381,199 182,540 563,739
International Vector Equity Portfolio
2015............................................... 38,097 10,950 49,047
2016............................................... 43,651 5,716 49,367
World ex U.S. Value Portfolio
2015............................................... 3,283 -- 3,283
2016............................................... 5,358 -- 5,358
World ex U.S. Targeted Value Portfolio
2015............................................... 3,902 402 4,304
2016............................................... 4,374 -- 4,374
World ex U.S. Core Equity Portfolio
2015............................................... 15,824 -- 15,824
2016............................................... 36,005 -- 36,005
World Core Equity Portfolio
2015............................................... 2,679 232 2,911
2016............................................... 5,800 132 5,932
Selectively Hedged Global Equity Portfolio
2015............................................... 4,968 1,915 6,883
2016............................................... 6,448 620 7,068
Emerging Markets Portfolio
2015............................................... 73,891 -- 73,891
2016............................................... 89,527 -- 89,527
Emerging Markets Small Cap Portfolio
2015............................................... 102,968 88,636 191,604
2016............................................... 124,387 36,697 161,084
Emerging Markets Value Portfolio
2015............................................... 351,213 -- 351,213
2016............................................... 439,072 -- 439,072
Emerging Markets Core Equity Portfolio
2015............................................... 304,141 -- 304,141
2016............................................... 349,434 -- 349,434
175
At October 31, 2016, 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.................. $ (274) $ (261) $ (535)
U.S. Large Cap Equity Portfolio........................ (258) -- (258)
U.S. Large Cap Value Portfolio......................... (14,344) (18,475) (32,819)
U.S. Targeted Value Portfolio.......................... (5,900) (15,974) (21,874)
U.S. Small Cap Value Portfolio......................... (7,917) (37,500) (45,417)
U.S. Core Equity 1 Portfolio........................... (6,342) (1,746) (8,088)
U.S. Core Equity 2 Portfolio........................... (6,490) (2,811) (9,301)
U.S. Vector Equity Portfolio........................... (2,769) (5,072) (7,841)
U.S. Small Cap Portfolio............................... (7,237) (17,565) (24,802)
U.S. Micro Cap Portfolio............................... (2,066) (12,862) (14,928)
DFA Real Estate Securities Portfolio................... (2,701) (750) (3,451)
Large Cap International Portfolio...................... -- -- --
International Core Equity Portfolio.................... (12,864) -- (12,864)
International Small Company Portfolio.................. (11,313) (10,494) (21,808)
Japanese Small Company Portfolio....................... -- -- --
Asia Pacific Small Company Portfolio................... -- -- --
United Kingdom Small Company Portfolio................. (149) (182) (331)
Continental Small Company Portfolio.................... -- -- --
DFA International Real Estate Securities Portfolio..... (11,400) -- (11,400)
DFA Global Real Estate Securities Portfolio............ (3,047) (364) (3,411)
DFA International Small Cap Value Portfolio............ (15,840) (19,436) (35,276)
International Vector Equity Portfolio.................. (2,180) (179) (2,359)
World ex U.S. Value Portfolio.......................... -- -- --
World ex U.S. Targeted Value Portfolio................. (367) -- (367)
World ex U.S. Core Equity Portfolio.................... (1,353) -- (1,353)
World Core Equity Portfolio............................ (67) (14) (81)
Selectively Hedged Global Equity Portfolio............. (268) (101) (369)
Emerging Markets Portfolio............................. (4,360) -- (4,360)
Emerging Markets Small Cap Portfolio................... (7,272) (6,089) (13,361)
Emerging Markets Value Portfolio....................... (12,432) -- (12,432)
Emerging Markets Core Equity Portfolio................. (12,170) -- (12,170)
At October 31, 2016, 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. $ 2,930 $ 4,088 -- $ (5) $ 7,013
U.S. Large Cap Equity Portfolio....... 1,891 -- $(11,064) 54,208 45,035
U.S. Large Cap Value Portfolio........ 19,642 446,140 -- 4,487,495 4,953,277
U.S. Targeted Value Portfolio......... 17,723 282,315 -- 890,310 1,190,348
U.S. Small Cap Value Portfolio........ 16,385 533,286 -- 2,185,837 2,735,508
U.S. Core Equity 1 Portfolio.......... 33,863 71,615 -- 3,471,018 3,576,496
U.S. Core Equity 2 Portfolio.......... 27,061 122,467 -- 4,229,205 4,378,733
176
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED UNREALIZED EARNINGS
SHORT-TERM LONG-TERM CAPITAL LOSS APPRECIATION (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS CARRYFORWARDS (DEPRECIATION) LOSSES)
-------------- ------------- ------------- -------------- -------------
U.S. Vector Equity Portfolio................ $ 562 $101,957 -- $ 895,232 $ 997,751
U.S. Small Cap Portfolio.................... 18,404 343,189 -- 2,071,208 2,432,801
U.S. Micro Cap Portfolio.................... 4,043 255,836 -- 1,277,801 1,537,680
DFA Real Estate Securities Portfolio........ 39,164 66,384 -- 2,060,852 2,166,400
Large Cap International Portfolio........... 16,290 -- $ (209,528) 208,151 14,913
International Core Equity Portfolio......... 87,644 -- (362,544) 428,070 153,170
International Small Company Portfolio....... 81,583 251,071 -- 647,525 980,179
Japanese Small Company Portfolio............ 9,316 -- (31,648) 61,150 38,818
Asia Pacific Small Company Portfolio........ 8,100 -- (21,813) (16,408) (30,121)
United Kingdom Small Company Portfolio...... 433 1,684 -- 1,926 4,043
Continental Small Company Portfolio......... 705 -- (10,132) 37,037 27,610
DFA International Real Estate Securities
Portfolio................................. 298,685 -- (201,001) (356,853) (259,169)
DFA Global Real Estate Securities Portfolio. 63,339 13,527 -- 657,422 734,288
DFA International Small Cap Value Portfolio. 97,358 410,184 -- 916,807 1,424,349
International Vector Equity Portfolio....... 11,116 4,040 -- 85,341 100,497
World ex U.S. Value Portfolio............... 986 -- (2,709) (1,298) (3,021)
World ex U.S. Targeted Value Portfolio...... 1,024 -- (8,263) 27,665 20,426
World ex U.S. Core Equity Portfolio......... 7,807 -- (12,063) (12,467) (16,723)
World Core Equity Portfolio................. 273 1,231 -- (1,033) 471
Selectively Hedged Global Equity Portfolio.. 5,104 2,369 -- 11,613 19,086
Emerging Markets Portfolio.................. 23,714 -- (220,310) 958,300 761,704
Emerging Markets Small Cap Portfolio........ 65,038 117,097 -- 135,765 317,900
Emerging Markets Value Portfolio............ 72,788 -- (1,056,563) (1,226,944) (2,210,719)
Emerging Markets Core Equity Portfolio...... 67,932 -- (803,339) 809,224 73,817
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, 2016, 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 2019 UNLIMITED TOTAL
-------- ------- ------- --------- --------
Enhanced U.S. Large Company Portfolio. -- -- -- -- --
U.S. Large Cap Equity Portfolio....... -- -- -- $ 11,064 $ 11,064
U.S. Large Cap Value Portfolio........ -- -- -- -- --
U.S. Targeted Value Portfolio......... -- -- -- -- --
U.S. Small Cap Value Portfolio........ -- -- -- -- --
U.S. Core Equity 1 Portfolio.......... -- -- -- -- --
U.S. Core Equity 2 Portfolio.......... -- -- -- -- --
U.S. Vector Equity Portfolio.......... -- -- -- -- --
U.S. Small Cap Portfolio.............. -- -- -- -- --
U.S. Micro Cap Portfolio.............. -- -- -- -- --
DFA Real Estate Securities Portfolio.. -- -- -- -- --
Large Cap International Portfolio..... $135,392 $14,311 $12,549 47,275 209,527
International Core Equity Portfolio... 53,176 -- -- 309,368 362,544
International Small Company Portfolio. -- -- -- -- --
Japanese Small Company Portfolio...... 13,897 12,208 5,543 -- 31,648
Asia Pacific Small Company Portfolio.. 8,261 -- -- 13,552 21,813
177
EXPIRES ON OCTOBER 31,
---------------------------------------------
2017 2018 2019 UNLIMITED TOTAL
------- ------- ------- ---------- ----------
United Kingdom Small Company Portfolio............. -- -- -- -- --
Continental Small Company Portfolio................ $ 4,880 $ 5,252 -- -- $ 10,132
DFA International Real Estate Securities Portfolio. 34,576 38,689 $69,466 $ 58,270 201,001
DFA Global Real Estate Securities Portfolio........ -- -- -- -- --
DFA International Small Cap Value Portfolio........ -- -- -- -- --
International Vector Equity Portfolio.............. -- -- -- -- --
World ex U.S. Value Portfolio...................... -- -- 345 2,363 2,708
World ex U.S. Targeted Value Portfolio............. -- -- -- 8,263 8,263
World ex U.S. Core Equity Portfolio................ -- -- -- 12,063 12,063
World Core Equity Portfolio........................ -- -- -- -- --
Selectively Hedged Global Equity Portfolio......... -- -- -- -- --
Emerging Markets Portfolio......................... -- -- -- 220,310 220,310
Emerging Markets Small Cap Portfolio............... -- -- -- -- --
Emerging Markets Value Portfolio................... -- -- -- 1,056,563 1,056,563
Emerging Markets Core Equity Portfolio............. 26,444 -- -- 776,895 803,339
During the year ended October 31, 2016, the Portfolios utilized the
following capital loss carryforwards to offset realized capital gains for
federal income tax purposes (amounts in thousands):
DFA International Real Estate Securities Portfolio $ 1,010
DFA Real Estate Securities Portfolio 10,635
Large Cap International Portfolio 40,352
Japanese Small Company Portfolio 19,964
Continental Small Company Portfolio 6,882
World ex U.S. Targeted Value Portfolio 6,624
At October 31, 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)
----------- ------------ ------------ --------------
Enhanced U.S. Large Company Portfolio................. $ 234,200 $ 197 $ (189) $ 8
U.S. Large Cap Equity Portfolio....................... 843,248 90,541 (36,333) 54,208
U.S. Large Cap Value Portfolio........................ 13,161,883 4,484,386 -- 4,484,386
U.S. Targeted Value Portfolio......................... 8,412,868 1,592,535 (702,225) 890,310
U.S. Small Cap Value Portfolio........................ 12,191,562 3,315,985 (1,130,148) 2,185,837
U.S. Core Equity 1 Portfolio.......................... 12,905,940 4,024,119 (553,100) 3,471,019
U.S. Core Equity 2 Portfolio.......................... 14,483,954 4,994,488 (765,283) 4,229,205
U.S. Vector Equity Portfolio.......................... 3,438,827 1,166,324 (271,092) 895,232
U.S. Small Cap Portfolio.............................. 13,478,533 2,986,935 (915,727) 2,071,208
U.S. Micro Cap Portfolio.............................. 4,615,954 1,707,552 (429,751) 1,277,801
DFA Real Estate Securities Portfolio.................. 5,697,975 2,172,707 (148,032) 2,024,675
Large Cap International Portfolio..................... 3,472,803 591,185 (382,705) 208,480
International Core Equity Portfolio................... 17,544,279 2,624,727 (2,195,128) 429,599
International Small Company Portfolio................. 9,645,400 901,692 (253,084) 648,608
Japanese Small Company Portfolio...................... 448,349 61,306 -- 61,306
Asia Pacific Small Company Portfolio.................. 268,083 -- (16,408) (16,408)
United Kingdom Small Company Portfolio................ 30,445 1,924 -- 1,924
Continental Small Company Portfolio................... 255,325 36,924 -- 36,924
DFA International Real Estate Securities Portfolio.... 4,624,639 -- (356,569) (356,569)
DFA Global Real Estate Securities Portfolio........... 4,267,424 705,578 (48,158) 657,420
DFA International Small Cap Value Portfolio........... 12,839,126 2,621,586 (1,702,633) 918,953
178
NET UNREALIZED
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION DEPRECIATION (DEPRECIATION)
----------- ------------ ------------ --------------
International Vector Equity Portfolio................. $ 1,906,637 $ 315,636 $ (230,103) $ 85,533
World ex U.S. Value Portfolio......................... 188,993 -- (782) (782)
World ex U.S. Targeted Value Portfolio................ 272,787 37,221 (23,531) 13,690
World ex U.S. Core Equity Portfolio................... 1,759,314 159,516 (171,862) (12,346)
World Core Equity Portfolio........................... 371,264 1,948 (2,980) (1,032)
Selectively Hedged Global Equity Portfolio............ 264,617 11,776 (215) 11,561
Emerging Markets Portfolio............................ 3,956,360 957,968 -- 957,968
Emerging Markets Small Cap Portfolio.................. 5,326,498 135,936 -- 135,936
Emerging Markets Value Portfolio...................... 17,713,863 -- (1,227,510) (1,227,510)
Emerging Markets Core Equity Portfolio................ 18,713,368 3,479,196 (2,670,118) 809,078
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):
YEAR YEAR
ENDED ENDED
OCT. 31, OCT. 31,
2016 2015
-------------------- --------------------
AMOUNT SHARES AMOUNT SHARES
----------- ------- ----------- -------
U.S. TARGETED VALUE PORTFOLIO
Class R1 Shares
Shares Issued......................... $ 10,885 541 $ 32,126 1,408
Shares Issued in Lieu of Cash
Distributions........................ 2,087 104 1,658 78
Shares Redeemed....................... (16,510) (828) (7,954) (357)
----------- ------- ----------- -------
Net Increase (Decrease) -- Class R1
Shares................................ $ (3,538) (183) $ 25,830 1,129
=========== ======= =========== =======
Class R2 Shares
Shares Issued......................... $ 55,695 2,692 $ 91,125 4,038
Shares Issued in Lieu of Cash
Distributions........................ 7,874 394 4,855 231
Shares Redeemed....................... (48,930) (2,390) (35,030) (1,563)
----------- ------- ----------- -------
Net Increase (Decrease) -- Class R2
Shares................................ $ 14,639 696 $ 60,950 2,706
=========== ======= =========== =======
Institutional Class Shares
Shares Issued......................... $ 1,922,986 96,220 $ 2,738,417 122,334
Shares Issued in Lieu of Cash
Distributions........................ 353,719 17,629 299,961 14,250
Shares Redeemed....................... (1,368,182) (67,152) (1,098,528) (49,444)
----------- ------- ----------- -------
Net Increase (Decrease) --
Institutional Class Shares............ $ 908,523 46,697 $ 1,939,850 87,140
=========== ======= =========== =======
179
YEAR YEAR
ENDED ENDED
OCT. 31, OCT. 31,
2016 2015
--------------------- ---------------------
AMOUNT SHARES AMOUNT SHARES
----------- -------- ----------- --------
EMERGING MARKETS VALUE PORTFOLIO
Class R2 Shares
Shares Issued......................... $ 26,972 1,227 $ 30,224 1,180
Shares Issued in Lieu of Cash
Distributions........................ 2,365 110 1,822 79
Shares Redeemed....................... (15,075) (714) (36,071) (1,484)
----------- -------- ----------- --------
Net Increase (Decrease) -- Class R2
Shares................................ $ 14,262 623 $ (4,025) (225)
=========== ======== =========== ========
Institutional Class Shares
Shares Issued......................... $ 2,794,365 131,949 $ 3,605,561 146,249
Shares Issued in Lieu of Cash
Distributions........................ 413,784 19,201 330,322 14,260
Shares Redeemed....................... (3,524,430) (162,649) (4,083,777) (163,185)
----------- -------- ----------- --------
Net Increase (Decrease) --
Institutional Class Shares............ $ (316,281) (11,499) $ (147,894) (2,676)
=========== ======== =========== ========
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
October 31, 2016, the Selectively Hedged Global Equity Portfolio had entered
into the following contracts and the
180
net unrealized foreign exchange gain (loss) is reflected in the accompanying
financial statements (amounts in thousands):
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO
UNREALIZED
VALUE AT FOREIGN
SETTLEMENT CURRENCY CONTRACT OCTOBER 31, EXCHANGE
DATE AMOUNT* CURRENCY COUNTERPARTY AMOUNT 2016 GAIN (LOSS)
---------- ---------- ----------------- --------------------------- -------- ----------- -----------
11/04/16 (8,024) Canadian Dollar Bank of America Corp. $ (6,085) $ (5,983) $102
12/01/16 (12,226) Denmark Krone Citibank, N.A. (1,787) (1,807) (20)
11/02/16 21,610 Euro Citibank, N.A. 23,649 23,722 73
11/02/16 (21,610) Euro JP Morgan (24,311) (23,723) 588
12/05/16 (21,951) Euro Citibank, N.A. (24,055) (24,130) (75)
11/30/16 (69,716) Hong Kong Dollar ANZ Securities (8,989) (8,990) (1)
12/01/16 (2,314,926) Japanese Yen Citibank, N.A. (22,115) (22,095) 20
11/22/16 (23,113) Swedish Krona Citibank, N.A. (2,625) (2,561) 64
11/29/16 (5,768) Swiss Franc State Street Bank and Trust (5,817) (5,837) (20)
11/22/16 (11,511) UK Pound Sterling State Street Bank and Trust (14,013) (14,095) (82)
-------- -------- ----
$(86,148) $(85,499) $649
======== ======== ====
* 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. The 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.
181
At October 31, 2016, the following Portfolios had outstanding futures
contracts (dollar amounts in thousands):
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL
----------------------- ---------- --------- -------- ----------- ----------
Enhanced U.S. Large
Company Portfolio...... S&P 500 Emini Index(R) 12/16/16 2,258 $239,359 $252 --
-------- ---- --
$239,359 $252 --
======== ==== ==
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL
----------------------- ---------- --------- -------- ----------- ----------
U.S. Targeted Value
Portfolio......... S&P 500 Emini Index(R) 12/16/16 760 $80,564 $(2,039) $3,420
------- ------- ------
$80,564 $(2,039) $3,420
======= ======= ======
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL
----------------------- ---------- --------- -------- ----------- ----------
U.S. Small Cap Value
Portfolio.......... S&P 500 Emini Index(R) 12/16/16 2,738 $290,242 $(3,946) $12,321
-------- ------- -------
$290,242 $(3,946) $12,321
======== ======= =======
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) 12/16/16 1,120 $118,726 $(3,224) $5,040
-------- ------- ------
$118,726 $(3,224) $5,040
======== ======= ======
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) 12/16/16 1,260 $133,566 $(3,630) $5,670
-------- ------- ------
$133,566 $(3,630) $5,670
======== ======= ======
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL
----------------------- ---------- --------- -------- ----------- ----------
U.S. Vector Equity
Portfolio........ S&P 500 Emini Index(R) 12/16/16 290 $30,741 $(835) $1,305
------- ----- ------
$30,741 $(835) $1,305
======= ===== ======
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL
----------------------- ---------- --------- -------- ----------- ----------
U.S. Small Cap
Portfolio......... Russell 2000 Index(R) 12/16/16 552 $ 65,649 $(3,300) $3,028
U.S. Small Cap
Portfolio......... S&P 500 Emini Index(R) 12/16/16 588 62,331 (990) 2,875
-------- ------- ------
$127,980 $(4,290) $5,903
======== ======= ======
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL
----------------------- ---------- --------- -------- ----------- ----------
U.S. Micro Cap
Portfolio......... Russell 2000 Index(R) 12/16/16 196 $23,310 $(1,224) $1,055
U.S. Micro Cap
Portfolio......... S&P 500 Emini Index(R) 12/16/16 345 36,572 (438) 1,654
------- ------- ------
$59,882 $(1,662) $2,709
======= ======= ======
182
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL
----------------------- ---------- --------- -------- ----------- ----------
DFA Real Estate Securities
Portfolio................ S&P 500 Emini Index(R) 12/16/16 536 $56,819 $(1,518) $2,412
------- ------- ------
$56,819 $(1,518) $2,412
======= ======= ======
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL
------------------------ ---------- --------- -------- ----------- ----------
Large Cap International
Portfolio............. MINI MSCI EAFE Index(R) 12/16/16 190 $15,824 $(579) $ 735
Large Cap International
Portfolio............. S&P 500 Emini Index(R) 12/16/16 150 15,901 (291) 738
------- ----- ------
$31,725 $(870) $1,473
======= ===== ======
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL
----------------------- ---------- --------- -------- ----------- ----------
International Core Equity
Portfolio............... S&P 500 Emini Index(R) 12/16/16 1,340 $142,047 $(2,948) $6,030
-------- ------- ------
$142,047 $(2,948) $6,030
======== ======= ======
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL
------------------- ---------- --------- -------- ----------- ----------
International Small Company
Portfolio................. Russell 2000 Index(R) 12/16/16 270 $32,111 $(1,548) $1,450
International Small Company
Portfolio................. S&P 500 Emini Index(R) 12/16/16 505 53,533 (1,240) 2,416
------- ------- ------
$85,644 $(2,788) $3,866
======= ======= ======
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) 12/16/16 275 $29,151 $(304) $1,238
------- ----- ------
$29,151 $(304) $1,238
======= ===== ======
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL
----------------------- ---------- --------- -------- ----------- ----------
DFA International Small
Cap Value Portfolio... Russell 2000 Index(R) 12/16/16 100 $ 11,893 $ (621) $ 513
DFA International Small
Cap Value Portfolio... S&P 500 Emini Index(R) 12/16/16 1,125 119,256 (2,837) 5,140
-------- ------- ------
$131,149 $(3,458) $5,653
======== ======= ======
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL
----------------------- ---------- --------- -------- ----------- ----------
Selectively Hedged Global
Equity Portfolio........ S&P 500 Emini Index(R) 12/16/16 127 $13,463 $(348) $572
------- ----- ----
$13,463 $(348) $572
======= ===== ====
183
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL
----------------------- ---------- --------- -------- ----------- ----------
Emerging Markets Core MINI MSCI Emerging
Equity Portfolio.... Markets Index(R) 12/16/16 650 $ 29,364 $ (206) $1,256
Emerging Markets Core
Equity Portfolio.... S&P 500 Emini Index(R) 12/16/16 1,238 131,234 (3,241) 5,615
-------- ------- ------
$160,598 $(3,447) $6,871
======== ======= ======
The average volume (based on the open positions at each fiscal month-end) of
derivative activity for the year ended October 31, 2016 (amounts in thousands):
FORWARD
CURRENCY
CONTRACTS FUTURES
Enhanced U.S. Large Company Portfolio............... -- $206,092
U.S. Targeted Value Portfolio....................... -- 54,741
U.S. Small Cap Value Portfolio...................... -- 204,770
U.S. Core Equity 1 Portfolio........................ -- 83,185
U.S. Core Equity 2 Portfolio........................ -- 93,600
U.S. Vector Equity Portfolio........................ -- 21,552
U.S. Small Cap Portfolio............................ -- 94,517
U.S. Micro Cap Portfolio............................ -- 40,166
DFA Real Estate Securities Portfolio................ -- 42,383
Large Cap International Portfolio *................. $ 1,268 19,922
International Core Equity Portfolio *............... 695 104,335
International Small Company Portfolio............... -- 69,319
DFA International Real Estate Securities Portfolio*. 349 26,287
DFA International Small Cap Value Portfolio *....... 914 115,375
International Vector Equity Portfolio *............. 211 --
World ex U.S. Targeted Value Portfolio *............ 7 --
World ex U.S. Core Equity Portfolio *............... 174 --
Selectively Hedged Global Equity Portfolio.......... 106,282 12,902
Emerging Markets Core Equity Portfolio *............ 606 122,171
* The Portfolio had derivative activity during the period but it did not have
open forward currency contract positions at October 31, 2016.
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 October 31, 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
184
The following is a summary of the Portfolios' derivative instrument holdings
categorized by primary risk exposure as of October 31, 2016 (amounts in
thousands):
ASSET DERIVATIVES VALUE
------------------------------------
TOTAL VALUE FOREIGN
AT EXCHANGE EQUITY
OCTOBER 31, 2016 CONTRACTS CONTRACTS*
---------------- --------- ----------
Enhanced U.S. Large Company Portfolio.... $ 252 -- $ 252
Selectively Hedged Global Equity
Portfolio.............................. 847 $ 847 --
LIABILITY DERIVATIVES VALUE
------------------------------------
TOTAL VALUE FOREIGN
AT EXCHANGE EQUITY
OCTOBER 31, 2016 CONTRACTS CONTRACTS*
---------------- --------- ----------
U.S. Targeted Value Portfolio............ $(2,039) -- $(2,039)
U.S. Small Cap Value Portfolio........... (3,946) -- (3,946)
U.S. Core Equity 1 Portfolio............. (3,224) -- (3,224)
U.S. Core Equity 2 Portfolio............. (3,630) -- (3,630)
U.S. Vector Equity Portfolio............. (835) -- (835)
U.S. Small Cap Portfolio................. (4,290) -- (4,290)
U.S. Micro Cap Portfolio................. (1,662) -- (1,662)
DFA Real Estate Securities Portfolio..... (1,518) -- (1,518)
Large Cap International Portfolio........ (870) -- (870)
International Core Equity Portfolio...... (2,948) -- (2,948)
International Small Company Portfolio.... (2,788) -- (2,788)
DFA International Real Estate Securities
Portfolio.............................. (304) -- (304)
DFA International Small Cap Value
Portfolio.............................. (3,458) -- (3,458)
Selectively Hedged Global Equity
Portfolio.............................. (546) $(198) (348)
Emerging Markets Core Equity Portfolio... (3,447) -- (3,447)
* 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 year ended October 31,
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 year ended October 31, 2016 (amounts in
thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
---------------------------
FOREIGN
EXCHANGE EQUITY
TOTAL CONTRACTS CONTRACTS
------- --------- ---------
Enhanced U.S. Large
Company Portfolio........ $ 7,848 -- $ 7,848
U.S. Large Cap Value
Portfolio................ 17,635 -- 17,635
U.S. Targeted Value
Portfolio................ 6,695 -- 6,695
U.S. Small Cap Value
Portfolio................ 42,945 -- 42,945
U.S. Core Equity 1
Portfolio................ 14,545 -- 14,545
185
REALIZED GAIN (LOSS) ON
DERIVATIVES
---------------------------
FOREIGN
EXCHANGE EQUITY
TOTAL CONTRACTS CONTRACTS
------- --------- ---------
U.S. Core Equity 2 Portfolio............. $16,424 -- $16,424
U.S. Vector Equity Portfolio............. 3,911 -- 3,911
U.S. Small Cap Portfolio................. 18,220 -- 18,220
U.S. Micro Cap Portfolio................. 4,507 -- 4,507
DFA Real Estate Securities Portfolio..... 6,786 -- 6,786
Large Cap International Portfolio........ 2,586 $ (1) 2,587
International Core Equity Portfolio...... 19,272 (3) 19,275
International Small Company Portfolio.... 17,796 -- 17,796
Continental Small Company Portfolio...... 50 -- 50
DFA International Real Estate Securities
Portfolio.............................. 4,480 48 4,432
DFA Global Real Estate Securities
Portfolio.............................. 757 -- 757
DFA International Small Cap Value
Portfolio.............................. 29,244 27 29,217
International Vector Equity Portfolio.... 138 (44) 182
World ex U.S. Value Portfolio............ 112 -- 112
World ex U.S. Targeted Value Portfolio... 8 8 --
World ex U.S. Core Equity Portfolio...... (629) -- (629)
Selectively Hedged Global Equity
Portfolio.............................. 2,131 371 1,760
Emerging Markets Portfolio............... 5,655 -- 5,655
Emerging Markets Small Cap Portfolio..... 4,016 -- 4,016
Emerging Markets Value Portfolio......... 11,373 -- 11,373
Emerging Markets Core Equity Portfolio... 30,116 -- 30,116
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES
---------------------------
FOREIGN
EXCHANGE EQUITY
TOTAL CONTRACTS CONTRACTS
------- --------- ---------
Enhanced U.S. Large Company Portfolio.... $ (557) -- $ (557)
U.S. Large Cap Value Portfolio........... (3,292) -- (3,292)
U.S. Targeted Value Portfolio............ (2,039) -- (2,039)
U.S. Small Cap Value Portfolio........... (3,946) -- (3,946)
U.S. Core Equity 1 Portfolio............. (3,224) -- (3,224)
U.S. Core Equity 2 Portfolio............. (3,630) -- (3,630)
U.S. Vector Equity Portfolio............. (835) -- (835)
U.S. Small Cap Portfolio................. (4,290) -- (4,290)
U.S. Micro Cap Portfolio................. (1,662) -- (1,662)
DFA Real Estate Securities Portfolio..... (1,518) -- (1,518)
Large Cap International Portfolio........ (870) -- (870)
International Core Equity Portfolio...... (2,948) -- (2,948)
International Small Company Portfolio.... (2,771) -- (2,771)
Continental Small Company Portfolio...... 2 -- 2
DFA International Real Estate Securities
Portfolio.............................. (304) -- (304)
DFA International Small Cap Value
Portfolio.............................. (3,458) -- (3,458)
World ex U.S. Value Portfolio............ (19) -- (19)
Selectively Hedged Global Equity
Portfolio.............................. (559) $541 (1,100)
Emerging Markets Portfolio............... (263) -- (263)
Emerging Markets Small Cap Portfolio..... 286 -- 286
Emerging Markets Value Portfolio......... (391) -- (391)
Emerging Markets Core Equity Portfolio... (3,447) -- (3,447)
186
OFFSETTING OF DERIVATIVE ASSETS AND DERIVATIVE LIABILITIES
In order to better define its contractual rights and to secure rights that
will help the Fund mitigate its counterparty risk, the Fund entered into an
International Swaps and Derivatives Association, Inc. Master Agreement (ISDA
Master Agreement) or a similar agreement with certain of its derivative
contract counterparties. An ISDA Master Agreement is a bilateral agreement
between the Fund and a counterparty that governs over-the-counter (OTC)
derivatives and foreign exchange contracts and typically contains, among other
things, provisions in the event of a default and/or termination event and may
also include collateral posting items. Under an ISDA Master Agreement, the Fund
may, under certain circumstances, offset with the counterparty certain
derivative financial instruments' payables and/or receivables with collateral
held and/or posted, if any, and create one single net payment. The provisions
of the ISDA Master Agreement typically permit a single net payment in the event
of a default (close-out), including the bankruptcy or insolvency of the
counterparty. However, bankruptcy or insolvency laws of a particular
jurisdiction may impose restrictions on or prohibitions against the right of
offset in bankruptcy, insolvency, or other events.
For financial reporting purposes, the Fund does not offset derivative assets
and derivative liabilities that are subject to netting arrangements in the
"Statement of assets and liabilities."
The following table presents the Portfolios' gross and net amount of assets
and liabilities available for offset under netting arrangements as well as any
related collateral received or pledged by the Portfolios as of October 31, 2016
(Amounts in thousands):
NET NET
AMOUNTS AMOUNTS
OF GROSS AMOUNTS NOT OF GROSS AMOUNTS NOT
ASSETS OFFSET IN THE LIABILITIES OFFSET IN THE
PRESENTED STATEMENTS OF ASSETS PRESENTED STATEMENTS OF ASSETS
GROSS IN THE AND LIABILITIES GROSS IN THE AND LIABILITIES
AMOUNTS OF STATEMENTS ---------------------- AMOUNTS OF STATEMENTS ----------------------
RECOGNIZED OF ASSETS FINANCIAL CASH NET RECOGNIZED OF ASSETS FINANCIAL CASH NET
ASSETS AND INSTRUMENTS COLLATERAL AMOUNT LIABILITIES AND INSTRUMENTS COLLATERAL AMOUNT
DESCRIPTION (A) LIABILITIES (B) RECEIVED (C) (A) LIABILITIES (D) PLEDGED (E)
----------- ---------- ----------- ----------- ---------- ------ ----------- ----------- ----------- ---------- ------
ASSETS LIABILITIES
---------------------------------------------------- -----------------------------------------------------
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO
Forward Currency
Contracts....... $847 $847 $(95) -- $752 $198 $198 $(95) -- $103
(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
187
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 year ended October 31, 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........... 1.04% $ 2,324 29 $ 2 $ 8,804
U.S. Targeted Value
Portfolio........... 1.05% 12,631 5 2 19,633
U.S. Vector Equity
Portfolio........... 0.87% 1,177 3 -- 1,177
Large Cap
International
Portfolio........... 1.13% 2,459 3 -- 4,761
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.... 1.12% 3,589 32 4 8,719
World ex U.S. Value
Portfolio........... 1.08% 313 62 1 3,180
World ex U.S.
Targeted Value
Portfolio........... 1.09% 2,620 50 4 7,642
World ex U.S. Core
Equity Portfolio.... 0.94% 2,673 10 1 5,264
World Core Equity
Portfolio........... 1.08% 1,089 20 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 year ended October 31, 2016, that each Portfolio's available line
of credit was utilized.
There were no outstanding borrowings by Portfolios under the lines of credit
as of October 31, 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 year
ended October 31, 2016.
J. AFFILIATED TRADES:
Cross trades for the year ended October 31, 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.
188
For the year ended October 31, 2016, cross trades by the Portfolios under
Rule 17a-7 were as follows (amounts in thousands):
PORTFOLIO PURCHASES SALES REALIZED GAIN (LOSS)
--------- --------- -------- --------------------
U.S. Large Cap Equity Portfolio.............. $ 27,570 $ 24,560 $ (2,752)
U.S. Targeted Value Portfolio................ 198,462 258,264 33,497
U.S. Small Cap Value Portfolio............... 41,485 529,351 56,512
U.S. Core Equity 1 Portfolio................. 204,530 143,651 (15,380)
U.S. Core Equity 2 Portfolio................. 254,997 140,170 1,373
U.S. Vector Equity Portfolio................. 46,739 54,146 11,343
U.S. Small Cap Portfolio..................... 327,605 83,496 20,824
U.S. Micro Cap Portfolio..................... 94,240 118,943 54,866
DFA Real Estate Securities Portfolio......... 4,311 2,083 423
Large Cap International Portfolio............ 53,749 61,512 (1,108)
International Core Equity Portfolio.......... 203,108 255,730 (922)
DFA Global Real Estate Securities Portfolio.. 1,678 -- --
DFA International Small Cap Value Portfolio.. 385,406 444,880 41,282
International Vector Equity Portfolio........ 20,229 22,944 (79)
World ex U.S. Targeted Value Portfolio....... 6,070 10,962 545
World ex U.S. Core Equity Portfolio.......... 15,173 16,486 (232)
Emerging Markets Core Equity Portfolio....... 14,853 15,515 (1,558)
K. SECURITIES LENDING:
As of October 31, 2016, some of the Portfolios had securities on loan to
brokers/dealers, for which each such Portfolio received cash collateral. The
non-cash collateral includes short-and/or long-term U.S. Treasuries and U.S.
government agency securities as follows (amounts in thousands):
MARKET UNINVESTED
VALUE CASH
-------- ----------
U.S. Large Cap Equity Portfolio......... $ 9,409 --
U.S. Targeted Value Portfolio........... 367,153 --
U.S. Small Cap Value Portfolio.......... 194,743 --
U.S. Core Equity 1 Portfolio............ 622,368 --
U.S. Core Equity 2 Portfolio............ 561,339 --
U.S. Vector Equity Portfolio............ 163,776 --
U.S. Small Cap Portfolio................ 232,046 --
U.S. Micro Cap Portfolio................ 83,144 --
DFA Real Estate Securities Portfolio.... 146,276 --
Large Cap International Portfolio....... 9,368 --
International Core Equity Portfolio..... 65,844 --
DFA International Real Estate
Securities Portfolio.................. 5,917 --
DFA International Small Cap Value
Portfolio............................. 20,275 $1,382
International Vector Equity Portfolio... 5,330 --
World ex U.S. Targeted Value Portfolio.. 1,907 --
World ex U.S. Core Equity Portfolio..... 14,969 110
Emerging Markets Core Equity............ 651,321 --
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
189
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 their stated investment policies, each Portfolio will generally
invest the cash collateral received for the loaned securities in 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 October 31, 2016:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF OCTOBER 31, 2016
------------------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
-------------- -------- ------------ -------- --------------
SECURITIES LENDING TRANSACTIONS
U.S. LARGE CAP EQUITY PORTFOLIO
Common Stocks, Rights/Warrants........ $ 46,037,222 -- -- -- $ 46,037,222
U.S. TARGETED VALUE PORTFOLIO
Common Stocks......................... 1,240,541,205 -- -- -- 1,240,541,205
DFA REAL ESTATE SECURITIES PORTFOLIO
Common Stocks......................... 461,556,560 -- -- -- 461,556,560
INTERNATIONAL CORE EQUITY PORTFOLIO
Common Stocks, Rights/Warrants........ 1,236,637,558 -- -- -- 1,236,637,558
EMERGING MARKETS CORE EQUITY PORTFOLIO
Common Stocks......................... 1,040,127,894 -- -- -- 1,040,127,884
DFA GLOBAL REAL ESTATE SECURITIES
PORTFOLIO
Common Stocks......................... 34,027,679 -- -- -- 34,027,679
WORLD EX U.S. TARGETED VALUE PORTFOLIO
Common Stocks......................... 7,145,456 -- -- -- 7,145,456
U.S. CORE EQUITY 1 PORTFOLIO
Common Stocks, Rights/Warrants........ 1,416,230,536 -- -- -- 1,416,230,536
U.S. CORE EQUITY 2 PORTFOLIO
Common Stocks, Rights/Warrants........ 1,865,189,843 -- -- -- 1,865,189,843
INTERNATIONAL VECTOR EQUITY PORTFOLIO
Common Stocks......................... 144,254,351 -- -- -- 144,254,351
LARGE CAP INTERNATIONAL PORTFOLIO
Common Stocks......................... 207,774,454 -- -- -- 207,774,454
DFA INTERNATIONAL SMALL CAP VALUE
PORTFOLIO
Common Stocks......................... 947,512,927 -- -- -- 947,512,927
190
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF OCTOBER 31, 2016
------------------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
-------------- -------- ------------ -------- --------------
DFA INTERNATIONAL REAL ESTATE SECURITIES
PORTFOLIO
Common Stocks........................... $ 157,926,434 -- -- -- $ 157,926,434
U.S. VECTOR EQUITY PORTFOLIO
Common Stocks, Rights/Warrants.......... 509,342,336 -- -- -- 509,342,336
U.S. SMALL CAP PORTFOLIO
Common Stocks, Rights/Warrants.......... 2,565,604,574 -- -- -- 2,565,604,574
U.S. SMALL CAP VALUE PORTFOLIO
Common Stocks........................... 1,802,024,349 -- -- -- 1,802,024,349
U.S. MICRO CAP PORTFOLIO
Common Stocks, Rights/Warrants.......... 804,805,059 -- -- -- 804,805,059
WORLD EX U.S. CORE EQUITY PORTFOLIO
Common Stocks........................... 101,533,454 -- -- -- 101,533,454
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. IN-KIND REDEMPTIONS:
During the year ended October 31, 2016, the following Portfolio realized net
gains (losses) on in-kind redemptions as follows:
DFA International Small Cap Value Portfolio. 29,398
O. OTHER:
At October 31, 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 94%
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.............. 7 80%
191
APPROXIMATE
PERCENTAGE
NUMBER OF OF OUTSTANDING
SHAREHOLDERS SHARES
------------ --------------
U.S. Targeted Value Portfolio -- Institutional Class Shares......... 3 58%
U.S. Small Cap Value Portfolio -- Institutional Class Shares........ 3 58%
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 51%
U.S. Micro Cap Portfolio -- Institutional Class Shares.............. 5 79%
DFA Real Estate Securities Portfolio -- Institutional
Class Shares...................................................... 4 79%
Large Cap International Portfolio -- Institutional Class Shares..... 3 68%
International Core Equity Portfolio................................. 4 73%
International Small Company Portfolio -- Institutional
Class Shares...................................................... 4 61%
Japanese Small Company Portfolio -- Institutional Class Shares...... 4 86%
Asia Pacific Small Company Portfolio -- Institutional
Class Shares...................................................... 3 89%
United Kingdom Small Company Portfolio -- Institutional
Class Shares...................................................... 4 92%
Continental Small Company Portfolio -- Institutional
Class Shares...................................................... 4 95%
DFA International Real Estate Securities Portfolio -- Institutional
Class Shares...................................................... 4 88%
DFA Global Real Estate Securities Portfolio -- Institutional
Class Shares...................................................... 3 72%
DFA International Small Cap Value Portfolio -- Institutional
Class Shares...................................................... 4 68%
International Vector Equity Portfolio -- Institutional
Class Shares...................................................... 4 91%
World ex U.S. Value Portfolio -- Institutional Class Shares......... 5 84%
World ex U.S. Targeted Value Portfolio -- Institutional
Class Shares...................................................... 3 99%
World ex U.S. Core Equity Portfolio -- Institutional Class Shares... 3 81%
World Core Equity Portfolio......................................... 5 90%
Selectively Hedged Global Equity Portfolio -- Institutional
Class Shares...................................................... 4 95%
Emerging Markets Portfolio -- Institutional Class Shares............ 4 68%
Emerging Markets Small Cap Portfolio -- Institutional
Class Shares...................................................... 3 52%
Emerging Markets Value Portfolio -- Class R2 Shares................. 2 90%
Emerging Markets Value Portfolio -- Institutional Class Shares...... 2 33%
Emerging Markets Core Equity Portfolio -- Institutional
Class Shares...................................................... 3 59%
The Portfolios are subject to claims and suits that arise from time to time
in the ordinary course of business. Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
The 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
192
subsequent bankruptcy and reorganization. In connection with the LBO, thousands
of Tribune shareholders, including The U.S. Large Cap Value Series, sold
Tribune shares back to Tribune for $34 per share. The Tribune MDL includes a
series of lawsuits brought by individual creditors of Tribune (the "Individual
Creditor Actions") and a lawsuit brought by a court-appointed trustee on behalf
of the committee of unsecured creditors of Tribune (the "Committee Action," and
with the Individual Creditor Actions, collectively referred to as the
"Lawsuits"). The Lawsuits seek to unwind the LBO stock repurchases as
fraudulent transfers and recover the stock repurchase proceeds paid to the
Tribune shareholders who participated in the LBO. On September 23, 2013, the
Court entered an order dismissing the Individual Creditor Actions in their
entirety on the grounds that the individual creditor plaintiffs lack standing
to pursue their claims. The 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 Committee Action remains pending, and a motion to dismiss on
behalf of all shareholder defendants in the Committee Action was filed on
May 23, 2014. The motion to dismiss is fully-briefed, and the parties await the
scheduling of oral argument on the motion. The Committee Action is stayed
pending the disposition of the motion to dismiss.
Litigation counsel to The U.S. Large Cap Value Series in the Lawsuits has
advised management that it does not believe that it is possible, at this early
stage in the proceedings, to predict with any reasonable certainty the probable
outcome of the Lawsuits or quantify the ultimate exposure to The U.S. Large Cap
Value Series arising from the Lawsuits. Until The U.S. Large Cap Value Series
can do so, no reduction of the net asset value of The U.S. Large Cap Value
Series will be made relating to the Lawsuits. However, even if the plaintiffs
in the Lawsuits were to obtain the full recovery the plaintiffs seek, the
amount would be less than 1% of the 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.
P. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the
Portfolios through the date that the financial statements were issued and has
determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
193
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of DFA Investment Dimensions Group Inc. and
Shareholders of the Portfolios, as defined:
In our opinion, the accompanying statements of assets and liabilities,
including the schedules of investments/summary schedules of portfolio holdings,
and the related statements of operations and of changes in net assets and the
financial highlights present fairly, in all material respects, the financial
position of Enhanced U.S. Large Company Portfolio, U.S. Large Cap Equity
Portfolio, U.S. Large Cap Value Portfolio, U.S. Targeted Value Portfolio, U.S.
Small Cap Value Portfolio, U.S. Core Equity 1 Portfolio, U.S. Core Equity 2
Portfolio, U.S. Vector Equity Portfolio, U.S. Small Cap Portfolio, U.S. Micro
Cap Portfolio, DFA Real Estate Securities Portfolio, Large Cap International
Portfolio, International Core Equity Portfolio, International Small Company
Portfolio, Japanese Small Company Portfolio, Asia Pacific Small Company
Portfolio, United Kingdom Small Company Portfolio, Continental Small Company
Portfolio, DFA International Real Estate Securities Portfolio, DFA Global Real
Estate Securities Portfolio, DFA International Small Cap Value Portfolio,
International Vector Equity Portfolio, World ex U.S. Value Portfolio, World ex
U.S. Targeted Value Portfolio, World ex U.S. Core Equity Portfolio, World Core
Equity Portfolio, Selectively Hedged Global Equity Portfolio, Emerging Markets
Portfolio, Emerging Markets Small Cap Portfolio, Emerging Markets Value
Portfolio and Emerging Markets Core Equity Portfolio (constituting portfolios
within DFA Investment Dimensions Group Inc., hereafter referred to as the
"Portfolios") as of October 31, 2016, the results of each of their operations
for the year then ended, the changes in each of their net assets for each of
the two years in the period then ended and the financial highlights for each of
the periods indicated, in conformity with accounting principles generally
accepted in the United States of America. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Portfolios' management. Our responsibility is to express
an opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with the standards of the
Public Company Accounting Oversight Board (United States). Those standards
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities as of October 31, 2016 by correspondence with the
custodians, brokers and the transfer agents of the investee funds, provide a
reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 20, 2016
194
NOTIFICATION OF SOURCE OF DISTRIBUTIONS PURSUANT TO
RULE 19A-1 UNDER THE INVESTMENT COMPANY ACT OF 1940
(UNAUDITED)
As noted in the table provided below, the following Portfolios paid
distributions to shareholders of record that included amounts from net
investment income and return of capital. Please note that this information is
being provided to satisfy certain notice requirements under the Investment
Company Act of 1940 and is not being provided for tax reporting purposes. Each
Portfolio will send (or has sent) shareholders a Form 1099-DIV (or a financial
intermediary should provide (or has provided) shareholders with similar
information) for the relevant calendar year informing shareholders how to
report these distributions for federal income tax purposes.
% BREAKDOWN OF DISTRIBUTION SOURCES
-------------------------------------------------
NET NET REALIZED NET REALIZED
INVESTMENT CAPITAL GAINS: CAPITAL GAINS: RETURN OF
PORTFOLIO NAME INCOME SHORT-TERM LONG-TERM CAPITAL
-------------- ---------- -------------- -------------- ---------
Enhanced U.S. Large Company Portfolio
December 16, 2015.................. 76% 0% 0% 24%
U.S. Large Cap Equity Portfolio
December 16, 2015.................. 91% 0% 0% 9%
U.S. Large Cap Value Portfolio
December 16, 2015.................. 90% 0% 0% 10%
U.S. Targeted Value Portfolio
December 16, 2015.................. 87% 0% 0% 13%
U.S. Small Cap Value Portfolio
December 16, 2015.................. 57% 0% 0% 43%
March 30, 2016..................... 36% 0% 0% 64%
June 29, 2016...................... 42% 0% 0% 58%
U.S. Core Equity 1 Portfolio
December 15, 2015.................. 87% 0% 0% 13%
U.S. Core Equity 2 Portfolio
December 15, 2015.................. 89% 0% 0% 11%
U.S. Vector Equity Portfolio
December 16, 2015.................. 88% 0% 0% 12%
U.S. Small Cap Portfolio
December 16, 2015.................. 81% 0% 0% 19%
March 30, 2016..................... 98% 0% 0% 2%
June 29, 2016...................... 97% 0% 0% 3%
U.S. Micro Cap Portfolio
December 16, 2015.................. 71% 0% 0% 29%
March 30, 2016..................... 74% 0% 0% 26%
June 29, 2016...................... 72% 0% 0% 28%
Large Cap International Portfolio
December 15, 2015.................. 72% 0% 0% 28%
June 29, 2016...................... 97% 0% 0% 3%
International Core Equity Portfolio
December 15, 2015.................. 65% 0% 0% 35%
June 29, 2016...................... 99% 0% 0% 1%
International Small Company Portfolio
December 16, 2015.................. 38% 0% 0% 62%
March 30, 2016..................... 9% 0% 0% 91%
June 29, 2016...................... 51% 0% 0% 49%
September 29, 2016................. 22% 0% 0% 78%
Japanese Small Company Portfolio
December 16, 2015.................. 21% 0% 0% 79%
195
% BREAKDOWN OF DISTRIBUTION SOURCES
------------------------------------------------
NET NET REALIZED NET REALIZED
INVESTMENT CAPITAL GAINS: CAPITAL GAINS: RETURN OF
PORTFOLIO NAME INCOME SHORT-TERM LONG-TERM CAPITAL
-------------- ---------- -------------- -------------- ---------
Asia Pacific Small Company Portfolio
December 16, 2015............................... 8% 0% 0% 92%
United Kingdom Small Company Portfolio
December 16, 2015............................... 52% 0% 0% 48%
March 30, 2016.................................. 45% 0% 0% 55%
June 29, 2016................................... 39% 0% 0% 61%
Continental Small Company Portfolio
December 16, 2015............................... 52% 0% 0% 48%
March 30, 2016.................................. 78% 0% 0% 22%
June 29, 2016................................... 98% 0% 0% 2%
DFA International Real Estate Securities Portfolio
December 15, 2015............................... 0% 0% 0% 100%
DFA Global Real Estate Securities Portfolio
December 16, 2015............................... 98% 0% 0% 2%
DFA International Small Cap Value Portfolio
December 15, 2015............................... 33% 0% 0% 67%
March 30, 2016.................................. 0% 0% 0% 100%
June 29, 2016................................... 37% 0% 0% 63%
September 29, 2016.............................. 0% 0% 0% 100%
International Vector Equity Portfolio
December 15, 2015............................... 67% 0% 0% 33%
June 29, 2016................................... 96% 0% 0% 4%
World ex U.S. Value Portfolio
December 16, 2015............................... 75% 0% 0% 25%
June 29, 2016................................... 95% 0% 0% 5%
World ex U.S. Targeted Value Portfolio
December 16, 2015............................... 44% 0% 0% 56%
June 29, 2016................................... 98% 0% 0% 2%
World ex U.S. Core Equity Portfolio
December 16, 2015............................... 85% 0% 0% 15%
World Core Equity Portfolio
March 30, 2016.................................. 99% 0% 0% 1%
June 29, 2016................................... 100% 0% 0% 0%*
Selectively Hedged Global Equity Portfolio
December 16, 2015............................... 99% 0% 0% 1%
Emerging Markets Portfolio
December 16, 2015............................... 30% 0% 0% 70%
March 30, 2016.................................. 0% 0% 0% 100%
June 29, 2016................................... 75% 0% 0% 25%
Emerging Markets Small Cap Portfolio
December 16, 2015............................... 35% 0% 0% 65%
March 30, 2016.................................. 0% 0% 0% 100%
June 29, 2016................................... 24% 0% 0% 76%
Emerging Markets Value Portfolio
December 16, 2015............................... 20% 0% 0% 80%
March 30, 2016.................................. 0% 0% 0% 100%
June 29, 2016................................... 0% 0% 0% 100%
September 29, 2016.............................. 1% 0% 0% 99%
196
% BREAKDOWN OF DISTRIBUTION SOURCES
-------------------------------------------------
NET NET REALIZED NET REALIZED
INVESTMENT CAPITAL GAINS: CAPITAL GAINS: RETURN OF
PORTFOLIO NAME INCOME SHORT-TERM LONG-TERM CAPITAL
-------------- ---------- -------------- -------------- ---------
Emerging Markets Core Equity Portfolio
December 15, 2015................... 34% 0% 0% 66%
March 30, 2016...................... 5% 0% 0% 95%
June 29, 2016....................... 79% 0% 0% 21%
* Amount is less than 1%.
Each Portfolio estimates that it has distributed more than the amount of net
investment income and net realized capital gains; therefore, a portion of the
distributions may be a return of capital. A return of capital may occur, for
example, when some or all of the shareholder's investment in a Portfolio is
returned to the shareholder. A return of capital does not necessarily reflect a
Portfolio's investment performance and should not be confused with yield or
income. When distributions exceed total return performance, the difference will
reduce a Portfolio's net asset value per share.
197
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA COMMODITY STRATEGY PORTFOLIO VS.
BLOOMBERG COMMODITY INDEX TOTAL RETURN
NOVEMBER 9, 2010-OCTOBER 31, 2016
[CHART]
DFA Commodity Strategy Bloomberg Commodity Index
Portfolio Total Return
---------------------- -------------------------
11/9/2010 $10,000 $10,000
11/30/2010 9,480 9,414
12/31/2010 10,464 10,420
1/31/2011 10,584 10,525
2/28/2011 10,804 10,664
3/31/2011 11,010 10,884
4/30/2011 11,440 11,261
5/31/2011 10,889 10,691
6/30/2011 10,337 10,152
7/31/2011 10,678 10,452
8/31/2011 10,788 10,557
9/30/2011 9,187 9,001
10/31/2011 9,798 9,597
11/30/2011 9,538 9,384
12/31/2011 9,199 9,032
1/31/2012 9,480 9,256
2/29/2012 9,752 9,506
3/31/2012 9,360 9,112
4/30/2012 9,299 9,074
5/31/2012 8,494 8,245
6/30/2012 8,889 8,698
7/31/2012 9,494 9,261
8/31/2012 9,676 9,381
9/30/2012 9,840 9,541
10/31/2012 9,497 9,171
11/30/2012 9,547 9,176
12/31/2012 9,321 8,937
1/31/2013 9,544 9,151
2/28/2013 9,169 8,777
3/31/2013 9,229 8,836
4/30/2013 8,996 8,590
5/31/2013 8,763 8,397
6/30/2013 8,304 8,001
7/31/2013 8,436 8,110
8/31/2013 8,730 8,386
9/30/2013 8,529 8,172
10/31/2013 8,438 8,051
11/30/2013 8,397 7,987
12/31/2013 8,473 8,086
1/31/2014 8,565 8,110
2/28/2014 9,156 8,616
3/31/2014 9,200 8,651
4/30/2014 9,435 8,862
5/31/2014 9,200 8,607
6/30/2014 9,271 8,658
7/31/2014 8,822 8,227
8/31/2014 8,750 8,141
9/30/2014 8,208 7,634
10/31/2014 8,178 7,573
11/30/2014 7,789 7,265
12/31/2014 7,234 6,711
1/31/2015 7,028 6,486
2/28/2015 7,203 6,654
3/31/2015 6,853 6,312
4/30/2015 7,234 6,674
5/31/2015 7,028 6,494
6/30/2015 7,141 6,606
7/31/2015 6,378 5,904
8/31/2015 6,306 5,850
9/30/2015 6,120 5,650
10/31/2015 6,120 5,625
11/30/2015 5,686 5,217
12/31/2015 5,509 5,056
1/31/2016 5,437 4,971
2/29/2016 5,364 4,890
3/31/2016 5,611 5,077
4/30/2016 6,056 5,509
5/31/2016 6,046 5,499
6/30/2016 6,334 5,726
7/31/2016 6,044 5,433
8/31/2016 5,930 5,337 Past performance is not predictive of
9/30/2016 6,124 5,505 future performance.
10/31/2016 6,104 5,478 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE SINCE would pay on fund distributions or the
TOTAL RETURN YEAR YEARS INCEPTION redemption of fund shares.
----------------------------------------------------------- Bloomberg Barclays data provided by
-0.26% -9.03% -7.93% Bloomberg.
--------------------------------------------------------------------------------
198
DFA INVESTMENT DIMENSIONS GROUP INC.
MANAGEMENT'S DISCUSSION AND ANALYSIS
(UNAUDITED)
COMMODITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2016
During the fiscal year ended October 31, 2016, the Bloomberg Commodity Index
Total Return returned -2.62%. Sectors with significant declines included
energy, which returned -18.5% and livestock, which returned -21.4%. Among
sectors with positive returns, precious metals led at 11.22%, followed by
industrial metals at 7.75% and agriculture at 3.26%.
DFA COMMODITY STRATEGY PORTFOLIO
The DFA Commodity Strategy Portfolio seeks total return consisting of
capital appreciation and current income. The Portfolio generally invests in
commodity-linked derivative instruments and fixed income investments. The
Portfolio, through its wholly owned subsidiary Dimensional Cayman Commodity
Fund I LTD, gains exposure to commodities markets by investing in derivative
instruments such as commodity swap contracts, commodity futures and other
commodity-linked instruments. The Portfolio pursues commodity exposure based on
sector weights of the Bloomberg Commodity Index Total Return, the Portfolio's
benchmark. In pursuing the fixed income portion of the Portfolio's investment
strategy, Dimensional identifies a broadly diversified universe of eligible
U.S. and foreign fixed income securities with defined maturity ranges and
credit quality characteristics and then seeks to purchase a broad and diverse
portfolio of securities meeting these credit quality standards. In making these
purchase decisions, if the anticipated term premium is greater for longer-term
securities in the eligible maturity range, Dimensional will generally focus
investment in that longer-term area; otherwise, the Portfolio will generally
focus investment in the short-term range of the eligible maturity range.
The Portfolio, through the Dimensional Cayman Commodity Fund I LTD, gained
exposure to commodities primarily through the use of commodity swap contracts.
To a lesser extent, the Portfolio gained exposure to commodities through the
use of commodity futures. The Portfolio's commodity swaps provided exposure to
the 22 commodities included in the benchmark, whose returns for the period
ranged from -29.22% (Kansas wheat) to 42.08% (sugar). During the period, the
average duration of the Portfolio's fixed income securities decreased to 1.72
years from 1.84 years.
For the 12 months ended October 31, 2016, the total return was -0.26% for
the Portfolio and -2.62% for the Bloomberg Commodity Index Total Return. The
Portfolio's outperformance relative to the benchmark was attributable to
differences in the management of commodity rolls, commodity curve positioning
and investment in short-term investment grade fixed income securities during a
period of falling interest rates and narrowing credit spreads.
199
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Table below illustrates your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2016
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/16 10/31/16 RATIO* PERIOD*
--------- --------- ---------- --------
DFA COMMODITY STRATEGY PORTFOLIO
--------------------------------
Actual Fund Return............... $1,000.00 $1,007.80 0.33% $1.67
Hypothetical 5% Annual Return.... $1,000.00 $1,023.48 0.33% $1.68
----------
* DFA Commodity Strategy Portfolio wholly owns Dimensional Cayman Commodity
Fund I, LTD. The expenses shown reflect the combined expenses of Dimensional
Cayman Commodity Fund I, LTD. and DFA Commodity Strategy Portfolio. Expenses
are equal to the fund's annualized expense ratio for the six-month period,
multiplied by the average account value over the period, multiplied by the
number of days in the most recent six-month period (184), then divided by the
number of days in the year (366) to reflect the six-month period.
200
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on September 28, 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.................................... 46.0%
Government................................... 31.1%
Foreign Corporate............................ 18.9%
Foreign Government........................... 3.7%
Supranational................................ 0.3%
-----
100.0%
201
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
FACE
AMOUNT^ VALUE+
------- ------
(000)
BONDS -- (64.7%)
AUSTRALIA -- (1.9%)
Australia & New Zealand Banking Group, Ltd.
1.250%, 06/13/17............................. $ 8,000 $ 8,008,768
BHP Billiton Finance USA, Ltd.
1.625%, 02/24/17............................. 5,000 5,006,750
5.400%, 03/29/17............................. 1,000 1,016,800
Commonwealth Bank of Australia
1.900%, 09/18/17............................. 2,000 2,010,460
2.300%, 09/06/19............................. 5,100 5,176,627
Macquarie Group, Ltd.
## 3.000%, 12/03/18............................. 5,000 5,107,495
Westpac Banking Corp.
2.000%, 08/14/17............................. 3,000 3,017,949
2.250%, 07/30/18............................. 3,200 3,240,125
-----------
TOTAL AUSTRALIA.................................. 32,584,974
-----------
BELGIUM -- (0.7%)
Anheuser-Busch Cos., LLC
5.600%, 03/01/17............................. 5,000 5,075,900
Anheuser-Busch InBev Worldwide, Inc.
1.375%, 07/15/17............................. 6,000 6,012,060
-----------
TOTAL BELGIUM.................................... 11,087,960
-----------
CANADA -- (5.5%)
Bank of Montreal
2.375%, 01/25/19............................. 15,620 15,870,795
Canadian National Railway Co.
1.450%, 12/15/16............................. 264 264,137
Ontario, Province of Canada
1.100%, 10/25/17............................. 10,000 10,004,190
1.200%, 02/14/18............................. 15,000 15,014,925
Royal Bank of Canada
1.500%, 01/16/18............................. 6,180 6,190,772
2.200%, 07/27/18............................. 1,005 1,017,629
1.800%, 07/30/18............................. 8,492 8,536,150
Thomson Reuters Corp.
1.650%, 09/29/17............................. 3,992 4,002,251
6.500%, 07/15/18............................. 1,000 1,080,871
Toronto-Dominion Bank (The)
1.400%, 04/30/18............................. 10,000 10,006,170
2.125%, 07/02/19............................. 19,850 20,134,887
-----------
TOTAL CANADA..................................... 92,122,777
-----------
DENMARK -- (0.9%)
Nordea Bank AB
2.375%, 04/04/19............................. 15,000 15,236,640
-----------
FINLAND -- (0.4%)
Municipality Finance P.L.C.
1.250%, 04/18/19............................. 5,000 4,988,750
FACE
AMOUNT^ VALUE+
------- ------
(000)
FINLAND -- (Continued)
1.750%, 05/21/19............................. $ 1,150 $ 1,162,121
-----------
TOTAL FINLAND.................................... 6,150,871
-----------
FRANCE -- (2.2%)
BNP Paribas SA
2.375%, 09/14/17............................. 6,140 6,193,971
BPCE SA
1.625%, 01/26/18............................. 1,950 1,951,997
Sanofi
1.250%, 04/10/18............................. 1,800 1,802,821
Societe Generale SA
2.750%, 10/12/17............................. 7,000 7,090,230
Total Capital Canada, Ltd.
1.450%, 01/15/18............................. 2,000 2,003,842
Total Capital International SA
1.550%, 06/28/17............................. 1,040 1,042,406
2.100%, 06/19/19............................. 16,220 16,492,739
-----------
TOTAL FRANCE..................................... 36,578,006
-----------
GERMANY -- (0.9%)
Daimler Finance North America LLC
## 1.650%, 03/02/18............................. 11,290 11,313,235
Deutsche Bank AG
6.000%, 09/01/17............................. 4,300 4,409,469
-----------
TOTAL GERMANY.................................... 15,722,704
-----------
IRELAND -- (0.5%)
Actavis, Inc.
1.875%, 10/01/17............................. 7,500 7,529,610
Medtronic, Inc.
1.375%, 04/01/18............................. 300 300,650
-----------
TOTAL IRELAND.................................... 7,830,260
-----------
ITALY -- (0.5%)
Enel Finance International NV
## 6.250%, 09/15/17............................. 4,300 4,473,978
Intesa Sanpaolo SpA
3.875%, 01/16/18............................. 1,500 1,530,269
3.875%, 01/15/19............................. 2,570 2,644,142
-----------
TOTAL ITALY...................................... 8,648,389
-----------
JAPAN -- (2.0%)
American Honda Finance Corp.
1.550%, 12/11/17............................. 6,075 6,108,327
Mizuho Bank, Ltd.
## 1.550%, 10/17/17............................. 7,700 7,700,508
Nomura Holdings, Inc.
2.750%, 03/19/19............................. 1,034 1,053,848
Sumitomo Mitsui Banking Corp.
2.450%, 01/10/19............................. 3,500 3,547,205
202
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
JAPAN -- (Continued)
Toyota Motor Credit Corp.
2.000%, 10/24/18............................. $ 4,149 $ 4,202,107
1.400%, 05/20/19............................. 9,500 9,481,257
2.125%, 07/18/19............................. 1,080 1,097,753
-----------
TOTAL JAPAN...................................... 33,191,005
-----------
NETHERLANDS -- (3.3%)
Bank Nederlandse Gemeenten NV
1.375%, 09/27/17............................. 10,000 10,031,290
Cooperatieve Centrale Raiffeisen- Boerenleenbank
BA
1.700%, 03/19/18............................. 2,800 2,809,456
Cooperatieve Rabobank UA
2.250%, 01/14/19............................. 13,665 13,844,572
Heineken NV
## 1.400%, 10/01/17............................. 2,500 2,503,265
Koninklijke Philips NV
5.750%, 03/11/18............................. 6,725 7,117,948
Mylan, Inc.
1.350%, 11/29/16............................. 7,038 7,039,386
Shell International Finance BV
1.900%, 08/10/18............................. 4,000 4,039,828
2.000%, 11/15/18............................. 3,250 3,290,999
4.300%, 09/22/19............................. 4,875 5,234,117
-----------
TOTAL NETHERLANDS................................ 55,910,861
-----------
NORWAY -- (0.4%)
Kommunalbanken A.S.
1.750%, 05/28/19............................. 5,000 5,052,320
Statoil ASA
1.950%, 11/08/18............................. 1,035 1,045,129
-----------
TOTAL NORWAY..................................... 6,097,449
-----------
SPAIN -- (0.7%)
Santander Bank NA
2.000%, 01/12/18............................. 4,500 4,498,416
Telefonica Emisiones SAU
6.221%, 07/03/17............................. 2,000 2,062,740
3.192%, 04/27/18............................. 4,800 4,902,638
-----------
TOTAL SPAIN...................................... 11,463,794
-----------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (0.3%)
European Bank for Reconstruction & Development
0.750%, 09/01/17............................. 5,000 5,008,025
-----------
SWEDEN -- (1.9%)
Kommuninvest I Sverige AB
1.625%, 02/13/17............................. 4,500 4,508,127
Svensk Exportkredit AB
1.875%, 06/17/19............................. 17,000 17,228,565
Svenska Handelsbanken AB
1.625%, 03/21/18............................. 5,000 5,012,335
FACE
AMOUNT^ VALUE+
------- ------
(000)
SWEDEN -- (Continued)
2.250%, 06/17/19............................. $ 5,000 $ 5,074,325
-----------
TOTAL SWEDEN..................................... 31,823,352
-----------
SWITZERLAND -- (1.1%)
Credit Suisse AG New York
1.375%, 05/26/17............................. 4,000 3,998,744
Credit Suisse New York
1.700%, 04/27/18............................. 7,595 7,590,929
UBS AG
1.800%, 03/26/18............................. 6,900 6,915,711
-----------
TOTAL SWITZERLAND................................ 18,505,384
-----------
UNITED KINGDOM -- (2.8%)
AstraZeneca P.L.C.
1.750%, 11/16/18............................. 6,958 6,999,762
BP Capital Markets P.L.C.
2.248%, 11/01/16............................. 5,000 5,000,000
4.750%, 03/10/19............................. 4,110 4,411,732
British Telecommunications P.L.C.
1.250%, 02/14/17............................. 1,200 1,200,564
Diageo Capital P.L.C.
1.500%, 05/11/17............................. 3,500 3,510,083
GlaxoSmithKline Capital, Inc.
5.650%, 05/15/18............................. 1,028 1,093,565
HSBC USA, Inc.
1.625%, 01/16/18............................. 10,830 10,836,433
Lloyds Bank P.L.C.
1.750%, 03/16/18............................. 3,015 3,026,490
1.750%, 05/14/18............................. 5,000 5,021,770
Vodafone Group P.L.C.
1.625%, 03/20/17............................. 1,000 1,001,380
1.625%, 03/20/17............................. 3,951 3,956,452
1.250%, 09/26/17............................. 750 749,309
-----------
TOTAL UNITED KINGDOM............................. 46,807,540
-----------
UNITED STATES -- (38.7%)
Abbott Laboratories
5.125%, 04/01/19............................. $ 2,835 3,078,365
Air Products & Chemicals, Inc.
1.200%, 10/15/17............................. 700 700,979
American Express Co.
7.000%, 03/19/18............................. 12,652 13,602,013
Anthem, Inc.
5.875%, 06/15/17............................. 3,100 3,186,893
Apple, Inc.
1.000%, 05/03/18............................. 5,000 4,993,395
1.100%, 08/02/19............................. 4,045 4,017,276
Assurant, Inc.
2.500%, 03/15/18............................. 203 205,000
AT&T, Inc.
2.400%, 03/15/17............................. 5,044 5,069,694
1.400%, 12/01/17............................. 3,400 3,395,934
2.300%, 03/11/19............................. 575 580,786
Autodesk, Inc.
1.950%, 12/15/17............................. 5,650 5,671,651
203
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Bank of America Corp.
3.875%, 03/22/17............................. $ 3,600 $ 3,638,408
2.000%, 01/11/18............................. 1,000 1,005,010
2.600%, 01/15/19............................. 4,000 4,066,436
Bank of New York Mellon Corp. (The)
2.100%, 01/15/19............................. 1,000 1,013,376
BB&T Corp.
1.450%, 01/12/18............................. 1,250 1,251,665
Becton Dickinson and Co.
1.750%, 11/08/16............................. 1,500 1,500,225
1.450%, 05/15/17............................. 2,000 2,004,334
1.800%, 12/15/17............................. 6,340 6,367,655
Berkshire Hathaway, Inc.
1.550%, 02/09/18............................. 2,500 2,511,390
2.100%, 08/14/19............................. 2,800 2,853,654
Boston Scientific Corp.
2.650%, 10/01/18............................. 1,000 1,019,315
Branch Banking & Trust Co.
1.000%, 04/03/17............................. 1,000 1,000,255
2.300%, 10/15/18............................. 2,000 2,030,622
Bristol-Myers Squibb Co.
0.875%, 08/01/17............................. 1,685 1,682,671
Capital One Bank USA NA
2.300%, 06/05/19............................. 2,742 2,770,149
Cardinal Health, Inc.
1.900%, 06/15/17............................. 5,000 5,023,380
1.700%, 03/15/18............................. 5,239 5,255,309
Caterpillar Financial Services Corp.
2.450%, 09/06/18............................. 6,000 6,109,674
7.050%, 10/01/18............................. 5,000 5,534,915
CF Industries, Inc.
6.875%, 05/01/18............................. 6,134 6,472,897
Chevron Corp.
1.345%, 11/15/17............................. 3,435 3,440,362
1.718%, 06/24/18............................. 1,425 1,434,743
Cisco Systems, Inc.
1.400%, 02/28/18............................. 14,958 15,014,332
2.125%, 03/01/19............................. 10,000 10,169,760
Citigroup, Inc.
1.350%, 03/10/17............................. 2,000 2,002,680
2.050%, 12/07/18............................. 7,281 7,321,417
2.550%, 04/08/19............................. 750 763,546
Comcast Corp.
5.700%, 05/15/18............................. 4,811 5,129,633
Comerica, Inc.
2.125%, 05/23/19............................. 4,000 4,026,600
ConocoPhillips Co.
1.050%, 12/15/17............................. 3,000 2,984,670
1.500%, 05/15/18............................. 6,500 6,505,025
Coventry Health Care, Inc.
5.950%, 03/15/17............................. 3,309 3,366,158
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
CSX Corp.
6.250%, 03/15/18............................. $ 5,731 $ 6,125,430
CVS Health Corp.
2.250%, 12/05/18............................. 7,000 7,096,523
Danaher Corp.
1.650%, 09/15/18............................. 2,000 2,013,894
Dollar General Corp.
1.875%, 04/15/18............................. 2,334 2,343,884
Duke Energy Corp.
1.625%, 08/15/17............................. 1,019 1,021,822
Eastman Chemical Co.
2.400%, 06/01/17............................. 1,500 1,510,475
eBay, Inc.
1.350%, 07/15/17............................. 8,000 8,004,520
EI du Pont de Nemours & Co.
6.000%, 07/15/18............................. 11,927 12,833,130
Enterprise Products Operating LLC
1.650%, 05/07/18............................. 5,000 4,997,900
Exxon Mobil Corp.
1.439%, 03/01/18............................. 8,200 8,229,266
1.305%, 03/06/18............................. 25,430 25,502,882
Fifth Third Bank
1.450%, 02/28/18............................. 7,000 6,997,620
Ford Motor Credit Co. LLC
1.500%, 01/17/17............................. 4,500 4,503,497
5.000%, 05/15/18............................. 1,500 1,570,187
2.551%, 10/05/18............................. 5,000 5,060,095
General Mills, Inc.
5.700%, 02/15/17............................. 5,200 5,269,425
Gilead Sciences, Inc.
1.850%, 09/04/18............................. 8,531 8,602,609
Goldman Sachs Group, Inc. (The)
5.950%, 01/18/18............................. 2,000 2,104,272
2.900%, 07/19/18............................. 1,000 1,020,280
7.500%, 02/15/19............................. 4,082 4,589,327
Harris Corp.
1.999%, 04/27/18............................. 8,500 8,543,690
Hershey Co. (The)
1.600%, 08/21/18............................. 2,300 2,315,741
Huntington Bancshares, Inc.
2.600%, 08/02/18............................. 2,600 2,636,993
Intel Corp.
1.350%, 12/15/17............................. 1,825 1,830,935
International Business Machines Corp.
1.950%, 02/12/19............................. 27,500 27,886,732
Jefferies Group LLC
5.125%, 04/13/18............................. 1,000 1,041,466
Johnson Controls, Inc.
2.600%, 12/01/16............................. 3,475 3,479,375
JPMorgan Chase & Co.
2.000%, 08/15/17............................. 7,050 7,093,752
204
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Kellogg Co.
1.875%, 11/17/16............................. $ 1,000 $ 1,000,094
1.750%, 05/17/17............................. 3,000 3,011,580
KeyBank NA
1.100%, 11/25/16............................. 1,000 1,000,059
2.350%, 03/08/19............................. 7,000 7,120,967
Kraft Heinz Foods Co.
2.250%, 06/05/17............................. 4,177 4,199,071
Kroger Co. (The)
2.300%, 01/15/19............................. 1,000 1,015,894
Laboratory Corp. of America Holdings
2.200%, 08/23/17............................. 6,000 6,039,906
Marsh & McLennan Cos., Inc.
2.300%, 04/01/17............................. 680 682,425
Mattel, Inc.
1.700%, 03/15/18............................. 7,000 7,013,531
Maxim Integrated Products, Inc.
2.500%, 11/15/18............................. 4,417 4,480,728
McDonald's Corp.
5.800%, 10/15/17............................. 900 939,330
5.350%, 03/01/18............................. 2,000 2,106,302
2.100%, 12/07/18............................. 8,000 8,098,712
McKesson Corp.
1.400%, 03/15/18............................. 6,000 5,988,180
2.284%, 03/15/19............................. 6,000 6,074,832
MetLife, Inc.
6.817%, 08/15/18............................. 2,000 2,183,862
7.717%, 02/15/19............................. 1,389 1,579,381
Monsanto Co.
1.850%, 11/15/18............................. 6,700 6,715,102
Morgan Stanley
4.750%, 03/22/17............................. 2,430 2,464,783
7.300%, 05/13/19............................. 7,000 7,915,124
NetApp, Inc.
2.000%, 12/15/17............................. 6,200 6,231,180
NiSource Finance Corp.
6.800%, 01/15/19............................. 2,000 2,215,794
Nordstrom, Inc.
6.250%, 01/15/18............................. 5,000 5,281,600
Nucor Corp.
5.750%, 12/01/17............................. 3,019 3,150,906
NYSE Euronext
2.000%, 10/05/17............................. 6,730 6,787,272
ONEOK Partners L.P.
2.000%, 10/01/17............................. 400 401,310
Oracle Corp.
1.200%, 10/15/17............................. 855 856,923
PACCAR Financial Corp.
1.750%, 08/14/18............................. 1,900 1,916,783
Pfizer, Inc.
1.500%, 06/15/18............................. 1,000 1,005,061
2.100%, 05/15/19............................. 30,877 31,407,343
Philip Morris International, Inc.
5.650%, 05/16/18............................. 6,500 6,920,680
1.875%, 01/15/19............................. 5,000 5,045,245
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Phillips 66
2.950%, 05/01/17............................. $ 5,000 $ 5,051,055
PNC Bank NA
1.500%, 02/23/18............................. 3,560 3,568,038
Provident Cos., Inc.
7.000%, 07/15/18............................. 3,298 3,587,465
Prudential Financial, Inc.
6.000%, 12/01/17............................. 518 542,767
QUALCOMM, Inc.
1.400%, 05/18/18............................. 1,000 1,001,113
Reynolds American, Inc.
2.300%, 06/12/18............................. 5,850 5,927,173
Roper Technologies, Inc.
2.050%, 10/01/18............................. 1,500 1,513,907
Scripps Networks Interactive, Inc.
2.700%, 12/15/16............................. 5,000 5,010,005
Southern Co. (The)
1.300%, 08/15/17............................. 3,000 3,001,578
2.450%, 09/01/18............................. 2,700 2,745,222
Stryker Corp.
1.300%, 04/01/18............................. 600 600,055
# 2.000%, 03/08/19............................. 8,000 8,073,600
SunTrust Banks, Inc.
2.500%, 05/01/19............................. 7,735 7,889,112
Symantec Corp.
2.750%, 06/15/17............................. 7,278 7,331,719
Target Corp.
2.300%, 06/26/19............................. 10,000 10,245,050
Thermo Fisher Scientific, Inc.
2.400%, 02/01/19............................. 3,000 3,050,106
Total System Services, Inc.
2.375%, 06/01/18............................. 6,500 6,542,309
U.S. Bancorp
2.200%, 04/25/19............................. 5,000 5,096,770
UnitedHealth Group, Inc.
1.400%, 12/15/17............................. 1,956 1,960,485
1.625%, 03/15/19............................. 3,000 3,015,039
US Bancorp
1.650%, 05/15/17............................. 1 1,002
US Bank NA
1.400%, 04/26/19............................. 10,000 9,981,630
Verizon Communications, Inc.
3.650%, 09/14/18............................. 5,000 5,187,315
Viacom, Inc.
3.500%, 04/01/17............................. 1,000 1,009,083
2.200%, 04/01/19............................. 5,000 5,023,805
Wal-Mart Stores, Inc.
1.125%, 04/11/18............................. 14,633 14,644,941
Walgreens Boots Alliance, Inc.
1.750%, 05/30/18............................. 8,000 8,037,680
Walt Disney Co. (The)
1.500%, 09/17/18 3,000 3,022,830
Wells Fargo & Co.
2.625%, 12/15/16............................. 4,000 4,008,528
1.500%, 01/16/18............................. 700 699,909
205
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Whirlpool Co.
1.350%, 03/01/17............................. $ 2,000 $ 2,001,830
1.650%, 11/01/17............................. 7,000 7,018,998
Zoetis, Inc.
1.875%, 02/01/18............................. 6,564 6,576,754
--------------
TOTAL UNITED STATES.............................. 647,814,807
--------------
TOTAL BONDS...................................... 1,082,584,798
--------------
AGENCY OBLIGATIONS -- (1.2%)
Federal Home Loan Bank
2.250%, 09/08/17............................. 10,000 10,133,440
1.625%, 06/14/19............................. 10,000 10,150,170
--------------
TOTAL AGENCY OBLIGATIONS......................... 20,283,610
--------------
U.S. TREASURY OBLIGATIONS -- (28.0%)
U.S. Treasury Notes
0.875%, 01/15/18............................. 39,000 39,062,478
FACE
AMOUNT^ VALUE+
------- ------
(000)
U.S. TREASURY OBLIGATIONS -- (Continued)
^^++ 1.375%, 06/30/18............................. $ 193,000 $ 194,726,385
0.750%, 02/15/19............................. 38,000 37,858,982
0.875%, 06/15/19............................. 66,000 65,853,018
0.875%, 09/15/19............................. 100,000 99,660,200
1.000%, 09/30/19............................. 32,000 32,009,984
--------------
TOTAL U.S. TREASURY OBLIGATIONS.................... 469,171,047
--------------
TOTAL INVESTMENT SECURITIES........................ 1,572,039,455
--------------
SHARES
------
SECURITIES LENDING COLLATERAL -- (6.1%)
(S)@ DFA Short Term Investment Fund............... 8,849,205 102,402,999
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,672,990,275)............................ $1,674,442,454
==============
Summary of the Portfolio's investments as of October 31, 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...................... -- $ 32,584,974 -- $ 32,584,974
Belgium........................ -- 11,087,960 -- 11,087,960
Canada......................... -- 92,122,777 -- 92,122,777
Denmark........................ -- 15,236,640 -- 15,236,640
Finland........................ -- 6,150,871 -- 6,150,871
France......................... -- 36,578,006 -- 36,578,006
Germany........................ -- 15,722,704 -- 15,722,704
Ireland........................ -- 7,830,260 -- 7,830,260
Italy.......................... -- 8,648,389 -- 8,648,389
Japan.......................... -- 33,191,005 -- 33,191,005
Netherlands.................... -- 55,910,861 -- 55,910,861
Norway......................... -- 6,097,449 -- 6,097,449
Spain.......................... -- 11,463,794 -- 11,463,794
Supranational Organization
Obligations.................. -- 5,008,025 -- 5,008,025
Sweden......................... -- 31,823,352 -- 31,823,352
Switzerland.................... -- 18,505,384 -- 18,505,384
United Kingdom................. -- 46,807,540 -- 46,807,540
United States.................. -- 647,814,807 -- 647,814,807
Agency Obligations.............. -- 20,283,610 -- 20,283,610
U.S. Treasury Obligations....... -- 469,171,047 -- 469,171,047
Securities Lending Collateral... -- 102,402,999 -- 102,402,999
Swap Agreements**............... -- (21,558,245) -- (21,558,245)
Futures Contracts**............. $(1,115,097) -- -- (1,115,097)
----------- -------------- -- --------------
TOTAL........................... $(1,115,097) $1,652,884,209 -- $1,651,769,112
=========== ============== == ==============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
206
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
ASSETS:
Investments at Value (including $100,273 of securities on loan).. $ 1,572,039
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $102,401).............................. 102,403
Cash............................................................. 41,600
Segregated Cash for Swaps Contracts.............................. 340
Receivables:
Interest........................................................ 8,172
Securities Lending Income....................................... 8
Fund Shares Sold................................................ 1,101
Prepaid Expenses and Other Assets................................ 34
------------
Total Assets................................................ 1,725,697
------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................................ 102,401
Fund Shares Redeemed............................................ 1,863
Due to Advisor.................................................. 400
Futures Margin Variation........................................ 1,264
Unrealized Loss on Swap Contracts................................ 21,558
Accrued Expenses and Other Liabilities........................... 114
------------
Total Liabilities........................................... 127,600
------------
NET ASSETS....................................................... $ 1,598,097
============
SHARES OUTSTANDING, $0.01 PAR VALUE (1).......................... 271,878,312
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE......... $ 5.88
============
Investments at Cost.............................................. $ 1,570,589
============
NET ASSETS CONSIST OF:
Paid-In Capital.................................................. $ 1,586,037
Undistributed Net Investment Income (Distributions in Excess of
Net Investment Income).......................................... 32,632
Accumulated Net Realized Gain (Loss)............................. 658
Net Unrealized Appreciation (Depreciation)....................... (21,230)
------------
NET ASSETS....................................................... $ 1,598,097
============
(1) NUMBER OF SHARES AUTHORIZED.................................. 800,000,000
============
See accompanying Notes to Financial Statements.
207
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED STATEMENT OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS)
INVESTMENT INCOME
Interest............................................................. $ 16,899
Income from Securities Lending....................................... 59
--------
Total Investment Income.......................................... 16,958
--------
EXPENSES
Investment Management Fees........................................... 4,845
Accounting & Transfer Agent Fees..................................... 77
Custodian Fees....................................................... 53
Filing Fees.......................................................... 156
Shareholders' Reports................................................ 68
Directors'/Trustees' Fees & Expenses................................. 9
Professional Fees.................................................... 38
Other................................................................ 35
--------
Total Expenses................................................... 5,281
--------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor (Note D)...................................... (866)
Fees Paid Indirectly (Note D)........................................ (18)
--------
Net Expenses......................................................... 4,397
--------
NET INVESTMENT INCOME (LOSS)......................................... 12,561
--------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**....................................... 484
Futures............................................................ 5,533
Swap Contracts..................................................... 22,428
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency......................... 1,678
Futures............................................................ 9
Swap Contracts..................................................... (20,194)
--------
NET REALIZED AND UNREALIZED GAIN (LOSS).............................. 9,938
--------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS....... $ 22,499
========
----------
**Net of foreign capital gain taxes withheld of $0.
See accompanying Notes to Financial Statements.
208
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA COMMODITY STRATEGY
PORTFOLIO
----------------------
YEAR YEAR
ENDED ENDED
OCT. 31, OCT. 31,
2016 2015
---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)................................... $ 12,561 $ 9,267
Net Realized Gain (Loss) on:
Investment Securities Sold*.................................. 484 (8,732)
Futures...................................................... 5,533 (17,337)
Swap Contracts............................................... 22,428 (339,100)
Foreign Currency Transactions................................ -- 5,799
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................... 1,678 4,896
Futures...................................................... 9 84
Swap Contracts............................................... (20,194) 11,136
Translation of Foreign Currency Denominated Amounts.......... -- (1,816)
---------- ----------
Net Increase (Decrease) in Net Assets Resulting from
Operations................................................ 22,499 (335,803)
---------- ----------
Distributions From:
Net Investment Income:.........................................
Institutional Class Shares................................... (7,538) (9,071)
Net Short-Term Gains:..........................................
Institutional Class Shares................................... -- (14)
Net Long-Term Gains:
Institutional Class Shares................................... (155) (889)
---------- ----------
Total Distributions........................................ (7,693) (9,974)
---------- ----------
Capital Share Transactions (1):
Shares Issued.................................................. 1,017,341 1,078,341
Shares Issued in Lieu of Cash Distributions.................... 7,499 9,738
Shares Redeemed................................................ (648,620) (729,422)
---------- ----------
Net Increase (Decrease) from Capital Share Transactions.... 376,220 358,657
---------- ----------
Total Increase (Decrease) in Net Assets.................... 391,026 12,880
NET ASSETS
Beginning of Year.............................................. 1,207,071 1,194,191
---------- ----------
End of Year.................................................... $1,598,097 $1,207,071
========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.................................................. 183,938 159,948
Shares Issued in Lieu of Cash Distributions.................... 1,318 1,339
Shares Redeemed................................................ (116,801) (107,182)
---------- ----------
Net Increase (Decrease) from Shares Issued and Redeemed.... 68,455 54,105
========== ==========
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN
EXCESS OF NET INVESTMENT INCOME)............................... $ 32,632 $ (102)
----------
* Net of foreign capital gain taxes withheld of $0 and $0, respectively.
See accompanying Notes to Financial Statements.
209
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA COMMODITY STRATEGY PORTFOLIO
----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
--------------------------------------------------------------------------------------------------------------
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)................ 0.05 0.05 0.06 0.06 0.07
Net Gains (Losses) on Securities (Realized and
Unrealized)................................... (0.07) (2.05) (0.31) (1.10) (0.37)
---------- ---------- ---------- -------- --------
Total from Investment Operations.............. (0.02) (2.00) (0.25) (1.04) (0.30)
--------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................... (0.03) (0.06) (0.04) (0.04) (0.06)
Net Realized Gains.............................. -- (0.01) (0.01) (0.02) (0.01)
---------- ---------- ---------- -------- --------
Total Distributions........................... (0.03) (0.07) (0.05) (0.06) (0.07)
--------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period................... $ 5.88 $ 5.93 $ 8.00 $ 8.30 $ 9.40
================================================ ========== ========== ========== ======== ========
Total Return..................................... (0.26)% (25.16)% (3.08)% (11.15)% (3.08)%
--------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)............ $1,598,097 $1,207,071 $1,194,191 $786,314 $458,079
Ratio of Expenses to Average Net Assets.......... 0.33% 0.34% 0.33% 0.34% 0.35%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees
Recovered by Advisor and Fees Paid Indirectly).. 0.40% 0.40% 0.39% 0.40% 0.41%
Ratio of Net Investment Income to Average Net
Assets.......................................... 0.95% 0.77% 0.65% 0.66% 0.79%
Portfolio Turnover Rate.......................... 159% 124% 104% 64% 69%
--------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
210
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, as
amended (the "1940 Act"), whose shares are generally offered, without a sales
charge, to institutional investors, retirement plans and clients of registered
investment advisors. The Fund consists of 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 is an investment company, and
accordingly, follows the accounting and reporting guidance under Financial
Accounting Standards Board ("FASB") Accounting Standards Certification ("ASC")
Topic 946, "Financial Services-Investment Companies."
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
211
not available from an independent third-party pricing service or source, the
swap agreement will be valued in good faith at fair value in accordance with
procedures adopted by the Board. These securities are generally categorized as
Level 2 in the hierarchy.
Over-the-counter derivative contracts, which include forward currency
contracts, do not require material subjectivity as pricing inputs are observed
from quoted markets and are categorized as Level 2 in the hierarchy.
A summary of the inputs used to value the Portfolio's investments by each
major security type, industry and/or country is disclosed previously in this
note. A valuation hierarchy table has been included at the end of the Schedule
of Investments. The inputs or methodology used for valuing securities are not
necessarily an indication of the risk associated with investing in those
securities.
For the year ended October 31, 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 October 31, 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 its portfolios
are allocated using methods approved by the Board, generally based on average
net assets.
C. BASIS FOR CONSOLIDATION:
The Subsidiary commenced operations on November 9, 2010. The Portfolio
commenced reporting on a consolidated basis as of such commencement date in
accordance with the accounting principles relating to reporting of a
wholly-owned subsidiary. The Portfolio will seek to gain exposure to
commodities, commodities-related instruments, derivatives and other investments
by directly investing in those instruments or through investments in the
Subsidiary. The Subsidiary participates in the same investment goal as the
Portfolio. The Subsidiary pursues its investment goal by investing in
commodities, commodities-related instruments, derivatives
212
and other investments. The Subsidiary (unlike the Portfolio) may invest without
limitation in these instruments. However, the Subsidiary is otherwise subject
to the same fundamental, non-fundamental and certain other investment
restrictions as the Portfolio. The portion of the Portfolio's or Subsidiary's
assets exposed to any particular commodity, derivative or other investment will
vary based on market conditions, but from time to time some exposure could be
substantial.
To the extent of the Portfolio's investment through the Subsidiary, it will
be subject to the risks associated with the commodities, derivatives and other
instruments in which the Subsidiary invests. By investing in the Subsidiary,
the Portfolio is indirectly exposed to the risks associated with the
Subsidiary's investments. The derivatives and other investments held by the
Subsidiary are generally similar to those that are permitted to be held by the
Portfolio and are subject to the same risks that apply to similar investments
if held directly by the Portfolio.
The Subsidiary is classified as a controlled foreign corporation under
Subchapter N of the Internal Revenue Code. Therefore, the Portfolio is required
to increase its taxable income by its share of the Subsidiary's income. Net
investment losses of the Subsidiary cannot be deducted by the Portfolio in the
current period nor carried forward to offset taxable income in future periods.
As of October 31, 2016, the Portfolio held a $322,425,722 investment in the
Subsidiary, representing 20.18% 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 year ended October 31, 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 a
class 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 investment of its securities
lending cash collateral in the DFA Short Term Investment Fund ("the Money
Market Series") and 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 October 31, 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 year ended October 31, 2016, approximately $866 (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
213
the accompanying financial statements is presented before reduction for
credits. The impact of such credits is generally less than one basis point of
the Portfolio's net assets. During the year ended October 31, 2016, expenses
reduced were as follows (amounts in thousands):
FEES PAID
INDIRECTLY
----------
DFA Commodity Strategy Portfolio.... $18
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 year ended October 31, 2016, the total related amounts paid by the Fund
to the CCO were $291 (in thousands). The total related amounts paid by the
Portfolio are included in Other Expenses on the Statement of Operations.
E. DEFERRED COMPENSATION:
At October 31, 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.... $14
F. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 2016, the Portfolio transactions related to
investment securities, other than short-term securities (amounts in thousands):
U.S. GOVERNMENT SECURITIES OTHER INVESTMENT SECURITIES
-------------------------- ---------------------------
PURCHASES SALES PURCHASES SALES
---------- ---------- --------- --------
DFA Commodity Strategy Portfolio.... $1,198,026 $1,730,299 $830,856 $309,617
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, 2016, 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.... $76 $27,711 $(27,787)
214
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2015 and October 31, 2016 were as follows (amounts
in thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- ------
DFA Commodity Strategy Portfolio
2015............................. $8,966 $1,009 $9,975
2016............................. 7,540 154 7,694
At October 31, 2016, 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.... $(1,657) -- $(1,657)
At October 31, 2016, 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............ $11,046 -- -- $1,109 $12,155
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, 2016, the
Portfolio did not have any capital loss carryforwards.
At October 31, 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)
----------- ------------ ------------ --------------
DFA Commodity Strategy
Portfolio................ $1,673,921 $1,374 $(852) $522
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.
215
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
216
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
217
(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.
218
At October 31, 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.............. 11/30/16 244 $ 11,861 $ (449)
CBT Wheat Futures.................... 12/14/16 161 3,351 5
Coffee 'C' Futures................... 12/19/16 57 3,509 227
Copper Futures....................... 12/28/16 164 9,041 190
Corn Futures......................... 12/14/16 468 8,301 306
Cotton No.2 Futures.................. 12/07/16 54 1,859 2
Gasoline RBOB Futures................ 12/30/16 84 5,000 (77)
Gold 100 oz Futures.................. 12/28/16 117 14,895 (393)
KCB Wheat Futures.................... 12/14/16 56 1,161 (17)
LME Nickel Futures................... 01/16/17 52 3,267 23
LME Nickel Futures................... 11/14/16 41 2,568 (10)
LME Nickel Futures................... 01/16/17 (1) (63) 1
LME Nickel Futures................... 11/14/16 (41) (2,568) (5)
LME Prime Aluminum Futures........... 01/16/17 144 6,247 252
LME Prime Aluminum Futures........... 11/14/16 111 4,812 282
LME Prime Aluminum Futures........... 01/16/17 (4) (174) (6)
LME Prime Aluminum Futures........... 11/14/16 (111) (4,812) (243)
LME Zinc Futures..................... 01/16/17 76 4,677 220
LME Zinc Futures..................... 11/14/16 58 3,557 278
LME Zinc Futures..................... 01/16/17 (2) (123) (3)
LME Zinc Futures..................... 11/14/16 (58) (3,557) (191)
Lean Hogs Futures.................... 12/14/16 95 1,822 (82)
Live Cattle Futures.................. 12/30/16 73 3,017 (61)
NY Harbor ULSD Futures............... 12/30/16 93 5,943 (185)
Natural Gas Futures.................. 12/28/16 415 13,259 (746)
Silver Futures....................... 12/28/16 68 6,051 (362)
Soybean Futures...................... 01/13/17 148 7,487 264
Soybean Meal Futures................. 01/13/17 119 3,783 147
Soybean Oil Futures.................. 01/13/17 178 3,780 109
Sugar #11 Futures.................... 02/28/17 252 6,088 (50)
WTI Crude Futures.................... 12/20/16 238 11,295 (541)
-------- -------
$135,334 $(1,115)
======== =======
The Subsidiary's securities have been segregated as collateral for open
futures contracts.
At October 31, 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** 01/05/17 USD $(101,802) $(1,358)
Bank of America Corp.............. Index** 01/05/17 USD (192,289) (2,995)
Citibank, N.A..................... Index** 01/05/17 USD (137,464) (1,835)
Citibank, N.A..................... Index** 01/05/17 USD (152,532) (2,376)
Credit Suisse..................... Index** 12/05/16 USD (120,222) (1,873)
Credit Suisse..................... Index** 12/05/16 USD (150,248) (2,006)
Deutsche Bank AG, London Branch... Index** 12/05/16 USD (135,459) (1,821)
Deutsche Bank AG, London Branch... Index* 12/05/16 USD (134,108) (2,091)
219
UNREALIZED
COMMODITY EXPIRATION NOTIONAL APPRECIATION
COUNTERPARTY EXPOSURE DATE CURRENCY AMOUNT (DEPRECIATION)
------------ --------- ---------- -------- ----------- --------------
UBS AG............................ Index* 02/03/17 USD $ (99,185) $ (1,287)
UBS AG............................ Index* 02/03/17 USD (256,720) (3,916)
----------- --------
$(1,480,029) $(21,558)
=========== ========
* Swap is exposed to the 22 commodities in the Bloomberg Commodity Index Total
Return.
The average volume (based on the open positions at each fiscal month-end) of
derivative activity for the year ended October 31, 2016 (amounts in thousands):
SWAP
FUTURES CONTRACTS
------- ----------
DFA Commodity Strategy Portfolio. $84,060 $1,277,436
The following is a summary of the location of derivatives on the Portfolio's
Statement of Assets and Liabilities as of October 31, 2016:
LOCATION ON THE STATEMENT OF ASSETS AND LIABILITIES
---------------------------------------------------
DERIVATIVE TYPE LIABILITY DERIVATIVES
--------------- ------------------------
Commodity Futures Payables: Futures Margin
Contracts Variation
Commodity Swap Contracts Unrealized Loss on Swap
Contracts
The following is a summary of the Portfolio's derivative instrument holdings
categorized by primary risk exposure as of October 31, 2016 (amounts in
thousands):
LIABILITY DERIVATIVES VALUE
-------------------------------------
TOTAL VALUE
AT COMMODITY SWAP
OCTOBER 31, 2016 CONTRACTS* CONTRACTS
- ---------------- ---------- ---------
Dimensional Cayman Commodity
Fund I, LTD................. $22,822 $1,264 $21,558
* Includes cumulative appreciation (depreciation) of futures contracts.
The following is a summary of the location on the Portfolio's Statement of
Operations of realized and change in unrealized gains and losses from the
Portfolio's derivative instrument holdings for the year ended October 31, 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
220
The following is a summary of the realized and change in unrealized gains
and losses from the Portfolio's derivative instrument holdings categorized by
primary risk exposure through the year ended October 31, 2016 (amounts in
thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
----------------------------
COMMODITY SWAP
TOTAL CONTRACTS CONTRACTS
-------- --------- ---------
Dimensional Cayman Commodity
Fund I, LTD................. $ 27,961 $5,533 $ 22,428
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES
----------------------------
COMMODITY SWAP
TOTAL CONTRACTS CONTRACTS
-------- --------- ---------
Dimensional Cayman Commodity
Fund I, LTD................. $(20,185) $ 9 $(20,194)
OFFSETTING OF DERIVATIVE ASSETS AND DERIVATIVE LIABILITIES
In order to better define its contractual rights and to secure rights that
will help the Fund mitigate its counterparty risk, the Fund entered into an
International Swaps and Derivatives Association, Inc. Master Agreement (ISDA
Master Agreement) or a similar agreement with certain of its derivative
contract counterparties. An ISDA Master Agreement is a bilateral agreement
between the Fund and a counterparty that governs over-the-counter (OTC)
derivatives and foreign exchange contracts and typically contains, among other
things, provisions in the event of a default and/or termination event and may
also include collateral posting items. Under an ISDA Master Agreement, the Fund
may, under certain circumstances, offset with the counterparty certain
derivative financial instruments' payables and/or receivables with collateral
held and/or posted, if any, and create one single net payment. The provisions
of the ISDA Master Agreement typically permit a single net payment in the event
of a default (close-out), including the bankruptcy or insolvency of the
counterparty. However, bankruptcy or insolvency laws of a particular
jurisdiction may impose restrictions on or prohibitions against the right of
offset in bankruptcy, insolvency, or other events.
For financial reporting purposes, the Fund does not offset derivative assets
and derivative liabilities that are subject to netting arrangements in the
"Statement of assets and liabilities."
The following table presents 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 October 31, 2016
(Amounts in thousands):
NET NET
AMOUNTS AMOUNTS
OF GROSS AMOUNTS NOT OF GROSS AMOUNTS NOT
ASSETS OFFSET IN THE LIABILITIES OFFSET IN THE
PRESENTED STATEMENTS OF ASSETS PRESENTED STATEMENTS OF ASSETS
GROSS IN THE AND LIABILITIES GROSS IN THE AND LIABILITIES
AMOUNTS OF STATEMENTS ---------------------- AMOUNTS OF STATEMENTS ---------------------
RECOGNIZED OF ASSETS FINANCIAL CASH NET RECOGNIZED OF ASSETS FINANCIAL CASH NET
ASSETS AND INSTRUMENTS COLLATERAL AMOUNT LIABILITIES AND INSTRUMENTS COLLATERAL AMOUNT
DESCRIPTION (A) LIABILITIES (B) RECEIVED (C) (A) LIABILITIES (D) PLEDGED (E)
----------- ---------- ----------- ----------- ---------- ------ ----------- ----------- ----------- ---------- -------
ASSETS LIABILITIES
---------------------------------------------------- ------------------------------------------------------
DFA COMMODITY
STRATEGY PORTFOLIO
Swap Contracts...... -- -- -- -- -- $21,558 $21,558 -- $(340) $21,218
(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.
221
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.
There were no borrowings by the Portfolio under the lines of credit during
the year ended October 31, 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 year ended October 31, 2016.
J. SECURITIES LENDING:
As of October 31, 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, the 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 Money Market
Series, an affiliated registered money market fund advised by the Advisor for
222
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 October 31, 2016:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF OCTOBER 31, 2016
---------------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
------------- -------- ------------ -------- ------------
SECURITIES LENDING TRANSACTIONS
DFA COMMODITY STRATEGY PORTFOLIO
Bonds, U.S. Treasury Obligations. $102,402,999 -- -- -- $102,402,999
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 October 31, 2016, 3 shareholders held 63% 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 through the date that the financial statements were issued and has
determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
223
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of DFA Investment Dimensions Group Inc. and
Shareholders of DFA Commodity Strategy Portfolio:
In our opinion, the accompanying consolidated statement of assets and
liabilities, including the consolidated schedule of investments, and the
related consolidated statements of operations and of changes in net assets and
the financial highlights present fairly, in all material respects, the
financial position of DFA Commodity Strategy Portfolio and its subsidiary (one
of the portfolios constituting DFA Investment Dimensions Group Inc., hereafter
referred to as the "Portfolio") as of October 31, 2016, the results of its
operations for the year then ended, the changes in its net assets for each of
the two years in the period then ended and the financial highlights for each of
the five years in the period then ended, in conformity with accounting
principles generally accepted in the United States of America. These financial
statements and financial highlights (hereafter referred to as "financial
statements") are the responsibility of the Portfolio's management. Our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with the standards of the Public Company Accounting Oversight Board (United
States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities as of October 31, 2016 by
correspondence with the custodian, brokers and the transfer agent of the
investee fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 20, 2016
224
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA INTERNATIONAL VALUE PORTFOLIO -- CLASS R2 VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
APRIL 30, 2008-OCTOBER 31, 2016
[CHART]
DFA International Value MSCI World ex USA Index
Portfolio - Class R2 (net dividends)
----------------------- ------------------------
4/30/2008 $10,000 $10,000
5/31/2008 10,000 10,152
6/30/2008 9,006 9,362
7/31/2008 8,752 9,029
8/31/2008 8,381 8,680
9/30/2008 7,404 7,427
10/31/2008 5,537 5,882
11/30/2008 5,194 5,563
12/31/2008 5,594 5,856
1/31/2009 4,819 5,310
2/28/2009 4,220 4,772
3/31/2009 4,686 5,087
4/30/2009 5,539 5,743
5/31/2009 6,361 6,469
6/30/2009 6,268 6,402
7/31/2009 7,007 7,003
8/31/2009 7,404 7,339
9/30/2009 7,789 7,641
10/31/2009 7,467 7,519
11/30/2009 7,685 7,705
12/31/2009 7,769 7,828
1/31/2010 7,316 7,461
2/28/2010 7,340 7,453
3/31/2010 7,920 7,933
4/30/2010 7,781 7,815
5/31/2010 6,874 6,952
6/30/2010 6,751 6,852
7/31/2010 7,584 7,485
8/31/2010 7,209 7,261
9/30/2010 7,990 7,958
10/31/2010 8,259 8,241
11/30/2010 7,836 7,892
12/31/2010 8,567 8,528
1/31/2011 8,931 8,712
2/28/2011 9,224 9,035
3/31/2011 8,966 8,854
4/30/2011 9,443 9,336
5/31/2011 9,097 9,059
6/30/2011 8,968 8,930
7/31/2011 8,679 8,783
8/31/2011 7,744 8,040
9/30/2011 6,896 7,233
10/31/2011 7,555 7,936
11/30/2011 7,306 7,569
12/31/2011 7,106 7,487
1/31/2012 7,579 7,891
2/29/2012 7,974 8,325
3/31/2012 7,907 8,263
4/30/2012 7,622 8,123
5/31/2012 6,676 7,197
6/30/2012 7,146 7,669
7/31/2012 7,112 7,764
8/31/2012 7,407 7,986
9/30/2012 7,665 8,228
10/31/2012 7,759 8,286
11/30/2012 7,877 8,460
12/31/2012 8,263 8,716
1/31/2013 8,646 9,144
2/28/2013 8,382 9,053
3/31/2013 8,408 9,125
4/30/2013 8,817 9,541
5/31/2013 8,707 9,327
6/30/2013 8,400 8,978
7/31/2013 8,968 9,455
8/31/2013 8,902 9,333
9/30/2013 9,570 9,993
10/31/2013 9,901 10,328
11/30/2013 9,931 10,391
12/31/2013 10,149 10,548
1/31/2014 9,775 10,122
2/28/2014 10,328 10,675
3/31/2014 10,249 10,627
4/30/2014 10,420 10,794
5/31/2014 10,529 10,961
6/30/2014 10,661 11,117
7/31/2014 10,419 10,919
8/31/2014 10,419 10,928
9/30/2014 9,956 10,479
10/31/2014 9,782 10,312
11/30/2014 9,787 10,439
12/31/2014 9,412 10,092
1/31/2015 9,348 10,056
2/28/2015 10,014 10,657
3/31/2015 9,801 10,479
4/30/2015 10,334 10,933
5/31/2015 10,334 10,838
6/30/2015 10,032 10,530
7/31/2015 9,934 10,697
8/31/2015 9,191 9,917
9/30/2015 8,557 9,417
10/31/2015 9,216 10,125
11/30/2015 9,091 9,964
12/31/2015 8,798 9,785
1/31/2016 8,107 9,112
2/29/2016 7,843 8,985
3/31/2016 8,438 9,594
4/30/2016 8,841 9,903
5/31/2016 8,675 9,791
6/30/2016 8,356 9,493
7/31/2016 8,727 9,960
8/31/2016 8,958 9,970 Past performance is not predictive of
9/30/2016 9,063 10,091 future performance.
10/31/2016 9,176 9,895 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE SINCE would pay on fund distributions or the
TOTAL RETURN YEAR YEARS INCEPTION redemption of fund shares.
------------------------------------------------------------ MSCI data copyright MSCI 2016, all
-0.43% 3.96% -1.01% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA INTERNATIONAL VALUE PORTFOLIO -- INSTITUTIONAL CLASS VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
DFA International Value MSCI World ex USA Index
Portfolio-Institutional Class (net div.)
----------------------------- -----------------------
10/31/2006 $10,000 $10,000
11/30/2006 10,327 10,298
12/31/2006 10,730 10,593
1/31/2007 10,929 10,658
2/28/2007 10,920 10,743
3/31/2007 11,270 11,018
4/30/2007 11,836 11,520
5/31/2007 12,240 11,775
6/30/2007 12,150 11,787
7/31/2007 11,811 11,624
8/31/2007 11,674 11,456
9/30/2007 12,282 12,107
10/31/2007 12,874 12,633
11/30/2007 12,092 12,139
12/31/2007 11,829 11,911
1/31/2008 10,870 10,837
2/29/2008 10,729 11,033
3/31/2008 10,858 10,876
4/30/2008 11,341 11,480
5/31/2008 11,345 11,655
6/30/2008 10,219 10,748
7/31/2008 9,930 10,366
8/31/2008 9,511 9,965
9/30/2008 8,401 8,526
10/31/2008 6,293 6,753
11/30/2008 5,907 6,386
12/31/2008 6,348 6,723
1/31/2009 5,474 6,096
2/28/2009 4,802 5,479
3/31/2009 5,323 5,840
4/30/2009 6,301 6,593
5/31/2009 7,238 7,427
6/30/2009 7,129 7,350
7/31/2009 7,973 8,040
8/31/2009 8,425 8,425
9/30/2009 8,859 8,773
10/31/2009 8,502 8,632
11/30/2009 8,750 8,845
12/31/2009 8,853 8,986
1/31/2010 8,339 8,565
2/28/2010 8,365 8,557
3/31/2010 9,032 9,107
4/30/2010 8,876 8,972
5/31/2010 7,831 7,982
6/30/2010 7,695 7,866
7/31/2010 8,655 8,593
8/31/2010 8,228 8,336
9/30/2010 9,109 9,136
10/31/2010 9,432 9,462
11/30/2010 8,950 9,061
12/31/2010 9,789 9,790
1/31/2011 10,204 10,001
2/28/2011 10,540 10,372
3/31/2011 10,249 10,164
4/30/2011 10,794 10,718
5/31/2011 10,404 10,400
6/30/2011 10,259 10,252
7/31/2011 9,927 10,083
8/31/2011 8,863 9,231
9/30/2011 7,893 8,304
10/31/2011 8,642 9,111
11/30/2011 8,363 8,690
12/31/2011 8,139 8,595
1/31/2012 8,686 9,059
2/29/2012 9,133 9,557
3/31/2012 9,062 9,487
4/30/2012 8,736 9,326
5/31/2012 7,657 8,262
6/30/2012 8,196 8,804
7/31/2012 8,162 8,913
8/31/2012 8,495 9,168
9/30/2012 8,797 9,446
10/31/2012 8,910 9,512
11/30/2012 9,046 9,712
12/31/2012 9,491 10,006
1/31/2013 9,932 10,498
2/28/2013 9,634 10,393
3/31/2013 9,663 10,476
4/30/2013 10,138 10,953
5/31/2013 10,012 10,708
6/30/2013 9,659 10,307
7/31/2013 10,319 10,855
8/31/2013 10,243 10,715
9/30/2013 11,015 11,472
10/31/2013 11,396 11,857
11/30/2013 11,437 11,930
12/31/2013 11,685 12,110
1/31/2014 11,255 11,621
2/28/2014 11,898 12,255
3/31/2014 11,812 12,200
4/30/2014 12,009 12,392
5/31/2014 12,141 12,584
6/30/2014 12,287 12,763
7/31/2014 12,013 12,536
8/31/2014 12,013 12,546
9/30/2014 11,488 12,030
10/31/2014 11,286 11,839
11/30/2014 11,292 11,985
12/31/2014 10,869 11,586
1/31/2015 10,795 11,545
2/28/2015 11,565 12,235
3/31/2015 11,318 12,030
4/30/2015 11,940 12,551
5/31/2015 11,946 12,442
6/30/2015 11,599 12,089
7/31/2015 11,486 12,280
8/31/2015 10,627 11,386
9/30/2015 9,900 10,811
10/31/2015 10,656 11,624
11/30/2015 10,518 11,439
12/31/2015 10,183 11,234
1/31/2016 9,382 10,461
2/29/2016 9,084 10,315
3/31/2016 9,769 11,015
4/30/2016 10,242 11,369
5/31/2016 10,050 11,241
6/30/2016 9,681 10,899
7/31/2016 10,117 11,435
8/31/2016 10,383 11,446 Past performance is not predictive of
9/30/2016 10,504 11,585 future performance.
10/31/2016 10,635 11,360 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
------------------------------------------------------------- MSCI data copyright MSCI 2016, all
-0.20% 4.21% 0.62% rights reserved.
--------------------------------------------------------------------------------
225
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
U.S. LARGE COMPANY PORTFOLIO VS.
S&P 500 INDEX
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
U.S. Large Company
Portfolio S&P 500 Index
------------------ -------------
10/31/06 $10,000 $10,000
11/30/06 10,185 10,190
12/31/06 10,331 10,333
01/31/07 10,490 10,489
02/28/07 10,285 10,284
03/31/07 10,393 10,399
04/30/07 10,861 10,860
05/31/07 11,234 11,239
06/30/07 11,053 11,052
07/31/07 10,706 10,709
08/31/07 10,865 10,870
09/30/07 11,273 11,277
10/31/07 11,452 11,456
11/30/07 10,971 10,977
12/31/07 10,902 10,901
01/31/08 10,246 10,247
02/29/08 9,914 9,914
03/31/08 9,877 9,871
04/30/08 10,353 10,352
05/31/08 10,487 10,486
06/30/08 9,607 9,602
07/31/08 9,530 9,522
08/31/08 9,664 9,659
09/30/08 8,813 8,799
10/31/08 7,340 7,321
11/30/08 6,820 6,796
12/31/08 6,894 6,868
01/31/09 6,320 6,289
02/28/09 5,648 5,619
03/31/09 6,143 6,112
04/30/09 6,731 6,696
05/31/09 7,113 7,071
06/30/09 7,122 7,085
07/31/09 7,664 7,621
08/31/09 7,940 7,896
09/30/09 8,237 8,191
10/31/09 8,079 8,039
11/30/09 8,564 8,521
12/31/09 8,729 8,685
01/31/10 8,420 8,373
02/28/10 8,680 8,632
03/31/10 9,205 9,153
04/30/10 9,345 9,298
05/31/10 8,596 8,555
06/30/10 8,146 8,107
07/31/10 8,717 8,675
08/31/10 8,327 8,284
09/30/10 9,067 9,023
10/31/10 9,410 9,366
11/30/10 9,410 9,368
12/31/10 10,039 9,994
01/31/11 10,282 10,231
02/28/11 10,627 10,581
03/31/11 10,639 10,585
04/30/11 10,944 10,899
05/31/11 10,822 10,775
06/30/11 10,639 10,596
07/31/11 10,424 10,380
08/31/11 9,862 9,816
09/30/11 9,164 9,126
10/31/11 10,170 10,124
11/30/11 10,140 10,101
12/31/11 10,250 10,205
01/31/12 10,705 10,662
02/29/12 11,161 11,123
03/31/12 11,534 11,489
04/30/12 11,462 11,417
05/31/12 10,766 10,731
06/30/12 11,211 11,173
07/31/12 11,368 11,328
08/31/12 11,618 11,583
09/30/12 11,918 11,883
10/31/12 11,698 11,663
11/30/12 11,771 11,731
12/31/12 11,871 11,838
01/31/13 12,485 12,451
02/28/13 12,654 12,620
03/31/13 13,129 13,093
04/30/13 13,384 13,346
05/31/13 13,692 13,658
06/30/13 13,513 13,474
07/31/13 14,196 14,160
08/31/13 13,780 13,750
09/30/13 14,214 14,181
10/31/13 14,868 14,833
11/30/13 15,318 15,285
12/31/13 15,709 15,672
01/31/14 15,159 15,130
02/28/14 15,860 15,822
03/31/14 15,989 15,955
04/30/14 16,108 16,073
05/31/14 16,476 16,450
06/30/14 16,815 16,790
07/31/14 16,587 16,559
08/31/14 17,250 17,221
09/30/14 17,005 16,980
10/31/14 17,421 17,394
11/30/14 17,891 17,862
12/31/14 17,835 17,817
01/31/15 17,296 17,282
02/28/15 18,297 18,276
03/31/15 18,005 17,986
04/30/15 18,171 18,159
05/31/15 18,403 18,393
06/30/15 18,052 18,037
07/31/15 18,429 18,414
08/31/15 17,320 17,303
09/30/15 16,891 16,875
10/31/15 18,307 18,299
11/30/15 18,374 18,353
12/31/15 18,081 18,064
01/31/16 17,176 17,167
02/29/16 17,164 17,144
03/31/16 18,324 18,307
04/30/16 18,392 18,378
05/31/16 18,722 18,708
06/30/16 18,763 18,757
07/31/16 19,461 19,448
08/31/16 19,484 19,476 Past performance is not predictive of
09/30/16 19,494 19,479 future performance.
10/31/16 19,138 19,124 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
------------------------------------------- The S&P data are provided by Standard
4.54% 13.48% 6.71% & Poor's Index Services Group.
--------------------------------------------------------------------------------
226
DIMENSIONAL INVESTMENT GROUP INC.
MANAGEMENT'S DISCUSSION AND ANALYSIS
(UNAUDITED)
INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2016
Performance of non-U.S. developed markets was varied for the period.
Small-cap stocks had positive returns, while large-cap stocks had negative
returns. As measured by the MSCI World ex USA indices, small-cap stocks
outperformed large-cap stocks, and value stocks outperformed growth stocks.
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
RETURN IN U.S. DOLLARS
----------------------
MSCI World ex USA Index...................... -2.27%
MSCI World ex USA Small Cap Index............ 3.96%
MSCI World ex USA Value Index................ -2.07%
MSCI World ex USA Growth Index............... -2.58%
During the period, the performance of the U.S. dollar was mixed when
compared against currencies of other developed markets. In particular, while
the U.S. dollar appreciated significantly against the British pound, it
depreciated significantly against the Japanese yen. Overall, currency
fluctuations detracted from USD-denominated returns in developed markets.
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLARS
--------------------------------------------------- ------------ ----------------------
Japan............................. -10.14% 3.19%
United Kingdom.................... 13.55% -10.24%
France............................ -4.31% -5.04%
Switzerland....................... -8.27% -8.57%
Canada............................ 11.55% 8.90%
Germany........................... -2.14% -2.89%
Australia......................... 5.52% 12.55%
Hong Kong......................... 8.52% 8.45%
Spain............................. -8.40% -9.10%
Netherlands....................... 0.63% -0.20%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2016, all rights reserved
Emerging markets had stronger performance over the period than non-U.S.
developed markets. As measured by the MSCI emerging markets indices, small-cap
stocks underperformed large-cap stocks, and growth stocks outperformed value
stocks.
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
RETURN IN U.S. DOLLARS
----------------------
MSCI Emerging Markets Index...................................... 9.27%
MSCI Emerging Markets Small Cap Index............................ 4.78%
MSCI Emerging Markets Value Index................................ 8.60%
MSCI Emerging Markets Growth Index............................... 9.81%
During the period, the performance of the U.S. dollar was mixed when
compared against the currencies of emerging markets. In particular, while the
U.S. dollar appreciated significantly against the Mexican peso, it also
depreciated significantly against the Brazilian real. Overall, currency
fluctuations benefitted from USD-denominated returns in emerging markets.
227
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
TEN LARGEST EMERGING MARKETS BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLARS
------------------------------------------ ------------ ----------------------
China........................ 1.62% 1.54%
Korea........................ 5.56% 5.17%
Taiwan....................... 14.56% 17.85%
India........................ 6.28% 3.99%
South Africa................. -0.92% 1.46%
Brazil....................... 40.59% 70.69%
Mexico....................... 8.65% -4.51%
Russia....................... 17.86% 18.61%
Malaysia..................... 4.44% 6.95%
Indonesia.................... 26.13% 32.31%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2016, all rights reserved.
For funds investing in non-US equities traded outside of the U.S. market
time zone, differences in the valuation timing and methodology between a fund
and its benchmark index may impact relative performance over the referenced
period. The funds price foreign exchange rates at the closing of the U.S.
market while their benchmark indices use rates at 4 pm London time. The funds
also may use fair value pricing to price certain portfolio securities at the
closing of the U.S. market, while benchmark indices may use local market
closing prices. For the one-year period ended October 31, 2016, these
differences generally benefitted the funds' relative performance.
MASTER-FEEDER STRUCTURE
Certain portfolios described below, called "Feeder Funds," do not buy
individual securities directly; instead, these portfolios invest in
corresponding funds called "Master Funds." Master Funds, in turn, purchase
stocks and/or other securities directly.
INTERNATIONAL EQUITY PORTFOLIO PERFORMANCE OVERVIEW
DFA INTERNATIONAL VALUE PORTFOLIO
The DFA International Value Portfolio is designed to capture the returns of
developed ex U.S. large company value stocks by purchasing shares of the DFA
International Value Series, a Master Fund managed by Dimensional that invests
in such securities. Value is measured primarily by price-to-book ratio. The
investment strategy is process driven, emphasizing broad diversification. As of
October 31, 2016, the Master Fund held approximately 500 securities in 22
eligible developed markets. In general, average cash exposure throughout the
year was less than 1% of the Master Fund's assets.
For the 12 months ended October 31, 2016, total returns were -0.43% for the
Portfolio's Class R2 shares, -0.20% for the Portfolio's Institutional Class
shares, and -2.27% for the MSCI World ex USA Index (net dividends), the
Portfolio's benchmark. As a result of the Master Fund's diversified investment
approach, performance was determined principally by broad trends in developed
ex U.S. equity markets rather than by the behavior of a limited number of
stocks. The Master Fund invests primarily in value stocks, while the benchmark
is neutral with regard to value or growth stocks. The Master Fund's emphasis on
deep value stocks contributed positively to its performance relative to the
benchmark, as that segment of the market outperformed for the year. The Master
Fund's emphasis on mid-cap stocks also contributed positively to relative
performance, as those stocks outperformed for the period.
U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2016
Most U.S. equities had positive returns during the period. The broad U.S.
equity market, as measured by the Russell 3000(R) Index, gained approximately
4.2%. Large-cap stocks outperformed small-cap stocks as measured by the Russell
indices.
228
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2016
-------------------------------------------------
Russell 3000(R) Index............................. 4.24%
Russell Microcap(R) Index (micro-cap stocks)...... 1.54%
Russell 2000(R) Index (small-cap stocks).......... 4.11%
Russell 1000(R) Index (large-cap stocks).......... 4.26%
Dow Jones U.S. Select REIT Index /SM/............. 4.96%
Value stocks outperformed growth stocks as measured by the Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2016
-------------------------------------------------
Russell 2000(R) Value Index (small-cap value stocks)............. 8.81%
Russell 2000(R) Growth Index (small-cap growth stocks)........... -0.49%
Russell 1000(R) Value Index (large-cap value stocks)............. 6.37%
Russell 1000(R) Growth Index (large-cap growth stocks)........... 2.28%
----------
Source: Frank Russell Company is the source and owner of the trademarks,
service marks, and copyrights related to the Russell Indexes.
U.S. LARGE COMPANY PORTFOLIO
The U.S. Large Company Portfolio seeks to approximate the returns of the S&P
500(R) Index by investing in S&P 500(R) Index securities in approximately the
same proportions as they are represented in the Index. In addition to
individual stocks, the Portfolio uses futures to gain market exposure for
uninvested cash. In general, average cash exposure throughout the year was less
than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2016, the total return was 4.54% for the
Portfolio and 4.51% for the S&P 500(R) Index, the Portfolio's benchmark. The
Portfolio's return, net of fees and expenses, outperformed the benchmark. The
Portfolio benefited from a flexible trading approach that helps minimize the
potential negative effects of trading during index reconstitution.
229
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2016
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/16 10/31/16 RATIO* PERIOD*
--------- --------- ---------- --------
DFA INTERNATIONAL VALUE PORTFOLIO**
-----------------------------------
Actual Fund Return
Class R2 Shares.................... $1,000.00 $1,037.80 0.68% $3.48
Institutional Class Shares......... $1,000.00 $1,038.40 0.43% $2.20
Hypothetical 5% Annual Return
Class R2 Shares.................... $1,000.00 $1,021.72 0.68% $3.46
Institutional Class Shares......... $1,000.00 $1,022.97 0.43% $2.19
230
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/16 10/31/16 RATIO* PERIOD*
--------- --------- ---------- --------
U.S. LARGE COMPANY
PORTFOLIO
------------------
Actual Fund Return......... $1,000.00 $1,040.60 0.08% $0.41
Hypothetical 5% Annual
Return................... $1,000.00 $1,024.73 0.08% $0.41
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then divided
by the number of days in the year (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).
231
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on September 28, 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....................... 12.5%
Consumer Staples............................. 10.0%
Energy....................................... 7.2%
Financials................................... 13.3%
Health Care.................................. 14.0%
Industrials.................................. 9.8%
Information Technology....................... 21.6%
Materials.................................... 2.8%
Real Estate.................................. 2.9%
Telecommunication Services................... 2.5%
Utilities.................................... 3.4%
-----
100.0%
232
DFA INTERNATIONAL VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
VALUE+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The DFA International Value Series of
The DFA Investment Trust Company..................... $7,275,892,237
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $7,290,534,122)............................. $7,275,892,237
==============
Summary of the Portfolio's Master Fund's investments as of October 31, 2016,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
233
U.S. LARGE COMPANY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (94.9%)
Consumer Discretionary -- (11.8%)
* Amazon.com, Inc.............................. 135,980 $107,399,724 1.7%
Comcast Corp. Class A........................ 830,219 51,324,139 0.8%
Home Depot, Inc. (The)....................... 426,992 52,097,294 0.8%
McDonald's Corp.............................. 294,906 33,197,568 0.5%
Walt Disney Co. (The)........................ 510,954 47,360,326 0.7%
Other Securities............................. 499,518,173 7.9%
------------ -----
Total Consumer Discretionary..................... 790,897,224 12.4%
------------ -----
Consumer Staples -- (9.5%)
Altria Group, Inc............................ 675,216 44,645,282 0.7%
Coca-Cola Co. (The).......................... 1,342,386 56,917,166 0.9%
CVS Health Corp.............................. 368,464 30,987,822 0.5%
PepsiCo, Inc................................. 497,347 53,315,598 0.8%
Philip Morris International, Inc............. 536,110 51,702,448 0.8%
Procter & Gamble Co. (The)................... 922,271 80,053,123 1.2%
Wal-Mart Stores, Inc......................... 523,797 36,676,266 0.6%
Other Securities............................. 283,747,526 4.5%
------------ -----
Total Consumer Staples........................... 638,045,231 10.0%
------------ -----
Energy -- (6.8%)
Chevron Corp................................. 651,947 68,291,448 1.1%
Exxon Mobil Corp............................. 1,433,006 119,398,060 1.9%
Schlumberger, Ltd............................ 480,598 37,597,182 0.6%
Other Securities............................. 231,868,396 3.6%
------------ -----
Total Energy..................................... 457,155,086 7.2%
------------ -----
Financials -- (12.6%)
Bank of America Corp......................... 3,526,591 58,188,752 0.9%
* Berkshire Hathaway, Inc. Class B............. 656,140 94,681,002 1.5%
Citigroup, Inc............................... 1,004,044 49,348,763 0.8%
JPMorgan Chase & Co.......................... 1,248,235 86,452,756 1.4%
Wells Fargo & Co............................. 1,569,283 72,202,711 1.1%
Other Securities............................. 484,844,762 7.6%
------------ -----
Total Financials................................. 845,718,746 13.3%
------------ -----
Health Care -- (13.3%)
AbbVie, Inc.................................. 562,794 31,392,649 0.5%
* Allergan P.L.C............................... 136,848 28,593,021 0.4%
Amgen, Inc................................... 258,620 36,506,799 0.6%
Bristol-Myers Squibb Co...................... 577,630 29,407,143 0.5%
* Celgene Corp................................. 268,047 27,389,042 0.4%
Gilead Sciences, Inc......................... 456,050 33,578,961 0.5%
Johnson & Johnson............................ 945,469 109,664,949 1.7%
Medtronic P.L.C.............................. 477,572 39,170,455 0.6%
Merck & Co., Inc............................. 955,605 56,113,126 0.9%
Pfizer, Inc.................................. 2,096,178 66,469,804 1.0%
UnitedHealth Group, Inc...................... 329,129 46,515,802 0.7%
Other Securities............................. 383,047,203 6.1%
------------ -----
Total Health Care................................ 887,848,954 13.9%
------------ -----
Industrials -- (9.3%)
3M Co........................................ 208,870 34,526,211 0.5%
# Boeing Co. (The)............................. 200,618 28,574,022 0.4%
234
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (Continued)
General Electric Co.............................. 3,096,837 $ 90,117,957 1.4%
Honeywell International, Inc..................... 263,044 28,850,666 0.5%
United Technologies Corp......................... 269,142 27,506,312 0.4%
Other Securities................................. 411,071,277 6.6%
-------------- ------
Total Industrials...................................... 620,646,445 9.8%
-------------- ------
Information Technology -- (20.5%)
* Alphabet, Inc. Class A........................... 101,893 82,523,141 1.3%
* Alphabet, Inc. Class C........................... 102,119 80,116,440 1.3%
Apple, Inc....................................... 1,862,147 211,428,170 3.3%
Cisco Systems, Inc............................... 1,738,176 53,327,240 0.8%
* Facebook, Inc. Class A........................... 802,772 105,155,104 1.6%
Intel Corp....................................... 1,634,947 57,010,602 0.9%
# International Business Machines Corp............. 300,593 46,198,138 0.7%
Mastercard, Inc. Class A......................... 331,389 35,465,251 0.5%
Microsoft Corp................................... 2,692,950 161,361,564 2.5%
Oracle Corp...................................... 1,040,060 39,959,105 0.6%
QUALCOMM, Inc.................................... 509,266 34,996,759 0.5%
# Visa, Inc. Class A............................... 651,917 53,789,672 0.8%
Other Securities................................. 412,610,036 6.8%
-------------- ------
Total Information Technology........................... 1,373,941,222 21.6%
-------------- ------
Materials -- (2.7%)
Other Securities................................. 178,526,813 2.8%
-------------- ------
Real Estate -- (2.8%)
Other Securities................................. 186,922,692 2.9%
-------------- ------
Telecommunication Services -- (2.4%)
AT&T, Inc........................................ 2,126,018 78,216,202 1.2%
Verizon Communications, Inc...................... 1,408,695 67,758,229 1.1%
Other Securities................................. 12,257,280 0.2%
-------------- ------
Total Telecommunication Services....................... 158,231,711 2.5%
-------------- ------
Utilities -- (3.2%)
Other Securities................................. 214,383,094 3.4%
-------------- ------
TOTAL COMMON STOCKS.................................... 6,352,317,218 99.8%
-------------- ------
TOTAL INVESTMENT SECURITIES............................ 6,352,317,218
--------------
TEMPORARY CASH INVESTMENTS -- (0.1%)
State Street Institutional U.S. Government Money
Market Fund, 0.260%............................. 8,252,591 8,252,591 0.1%
-------------- ------
SECURITIES LENDING COLLATERAL -- (5.0%)
(S)@ DFA Short Term Investment Fund................... 29,046,136 336,121,883 5.3%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,664,748,340).............................. $6,696,691,692 105.2%
============== ======
235
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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............ $ 790,897,224 -- -- $ 790,897,224
Consumer Staples.................. 638,045,231 -- -- 638,045,231
Energy............................ 457,155,086 -- -- 457,155,086
Financials........................ 845,718,746 -- -- 845,718,746
Health Care....................... 887,848,954 -- -- 887,848,954
Industrials....................... 620,646,445 -- -- 620,646,445
Information Technology............ 1,373,941,222 -- -- 1,373,941,222
Materials......................... 178,526,813 -- -- 178,526,813
Real Estate....................... 186,922,692 -- -- 186,922,692
Telecommunication Services........ 158,231,711 -- -- 158,231,711
Utilities......................... 214,383,094 -- -- 214,383,094
Temporary Cash Investments......... 8,252,591 -- -- 8,252,591
Securities Lending Collateral...... -- $336,121,883 -- 336,121,883
Futures Contracts**................ (98,366) -- -- (98,366)
-------------- ------------ -- --------------
TOTAL.............................. $6,360,471,443 $336,121,883 -- $6,696,593,326
============== ============ == ==============
**Not reflected in the Summary Schedule of Portfolio Holdings, valued at the
unrealized appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
236
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA U.S. LARGE
INTERNATIONAL COMPANY
VALUE PORTFOLIO PORTFOLIO*
--------------- ------------
ASSETS:
Investments in Affiliated Investment Company at Value....................................... $ 7,275,892 --
Investments at Value (including $0 and $480,335 of securities on loan, respectively)........ -- $ 6,352,317
Temporary Cash Investments at Value & Cost.................................................. -- 8,253
Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $0 and
$336,071).................................................................................. -- 336,122
Segregated Cash for Futures Contracts....................................................... -- 563
Receivables:
Investment Securities Sold................................................................ -- 708
Dividends, Interest and Tax Reclaims...................................................... -- 7,868
Securities Lending Income................................................................. -- 77
Fund Shares Sold.......................................................................... 5,743 2,068
Prepaid Expenses and Other Assets........................................................... 116 61
-------------- ------------
Total Assets........................................................................... 7,281,751 6,708,037
-------------- ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......................................................... -- 336,067
Investment Securities Purchased........................................................... -- 1,539
Fund Shares Redeemed...................................................................... 6,129 3,527
Due to Advisor............................................................................ 1,221 300
Futures Margin Variation.................................................................. -- 24
Accrued Expenses and Other Liabilities...................................................... 428 644
-------------- ------------
Total Liabilities...................................................................... 7,778 342,101
-------------- ------------
NET ASSETS.................................................................................. $ 7,273,973 $ 6,365,936
============== ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Class R2 Shares -- based on net assets of $3,308 and $0 and shares outstanding of
203,393 and 0, respectively................................................................ $ 16.27 N/A
============== ============
NUMBER OF SHARES AUTHORIZED................................................................. 100,000,000 N/A
============== ============
Institutional Class Shares -- based on net assets of $7,270,665 and $6,365,936 and shares
outstanding of 445,962,268 and 381,933,822, respectively................................... $ 16.30 $ 16.67
============== ============
NUMBER OF SHARES AUTHORIZED................................................................. 1,500,000,000 900,000,000
============== ============
Investments in Affiliated Investment Companies at Cost...................................... $ 7,290,534 $ --
-------------- ------------
Investments at Cost......................................................................... $ -- $ 3,320,424
============== ============
NET ASSETS CONSIST OF:
Paid-In Capital............................................................................. $ 7,439,985 $ 3,454,852
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)...... 40,507 19,630
Accumulated Net Realized Gain (Loss)........................................................ (191,034) (140,392)
Net Unrealized Foreign Exchange Gain (Loss)................................................. (843) --
Net Unrealized Appreciation (Depreciation).................................................. (14,642) 3,031,846
-------------- ------------
NET ASSETS.................................................................................. $ 7,273,973 $ 6,365,936
============== ============
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
237
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2016
(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 $20,325 and $0, respectively)............... $ 250,955 --
Income from Securities Lending.......................................................... 7,093 --
Expenses Allocated from Affiliated Investment Company................................... (14,337) --
--------- --------
Total Net Investment Income Received from Affiliated Investment Companies.............. 243,711 --
--------- --------
FUND INVESTMENT INCOME
Dividends................................................................................. -- $135,427
Interest.................................................................................. -- 73
Income from Securities Lending............................................................ -- 881
--------- --------
Total Investment Income................................................................ -- 136,381
--------- --------
FUND EXPENSES
Investment Management Fees................................................................ 26,205 3,643
Accounting & Transfer Agent Fees.......................................................... 41 337
S&P 500(R) Fees........................................................................... -- 102
Custodian Fees............................................................................ -- 82
Shareholder Servicing Fees -- Class R2 Shares............................................. 21 --
Filing Fees............................................................................... 246 149
Shareholders' Reports..................................................................... 242 121
Directors'/Trustees' Fees & Expenses...................................................... 46 42
Professional Fees......................................................................... 161 264
Other..................................................................................... 54 209
--------- --------
Total Expenses......................................................................... 27,016 4,949
--------- --------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor
(Note C)................................................................................. -- (75)
Institutional Class Shares.............................................................. (13,086) --
Class R2 Shares......................................................................... (17) --
--------- --------
Net Expenses.............................................................................. 13,913 4,874
--------- --------
NET INVESTMENT INCOME (LOSS).............................................................. 229,798 131,507
--------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**............................................................ (189,967) 44,973
Futures................................................................................. 4,316 (5,349)
Foreign Currency Transactions........................................................... 4,081 --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.............................................. 3,950 140,290
Futures................................................................................. (482) (356)
Translation of Foreign Currency Denominated Amounts..................................... (650) --
--------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)................................................... (178,752) 179,558
--------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............................. $ 51,046 $311,065
========= ========
----------
* 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.
238
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA INTERNATIONAL VALUE U.S. LARGE COMPANY
PORTFOLIO PORTFOLIO
------------------------ ------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2016 2015
----------- ----------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................. $ 229,798 $ 218,094 $ 131,507 $ 116,432
Net Realized Gain (Loss) on:..................................
Investment Securities Sold*................................. (189,967) 185,379 44,973 174,452
Futures..................................................... 4,316 -- (5,349) 2,961
Foreign Currency Transactions............................... 4,081 (4,394) -- --
In-Kind Redemptions......................................... -- -- -- 70,875
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. 3,950 (768,572) 140,290 (67,093)
Futures..................................................... (482) -- (356) (2,353)
Translation of Foreign Currency Denominated Amounts......... (650) 490 -- --
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets Resulting from
Operations................................................ 51,046 (369,003) 311,065 295,274
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income:........................................
Class R2 Shares............................................. (336) (293) -- --
Institutional Class Shares.................................. (224,465) (210,745) (125,202) (110,940)
Net Long-Term Gains:..........................................
Institutional Class Shares.................................. -- -- (47,852) --
----------- ----------- ----------- -----------
Total Distributions........................................ (224,801) (211,038) (173,054) (110,940)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued................................................. 2,442,715 1,877,719 1,529,402 1,080,396
Shares Issued in Lieu of Cash Distributions................... 218,177 204,539 150,286 95,812
Shares Redeemed............................................... (2,019,049) (1,698,746) (1,262,506) (1,218,173)
----------- ----------- ----------- -----------
Net Increase (Decrease) from Capital Share Transactions.... 641,843 383,512 417,182 (41,965)
----------- ----------- ----------- -----------
Total Increase (Decrease) in Net Assets.................... 468,088 (196,529) 555,193 142,369
NET ASSETS
Beginning of Year............................................. 6,805,885 7,002,414 5,810,743 5,668,374
----------- ----------- ----------- -----------
End of Year................................................... $ 7,273,973 $ 6,805,885 $ 6,365,936 $ 5,810,743
=========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................. 158,003 105,639 96,985 66,846
Shares Issued in Lieu of Cash Distributions................... 14,327 11,317 9,320 6,038
Shares Redeemed............................................... (128,304) (93,840) (78,179) (74,737)
----------- ----------- ----------- -----------
Net Increase (Decrease) from Shares Issued and
Redeemed.................................................. 44,026 23,116 28,126 (1,853)
=========== =========== =========== ===========
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS
OF NET INVESTMENT INCOME)...................................... $ 40,507 $ 27,926 $ 19,630 $ 10,643
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
239
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERNATIONAL VALUE PORTFOLIO-CLASS R2 SHARES
----------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
---------------------------------------------------------------------------------
Net Asset Value, Beginning of
Year.......................... $16.93 $ 18.48 $ 19.46 $15.72 $15.83
------ ------- ------- ------ ------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A).................. 0.53 0.51 0.74 0.49 0.51
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. (0.65) (1.55) (0.93) 3.77 (0.13)
------ ------- ------- ------ ------
Total from Investment
Operations................. (0.12) (1.04) (0.19) 4.26 0.38
---------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income......... (0.54) (0.51) (0.79) (0.52) (0.49)
------ ------- ------- ------ ------
Total Distributions......... (0.54) (0.51) (0.79) (0.52) (0.49)
---------------------------------------------------------------------------------
Net Asset Value, End of Year... $16.27 $ 16.93 $ 18.48 $19.46 $15.72
============================= ======== ======== ======== ======== ========
Total Return................... (0.43)% (5.78)% (1.21)% 27.61% 2.70%
---------------------------------------------------------------------------------
Net Assets, End of Year
(thousands)................... $3,308 $10,404 $11,200 $5,517 $6,407
Ratio of Expenses to Average
Net Assets (B)................ 0.68% 0.68% 0.68% 0.69% 0.71%
Ratio of Expenses to Average
Net Assets (Fees (Waived),
(Expenses Reimbursed),
and/or Previously Waived
Fees Recovered by Advisor).... 0.88% 0.73% 0.68% 0.69% 0.71%
Ratio of Net Investment
Income to Average Net Assets.. 3.42% 2.81% 3.79% 2.84% 3.33%
---------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
240
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERNATIONAL VALUE PORTFOLIO-INSTITUTIONAL CLASS SHARES
-------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
----------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year... $ 16.92 $ 18.47 $ 19.45 $ 15.72 $ 15.83
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).... 0.55 0.56 0.84 0.52 0.54
Net Gains (Losses) on Securities
(Realized and Unrealized)......... (0.63) (1.56) (0.98) 3.78 (0.12)
---------- ---------- ---------- ---------- ----------
Total from Investment Operations.. (0.08) (1.00) (0.14) 4.30 0.42
----------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............... (0.54) (0.55) (0.84) (0.57) (0.53)
---------- ---------- ---------- ---------- ----------
Total Distributions............... (0.54) (0.55) (0.84) (0.57) (0.53)
----------------------------------------------------------------------------------------------------
Net Asset Value, End of Year......... $ 16.30 $ 16.92 $ 18.47 $ 19.45 $ 15.72
=================================== ========== ========== ========== ========== ==========
Total Return......................... (0.20)% (5.58)% (0.97)% 27.90% 2.98%
----------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).. $7,270,665 $6,795,481 $6,991,214 $6,522,355 $5,480,888
Ratio of Expenses to Average Net
Assets (B).......................... 0.43% 0.43% 0.43% 0.43% 0.45%
Ratio of Expenses to Average Net
Assets (Fees (Waived), (Expenses
Reimbursed), and/or Previously
Waived Fees Recovered by Advisor
and Fees Paid Indirectly)........... 0.63% 0.49% 0.43% 0.43% 0.45%
Ratio of Net Investment Income to
Average Net Assets.................. 3.51% 3.10% 4.29% 3.00% 3.54%
----------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
241
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. LARGE COMPANY PORTFOLIO
----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
-------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year... $ 16.42 $ 15.94 $ 13.87 $ 11.15 $ 9.90
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).... 0.35 0.33 0.29 0.27 0.22
Net Gains (Losses) on Securities
(Realized and Unrealized)......... 0.38 0.47 2.07 2.71 1.25
---------- ---------- ---------- ---------- ----------
Total from Investment Operations.. 0.73 0.80 2.36 2.98 1.47
-------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............... (0.34) (0.32) (0.29) (0.26) (0.22)
Net Realized Gains.................. (0.14) -- -- -- --
---------- ---------- ---------- ---------- ----------
Total Distributions............... (0.48) (0.32) (0.29) (0.26) (0.22)
-------------------------------------------------------------------------------------------------
Net Asset Value, End of Year......... $ 16.67 $ 16.42 $ 15.94 $ 13.87 $ 11.15
=================================== ========== ========== ========== ========== ==========
Total Return......................... 4.54% 5.09% 17.17% 27.10% 15.02%
-------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).. $6,365,936 $5,810,743 $5,668,374 $4,917,336 $4,037,336
Ratio of Expenses to Average Net
Assets.............................. 0.08% 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% 0.09% 0.08% 0.10% 0.10%
Ratio of Net Investment Income to
Average Net Assets.................. 2.17% 2.05% 1.95% 2.13% 2.10%
Portfolio Turnover Rate.............. 9% 2% 3% 3% 4%
-------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
242
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of fifteen
portfolios, two of which, DFA International Value Portfolio and U.S. Large
Company Portfolio (the "Portfolios"), are presented in this section of the
report. The remaining operational portfolios are presented in separate reports.
The Portfolios are investment companies, and accordingly, follow the accounting
and reporting guidance under Financial Accounting Standards Board ("FASB")
Accounting Standards Certification ("ASC") Topic 946, "Financial
Services-Investment Companies."
DFA International Value Portfolio (the "Feeder Fund") primarily invests its
assets in The DFA International Value Series (the "Series"), a corresponding
series of The DFA Investment Trust Company. At October 31, 2016, the Feeder
Fund owned 75% of the Series. The financial statements of the Series are
included elsewhere in this report and should be read in conjunction with the
financial statements of the Feeder Fund.
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 management 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
243
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 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 year ended October 31, 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 October 31, 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 year ended October 31, 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.
244
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 year ended
October 31, 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/
OF PREVIOUSLY EXPENSES
WAIVED FEES/ ASSUMED
EXPENSE EXPENSES SUBJECT TO FUTURE
INSTITUTIONAL CLASS SHARES LIMITATION AMOUNT ASSUMED RECOVERY
-------------------------- ----------------- ------------- -----------------
DFA International Value Portfolio (1)... 0.40% -- --
U.S. Large Company Portfolio (2)........ 0.08% $90 $951
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.
245
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 year ended October 31, 2016, the total related amounts paid by the Fund
to the CCO were $31 (in thousands). The total related amounts paid by each
Portfolio are included in Other Expenses on the Statement of Operations.
D. DEFERRED COMPENSATION:
At October 31, 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................. $234
U.S. Large Company Portfolio...................... 284
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 2016, U.S. Large Company Portfolio
transactions related to investment securities, other than short-term securities
and U.S. government securities (amounts in thousands):
PURCHASES SALES
- ---------- --------
U.S. Large Company Portfolio...................... $1,011,088 $539,508
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, 2016,
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................... $(303,109) $7,584 $295,525
U.S. Large Company Portfolio.. 5,155 2,682 (7,837)
246
The tax character of dividends and distributions declared and paid during the
years ended October 31, 2015 and October 31, 2016 were as follows (amounts in
thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- --------
DFA International Value Portfolio
2015.............................. $211,038 -- $211,038
2016.............................. 224,802 -- 224,802
U.S. Large Company Portfolio
2015.............................. 110,940 -- 110,940
2016.............................. 125,202 $47,852 173,054
At October 31, 2016, 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.. $(3,737) $(1,254) $(4,991)
At October 31, 2016, 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. $48,835 -- $(176,437) $ (68,856) $ (196,458)
U.S. Large Company Portfolio...... 20,036 $38,777 -- 2,855,003 2,913,816
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, 2016, the
Portfolios had the following capital loss carryforwards available to offset
future realized capital gains through the indicated expiration dates (amounts
in thousands):
UNLIMITED TOTAL
--------- --------
DFA International Value
Portfolio.................... $176,437 $176,437
U.S. Large Company Portfolio.. -- --
At October 31, 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)
----------- ------------ ------------ --------------
DFA International Value Portfolio.... $7,313,697 -- $(37,805) $ (37,805)
U.S. Large Company Portfolio......... 3,844,135 $2,933,931 (81,375) 2,852,556
247
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):
YEAR YEAR
ENDED ENDED
OCT. 31, OCT. 31,
2016 2015
--------------------- --------------------
AMOUNT SHARES AMOUNT SHARES
----------- -------- ----------- -------
DFA INTERNATIONAL VALUE PORTFOLIO
Class R2 Shares
Shares Issued................................... $ 2,205 144 $ 3,876 214
Shares Issued in Lieu of Cash Distributions..... 336 22 293 16
Shares Redeemed................................. (8,814) (578) (4,082) (221)
----------- -------- ----------- -------
Net Increase (Decrease) -- Class R2 Shares........ $ (6,273) (412) $ 87 9
=========== ======== =========== =======
Institutional Class Shares
Shares Issued................................... $ 2,440,510 157,859 $ 1,873,843 105,425
Shares Issued in Lieu of Cash Distributions..... 217,841 14,305 204,246 11,301
Shares Redeemed................................. (2,010,235) (127,726) (1,694,664) (93,619)
----------- -------- ----------- -------
Net Increase (Decrease) -- Institutional
Class Shares.................................... $ 648,116 44,438 $ 383,425 23,107
=========== ======== =========== =======
H. FINANCIAL INSTRUMENTS:
In accordance with the Portfolio's 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 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.
248
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 Needs Registrant Attribute
could lose more than the initial margin requirements. The Portfolios entering
into stock index futures are subject to equity price risk from those futures
contracts. Counterparty credit risk related to exchange-traded futures is
minimal because the exchange's clearinghouse, as counterparty to all
exchange-traded futures, guarantees the futures against default.
At October 31, 2016, the U.S. Large Company Portfolio had the following
outstanding futures contracts (dollar amounts in thousands):
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL
------------------- ---------- --------- -------- ----------- ----------
U.S. Large Company Portfolio.. S&P 500 Emini Index(R) 12/16/16 139 $14,735 $(98) $563
The average volume (based on the open positions at each fiscal
month-end) of derivative activity for the year ended October 31, 2016 (amounts
in thousands):
FUTURES
-------
U.S. Large Company Portfolio. $24,212
The following is a summary of the location of derivatives on the U.S. Large
Company Portfolio's Statements of Assets and Liabilities as of October 31, 2016:
LOCATION ON THE
STATEMENTS OF ASSETS AND
LIABILITIES
------------------------
DERIVATIVE TYPE LIABILITY DERIVATIVES
--------------- ------------------------
Equity contracts Payables: Futures
Margin Variation
The following is a summary of the U.S. Large Company Portfolio's derivative
instrument holdings categorized by primary risk exposure as of October 31, 2016
(amounts in thousands):
LIABILITY DERIVATIVES VALUE
- --------------------------
TOTAL VALUE
AT EQUITY
OCTOBER 31, 2016 CONTRACTS*
- ---------------- ----------
U.S. Large Company Portfolio.. $(98) $(98)
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statements of Assets
and Liabilities.
The following is a summary of the location of realized and change in
unrealized gains and losses on the U.S. Large Company Portfolio's Statement of
Operations for the Portfolio's derivative instrument holdings for the year
ended October 31, 2016:
LOCATION OF GAIN (LOSS)
ON DERIVATIVES
DERIVATIVE TYPE RECOGNIZED IN INCOME
--------------- ------------------------
Equity contracts Net Realized Gain (Loss)
on: Futures
Change in Unrealized
Appreciation
(Depreciation) of:
Futures
249
The following is a summary of the realized and change in unrealized gains
and losses from the U.S. Large Company Portfolio's direct investment in
derivative instrument holdings categorized by primary risk exposure through the
year ended October 31, 2016 (amounts in thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
------------------------
EQUITY
TOTAL CONTRACTS
------- ---------
U.S. Large Company Portfolio.. $(5,349) $(5,349)
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES
------------------------
EQUITY
TOTAL CONTRACTS
------- ---------
U.S. Large Company Portfolio.. $ (356) $ (356)
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.
For the year ended October 31, 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 Company Portfolio.. 1.08% $30,853 37 $35 $162,576
* Number of Days Outstanding represents the total of single or consecutive days
during the year ended October 31, 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 October 31, 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
250
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 year ended October 31, 2016.
J. SECURITIES LENDING:
As of October 31, 2016, U.S. Large Company Portfolio had securities on loan
to brokers/dealers, for which the Portfolio received cash collateral. The
non-cash collateral includes short-and/or long-term U.S. Treasuries and U.S.
Government Agency Securities with a market value of $153,436 (amount in
thousands). The Portfolio invests the cash collateral, as described below, and
records a liability for the return of the collateral, during the period the
securities are on loan. Loans of securities are expected at all times to be
secured by collateral 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, the 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
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 October 31, 2016:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF OCTOBER 31, 2016
---------------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
------------- -------- ------------ -------- ------------
SECURITIES LENDING TRANSACTIONS
U.S. LARGE COMPANY PORTFOLIO
Common Stocks.................. $336,121,883 -- -- -- $336,121,883
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.
251
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 October 31, 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 OF
NUMBER OF OUTSTANDING
SHAREHOLDERS SHARES
------------ -------------
DFA International Value Portfolio-Class R2 Shares... 4 95%
DFA International Value Portfolio-Institutional
Class Shares...................................... 4 73%
U.S. Large Company Portfolio........................ 4 76%
N. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the
Portfolios through the date that the financial statements were issued and has
determined that there are no other subsequent events requiring recognition or
disclosure in the financial statements.
252
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of Dimensional Investment Group Inc. and
Shareholders of the Portfolios, as defined:
In our opinion, the accompanying statements of assets and liabilities,
including the schedule of investments/summary schedule of portfolio holdings,
and the related statements of operations and of changes in net assets and the
financial highlights present fairly, in all material respects, the financial
position of DFA International Value Portfolio and U.S. Large Company Portfolio
(constituting portfolios within Dimensional Investment Group Inc., hereafter
referred to as the "Portfolios") as of October 31, 2016, the results of each of
their operations for the year then ended, the changes in each of their net
assets for each of the two years in the period then ended and the financial
highlights for each of the five years in the period then ended, in conformity
with accounting principles generally accepted in the United States of America.
These financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Portfolios' management.
Our responsibility is to express an opinion on these financial statements based
on our audits. We conducted our audits of these financial statements in
accordance with the standards of the Public Company Accounting Oversight Board
(United States). Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities as of October 31, 2016 by
correspondence with the custodian, broker and the transfer agents of the
investee funds, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 20, 2016
253
NOTIFICATION OF SOURCE OF DISTRIBUTIONS PURSUANT TO
RULE 19A-1 UNDER THE INVESTMENT COMPANY ACT OF 1940
(UNAUDITED)
As noted in the table provided below, the following Portfolios paid
distributions to shareholders of record that included amounts from net
investment income and return of capital. Please note that this information is
being provided to satisfy certain notice requirements under the Investment
Company Act of 1940 and is not being provided for tax reporting purposes. Each
Portfolio will send (or has sent) shareholders a Form 1099-DIV (or a financial
intermediary should provide (or has provided) shareholders with similar
information) for the relevant calendar year informing shareholders how to
report these distributions for federal income tax purposes.
% BREAKDOWN OF DISTRIBUTION SOURCES
-------------------------------------------------
NET NET REALIZED NET REALIZED
INVESTMENT CAPITAL GAINS: CAPITAL GAINS: RETURN OF
PORTFOLIO NAME INCOME SHORT-TERM LONG-TERM CAPITAL
-------------- ---------- -------------- -------------- ---------
DFA International Value Portfolio
December 16, 2015.............. 80% 0% 0% 20%
June 29, 2016.................. 97% 0% 0% 3%
U.S. Large Company Portfolio
December 15, 2015.............. 86% 0% 0% 14%
March 30, 2016................. 87% 0% 0% 13%
June 29, 2016.................. 84% 0% 0% 16%
Each Portfolio estimates that it has distributed more than the amount of net
investment income and net realized capital gains; therefore, a portion of the
distributions may be a return of capital. A return of capital may occur, for
example, when some or all of the shareholder's investment in a Portfolio is
returned to the shareholder. A return of capital does not necessarily reflect a
Portfolio's investment performance and should not be confused with yield or
income. When distributions exceed total return performance, the difference will
reduce a Portfolio's net asset value per share.
254
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
THE U.S. LARGE CAP VALUE SERIES VS.
RUSSELL 1000 VALUE INDEX
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
The U.S. Large Cap Russell 1000 Value
Value Series Index
-------------------- ------------------
10/1/2006 $10,000 $10,000
11/1/2006 10,190 10,228
12/1/2006 10,395 10,458
1/1/2007 10,698 10,592
2/1/2007 10,537 10,427
3/1/2007 10,610 10,588
4/1/2007 11,062 10,979
5/1/2007 11,518 11,375
6/1/2007 11,332 11,109
7/1/2007 10,630 10,595
8/1/2007 10,427 10,714
9/1/2007 10,699 11,082
10/1/2007 10,759 11,083
11/1/2007 10,158 10,542
12/1/2007 10,124 10,440
1/1/2008 9,737 10,022
2/1/2008 9,439 9,602
3/1/2008 9,351 9,530
4/1/2008 9,940 9,994
5/1/2008 10,179 9,978
6/1/2008 9,063 9,023
7/1/2008 8,964 8,991
8/1/2008 9,138 9,144
9/1/2008 8,317 8,472
10/1/2008 6,447 7,005
11/1/2008 5,815 6,503
12/1/2008 6,004 6,593
1/1/2009 5,291 5,835
2/1/2009 4,550 5,055
3/1/2009 4,999 5,488
4/1/2009 5,808 6,076
5/1/2009 6,253 6,452
6/1/2009 6,176 6,404
7/1/2009 6,765 6,928
8/1/2009 7,224 7,290
9/1/2009 7,540 7,572
10/1/2009 7,215 7,340
11/1/2009 7,621 7,754
12/1/2009 7,832 7,891
1/1/2010 7,650 7,669
2/1/2010 7,980 7,911
3/1/2010 8,602 8,426
4/1/2010 8,875 8,645
5/1/2010 8,114 7,934
6/1/2010 7,502 7,487
7/1/2010 8,090 7,994
8/1/2010 7,602 7,652
9/1/2010 8,344 8,246
10/1/2010 8,655 8,493
11/1/2010 8,588 8,448
12/1/2010 9,425 9,115
1/1/2011 9,726 9,321
2/1/2011 10,253 9,665
3/1/2011 10,300 9,703
4/1/2011 10,563 9,962
5/1/2011 10,410 9,856
6/1/2011 10,229 9,654
7/1/2011 9,760 9,334
8/1/2011 8,937 8,752
9/1/2011 8,033 8,090
10/1/2011 9,147 9,016
11/1/2011 9,071 8,970
12/1/2011 9,143 9,151
1/1/2012 9,597 9,497
2/1/2012 10,152 9,875
3/1/2012 10,339 10,168
4/1/2012 10,128 10,064
5/1/2012 9,410 9,474
6/1/2012 9,918 9,945
7/1/2012 10,013 10,047
8/1/2012 10,410 10,266
9/1/2012 10,793 10,591
10/1/2012 10,822 10,539
11/1/2012 10,846 10,535
12/1/2012 11,176 10,753
1/1/2013 11,956 11,452
2/1/2013 12,109 11,616
3/1/2013 12,688 12,076
4/1/2013 12,822 12,259
5/1/2013 13,348 12,573
6/1/2013 13,200 12,463
7/1/2013 13,989 13,135
8/1/2013 13,578 12,637
9/1/2013 13,975 12,954
10/1/2013 14,683 13,521
11/1/2013 15,300 13,898
12/1/2013 15,706 14,250
1/1/2014 15,085 13,744
2/1/2014 15,596 14,338
3/1/2014 15,965 14,681
4/1/2014 16,070 14,820
5/1/2014 16,424 15,037
6/1/2014 16,869 15,430
7/1/2014 16,749 15,167
8/1/2014 17,280 15,725
9/1/2014 16,855 15,400
10/1/2014 16,984 15,746
11/1/2014 17,185 16,069
12/1/2014 17,314 16,167
1/1/2015 16,458 15,521
2/1/2015 17,620 16,272
3/1/2015 17,285 16,050
4/1/2015 17,635 16,200
5/1/2015 17,831 16,395
6/1/2015 17,544 16,068
7/1/2015 17,501 16,138
8/1/2015 16,438 15,177
9/1/2015 15,912 14,719
10/1/2015 17,209 15,830
11/1/2015 17,276 15,890
12/1/2015 16,735 15,548
1/1/2016 15,596 14,745
2/1/2016 15,625 14,741
3/1/2016 16,764 15,803
4/1/2016 17,218 16,135
5/1/2016 17,453 16,386
6/1/2016 17,434 16,527
7/1/2016 18,036 17,007 Past performance is not predictive of
8/1/2016 18,252 17,138 future performance.
9/1/2016 18,338 17,103 The returns shown do not reflect the
10/1/2016 18,027 16,838 deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell
--------------------------------------------------- Investment Group 1995-2016, all rights
4.75% 14.53% 6.07% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THE DFA INTERNATIONAL VALUE SERIES VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
The DFA International MSCI World ex
Value Series USA Index (net dividends)
--------------------- -------------------------
10/1/2006 $10,000 $10,000
11/1/2006 10,332 10,298
12/1/2006 10,735 10,593
1/1/2007 10,938 10,658
2/1/2007 10,928 10,743
3/1/2007 11,281 11,018
4/1/2007 11,851 11,520
5/1/2007 12,256 11,775
6/1/2007 12,166 11,787
7/1/2007 11,828 11,624
8/1/2007 11,696 11,456
9/1/2007 12,306 12,107
10/1/2007 12,903 12,633
11/1/2007 12,121 12,139
12/1/2007 11,860 11,911
1/1/2008 10,900 10,837
2/1/2008 10,761 11,033
3/1/2008 10,890 10,876
4/1/2008 11,376 11,480
5/1/2008 11,382 11,655
6/1/2008 10,256 10,748
7/1/2008 9,966 10,366
8/1/2008 9,549 9,965
9/1/2008 8,434 8,526
10/1/2008 6,319 6,753
11/1/2008 5,931 6,386
12/1/2008 6,380 6,723
1/1/2009 5,499 6,096
2/1/2009 4,824 5,479
3/1/2009 5,350 5,840
4/1/2009 6,336 6,593
5/1/2009 7,277 7,427
6/1/2009 7,166 7,350
7/1/2009 8,019 8,040
8/1/2009 8,479 8,425
9/1/2009 8,911 8,773
10/1/2009 8,556 8,632
11/1/2009 8,811 8,845
12/1/2009 8,911 8,986
1/1/2010 8,396 8,565
2/1/2010 8,429 8,557
3/1/2010 9,094 9,107
4/1/2010 8,939 8,972
5/1/2010 7,892 7,982
6/1/2010 7,753 7,866
7/1/2010 8,723 8,593
8/1/2010 8,296 8,336
9/1/2010 9,188 9,136
10/1/2010 9,509 9,462
11/1/2010 9,033 9,061
12/1/2010 9,875 9,790
1/1/2011 10,295 10,001
2/1/2011 10,639 10,372
3/1/2011 10,345 10,164
4/1/2011 10,899 10,718
5/1/2011 10,506 10,400
6/1/2011 10,362 10,252
7/1/2011 10,030 10,083
8/1/2011 8,955 9,231
9/1/2011 7,975 8,304
10/1/2011 8,745 9,111
11/1/2011 8,457 8,690
12/1/2011 8,230 8,595
1/1/2012 8,784 9,059
2/1/2012 9,243 9,557
3/1/2012 9,166 9,487
4/1/2012 8,839 9,326
5/1/2012 7,748 8,262
6/1/2012 8,296 8,804
7/1/2012 8,263 8,913
8/1/2012 8,606 9,168
9/1/2012 8,911 9,446
10/1/2012 9,022 9,512
11/1/2012 9,166 9,712
12/1/2012 9,614 10,006
1/1/2013 10,068 10,498
2/1/2013 9,764 10,393
3/1/2013 9,797 10,476
4/1/2013 10,279 10,953
5/1/2013 10,157 10,708
6/1/2013 9,797 10,307
7/1/2013 10,467 10,855
8/1/2013 10,395 10,715
9/1/2013 11,176 11,472
10/1/2013 11,564 11,857
11/1/2013 11,608 11,930
12/1/2013 11,863 12,110
1/1/2014 11,431 11,621
2/1/2014 12,084 12,255
3/1/2014 11,996 12,200
4/1/2014 12,201 12,392
5/1/2014 12,339 12,584
6/1/2014 12,489 12,763
7/1/2014 12,212 12,536
8/1/2014 12,217 12,546
9/1/2014 11,680 12,030
10/1/2014 11,481 11,839
11/1/2014 11,486 11,985
12/1/2014 11,060 11,586
1/1/2015 10,988 11,545
2/1/2015 11,774 12,235
3/1/2015 11,525 12,030
4/1/2015 12,156 12,551
5/1/2015 12,162 12,442
6/1/2015 11,813 12,089
7/1/2015 11,697 12,280
8/1/2015 10,827 11,386
9/1/2015 10,091 10,811
10/1/2015 10,866 11,624
11/1/2015 10,722 11,439
12/1/2015 10,378 11,234
1/1/2016 9,570 10,461
2/1/2016 9,265 10,315
3/1/2016 9,969 11,015
4/1/2016 10,450 11,369
5/1/2016 10,257 11,241
6/1/2016 9,886 10,899
7/1/2016 10,323 11,435
8/1/2016 10,600 11,446 Past performance is not predictive of
9/1/2016 10,716 11,585 future performance.
10/1/2016 10,855 11,360 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
------------------------------------------------------------ MSCI data copyright MSCI 2016, all
-0.10% 4.42% 0.82% rights reserved.
--------------------------------------------------------------------------------
255
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
THE JAPANESE SMALL COMPANY SERIES VS.
MSCI JAPAN SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
The Japanese Small Company MSCI Japan Small Cap Index
Series (net dividends)
---------------------- --------------------------
10/31/2006 $10,000 $10,000
11/30/2006 9,937 9,916
12/31/2006 10,021 9,974
1/31/2007 10,231 10,167
2/28/2007 10,641 10,569
3/31/2007 10,568 10,471
4/30/2007 10,421 10,292
5/31/2007 10,210 10,047
6/30/2007 10,379 10,113
7/31/2007 10,442 10,110
8/31/2007 10,000 9,494
9/30/2007 9,989 9,437
10/31/2007 10,053 9,778
11/30/2007 9,821 9,367
12/31/2007 9,211 8,806
1/31/2008 8,948 8,374
2/29/2008 8,885 8,466
3/31/2008 9,064 8,468
4/30/2008 9,127 8,573
5/31/2008 9,464 8,838
6/30/2008 9,022 8,295
7/31/2008 8,770 8,023
8/31/2008 8,286 7,669
9/30/2008 7,750 6,920
10/31/2008 7,182 6,190
11/30/2008 7,371 6,442
12/31/2008 8,128 6,944
1/31/2009 7,571 6,580
2/28/2009 6,593 5,715
3/31/2009 6,887 5,917
4/30/2009 7,171 6,220
5/31/2009 8,055 6,981
6/30/2009 8,591 7,425
7/31/2009 8,770 7,611
8/31/2009 9,232 8,037
9/30/2009 9,138 8,005
10/31/2009 8,812 7,712
11/30/2009 8,454 7,437
12/31/2009 8,423 7,298
1/31/2010 8,538 7,455
2/28/2010 8,707 7,597
3/31/2010 9,148 7,943
4/30/2010 9,422 8,158
5/31/2010 8,633 7,592
6/30/2010 8,770 7,625
7/31/2010 8,927 7,718
8/31/2010 8,686 7,554
9/30/2010 9,064 7,863
10/31/2010 8,875 7,799
11/30/2010 9,096 7,951
12/31/2010 9,937 8,753
1/31/2011 10,168 8,857
2/28/2011 10,641 9,213
3/31/2011 9,979 8,645
4/30/2011 9,926 8,652
5/31/2011 9,758 8,524
6/30/2011 10,252 8,841
7/31/2011 10,631 9,209
8/31/2011 10,347 8,832
9/30/2011 10,294 8,840
10/31/2011 9,769 8,514
11/30/2011 9,926 8,283
12/31/2011 9,874 8,413
1/31/2012 10,505 8,758
2/29/2012 10,515 8,853
3/31/2012 10,820 9,090
4/30/2012 10,599 8,958
5/31/2012 9,716 8,214
6/30/2012 10,231 8,564
7/31/2012 9,884 8,430
8/31/2012 9,895 8,382
9/30/2012 10,032 8,614
10/31/2012 9,821 8,428
11/30/2012 9,968 8,486
12/31/2012 10,336 8,750
1/31/2013 10,662 9,077
2/28/2013 10,925 9,385
3/31/2013 11,767 10,143
4/30/2013 12,387 10,811
5/31/2013 11,377 9,954
6/30/2013 11,483 9,927
7/31/2013 11,756 10,088
8/31/2013 11,493 9,952
9/30/2013 12,797 11,085
10/31/2013 12,829 11,040
11/30/2013 12,734 10,967
12/31/2013 12,829 11,055
1/31/2014 12,702 11,023
2/28/2014 12,650 10,778
3/31/2014 12,713 10,806
4/30/2014 12,524 10,605
5/31/2014 12,850 10,953
6/30/2014 13,764 11,728
7/31/2014 13,680 11,791
8/31/2014 13,807 11,707
9/30/2014 13,386 11,315
10/31/2014 13,144 11,013
11/30/2014 12,650 10,888
12/31/2014 12,766 11,003
1/31/2015 13,081 11,372
2/28/2015 13,617 11,782
3/31/2015 13,796 12,009
4/30/2015 14,132 12,234
5/31/2015 14,280 12,378
6/30/2015 14,574 12,559
7/31/2015 14,490 12,511
8/31/2015 14,048 12,082
9/30/2015 13,617 11,648
10/31/2015 14,332 12,426
11/30/2015 14,658 12,584
12/31/2015 14,606 12,688
1/31/2016 13,880 11,881
2/29/2016 13,396 11,758
3/31/2016 14,269 12,491
4/30/2016 14,448 13,035
5/31/2016 14,816 13,038
6/30/2016 14,753 12,961
7/31/2016 15,552 13,656 Past performance is not predictive of
8/31/2016 15,184 13,172 future performance.
9/30/2016 16,109 13,883 The returns shown do not reflect the
10/31/2016 16,414 14,068 deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
------------------------------------------------------------ MSCI data copyright MSCI 2016, all
14.53% 10.94% 5.08% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THE ASIA PACIFIC SMALL COMPANY SERIES VS.
MSCI PACIFIC EX JAPAN SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
The Asia Pacific MSCI Pacific ex Japan
Small Company Series Small Cap Index (net dividends)
-------------------- -------------------------------
10/31/2006 $10,000 $10,000
11/30/2006 10,558 10,608
12/31/2006 10,862 11,004
1/31/2007 11,143 11,283
2/28/2007 11,442 11,498
3/31/2007 12,041 12,092
4/30/2007 12,885 12,930
5/31/2007 13,991 13,438
6/30/2007 14,567 13,787
7/31/2007 14,797 13,784
8/31/2007 13,696 12,896
9/30/2007 15,300 14,041
10/31/2007 16,641 15,001
11/30/2007 15,544 13,796
12/31/2007 15,281 13,606
1/31/2008 13,747 11,783
2/29/2008 14,171 12,483
3/31/2008 13,484 11,695
4/30/2008 14,429 12,478
5/31/2008 15,060 12,612
6/30/2008 13,581 11,201
7/31/2008 12,783 10,686
8/31/2008 11,889 9,818
9/30/2008 9,848 7,901
10/31/2008 6,576 5,111
11/30/2008 5,945 4,553
12/31/2008 6,594 5,082
1/31/2009 5,783 4,522
2/28/2009 5,465 4,241
3/31/2009 6,313 4,849
4/30/2009 7,258 5,717
5/31/2009 9,134 7,088
6/30/2009 9,207 7,288
7/31/2009 10,539 8,340
8/31/2009 11,018 8,769
9/30/2009 11,880 9,503
10/31/2009 12,147 9,731
11/30/2009 12,714 10,011
12/31/2009 13,051 10,411
1/31/2010 12,346 9,745
2/28/2010 12,567 9,867
3/31/2010 13,604 10,680
4/30/2010 13,793 10,979
5/31/2010 11,885 9,321
6/30/2010 11,742 9,268
7/31/2010 13,046 10,211
8/31/2010 13,032 10,189
9/30/2010 15,009 11,718
10/31/2010 15,659 12,238
11/30/2010 15,452 12,075
12/31/2010 16,968 13,294
1/31/2011 16,608 12,907
2/28/2011 16,714 12,978
3/31/2011 17,069 13,376
4/30/2011 17,797 13,917
5/31/2011 17,272 13,599
6/30/2011 16,691 13,115
7/31/2011 16,968 13,308
8/31/2011 15,788 12,383
9/30/2011 12,843 10,131
10/31/2011 14,853 11,791
11/30/2011 14,456 10,987
12/31/2011 13,613 10,635
1/31/2012 15,023 11,739
2/29/2012 16,157 12,652
3/31/2012 15,926 12,256
4/30/2012 15,862 12,322
5/31/2012 13,885 10,723
6/30/2012 14,180 10,873
7/31/2012 14,392 11,230
8/31/2012 14,876 11,410
9/30/2012 15,613 12,017
10/31/2012 15,963 12,264
11/30/2012 16,194 12,385
12/31/2012 16,954 12,696
1/31/2013 17,806 13,369
2/28/2013 17,885 13,528
3/31/2013 17,963 13,562
4/30/2013 17,668 13,454
5/31/2013 16,359 12,464
6/30/2013 15,203 11,398
7/31/2013 15,954 11,854
8/31/2013 16,083 11,956
9/30/2013 17,212 12,876
10/31/2013 17,705 13,102
11/30/2013 17,092 12,549
12/31/2013 17,304 12,608
1/31/2014 16,488 12,024
2/28/2014 17,442 12,671
3/31/2014 17,700 12,905
4/30/2014 17,747 12,989
5/31/2014 17,765 13,095
6/30/2014 17,903 13,166
7/31/2014 18,281 13,453
8/31/2014 18,567 13,557
9/30/2014 16,857 12,311
10/31/2014 17,101 12,456
11/30/2014 16,429 12,061
12/31/2014 15,954 11,759
1/31/2015 15,576 11,527
2/28/2015 16,336 12,087
3/31/2015 16,111 11,869
4/30/2015 17,415 12,550
5/31/2015 17,608 12,489
6/30/2015 16,369 11,590
7/31/2015 15,571 11,067
8/31/2015 14,244 10,035
9/30/2015 14,041 9,827
10/31/2015 15,078 10,629
11/30/2015 15,032 10,541
12/31/2015 15,452 10,720
1/31/2016 14,332 9,788
2/29/2016 14,548 10,027
3/31/2016 16,286 11,185
4/30/2016 16,507 11,386
5/31/2016 16,327 11,196
6/30/2016 16,599 11,272
7/31/2016 17,747 12,106
8/31/2016 17,622 12,016
9/30/2016 18,147 12,267 Past performance is not predictive of
10/31/2016 17,594 11,751 future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
----------------------------------------------------------- MSCI data copyright MSCI 2016, all
16.69% 3.45% 5.81% rights reserved.
--------------------------------------------------------------------------------
256
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
THE UNITED KINGDOM SMALL COMPANY SERIES VS.
MSCI UK SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
The United Kingdom MSCI UK Small Cap
Small Company Series Index (net dividends)
-------------------- ---------------------
10/31/06 $10,000 $10,000
11/30/06 10,628 10,648
12/31/06 11,208 11,148
1/31/07 11,287 11,122
2/28/07 11,285 11,156
3/31/07 11,817 11,618
4/30/07 12,224 12,195
5/31/07 12,388 12,273
6/30/07 11,935 11,916
7/31/07 11,873 11,849
8/31/07 11,805 11,414
9/30/07 11,398 10,767
10/31/07 12,309 11,951
11/30/07 10,886 10,568
12/31/07 10,311 10,037
1/31/08 9,618 9,230
2/29/08 9,759 9,542
3/31/08 9,723 9,422
4/30/08 9,887 9,598
5/31/08 9,915 9,643
6/30/08 9,126 8,984
7/31/08 8,806 8,625
8/31/08 8,664 8,400
9/30/08 7,326 6,855
10/31/08 5,359 4,953
11/30/08 4,980 4,494
12/31/08 4,870 4,380
1/31/09 4,751 4,356
2/28/09 4,556 4,211
3/31/09 4,754 4,455
4/30/09 5,750 5,479
5/31/09 6,338 6,058
6/30/09 6,370 6,100
7/31/09 6,921 6,662
8/31/09 7,462 7,304
9/30/09 7,680 7,473
10/31/09 7,691 7,483
11/30/09 7,668 7,406
12/31/09 7,830 7,588
1/31/10 7,753 7,553
2/28/10 7,487 7,215
3/31/10 8,115 7,851
4/30/10 8,415 8,164
5/31/10 7,465 7,183
6/30/10 7,606 7,214
7/31/10 8,633 8,082
8/31/10 8,316 7,862
9/30/10 9,205 8,728
10/31/10 9,686 9,100
11/30/10 9,211 8,721
12/31/10 10,153 9,634
1/31/11 10,300 9,727
2/28/11 10,611 9,984
3/31/11 10,416 9,811
4/30/11 11,338 10,711
5/31/11 11,271 10,575
6/30/11 10,911 10,219
7/31/11 10,840 10,191
8/31/11 9,759 9,151
9/30/11 8,775 8,186
10/31/11 9,706 9,081
11/30/11 9,411 8,728
12/31/11 9,120 8,437
1/31/12 9,926 9,293
2/29/12 10,736 10,156
3/31/12 10,971 10,189
4/30/12 11,160 10,363
5/31/12 9,904 9,079
6/30/12 10,390 9,511
7/31/12 10,566 9,684
8/31/12 11,146 10,197
9/30/12 11,720 10,741
10/31/12 11,978 10,963
11/30/12 12,054 10,967
12/31/12 12,719 11,472
1/31/13 12,946 11,774
2/28/13 13,065 11,840
3/31/13 13,455 12,159
4/30/13 13,797 12,463
5/31/13 13,928 12,631
6/30/13 13,622 12,176
7/31/13 14,776 13,190
8/31/13 14,884 13,370
9/30/13 15,891 14,374
10/31/13 16,460 14,880
11/30/13 16,836 15,230
12/31/13 17,767 15,966
1/31/14 17,349 15,627
2/28/14 18,908 17,142
3/31/14 18,328 16,524
4/30/14 18,028 16,129
5/31/14 18,014 16,160
6/30/14 17,999 16,121
7/31/14 17,442 15,666
8/31/14 17,708 15,831
9/30/14 16,698 14,902
10/31/14 16,661 14,807
11/30/14 16,534 14,812
12/31/14 16,802 15,055
1/31/15 16,426 14,645
2/28/15 17,971 16,091
3/31/15 17,040 15,351
4/30/15 18,115 16,335
5/31/15 19,029 17,085
6/30/15 18,981 17,106
7/31/15 19,021 17,228
8/31/15 18,223 16,550
9/30/15 17,674 15,940
10/31/15 18,319 16,646
11/30/15 18,291 16,511
12/31/15 18,098 16,335
1/31/16 16,667 14,749
2/29/16 16,370 14,595
3/31/16 17,351 15,624
4/30/16 17,442 15,834
5/31/16 17,725 16,290
6/30/16 15,492 13,974
7/31/16 16,330 14,778 Past performance is not predictive of
8/31/16 16,681 15,025 future performance.
9/30/16 16,703 15,153 The returns shown do not reflect the
10/31/16 15,422 14,001 deduction of taxes that a shareholder
AVERAGE ANNUAL FIVE TEN would pay on fund distributions or the
TOTAL RETURN ONE YEAR YEARS YEARS redemption of fund shares.
----------------------------------------------------- MSCI data copyright MSCI 2016, all
-15.82% 9.70% 4.43% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THE CONTINENTAL SMALL COMPANY SERIES VS.
MSCI EUROPE EX UK SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
The Continental Small MSCI Europe ex UK Small
Company Series Cap Index (net dividends)
--------------------- -------------------------
10/31/2006 $10,000 $10,000
11/30/2006 10,696 10,700
12/31/2006 11,206 11,204
1/31/2007 11,726 11,563
2/28/2007 11,746 11,613
3/31/2007 12,433 12,230
4/30/2007 13,088 12,970
5/31/2007 13,342 13,197
6/30/2007 13,197 13,070
7/31/2007 13,126 12,975
8/31/2007 12,660 12,388
9/30/2007 12,943 12,634
10/31/2007 13,567 13,390
11/30/2007 12,566 12,432
12/31/2007 12,326 12,180
1/31/2008 11,153 10,713
2/29/2008 11,632 11,362
3/31/2008 12,002 11,593
4/30/2008 12,147 11,791
5/31/2008 12,381 11,974
6/30/2008 11,338 10,868
7/31/2008 10,738 10,251
8/31/2008 10,446 9,971
9/30/2008 8,629 7,906
10/31/2008 6,326 5,682
11/30/2008 5,833 5,211
12/31/2008 6,441 5,692
1/31/2009 5,710 5,181
2/28/2009 5,217 4,725
3/31/2009 5,596 5,090
4/30/2009 6,513 6,150
5/31/2009 7,456 7,068
6/30/2009 7,365 6,977
7/31/2009 7,951 7,604
8/31/2009 8,618 8,384
9/30/2009 9,356 9,188
10/31/2009 9,095 8,937
11/30/2009 9,371 9,121
12/31/2009 9,342 9,162
1/31/2010 9,188 9,040
2/28/2010 8,994 8,782
3/31/2010 9,663 9,494
4/30/2010 9,572 9,435
5/31/2010 8,212 7,975
6/30/2010 8,161 7,856
7/31/2010 9,137 8,797
8/31/2010 8,720 8,379
9/30/2010 9,920 9,672
10/31/2010 10,493 10,292
11/30/2010 9,679 9,513
12/31/2010 10,934 10,844
1/31/2011 11,246 11,090
2/28/2011 11,440 11,278
3/31/2011 11,826 11,658
4/30/2011 12,627 12,473
5/31/2011 12,201 11,997
6/30/2011 11,808 11,610
7/31/2011 11,142 10,905
8/31/2011 9,998 9,766
9/30/2011 8,493 8,299
10/31/2011 9,365 9,208
11/30/2011 8,747 8,488
12/31/2011 8,404 8,200
1/31/2012 9,204 9,013
2/29/2012 9,795 9,705
3/31/2012 9,813 9,626
4/30/2012 9,585 9,466
5/31/2012 8,276 8,168
6/30/2012 8,640 8,570
7/31/2012 8,553 8,540
8/31/2012 8,943 8,912
9/30/2012 9,416 9,392
10/31/2012 9,579 9,554
11/30/2012 9,708 9,700
12/31/2012 10,294 10,223
1/31/2013 11,075 11,055
2/28/2013 10,965 11,022
3/31/2013 10,720 10,738
4/30/2013 11,162 11,155
5/31/2013 11,369 11,409
6/30/2013 10,994 10,901
7/31/2013 11,953 11,892
8/31/2013 11,969 11,870
9/30/2013 13,017 12,885
10/31/2013 13,761 13,661
11/30/2013 14,011 13,904
12/31/2013 14,406 14,265
1/31/2014 14,317 14,147
2/28/2014 15,576 15,383
3/31/2014 15,657 15,396
4/30/2014 15,810 15,460
5/31/2014 15,875 15,634
6/30/2014 15,737 15,482
7/31/2014 14,818 14,569
8/31/2014 14,642 14,451
9/30/2014 13,862 13,655
10/31/2014 13,452 13,209
11/30/2014 13,775 13,596
12/31/2014 13,338 13,271
1/31/2015 13,429 13,302
2/28/2015 14,357 14,284
3/31/2015 14,288 14,139
4/30/2015 15,052 14,896
5/31/2015 15,070 14,797
6/30/2015 14,756 14,447
7/31/2015 15,171 14,983
8/31/2015 14,604 14,404
9/30/2015 14,089 13,917
10/31/2015 14,771 14,713
11/30/2015 14,747 14,674
12/31/2015 14,934 14,892
1/31/2016 13,922 13,714
2/29/2016 13,900 13,762
3/31/2016 15,086 14,996
4/30/2016 15,398 15,184
5/31/2016 15,431 15,248
6/30/2016 14,586 14,258
7/31/2016 15,552 15,183
8/31/2016 15,755 15,313
9/30/2016 16,147 15,680 Past performance is not predictive of
10/31/2016 15,672 15,097 future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
---------------------------------------------------------- MSCI data copyright MSCI 2016, all
6.10% 10.85% 4.60% rights reserved.
--------------------------------------------------------------------------------
257
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
THE CANADIAN SMALL COMPANY SERIES VS.
MSCI CANADA SMALL CAP INDEX (NET DIVIDENDS)
APRIL 2, 2007-OCTOBER 31, 2016
[CHART]
The MSCI Canada Small Cap
Canadian Small Company Series Index (net dividends)
-------------------------------- ------------------------
4/1/2007 $10,000 $10,000
4/1/2007 10,710 10,487
5/1/2007 11,420 11,331
6/1/2007 11,370 11,306
7/1/2007 11,300 11,024
8/1/2007 10,560 10,340
9/1/2007 11,730 11,600
10/1/2007 13,000 12,852
11/1/2007 11,020 10,809
12/1/2007 11,430 11,109
1/1/2008 10,350 10,107
2/1/2008 11,160 11,071
3/1/2008 10,290 10,199
4/1/2008 10,540 10,555
5/1/2008 11,140 11,104
6/1/2008 10,620 10,725
7/1/2008 9,710 9,775
8/1/2008 9,310 9,530
9/1/2008 7,190 7,506
10/1/2008 4,800 5,011
11/1/2008 4,180 4,560
12/1/2008 4,500 4,785
1/1/2009 4,530 4,833
2/1/2009 4,120 4,454
3/1/2009 4,380 4,708
4/1/2009 5,300 5,466
5/1/2009 6,340 6,622
6/1/2009 5,950 6,220
7/1/2009 6,700 6,996
8/1/2009 6,920 7,260
9/1/2009 7,910 8,157
10/1/2009 7,760 8,211
11/1/2009 8,420 8,900
12/1/2009 8,960 9,423
1/1/2010 8,540 9,031
2/1/2010 9,050 9,632
3/1/2010 9,770 10,454
4/1/2010 10,120 10,890
5/1/2010 9,150 9,929
6/1/2010 8,730 9,464
7/1/2010 9,440 10,234
8/1/2010 9,330 10,202
9/1/2010 10,430 11,319
10/1/2010 11,110 12,004
11/1/2010 11,650 12,509
12/1/2010 12,840 13,660
1/1/2011 12,780 13,500
2/1/2011 13,660 14,392
3/1/2011 13,680 14,396
4/1/2011 13,940 14,833
5/1/2011 13,360 14,236
6/1/2011 12,620 13,510
7/1/2011 12,810 13,868
8/1/2011 11,840 13,043
9/1/2011 9,600 10,655
10/1/2011 11,140 12,174
11/1/2011 10,750 11,857
12/1/2011 10,580 11,613
1/1/2012 11,490 12,564
2/1/2012 11,930 13,014
3/1/2012 11,400 12,326
4/1/2012 11,140 12,227
5/1/2012 9,840 10,801
6/1/2012 9,860 10,768
7/1/2012 10,130 11,140
8/1/2012 10,560 11,603
9/1/2012 11,010 12,189
10/1/2012 10,860 11,971
11/1/2012 10,680 11,703
12/1/2012 10,930 11,894
1/1/2013 11,250 12,137
2/1/2013 10,700 11,549
3/1/2013 11,010 11,822
4/1/2013 10,650 11,555
5/1/2013 10,480 11,271
6/1/2013 10,050 10,576
7/1/2013 10,790 11,389
8/1/2013 10,690 11,262
9/1/2013 11,170 11,696
10/1/2013 11,480 11,959
11/1/2013 11,330 11,668
12/1/2013 11,610 11,958
1/1/2014 11,250 11,555
2/1/2014 11,970 12,358
3/1/2014 12,140 12,468
4/1/2014 12,670 12,944
5/1/2014 12,690 12,956
6/1/2014 13,650 14,057
7/1/2014 13,010 13,443
8/1/2014 13,460 13,905
9/1/2014 11,920 12,434
10/1/2014 11,040 11,601
11/1/2014 10,730 11,276
12/1/2014 10,480 10,983
1/1/2015 9,420 9,940
2/1/2015 10,000 10,500
3/1/2015 9,550 10,048
4/1/2015 10,600 11,033
5/1/2015 10,230 10,663
6/1/2015 9,810 10,298
7/1/2015 8,610 9,288
8/1/2015 8,370 8,813
9/1/2015 7,770 8,286
10/1/2015 8,280 8,732
11/1/2015 7,970 8,483
12/1/2015 7,590 7,884
1/1/2016 7,240 7,532
2/1/2016 7,850 8,157
3/1/2016 8,690 9,103
4/1/2016 9,960 10,220
5/1/2016 9,580 9,848
6/1/2016 10,050 10,263
7/1/2016 10,360 10,696
8/1/2016 10,140 10,364
9/1/2016 10,350 10,494 Past performance is not predictive of
10/1/2016 10,000 10,048 future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE SINCE would pay on fund distributions or the
TOTAL RETURN YEAR YEARS INCEPTION redemption of fund shares.
------------------------------------------------------------ MSCI data copyright MSCI 2016, all
20.77% -2.14% 0.00% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THE EMERGING MARKETS SERIES VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
The MSCI Emerging Markets Index
Emerging Markets Series (net dividends)
----------------------- ---------------------------
10/1/2006 $10,000 $10,000
11/1/2006 10,641 10,743
12/1/2006 11,072 11,227
1/1/2007 11,236 11,108
2/1/2007 11,065 11,043
3/1/2007 11,570 11,481
4/1/2007 12,311 12,025
5/1/2007 13,136 12,609
6/1/2007 13,353 13,200
7/1/2007 13,677 13,897
8/1/2007 13,444 13,601
9/1/2007 14,629 15,103
10/1/2007 16,236 16,788
11/1/2007 15,177 15,597
12/1/2007 15,124 15,652
1/1/2008 13,808 13,699
2/1/2008 14,248 14,710
3/1/2008 13,808 13,932
4/1/2008 14,796 15,062
5/1/2008 14,883 15,342
6/1/2008 13,357 13,811
7/1/2008 13,183 13,290
8/1/2008 12,401 12,229
9/1/2008 10,678 10,089
10/1/2008 7,866 7,328
11/1/2008 7,154 6,776
12/1/2008 7,715 7,305
1/1/2009 7,124 6,833
2/1/2009 6,663 6,447
3/1/2009 7,625 7,374
4/1/2009 8,758 8,601
5/1/2009 10,251 10,071
6/1/2009 10,164 9,935
7/1/2009 11,329 11,052
8/1/2009 11,369 11,013
9/1/2009 12,375 12,012
10/1/2009 12,118 12,027
11/1/2009 12,842 12,544
12/1/2009 13,307 13,039
1/1/2010 12,582 12,312
2/1/2010 12,735 12,355
3/1/2010 13,804 13,353
4/1/2010 13,888 13,514
5/1/2010 12,599 12,326
6/1/2010 12,619 12,235
7/1/2010 13,731 13,254
8/1/2010 13,413 12,997
9/1/2010 14,940 14,441
10/1/2010 15,394 14,860
11/1/2010 15,050 14,468
12/1/2010 16,276 15,500
1/1/2011 15,855 15,080
2/1/2011 15,745 14,939
3/1/2011 16,623 15,818
4/1/2011 17,204 16,308
5/1/2011 16,730 15,880
6/1/2011 16,533 15,636
7/1/2011 16,406 15,567
8/1/2011 15,080 14,176
9/1/2011 12,799 12,109
10/1/2011 14,402 13,713
11/1/2011 13,904 12,799
12/1/2011 13,500 12,645
1/1/2012 14,947 14,079
2/1/2012 15,758 14,922
3/1/2012 15,351 14,424
4/1/2012 15,077 14,252
5/1/2012 13,454 12,653
6/1/2012 14,122 13,142
7/1/2012 14,235 13,398
8/1/2012 14,332 13,354
9/1/2012 15,134 14,159
10/1/2012 15,057 14,073
11/1/2012 15,254 14,252
12/1/2012 16,149 14,949
1/1/2013 16,232 15,155
2/1/2013 16,045 14,965
3/1/2013 15,818 14,707
4/1/2013 15,999 14,818
5/1/2013 15,481 14,438
6/1/2013 14,509 13,518
7/1/2013 14,723 13,660
8/1/2013 14,379 13,425
9/1/2013 15,404 14,298
10/1/2013 16,109 14,993
11/1/2013 15,868 14,774
12/1/2013 15,708 14,560
1/1/2014 14,619 13,615
2/1/2014 15,150 14,066
3/1/2014 15,685 14,497
4/1/2014 15,778 14,546
5/1/2014 16,316 15,053
6/1/2014 16,770 15,453
7/1/2014 16,971 15,752
8/1/2014 17,502 16,107
9/1/2014 16,216 14,913
10/1/2014 16,389 15,089
11/1/2014 16,232 14,930
12/1/2014 15,501 14,241
1/1/2015 15,605 14,327
2/1/2015 16,082 14,770
3/1/2015 15,748 14,560
4/1/2015 16,804 15,680
5/1/2015 16,129 15,052
6/1/2015 15,741 14,661
7/1/2015 14,733 13,645
8/1/2015 13,517 12,411
9/1/2015 13,156 12,038
10/1/2015 13,955 12,896
11/1/2015 13,470 12,393
12/1/2015 13,103 12,117
1/1/2016 12,555 11,331
2/1/2016 12,478 11,312
3/1/2016 14,132 12,809
4/1/2016 14,218 12,879
5/1/2016 13,667 12,398
6/1/2016 14,389 12,894
7/1/2016 15,130 13,543
8/1/2016 15,314 13,879 Past performance is not predictive of
9/1/2016 15,518 14,058 future performance.
10/1/2016 15,551 14,091 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
----------------------------------------------------------- MSCI data copyright MSCI 2016, all
11.44% 1.55% 4.51% rights reserved.
--------------------------------------------------------------------------------
258
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
THE EMERGING MARKETS SMALL CAP SERIES VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
The Emerging Markets MSCI Emerging Markets
Small Cap Series Index (net dividends)
-------------------- ---------------------
10/1/2006 $10,000 $10,000
11/1/2006 10,760 10,743
12/1/2006 11,257 11,227
1/1/2007 11,480 11,108
2/1/2007 11,577 11,043
3/1/2007 12,101 11,481
4/1/2007 13,028 12,025
5/1/2007 14,068 12,609
6/1/2007 14,491 13,200
7/1/2007 15,202 13,897
8/1/2007 14,575 13,601
9/1/2007 15,579 15,103
10/1/2007 16,759 16,788
11/1/2007 15,422 15,597
12/1/2007 15,602 15,652
1/1/2008 13,731 13,699
2/1/2008 14,128 14,710
3/1/2008 13,471 13,932
4/1/2008 14,291 15,062
5/1/2008 14,211 15,342
6/1/2008 12,574 13,811
7/1/2008 12,384 13,290
8/1/2008 11,637 12,229
9/1/2008 9,543 10,089
10/1/2008 6,652 7,328
11/1/2008 6,249 6,776
12/1/2008 7,136 7,305
1/1/2009 6,592 6,833
2/1/2009 6,189 6,447
3/1/2009 7,042 7,374
4/1/2009 8,469 8,601
5/1/2009 10,393 10,071
6/1/2009 10,343 9,935
7/1/2009 11,667 11,052
8/1/2009 11,807 11,013
9/1/2009 12,794 12,012
10/1/2009 12,784 12,027
11/1/2009 13,545 12,544
12/1/2009 14,291 13,039
1/1/2010 13,665 12,312
2/1/2010 13,901 12,355
3/1/2010 15,092 13,353
4/1/2010 15,342 13,514
5/1/2010 13,805 12,326
6/1/2010 14,175 12,235
7/1/2010 15,482 13,254
8/1/2010 15,559 12,997
9/1/2010 17,452 14,441
10/1/2010 18,149 14,860
11/1/2010 17,666 14,468
12/1/2010 18,683 15,500
1/1/2011 17,899 15,080
2/1/2011 17,379 14,939
3/1/2011 18,349 15,818
4/1/2011 19,320 16,308
5/1/2011 18,890 15,880
6/1/2011 18,886 15,636
7/1/2011 19,103 15,567
8/1/2011 17,296 14,176
9/1/2011 14,225 12,109
10/1/2011 15,802 13,713
11/1/2011 15,038 12,799
12/1/2011 14,638 12,645
1/1/2012 16,295 14,079
2/1/2012 17,633 14,922
3/1/2012 17,186 14,424
4/1/2012 16,776 14,252
5/1/2012 15,248 12,653
6/1/2012 15,832 13,142
7/1/2012 15,645 13,398
8/1/2012 16,055 13,354
9/1/2012 16,996 14,159
10/1/2012 16,939 14,073
11/1/2012 17,239 14,252
12/1/2012 18,306 14,949
1/1/2013 18,650 15,155
2/1/2013 18,846 14,965
3/1/2013 18,766 14,707
4/1/2013 19,150 14,818
5/1/2013 18,886 14,438
6/1/2013 17,252 13,518
7/1/2013 17,339 13,660
8/1/2013 16,622 13,425
9/1/2013 17,843 14,298
10/1/2013 18,533 14,993
11/1/2013 18,276 14,774
12/1/2013 18,133 14,560
1/1/2014 17,362 13,615
2/1/2014 18,143 14,066
3/1/2014 18,770 14,497
4/1/2014 18,926 14,546
5/1/2014 19,577 15,053
6/1/2014 20,090 15,453
7/1/2014 20,140 15,752
8/1/2014 20,767 16,107
9/1/2014 19,743 14,913
10/1/2014 19,570 15,089
11/1/2014 19,356 14,930
12/1/2014 18,766 14,241
1/1/2015 19,073 14,327
2/1/2015 19,567 14,770
3/1/2015 19,423 14,560
4/1/2015 20,810 15,680
5/1/2015 20,530 15,052
6/1/2015 19,833 14,661
7/1/2015 18,623 13,645
8/1/2015 16,806 12,411
9/1/2015 16,782 12,038
10/1/2015 17,726 12,896
11/1/2015 17,366 12,393
12/1/2015 17,209 12,117
1/1/2016 16,192 11,331
2/1/2016 16,125 11,312
3/1/2016 18,113 12,809
4/1/2016 18,580 12,879
5/1/2016 17,809 12,398
6/1/2016 18,796 12,894
7/1/2016 19,893 13,543
8/1/2016 20,023 13,879 Past performance is not predictive of
9/1/2016 20,360 14,058 future performance.
10/1/2016 20,287 14,091 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
--------------------------------------------------- MSCI data copyright MSCI 2016, all
14.45% 5.12% 7.33% rights reserved.
--------------------------------------------------------------------------------
259
THE DFA INVESTMENT TRUST COMPANY
MANAGEMENT'S DISCUSSION AND ANALYSIS
(UNAUDITED)
U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2016
Most U.S. equities had positive returns during the period. The broad U.S.
equity market, as measured by the Russell 3000(R) Index, gained approximately
4.2%. Large-cap stocks outperformed small-cap stocks as measured by the Russell
indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2016
-------------------------------------------------
Russell 3000(R) Index........................ 4.24%
Russell Microcap(R) Index (micro-cap stocks). 1.54%
Russell 2000(R) Index (small-cap stocks)..... 4.11%
Russell 1000(R) Index (large-cap stocks)..... 4.26%
Dow Jones U.S. Select REIT Index/SM/......... 4.96%
Value stocks outperformed growth stocks as measured by the Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2016
-------------------------------------------------
Russell 2000(R) Value Index (small-cap value stocks)... 8.81%
Russell 2000(R) Growth Index (small-cap growth stocks). -0.49%
Russell 1000(R) Value Index (large-cap value stocks)... 6.37%
Russell 1000(R) Growth Index (large-cap growth stocks). 2.28%
----------
Source: Frank Russell Company is the source and owner of the trademarks,
service marks, and copyrights related to the Russell Indexes.
DOMESTIC EQUITY SERIES' PERFORMANCE OVERVIEW
THE U.S. LARGE CAP VALUE SERIES
The U.S. Large Cap Value Series is designed to capture the returns of U.S.
large company value stocks. Value is measured primarily by book-to-market
ratio. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2016, the Series held approximately 300
securities. In general, average cash exposure throughout the year was less than
1% of the Series' assets.
For the 12 months ended October 31, 2016, total returns were 4.75% for the
Series and 6.37% for the Russell 1000(R) Value Index, the Series' benchmark. As
a result of the Series' diversified investment approach, performance was
determined principally by broad trends in the U.S. equity market rather than
the behavior of a limited number of stocks. The Series had a larger allocation
than the benchmark to lower relative price stocks, which detracted from the
Series' performance relative to the benchmark as the lowest relative price
quartile underperformed. The Series' exclusion of real estate investment trusts
(REITs) and utilities detracted from relative performance as REITs and
utilities outperformed most other sectors during the period.
INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2016
Performance of non-U.S. developed markets was varied for the period.
Small-cap stocks had positive returns, while large-cap stocks had negative
returns. As measured by the MSCI World ex USA indices, small-cap stocks
outperformed large-cap stocks, and value stocks outperformed growth stocks.
260
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
RETURN IN U.S. DOLLARS
- ----------------------
MSCI World ex USA Index......... -2.27%
MSCI World ex USA Small Cap
Index......................... 3.96%
MSCI World ex USA Value Index... -2.07%
MSCI World ex USA Growth Index.. -2.58%
During the period, the performance of the U.S. dollar was mixed when
compared against the currencies of other developed markets. In particular,
while the U.S. dollar appreciated significantly against the British pound, it
depreciated significantly against the Japanese yen. Overall, currency
fluctuations detracted from USD-denominated returns in developed markets.
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLAR
--------------------------------------------------- ------------ ---------------------
Japan............................. -10.14% 3.19%
United Kingdom.................... 13.55% -10.24%
France............................ -4.31% -5.04%
Switzerland....................... -8.27% -8.57%
Canada............................ 11.55% 8.90%
Germany........................... -2.14% -2.89%
Australia......................... 5.52% 12.55%
Hong Kong......................... 8.52% 8.45%
Spain............................. -8.40% -9.10%
Netherlands....................... 0.63% -0.20%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2016, all rights reserved.
Emerging markets had stronger performance over the period than non-U.S.
developed markets. As measured by the MSCI emerging markets indices, small-cap
stocks underperformed large-cap stocks, and growth stocks outperformed value
stocks.
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
RETURN IN U.S. DOLLAR
---------------------
MSCI Emerging Markets Index............. 9.27%
MSCI Emerging Markets Small Cap Index... 4.78%
MSCI Emerging Markets Value Index....... 8.60%
MSCI Emerging Markets Growth Index...... 9.81%
During the period, the performance of the U.S. dollar was mixed when
compared against the currencies of emerging markets. In particular, while the
U.S. dollar appreciated significantly against the Mexican peso, it also
depreciated significantly against the Brazilian real. Overall, currency
fluctuations benefitted from USD-denominated returns in emerging markets.
261
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
TEN LARGEST EMERGING MARKETS BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLAR
------------------------------------------ ------------ ---------------------
China........................ 1.62% 1.54%
Korea........................ 5.56% 5.17%
Taiwan....................... 14.56% 17.85%
India........................ 6.28% 3.99%
South Africa................. -0.92% 1.46%
Brazil....................... 40.59% 70.69%
Mexico....................... 8.65% -4.51%
Russia....................... 17.86% 18.61%
Malaysia..................... 4.44% 6.95%
Indonesia.................... 26.13% 32.31%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2016, all rights reserved.
For funds investing in non-US equities traded outside of the U.S. market
time zone, differences in the valuation timing and methodology between a fund
and its benchmark index may impact relative performance over the referenced
period. The funds price foreign exchange rates at the closing of the U.S.
market while their benchmark indices use rates at 4 pm London time. The funds
also may use fair value pricing to price certain portfolio securities at the
closing of the U.S. market, while benchmark indices may use local market
closing prices. For the one-year period ended October 31, 2016, these
differences generally benefitted the funds' relative performance.
INTERNATIONAL EQUITY SERIES' PERFORMANCE OVERVIEW
THE DFA INTERNATIONAL VALUE SERIES
The DFA International Value Series is designed to capture the returns of
developed ex U.S. large company value stocks. Value is measured primarily by
price-to-book ratio. The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2016, the Series held approximately
500 securities in 22 eligible developed markets. In general, average cash
exposure throughout the year was less than 1% of the Series' assets.
For the 12 months ended October 31, 2016, total returns were -0.10% for the
Series and -2.27% for the MSCI World ex USA Index (net dividends), the Series'
benchmark. As a result of the Series' diversified investment approach,
performance was determined principally by broad trends in developed ex U.S.
equity markets rather than by the behavior of a limited number of stocks. The
Series invests primarily in value stocks, while the benchmark is neutral with
regard to value or growth stocks. The Series' emphasis on deep value stocks
contributed positively to its performance relative to the benchmark, as that
segment of the market outperformed for the year. The Series' emphasis on
mid-cap stocks also contributed positively to relative performance, as those
stocks outperformed for the period.
THE JAPANESE SMALL COMPANY SERIES
The Japanese Small Company Series is designed to capture the returns of
Japanese small company stocks. The investment strategy is process driven,
emphasizing broad diversification. As of October 31, 2016, the Series held
approximately 1,500 securities. In general, cash exposure was low throughout
the year with an average cash balance of less than 1% of the Series' assets.
For the 12 months ended October 31, 2016, total returns were 14.53% for the
Series and 13.21% for the MSCI Japan Small Cap Index (net dividends), the
Series' benchmark. As a result of the Series' diversified investment approach,
performance was determined principally by broad trends in the Japanese equity
market rather than by the behavior of a limited number of stocks. The Series'
greater allocation than the benchmark to micro-cap securities had a positive
impact on its performance relative to the benchmark, as micro-caps generally
outperformed other small-cap securities. The Series' outperformance was
partially offset by the exclusion of real estate investment trusts (REITs),
which outperformed the benchmark.
262
THE ASIA PACIFIC SMALL COMPANY SERIES
The Asia Pacific Small Company Series is designed to capture the returns of
small company stocks in Australia, Hong Kong, New Zealand, and Singapore. The
investment strategy is process driven, emphasizing broad diversification. As of
October 31, 2016, the Series held approximately 850 securities across the
eligible countries. Country allocations generally reflect the approximate
weights of individual securities within a universe of these countries' stocks
constructed by the Advisor. In general, average cash exposure throughout the
year was less than 1% of the Series' assets.
For the 12 months ended October 31, 2016, total returns were 16.69% for the
Series and 10.56% for the MSCI Pacific ex Japan Small Cap Index (net
dividends), the Series' benchmark. As a result of the Series' diversified
investment approach, performance was determined principally by broad trends in
Asia Pacific equity markets rather than by the behavior of a limited number of
stocks. The Series' exclusion of small and micro-cap stocks with high relative
price (growth) and low profitability contributed to outperformance relative to
the benchmark, as that segment of the market underperformed. The Series'
holdings of micro-cap securities, which were held at a higher weight than in
the benchmark, outperformed, and also contributed positively to the Series'
relative performance. In addition, due to differences in methodology, the
Series may invest in or hold securities that the benchmark deems to be too
large to be eligible for inclusion; during the period, these securities also
outperformed, contributing to the Series' relative performance.
THE UNITED KINGDOM SMALL COMPANY SERIES
The United Kingdom Small Company Series is designed to capture the returns
of small company stocks in the U.K. The investment strategy is process driven,
emphasizing broad diversification. As of October 31, 2016, the Series held
approximately 320 securities. In general, average cash exposure throughout the
year was less than 1% of the Series' assets.
For the 12 months ended October 31, 2016, total returns were -15.82% for the
Series and -15.89% for the MSCI UK Small Cap Index (net dividends), the Series'
benchmark. As a result of the Series' diversified investment approach,
performance was determined principally by broad trends in the U.K. equity
market rather than by the behavior of a limited number of stocks. The Series'
overall performance was adversely affected by the British vote on June 23, 2016
to exit the European Union. The Series' investments are denominated primarily
in British pounds, which depreciated approximately 16% from the aftermath of
the vote through October 31, 2016. The Series generally excludes real estate
investment trusts (REITs), which contributed positively to its performance
relative to the benchmark, as REITs in the U.K. underperformed all other
sectors during the period. This was offset by differences between the Series'
and the benchmark's holdings in the consumer discretionary sector, as the
benchmark's holdings in this sector outperformed those of the Series.
THE CONTINENTAL SMALL COMPANY SERIES
The Continental Small Company Series is designed to capture the returns of
small company stocks in the developed markets of Europe (excluding the U.K.)
and Israel by purchasing shares in such securities. The investment strategy is
process driven, emphasizing broad diversification. As of October 31, 2016, the
Series held approximately 1,160 securities in 14 eligible developed European
countries plus Israel. In general, average cash exposure throughout the year
was less than 1% of the Series' assets.
For the 12 months ended October 31, 2016, total returns were 6.10% for the
Series and 2.61% for the MSCI Europe ex UK Small Cap Index (net dividends), the
Series' benchmark. As a result of the Series' diversified investment approach,
performance was determined principally by broad trends in European (excluding
the U.K.) and Israeli equity markets rather than by the behavior of a limited
number of stocks. The Series' holdings of microcap securities, held at a higher
weight than the benchmark, outperformed and contributed to its performance
relative to the benchmark. In addition, due to differences in methodology, the
Series may invest in or hold securities that the benchmark deems to be too
large to be eligible for inclusion. During the period, the Series' holdings of
these securities outperformed and contributed positively to the Series'
relative performance. The Series generally excludes real estate investment
trusts (REITs), which also contributed positively to relative outperformance,
as REITs underperformed the benchmark.
263
THE CANADIAN SMALL COMPANY SERIES
The Canadian Small Company Series is designed to capture the returns of
small company stocks in Canada. The investment strategy is process-driven,
emphasizing broad diversification. As of October 31, 2016, the Series held
approximately 340 securities. In general, average cash exposure throughout the
year was less than 1% of the Series' assets.
For the 12 months ended October 31, 2016, total returns were 20.77% for the
Series and 15.06% for the MSCI Canada Small Cap Index (net dividends), the
Series' benchmark. As a result of the Series' diversified investment approach,
performance was determined principally by broad trends in the Canadian equity
market rather than by the behavior of a limited number of stocks. The Series'
greater allocation than the benchmark to small and micro-cap securities was the
primary driver of outperformance, as those securities generally outperformed.
The Series generally excludes real estate investment trusts (REITs), which
contributed positively to relative performance, as REITs underperformed the
benchmark.
THE EMERGING MARKETS SERIES
The Emerging Markets Series is designed to capture the returns of large-cap
stocks in selected emerging markets countries. The investment strategy is
process driven, emphasizing broad diversification. As of October 31, 2016, the
Series held approximately 1,000 securities across 21 eligible emerging markets.
In general, average cash exposure throughout the year was less than 1% of the
Series' assets.
For the 12 months ended October 31, 2016, total returns were 11.44% for the
Series and 9.27% for the MSCI Emerging Markets Index (net dividends), the
Series' benchmark. As a result of the Series' diversified approach, performance
was generally determined by broad trends in emerging markets rather than by the
behavior of a limited number of stocks. The relative outperformance of the
Series was driven primarily by country allocation differences between the
Series and the benchmark. The Series' lesser allocation to China contributed
positively to its performance relative to the benchmark, as China
underperformed the benchmark during the period. The Series' greater allocation
to Brazil (due to caps on larger countries such as China) also had a positive
impact on relative performance, as Brazil was the strongest-performing country
for the year. In addition, the Series' emphasis on value stocks contributed
positively to relative performance, as that segment of the market outperformed
for the year.
THE EMERGING MARKETS SMALL CAP SERIES
The Emerging Markets Small Cap Series is designed to capture the returns of
small company stocks in selected emerging markets. The investment strategy is
process driven, emphasizing broad diversification. As of October 31, 2016, the
Series held approximately 3,600 securities across 17 eligible emerging markets.
In general, average cash exposure throughout the year was less than 1% of the
Series' assets.
For the 12 months ended October 31, 2016, total returns were 14.45% for the
Series and 9.27% for the MSCI Emerging Markets Index (net dividends), the
Series' benchmark. As a result of the Series' diversified approach, performance
was principally determined by broad trends in emerging markets rather than by
the behavior of a limited number of stocks. The outperformance of the Series
relative to the benchmark was driven primarily by size allocation differences
between the Series and the benchmark. The Series focuses on small-cap stocks
while the benchmark primarily holds large-cap and mid-cap stocks. The small-
and micro-cap holdings of the Series outperformed those of the benchmark. The
Series' lesser allocation to China also contributed positively to relative
performance, as China underperformed the benchmark during the period. The
Series' greater allocation to Brazil also had a positive impact on relative
performance, as Brazil was the strongest-performing country for the year.
264
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2016
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/16 10/31/16 RATIO* PERIOD*
--------- --------- ---------- --------
THE U.S. LARGE CAP VALUE SERIES
-------------------------------
Actual Fund Return................. $1,000.00 $1,047.00 0.11% $0.57
Hypothetical 5% Annual Return...... $1,000.00 $1,024.58 0.11% $0.56
THE DFA INTERNATIONAL VALUE SERIES
----------------------------------
Actual Fund Return................. $1,000.00 $1,038.70 0.22% $1.13
Hypothetical 5% Annual Return...... $1,000.00 $1,024.03 0.22% $1.12
265
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/16 10/31/16 RATIO* PERIOD*
--------- --------- ---------- --------
THE JAPANESE SMALL COMPANY SERIES
---------------------------------
Actual Fund Return...................... $1,000.00 $1,136.10 0.13% $0.70
Hypothetical 5% Annual Return........... $1,000.00 $1,024.48 0.13% $0.66
THE ASIA PACIFIC SMALL COMPANY SERIES
-------------------------------------
Actual Fund Return...................... $1,000.00 $1,065.90 0.13% $0.68
Hypothetical 5% Annual Return........... $1,000.00 $1,024.48 0.13% $0.66
THE UNITED KINGDOM SMALL COMPANY SERIES
---------------------------------------
Actual Fund Return...................... $1,000.00 $ 884.20 0.12% $0.57
Hypothetical 5% Annual Return........... $1,000.00 $1,024.53 0.12% $0.61
THE CONTINENTAL SMALL COMPANY SERIES
------------------------------------
Actual Fund Return...................... $1,000.00 $1,017.80 0.13% $0.66
Hypothetical 5% Annual Return........... $1,000.00 $1,024.48 0.13% $0.66
THE CANADIAN SMALL COMPANY SERIES
---------------------------------
Actual Fund Return...................... $1,000.00 $1,004.00 0.12% $0.60
Hypothetical 5% Annual Return........... $1,000.00 $1,024.53 0.12% $0.61
THE EMERGING MARKETS SERIES
---------------------------
Actual Fund Return...................... $1,000.00 $1,093.70 0.15% $0.79
Hypothetical 5% Annual Return........... $1,000.00 $1,024.38 0.15% $0.76
THE EMERGING MARKETS SMALL CAP SERIES
-------------------------------------
Actual Fund Return...................... $1,000.00 $1,091.90 0.26% $1.37
Hypothetical 5% Annual Return........... $1,000.00 $1,023.83 0.26% $1.32
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then divided
by the number of days in the year (366) to reflect the six-month period.
266
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. The DFA Investment Trust Company filed its most recent Form
N-Q with the SEC on September 29, 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....................... 12.3%
Consumer Staples............................. 6.6%
Energy....................................... 13.7%
Financials................................... 21.5%
Health Care.................................. 11.0%
Industrials.................................. 11.3%
Information Technology....................... 14.7%
Materials.................................... 3.9%
Telecommunication Services................... 4.8%
Utilities.................................... 0.2%
-----
100.0%
THE DFA INTERNATIONAL VALUE SERIES
Consumer Discretionary....................... 12.8%
Consumer Staples............................. 2.6%
Energy....................................... 16.2%
Financials................................... 29.7%
Health Care.................................. 1.2%
Industrials.................................. 10.7%
Information Technology....................... 3.2%
Materials.................................... 14.6%
Real Estate.................................. 2.3%
Telecommunication Services................... 4.3%
Utilities.................................... 2.4%
-----
100.0%
THE JAPANESE SMALL COMPANY SERIES
Consumer Discretionary....................... 19.4%
Consumer Staples............................. 8.5%
Energy....................................... 1.0%
Financials................................... 9.4%
Health Care.................................. 4.4%
Industrials.................................. 28.6%
Information Technology....................... 13.1%
Materials.................................... 12.7%
Real Estate.................................. 2.0%
Telecommunication Services................... 0.1%
Utilities.................................... 0.8%
-----
100.0%
267
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
THE ASIA PACIFIC SMALL COMPANY SERIES
Consumer Discretionary....................... 25.4%
Consumer Staples............................. 5.9%
Energy....................................... 2.8%
Financials................................... 10.1%
Health Care.................................. 6.6%
Industrials.................................. 16.0%
Information Technology....................... 6.1%
Materials.................................... 14.5%
Real Estate.................................. 6.2%
Telecommunication Services................... 3.1%
Utilities.................................... 3.3%
-----
100.0%
THE UNITED KINGDOM SMALL COMPANY SERIES
Consumer Discretionary....................... 20.2%
Consumer Staples............................. 5.6%
Energy....................................... 5.2%
Financials................................... 14.0%
Health Care.................................. 3.9%
Industrials.................................. 27.5%
Information Technology....................... 10.0%
Materials.................................... 8.4%
Real Estate.................................. 2.5%
Telecommunication Services................... 0.7%
Utilities.................................... 2.0%
-----
100.0%
THE CONTINENTAL SMALL COMPANY SERIES
Consumer Discretionary....................... 12.8%
Consumer Staples............................. 6.1%
Energy....................................... 3.0%
Financials................................... 11.6%
Health Care.................................. 9.2%
Industrials.................................. 26.3%
Information Technology....................... 9.4%
Materials.................................... 10.4%
Real Estate.................................. 6.0%
Telecommunication Services................... 2.7%
Utilities.................................... 2.5%
-----
100.0%
THE CANADIAN SMALL COMPANY SERIES
Consumer Discretionary....................... 9.5%
Consumer Staples............................. 4.4%
Energy....................................... 23.6%
Financials................................... 6.0%
Health Care.................................. 1.6%
Industrials.................................. 12.6%
Information Technology....................... 3.9%
Materials.................................... 29.1%
Real Estate.................................. 2.0%
Telecommunication Services................... 0.5%
Utilities.................................... 6.8%
-----
100.0%
THE EMERGING MARKETS SERIES
Consumer Discretionary....................... 9.9%
Consumer Staples............................. 9.2%
Energy....................................... 7.7%
Financials................................... 24.1%
Health Care.................................. 2.8%
Industrials.................................. 7.2%
Information Technology....................... 20.1%
Materials.................................... 8.3%
Real Estate.................................. 1.9%
Telecommunication Services................... 5.6%
Utilities.................................... 3.2%
-----
100.0%
THE EMERGING MARKETS SMALL CAP SERIES
Consumer Discretionary....................... 17.3%
Consumer Staples............................. 8.1%
Energy....................................... 1.7%
Financials................................... 9.0%
Health Care.................................. 6.4%
Industrials.................................. 14.6%
Information Technology....................... 14.8%
Materials.................................... 13.7%
Real Estate.................................. 7.7%
Telecommunication Services................... 1.0%
Utilities.................................... 5.7%
-----
100.0%
268
THE U.S. LARGE CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (95.3%)
Consumer Discretionary --
(11.7%)
#* Charter Communications,
Inc. Class A............... 910,208 $ 227,451,877 1.1%
Comcast Corp. Class A....... 10,885,890 672,965,720 3.2%
Ford Motor Co............... 14,753,200 173,202,568 0.8%
General Motors Co........... 5,641,400 178,268,240 0.9%
Time Warner, Inc............ 3,800,376 338,195,460 1.6%
Other Securities............ 954,615,599 4.6%
---------------- -----
Total Consumer Discretionary.... 2,544,699,464 12.2%
---------------- -----
Consumer Staples -- (6.3%)
CVS Health Corp............. 3,989,908 335,551,263 1.6%
Mondelez International,
Inc. Class A............... 3,933,821 176,785,916 0.9%
# Tyson Foods, Inc. Class A... 1,957,913 138,718,136 0.7%
Wal-Mart Stores, Inc........ 1,998,751 139,952,545 0.7%
Other Securities............ 574,239,450 2.6%
---------------- -----
Total Consumer Staples.......... 1,365,247,310 6.5%
---------------- -----
Energy -- (13.1%)
Chevron Corp................ 3,924,607 411,102,583 2.0%
ConocoPhillips.............. 3,210,456 139,494,313 0.7%
EOG Resources, Inc.......... 1,485,821 134,347,935 0.6%
Exxon Mobil Corp............ 9,096,178 757,893,551 3.6%
Occidental Petroleum Corp... 1,857,300 135,415,743 0.6%
Phillips 66................. 2,096,097 170,098,272 0.8%
Valero Energy Corp.......... 2,806,975 166,285,199 0.8%
Other Securities............ 932,855,101 4.5%
---------------- -----
Total Energy.................... 2,847,492,697 13.6%
---------------- -----
Financials -- (20.5%)
American International
Group, Inc................. 2,735,967 168,809,164 0.8%
Bank of America Corp........ 15,552,325 256,613,362 1.2%
Bank of New York Mellon
Corp. (The)................ 3,379,657 146,237,758 0.7%
Capital One Financial Corp.. 2,036,842 150,807,782 0.7%
Citigroup, Inc.............. 8,251,489 405,560,684 1.9%
Goldman Sachs Group, Inc.
(The)...................... 980,999 174,853,262 0.8%
JPMorgan Chase & Co......... 11,452,239 793,182,073 3.8%
Morgan Stanley.............. 3,534,479 118,652,460 0.6%
PNC Financial Services
Group, Inc. (The).......... 1,303,329 124,598,252 0.6%
Travelers Cos., Inc. (The).. 1,119,453 121,102,426 0.6%
Wells Fargo & Co............ 6,090,495 280,223,675 1.3%
Other Securities............ 1,721,446,165 8.3%
---------------- -----
Total Financials................ 4,462,087,063 21.3%
---------------- -----
Health Care -- (10.5%)
Aetna, Inc.................. 1,802,581 193,507,070 0.9%
Anthem, Inc................. 1,445,532 176,152,529 0.9%
* Express Scripts Holding Co.. 2,738,677 184,586,830 0.9%
Humana, Inc................. 707,042 121,278,914 0.6%
Medtronic P.L.C............. 3,541,179 290,447,502 1.4%
Pfizer, Inc................. 16,340,523 518,157,984 2.5%
Thermo Fisher Scientific,
Inc........................ 1,023,977 150,555,338 0.7%
Other Securities............ 644,260,598 3.0%
---------------- -----
Total Health Care............... 2,278,946,765 10.9%
---------------- -----
269
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (10.8%)
# Caterpillar, Inc........................................ 1,458,164 $ 121,698,367 0.6%
CSX Corp................................................ 5,234,843 159,715,060 0.8%
FedEx Corp.............................................. 853,987 148,867,014 0.7%
General Electric Co..................................... 7,508,293 218,491,326 1.0%
Norfolk Southern Corp................................... 1,569,304 145,945,272 0.7%
Southwest Airlines Co................................... 3,733,160 149,513,058 0.7%
Stanley Black & Decker, Inc............................. 1,095,910 124,758,394 0.6%
Union Pacific Corp...................................... 2,259,039 199,202,059 1.0%
Other Securities........................................ 1,077,855,471 5.1%
---------------- ------
Total Industrials............................................. 2,346,046,021 11.2%
---------------- ------
Information Technology -- (14.0%)
Cisco Systems, Inc...................................... 21,342,703 654,794,128 3.1%
Hewlett Packard Enterprise Co........................... 9,162,273 205,876,274 1.0%
HP, Inc................................................. 9,619,949 139,393,061 0.7%
Intel Corp.............................................. 20,115,235 701,418,244 3.4%
# NVIDIA Corp............................................. 1,824,559 129,835,618 0.6%
QUALCOMM, Inc........................................... 2,685,866 184,572,712 0.9%
Other Securities........................................ 1,024,025,488 4.8%
---------------- ------
Total Information Technology.................................. 3,039,915,525 14.5%
---------------- ------
Materials -- (3.7%)
Newmont Mining Corp..................................... 3,239,227 119,980,968 0.6%
Other Securities........................................ 691,529,819 3.3%
---------------- ------
Total Materials............................................... 811,510,787 3.9%
---------------- ------
Real Estate -- (0.0%)
Other Securities........................................ 500,715 0.0%
---------------- ------
Telecommunication Services -- (4.5%)
AT&T, Inc............................................... 21,002,992 772,700,076 3.7%
Other Securities........................................ 221,455,332 1.1%
---------------- ------
Total Telecommunication Services.............................. 994,155,408 4.8%
---------------- ------
Utilities -- (0.2%)
Other Securities........................................ 38,848,392 0.2%
---------------- ------
TOTAL COMMON STOCKS........................................... 20,729,450,147 99.1%
---------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities........................................ 208,566 0.0%
---------------- ------
TOTAL INVESTMENT SECURITIES................................... 20,729,658,713
----------------
TEMPORARY CASH INVESTMENTS -- (0.9%)
State Street Institutional U.S. Government Money Market
Fund, 0.260%........................................... 200,994,368 200,994,368 1.0%
---------------- ------
SECURITIES LENDING COLLATERAL -- (3.8%)
(S)@ DFA Short Term Investment Fund.......................... 70,916,981 820,651,306 3.9%
---------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $16,161,108,715).................................... $ 21,751,304,387 104.0%
================ ======
270
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Summary of the Series' investments as of October 31, 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......... $ 2,544,699,464 -- -- $ 2,544,699,464
Consumer Staples............... 1,365,247,310 -- -- 1,365,247,310
Energy......................... 2,847,492,697 -- -- 2,847,492,697
Financials..................... 4,462,087,063 -- -- 4,462,087,063
Health Care.................... 2,278,946,765 -- -- 2,278,946,765
Industrials.................... 2,346,046,021 -- -- 2,346,046,021
Information Technology......... 3,039,915,525 -- -- 3,039,915,525
Materials...................... 811,510,787 -- -- 811,510,787
Real Estate.................... 500,715 -- -- 500,715
Telecommunication Services..... 994,155,408 -- -- 994,155,408
Utilities...................... 38,848,392 -- -- 38,848,392
Rights/Warrants................. -- $ 208,566 -- 208,566
Temporary Cash Investments...... 200,994,368 -- -- 200,994,368
Securities Lending Collateral... -- 820,651,306 -- 820,651,306
Futures Contracts**............. (3,872,034) -- -- (3,872,034)
--------------- ------------ -- ---------------
TOTAL........................... $20,926,572,481 $820,859,872 -- $21,747,432,353
=============== ============ == ===============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note G)
See accompanying Notes to Financial Statements.
271
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (95.4%)
AUSTRALIA -- (6.3%)
# Australia & New Zealand Banking Group, Ltd... 5,260,554 $ 111,078,744 1.1%
BHP Billiton, Ltd............................ 5,929,050 103,585,415 1.1%
# BHP Billiton, Ltd. Sponsored ADR............. 1,703,682 59,662,944 0.6%
Newcrest Mining, Ltd......................... 3,033,954 53,122,828 0.5%
Woodside Petroleum, Ltd...................... 2,846,042 60,922,340 0.6%
Other Securities............................. 246,709,911 2.6%
---------------- ----
TOTAL AUSTRALIA.................................. 635,082,182 6.5%
---------------- ----
AUSTRIA -- (0.1%)
Other Securities............................. 7,798,226 0.1%
---------------- ----
BELGIUM -- (1.2%)
Other Securities............................. 121,053,616 1.2%
---------------- ----
CANADA -- (7.6%)
Bank of Montreal............................. 1,645,325 104,642,670 1.1%
Suncor Energy, Inc........................... 3,911,426 117,374,872 1.2%
Other Securities............................. 542,711,216 5.6%
---------------- ----
TOTAL CANADA..................................... 764,728,758 7.9%
---------------- ----
DENMARK -- (1.7%)
Vestas Wind Systems A.S...................... 680,712 54,535,811 0.6%
Other Securities............................. 120,813,571 1.2%
---------------- ----
TOTAL DENMARK.................................... 175,349,382 1.8%
---------------- ----
FINLAND -- (0.7%)
Other Securities............................. 75,225,974 0.8%
---------------- ----
FRANCE -- (8.9%)
BNP Paribas SA............................... 1,521,254 88,207,260 0.9%
Cie de Saint-Gobain.......................... 1,719,658 76,358,268 0.8%
# Engie SA..................................... 4,083,126 58,885,688 0.6%
# Orange SA.................................... 4,783,728 75,265,526 0.8%
Renault SA................................... 759,818 66,075,160 0.7%
Societe Generale SA.......................... 1,935,625 75,503,898 0.8%
Total SA..................................... 4,607,253 220,709,998 2.2%
Other Securities............................. 229,497,843 2.4%
---------------- ----
TOTAL FRANCE..................................... 890,503,641 9.2%
---------------- ----
GERMANY -- (7.1%)
Allianz SE................................... 730,758 114,074,413 1.2%
# Bayerische Motoren Werke AG.................. 972,382 84,835,907 0.9%
Daimler AG................................... 2,565,266 183,011,136 1.9%
E.ON SE...................................... 9,462,347 69,348,171 0.7%
Other Securities............................. 258,205,262 2.6%
---------------- ----
TOTAL GERMANY.................................... 709,474,889 7.3%
---------------- ----
HONG KONG -- (2.7%)
CK Hutchison Holdings, Ltd................... 5,014,984 61,925,181 0.6%
Sun Hung Kai Properties, Ltd................. 2,980,920 44,389,245 0.5%
Other Securities............................. 163,115,200 1.7%
---------------- ----
TOTAL HONG KONG.................................. 269,429,626 2.8%
---------------- ----
272
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
IRELAND -- (0.3%)
Other Securities.................... $ 27,555,506 0.3%
---------------- -----
ISRAEL -- (0.4%)
Other Securities.................... 37,197,840 0.4%
---------------- -----
ITALY -- (0.9%)
Other Securities.................... 89,098,627 0.9%
---------------- -----
JAPAN -- (22.1%)
Hitachi, Ltd........................ 10,841,000 57,792,205 0.6%
Honda Motor Co., Ltd................ 3,689,000 110,380,798 1.1%
Mitsubishi UFJ Financial Group,
Inc................................ 13,919,406 71,821,469 0.7%
Mizuho Financial Group, Inc......... 49,478,100 83,308,851 0.9%
Nissan Motor Co., Ltd............... 6,443,700 65,548,427 0.7%
Sumitomo Mitsui Financial Group,
Inc................................ 2,854,200 98,959,858 1.0%
Other Securities.................... 1,732,718,474 17.8%
---------------- -----
TOTAL JAPAN.............................. 2,220,530,082 22.8%
---------------- -----
NETHERLANDS -- (3.2%)
ING Groep NV........................ 6,261,830 82,199,110 0.8%
Koninklijke DSM NV.................. 739,169 47,509,724 0.5%
Koninklijke Philips NV.............. 1,794,168 54,062,166 0.6%
Other Securities.................... 133,730,760 1.4%
---------------- -----
TOTAL NETHERLANDS........................ 317,501,760 3.3%
---------------- -----
NEW ZEALAND -- (0.1%)
Other Securities.................... 12,145,818 0.1%
---------------- -----
NORWAY -- (0.8%)
Other Securities.................... 77,275,822 0.8%
---------------- -----
PORTUGAL -- (0.0%)
Other Securities.................... 4,088,097 0.0%
---------------- -----
SINGAPORE -- (1.0%)
Other Securities.................... 99,362,354 1.0%
---------------- -----
SPAIN -- (2.8%)
Banco Santander SA.................. 38,416,551 188,242,084 1.9%
Other Securities.................... 91,349,479 1.0%
---------------- -----
TOTAL SPAIN.............................. 279,591,563 2.9%
---------------- -----
SWEDEN -- (2.2%)
Nordea Bank AB...................... 4,880,877 51,293,747 0.5%
Other Securities.................... 170,725,504 1.8%
---------------- -----
TOTAL SWEDEN............................. 222,019,251 2.3%
---------------- -----
SWITZERLAND -- (7.6%)
ABB, Ltd............................ 4,800,878 99,044,119 1.0%
Cie Financiere Richemont SA......... 1,271,917 81,771,387 0.8%
Novartis AG......................... 1,332,371 94,555,149 1.0%
Swiss Re AG......................... 1,037,390 96,281,939 1.0%
UBS Group AG........................ 3,448,485 48,753,503 0.5%
273
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
SWITZERLAND -- (Continued)
Zurich Insurance Group AG......................... 326,468 $ 85,455,128 0.9%
Other Securities.................................. 255,861,140 2.6%
---------------- ------
TOTAL SWITZERLAND....................................... 761,722,365 7.8%
---------------- ------
UNITED KINGDOM -- (17.7%)
* Anglo American P.L.C.............................. 3,284,169 45,581,653 0.5%
Barclays P.L.C. Sponsored ADR..................... 4,766,662 43,948,624 0.5%
BP P.L.C. Sponsored ADR........................... 10,710,966 380,774,841 3.9%
* Glencore P.L.C.................................... 33,377,354 102,171,610 1.1%
HSBC Holdings P.L.C............................... 21,477,669 161,751,262 1.7%
# HSBC Holdings P.L.C. Sponsored ADR................ 3,019,816 113,635,676 1.2%
Royal Dutch Shell P.L.C. Class A.................. 2,199,265 54,777,180 0.6%
Royal Dutch Shell P.L.C. Sponsored ADR, Class A... 3,177,301 158,261,344 1.6%
# Royal Dutch Shell P.L.C. Sponsored ADR, Class B... 3,794,361 198,483,024 2.0%
Vodafone Group P.L.C.............................. 58,351,986 160,253,496 1.6%
# Vodafone Group P.L.C. Sponsored ADR............... 4,011,201 111,671,843 1.1%
Other Securities.................................. 242,436,613 2.4%
---------------- ------
TOTAL UNITED KINGDOM.................................... 1,773,747,166 18.2%
---------------- ------
UNITED STATES -- (0.0%)
Other Securities.................................. 812,282 0.0%
---------------- ------
TOTAL COMMON STOCKS..................................... 9,571,294,827 98.4%
---------------- ------
PREFERRED STOCKS -- (0.9%)
GERMANY -- (0.9%)
Volkswagen AG..................................... 535,010 73,764,785 0.8%
Other Securities.................................. 18,272,581 0.1%
---------------- ------
TOTAL GERMANY........................................... 92,037,366 0.9%
---------------- ------
TOTAL PREFERRED STOCKS.................................. 92,037,366 0.9%
---------------- ------
RIGHTS/WARRANTS -- (0.0%)
SPAIN -- (0.0%)
Other Securities.................................. 2,150,761 0.0%
---------------- ------
SWEDEN -- (0.0%)
Other Securities.................................. 251,828 0.0%
---------------- ------
TOTAL RIGHTS/WARRANTS................................... 2,402,589 0.0%
---------------- ------
TOTAL INVESTMENT SECURITIES............................. 9,665,734,782
----------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (3.7%)
(S)@ DFA Short Term Investment Fund.................... 31,982,623 370,102,917 3.8%
---------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $10,045,898,931)................................ $ 10,035,837,699 103.1%
================ ======
274
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Summary of the Series' investments as of October 31, 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...................... $ 63,077,009 $ 572,005,173 -- $ 635,082,182
Austria........................ -- 7,798,226 -- 7,798,226
Belgium........................ -- 121,053,616 -- 121,053,616
Canada......................... 764,728,758 -- -- 764,728,758
Denmark........................ -- 175,349,382 -- 175,349,382
Finland........................ 2,470,632 72,755,342 -- 75,225,974
France......................... 260,795 890,242,846 -- 890,503,641
Germany........................ 67,367,734 642,107,155 -- 709,474,889
Hong Kong...................... -- 269,429,626 -- 269,429,626
Ireland........................ 9,750,918 17,804,588 -- 27,555,506
Israel......................... -- 37,197,840 -- 37,197,840
Italy.......................... 17,693,989 71,404,638 -- 89,098,627
Japan.......................... 32,899,160 2,187,630,922 -- 2,220,530,082
Netherlands.................... 41,922,122 275,579,638 -- 317,501,760
New Zealand.................... -- 12,145,818 -- 12,145,818
Norway......................... 10,177,330 67,098,492 -- 77,275,822
Portugal....................... -- 4,088,097 -- 4,088,097
Singapore...................... -- 99,362,354 -- 99,362,354
Spain.......................... 3,796,801 275,794,762 -- 279,591,563
Sweden......................... 4,064,405 217,954,846 -- 222,019,251
Switzerland.................... 27,724,389 733,997,976 -- 761,722,365
United Kingdom................. 1,033,348,012 740,399,154 -- 1,773,747,166
United States.................. -- 812,282 -- 812,282
Preferred Stocks
Germany........................ -- 92,037,366 -- 92,037,366
Rights/Warrants
Spain.......................... -- 2,150,761 -- 2,150,761
Sweden......................... -- 251,828 -- 251,828
Securities Lending Collateral... -- 370,102,917 -- 370,102,917
Futures Contracts**............. (851,802) -- -- (851,802)
-------------- -------------- -- ---------------
TOTAL........................... $2,078,430,252 $7,956,555,645 -- $10,034,985,897
============== ============== == ===============
**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.
275
THE JAPANESE SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (91.7%)
Consumer Discretionary -- (17.8%)
Aoyama Trading Co., Ltd................. 304,000 $ 10,709,561 0.4%
Shimachu Co., Ltd....................... 297,200 7,974,727 0.3%
Toyo Tire & Rubber Co., Ltd............. 623,700 9,673,815 0.3%
Other Securities........................ 575,455,539 18.3%
------------ -----
Total Consumer Discretionary................ 603,813,642 19.3%
------------ -----
Consumer Staples -- (7.7%)
Ain Holdings, Inc....................... 124,600 8,409,946 0.3%
Morinaga Milk Industry Co., Ltd......... 1,164,000 9,375,501 0.3%
Takara Holdings, Inc.................... 980,300 9,284,173 0.3%
Other Securities........................ 235,670,534 7.5%
------------ -----
Total Consumer Staples...................... 262,740,154 8.4%
------------ -----
Energy -- (1.0%)
Other Securities........................ 32,552,672 1.0%
------------ -----
Financials -- (8.7%)
77 Bank, Ltd. (The)..................... 1,749,760 7,904,201 0.3%
Daishi Bank, Ltd. (The)................. 2,071,000 8,905,139 0.3%
North Pacific Bank, Ltd................. 2,303,600 8,591,023 0.3%
Other Securities........................ 268,141,185 8.5%
------------ -----
Total Financials............................ 293,541,548 9.4%
------------ -----
Health Care -- (4.1%)
Nipro Corp.............................. 702,100 8,670,187 0.3%
Rohto Pharmaceutical Co., Ltd........... 546,700 9,592,173 0.3%
Ship Healthcare Holdings, Inc........... 279,700 8,181,874 0.3%
Tsumura & Co............................ 359,800 10,225,153 0.3%
Other Securities........................ 101,447,537 3.2%
------------ -----
Total Health Care........................... 138,116,924 4.4%
------------ -----
Industrials -- (26.2%)
Aica Kogyo Co., Ltd..................... 314,300 8,968,870 0.3%
# Chiyoda Corp............................ 993,000 8,661,260 0.3%
Daifuku Co., Ltd........................ 444,100 8,024,354 0.3%
Fujikura, Ltd........................... 1,935,000 11,369,097 0.4%
Furukawa Electric Co., Ltd.............. 462,800 13,615,795 0.4%
Glory, Ltd.............................. 268,900 8,889,500 0.3%
GS Yuasa Corp........................... 2,130,000 9,197,857 0.3%
Japan Steel Works, Ltd. (The)........... 398,400 8,557,307 0.3%
Nishimatsu Construction Co., Ltd........ 1,794,000 8,378,134 0.3%
Nisshinbo Holdings, Inc................. 870,500 8,666,919 0.3%
# NTN Corp................................ 2,488,000 9,417,732 0.3%
# OSG Corp................................ 452,700 9,641,884 0.3%
Penta-Ocean Construction Co., Ltd....... 1,724,600 10,277,125 0.3%
Pilot Corp.............................. 188,800 8,441,250 0.3%
Sankyu, Inc............................. 1,540,000 9,068,678 0.3%
Sanwa Holdings Corp..................... 1,232,600 12,275,880 0.4%
Ushio, Inc.............................. 655,900 7,912,689 0.3%
Other Securities........................ 726,289,505 22.9%
------------ -----
Total Industrials........................... 887,653,836 28.3%
------------ -----
276
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
Information Technology -- (12.0%)
Citizen Watch Co., Ltd........ 1,437,500 $ 8,078,459 0.3%
Horiba, Ltd................... 212,650 10,168,702 0.3%
Ibiden Co., Ltd............... 620,978 9,014,732 0.3%
TIS, Inc...................... 505,101 11,429,663 0.4%
# Topcon Corp................... 595,400 8,886,823 0.3%
Ulvac, Inc.................... 252,600 7,975,585 0.3%
Other Securities.............. 350,942,720 11.1%
-------------- ------
Total Information Technology........ 406,496,684 13.0%
-------------- ------
Materials -- (11.6%)
ADEKA Corp.................... 544,000 8,223,372 0.3%
Denka Co., Ltd................ 1,949,000 8,841,805 0.3%
Dowa Holdings Co., Ltd........ 1,464,000 10,872,844 0.4%
FP Corp....................... 148,000 7,971,867 0.3%
Mitsui Mining & Smelting Co.,
Ltd.......................... 3,627,000 8,080,917 0.3%
NOF Corp...................... 870,000 9,456,776 0.3%
Rengo Co., Ltd................ 1,261,000 7,908,112 0.3%
Showa Denko KK................ 845,099 11,166,525 0.4%
Sumitomo Osaka Cement Co.,
Ltd.......................... 2,493,000 10,325,300 0.3%
#* Tokuyama Corp................. 2,159,000 9,231,383 0.3%
Toyobo Co., Ltd............... 5,688,000 9,310,397 0.3%
Ube Industries, Ltd........... 6,661,000 13,745,559 0.4%
Other Securities.............. 278,920,108 8.7%
-------------- ------
Total Materials..................... 394,054,965 12.6%
-------------- ------
Real Estate -- (1.8%)
Leopalace21 Corp.............. 1,960,700 12,748,059 0.4%
Other Securities.............. 50,288,777 1.6%
-------------- ------
Total Real Estate................... 63,036,836 2.0%
-------------- ------
Telecommunication Services -- (0.1%)
Other Securities.............. 2,374,986 0.1%
-------------- ------
Utilities -- (0.7%)
Hokkaido Electric Power Co.,
Inc.......................... 1,082,100 8,229,493 0.3%
Other Securities.............. 15,378,862 0.4%
-------------- ------
Total Utilities..................... 23,608,355 0.7%
-------------- ------
TOTAL COMMON STOCKS................. 3,107,990,602 99.2%
-------------- ------
TOTAL INVESTMENT SECURITIES......... 3,107,990,602
--------------
VALUE+
------
SECURITIES LENDING COLLATERAL --
(8.3%)
(S)@ DFA Short Term Investment Fund 24,279,430 280,961,564 9.0%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,964,543,542)............. $3,388,952,166 108.2%
============== ======
277
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of October 31, 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......... $ 796,842 $ 603,016,800 -- $ 603,813,642
Consumer Staples............... -- 262,740,154 -- 262,740,154
Energy......................... -- 32,552,672 -- 32,552,672
Financials..................... 4,973,609 288,567,939 -- 293,541,548
Health Care.................... -- 138,116,924 -- 138,116,924
Industrials.................... -- 887,653,836 -- 887,653,836
Information Technology......... -- 406,496,684 -- 406,496,684
Materials...................... -- 394,054,965 -- 394,054,965
Real Estate.................... -- 63,036,836 -- 63,036,836
Telecommunication Services..... -- 2,374,986 -- 2,374,986
Utilities...................... -- 23,608,355 -- 23,608,355
Securities Lending Collateral... -- 280,961,564 -- 280,961,564
---------- -------------- -- --------------
TOTAL........................... $5,770,451 $3,383,181,715 -- $3,388,952,166
========== ============== == ==============
See accompanying Notes to Financial Statements.
278
THE ASIA PACIFIC SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (85.5%)
AUSTRALIA -- (44.3%)
Adelaide Brighton, Ltd.................. 3,668,074 $ 14,902,982 1.0%
# Alumina, Ltd............................ 9,800,265 11,778,711 0.8%
Ansell, Ltd............................. 563,728 9,287,434 0.6%
# Bendigo & Adelaide Bank, Ltd............ 1,000,124 8,445,910 0.5%
BlueScope Steel, Ltd.................... 2,354,984 13,971,247 0.9%
Boral, Ltd.............................. 2,174,013 10,386,960 0.7%
carsales.com, Ltd....................... 1,702,940 13,782,286 0.9%
Cleanaway Waste Management, Ltd......... 10,357,050 9,119,140 0.6%
CSR, Ltd................................ 3,350,138 9,302,355 0.6%
# Downer EDI, Ltd......................... 2,910,872 12,865,733 0.8%
DuluxGroup, Ltd......................... 3,101,823 15,169,738 1.0%
Evolution Mining, Ltd................... 4,976,497 8,775,916 0.6%
Fairfax Media, Ltd...................... 15,303,894 9,586,076 0.6%
# InvoCare, Ltd........................... 905,619 8,985,727 0.6%
# IOOF Holdings, Ltd...................... 1,900,338 11,830,056 0.8%
# IRESS, Ltd.............................. 1,123,183 9,672,022 0.6%
JB Hi-Fi, Ltd........................... 962,791 20,754,808 1.3%
Mineral Resources, Ltd.................. 1,168,088 10,276,124 0.7%
# nib holdings, Ltd....................... 2,713,689 9,937,859 0.6%
# Northern Star Resources, Ltd............ 4,806,957 15,547,800 1.0%
Nufarm, Ltd............................. 1,280,776 8,597,852 0.6%
Orora, Ltd.............................. 3,956,731 8,718,958 0.6%
OZ Minerals, Ltd........................ 2,198,276 11,231,748 0.7%
# Perpetual, Ltd.......................... 356,426 12,238,862 0.8%
Primary Health Care, Ltd................ 3,292,878 9,598,026 0.6%
# Sims Metal Management, Ltd.............. 1,382,214 10,514,951 0.7%
Sirtex Medical, Ltd..................... 413,240 8,746,855 0.6%
Spark Infrastructure Group.............. 11,913,246 20,084,154 1.3%
Star Entertainment Grp, Ltd. (The)...... 4,207,608 15,921,346 1.0%
# Super Retail Group, Ltd................. 1,280,749 9,521,373 0.6%
# Tabcorp Holdings, Ltd................... 3,586,818 13,177,917 0.9%
# Vocus Communications, Ltd............... 4,260,609 18,472,126 1.2%
#* Whitehaven Coal, Ltd.................... 4,143,411 9,528,724 0.6%
Other Securities........................ 409,368,233 26.0%
------------ -----
TOTAL AUSTRALIA............................. 800,100,009 51.4%
------------ -----
CHINA -- (0.2%)
Other Securities........................ 3,344,793 0.2%
------------ -----
HONG KONG -- (23.1%)
Cafe de Coral Holdings, Ltd............. 2,330,000 8,226,629 0.5%
Dah Sing Financial Holdings, Ltd........ 1,408,144 9,551,504 0.6%
#* Esprit Holdings, Ltd.................... 14,507,050 11,964,200 0.8%
# Guotai Junan International Holdings,
Ltd.................................... 22,013,797 8,406,293 0.6%
Hopewell Holdings, Ltd.................. 3,184,000 11,148,424 0.7%
Luk Fook Holdings International, Ltd.... 3,142,000 9,213,353 0.6%
Man Wah Holdings, Ltd................... 13,578,800 9,012,166 0.6%
# Vitasoy International Holdings, Ltd..... 5,277,000 11,020,785 0.7%
VTech Holdings, Ltd..................... 700,400 8,591,259 0.6%
# Xinyi Glass Holdings, Ltd............... 17,658,000 15,182,993 1.0%
Other Securities........................ 315,322,094 20.2%
------------ -----
TOTAL HONG KONG............................. 417,639,700 26.9%
------------ -----
279
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
NEW ZEALAND -- (7.4%)
Fisher & Paykel Healthcare Corp.,
Ltd............................... 2,455,045 $ 15,543,967 1.0%
# Ryman Healthcare, Ltd.............. 1,772,699 11,251,074 0.7%
SKYCITY Entertainment Group, Ltd... 5,162,402 14,391,898 0.9%
Other Securities................... 93,352,887 6.1%
-------------- ------
TOTAL NEW ZEALAND........................ 134,539,826 8.7%
-------------- ------
SINGAPORE -- (10.5%)
#* Noble Group, Ltd................... 75,184,800 8,939,601 0.6%
SATS, Ltd.......................... 2,695,900 9,378,680 0.6%
# Singapore Post, Ltd................ 10,132,100 11,641,927 0.8%
Venture Corp., Ltd................. 1,994,100 13,622,092 0.9%
Other Securities................... 145,991,424 9.3%
-------------- ------
TOTAL SINGAPORE.......................... 189,573,724 12.2%
-------------- ------
UNITED STATES -- (0.0%)
Other Securities................... 54,219 0.0%
-------------- ------
TOTAL COMMON STOCKS...................... 1,545,252,271 99.4%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities................... 96,131 0.0%
-------------- ------
HONG KONG -- (0.0%)
Other Securities................... 1,362 0.0%
-------------- ------
SINGAPORE -- (0.0%)
Other Securities................... 35,970 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS.................... 133,463 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES.............. 1,545,385,734
--------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (14.5%)
(S)@ DFA Short Term Investment Fund..... 22,627,303 261,843,149 16.8%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,857,750,342).................. $1,807,228,883 116.2%
============== ======
280
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of October 31, 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...................... -- $ 800,100,009 -- $ 800,100,009
China.......................... -- 3,344,793 -- 3,344,793
Hong Kong...................... $ 941,157 416,698,543 -- 417,639,700
New Zealand.................... 412,321 134,127,505 -- 134,539,826
Singapore...................... 315,107 189,258,617 -- 189,573,724
United States.................. 54,219 -- -- 54,219
Rights/Warrants
Australia...................... -- 96,131 -- 96,131
Hong Kong...................... -- 1,362 -- 1,362
Singapore...................... -- 35,970 -- 35,970
Securities Lending Collateral... -- 261,843,149 -- 261,843,149
---------- -------------- -- --------------
TOTAL........................... $1,722,804 $1,805,506,079 -- $1,807,228,883
========== ============== == ==============
See accompanying Notes to Financial Statements.
281
THE UNITED KINGDOM SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (96.6%)
Consumer Discretionary -- (19.6%)
Bellway P.L.C...................... 637,459 $ 18,446,930 1.1%
Daily Mail & General Trust P.L.C.
Class A........................... 1,271,481 11,670,462 0.7%
Greene King P.L.C.................. 1,786,209 15,978,447 1.0%
GVC Holdings P.L.C................. 1,240,374 10,567,421 0.6%
Inchcape P.L.C..................... 2,190,976 17,419,824 1.0%
Informa P.L.C...................... 1,305,509 10,740,551 0.6%
UBM P.L.C.......................... 1,950,843 17,128,208 1.0%
WH Smith P.L.C..................... 680,498 12,248,606 0.7%
William Hill P.L.C................. 4,105,574 14,851,757 0.9%
Other Securities................... 208,464,577 12.4%
------------ -----
Total Consumer Discretionary........... 337,516,783 20.0%
------------ -----
Consumer Staples -- (5.4%)
Booker Group P.L.C................. 7,989,596 17,523,270 1.0%
Tate & Lyle P.L.C.................. 2,319,044 22,116,631 1.3%
Other Securities................... 54,160,367 3.3%
------------ -----
Total Consumer Staples................. 93,800,268 5.6%
------------ -----
Energy -- (5.0%)
Amec Foster Wheeler P.L.C.......... 2,037,469 11,116,254 0.7%
John Wood Group P.L.C.............. 1,887,172 17,737,852 1.0%
Petrofac, Ltd...................... 1,141,776 11,244,821 0.7%
#* Tullow Oil P.L.C................... 5,000,074 16,143,884 0.9%
Other Securities................... 30,000,063 1.8%
------------ -----
Total Energy........................... 86,242,874 5.1%
------------ -----
Financials -- (13.5%)
Beazley P.L.C...................... 2,740,810 12,203,670 0.7%
Close Brothers Group P.L.C......... 785,896 12,753,035 0.8%
Henderson Group P.L.C.............. 5,628,395 15,924,719 0.9%
Hiscox, Ltd........................ 1,493,459 18,648,536 1.1%
ICAP P.L.C......................... 2,697,973 15,997,519 1.0%
IG Group Holdings P.L.C............ 1,792,534 18,101,357 1.1%
Jupiter Fund Management P.L.C...... 2,162,762 11,403,328 0.7%
Man Group P.L.C.................... 7,936,721 12,099,824 0.7%
Phoenix Group Holdings............. 1,208,721 10,797,905 0.6%
Other Securities................... 105,371,972 6.3%
------------ -----
Total Financials....................... 233,301,865 13.9%
------------ -----
Health Care -- (3.8%)
* BTG P.L.C.......................... 1,870,654 15,053,103 0.9%
Indivior P.L.C..................... 3,662,912 14,068,115 0.9%
Other Securities................... 36,308,225 2.1%
------------ -----
Total Health Care...................... 65,429,443 3.9%
------------ -----
Industrials -- (26.6%)
Aggreko P.L.C...................... 1,332,278 13,026,413 0.8%
Balfour Beatty P.L.C............... 3,549,781 11,769,319 0.7%
BBA Aviation P.L.C................. 5,623,297 17,781,017 1.0%
Cobham P.L.C....................... 8,502,869 14,835,365 0.9%
G4S P.L.C.......................... 4,118,797 11,063,582 0.7%
Hays P.L.C......................... 6,566,676 10,967,970 0.6%
282
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
Industrials -- (Continued)
Howden Joinery Group P.L.C......... 3,165,528 $ 14,495,414 0.9%
IMI P.L.C.......................... 1,282,137 15,573,467 0.9%
Meggitt P.L.C...................... 3,040,190 16,173,674 1.0%
Melrose Industries P.L.C........... 10,887,020 22,467,470 1.3%
Rentokil Initial P.L.C............. 8,861,710 24,718,157 1.5%
Spirax-Sarco Engineering P.L.C..... 355,118 19,146,216 1.1%
Weir Group P.L.C. (The)............ 1,070,092 22,228,790 1.3%
Other Securities................... 243,821,126 14.5%
-------------- ------
Total Industrials........................ 458,067,980 27.2%
-------------- ------
Information Technology -- (9.6%)
Electrocomponents P.L.C............ 2,396,207 10,916,359 0.7%
Halma P.L.C........................ 1,951,180 24,978,831 1.5%
# Micro Focus International P.L.C.... 539,522 14,127,662 0.8%
* Paysafe Group P.L.C................ 2,265,858 11,976,435 0.7%
Playtech P.L.C..................... 1,111,348 12,606,141 0.8%
Rightmove P.L.C.................... 477,301 21,787,416 1.3%
Spectris P.L.C..................... 613,329 15,356,848 0.9%
Other Securities................... 54,527,225 3.2%
-------------- ------
Total Information Technology............. 166,276,917 9.9%
-------------- ------
Materials -- (8.1%)
Centamin P.L.C..................... 6,065,603 11,748,394 0.7%
DS Smith P.L.C..................... 4,938,232 24,079,775 1.4%
RPC Group P.L.C.................... 1,638,321 18,998,878 1.1%
Other Securities................... 84,422,273 5.1%
-------------- ------
Total Materials.......................... 139,249,320 8.3%
-------------- ------
Real Estate -- (2.4%)
Other Securities................... 42,003,507 2.5%
-------------- ------
Telecommunication Services -- (0.6%)
Other Securities................... 11,042,463 0.6%
-------------- ------
Utilities -- (2.0%)
Pennon Group P.L.C................. 1,994,817 20,358,554 1.2%
Other Securities................... 13,528,264 0.8%
-------------- ------
Total Utilities.......................... 33,886,818 2.0%
-------------- ------
TOTAL COMMON STOCKS...................... 1,666,818,238 99.0%
-------------- ------
PREFERRED STOCKS -- (0.0%)
Other Securities................... 28,411 0.0%
-------------- ------
RIGHTS/WARRANTS -- (0.1%)
Other Securities................... 2,265,507 0.1%
-------------- ------
TOTAL INVESTMENT SECURITIES.............. 1,669,112,156
--------------
VALUE+
- ------ -
SECURITIES LENDING COLLATERAL -- (3.3%)
(S)@ DFA Short Term Investment Fund..... 4,889,717 56,583,806 3.4%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,690,364,152).................. $1,725,695,962 102.5%
============== ======
283
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of October 31, 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............ -- $ 337,516,783 -- $ 337,516,783
Consumer Staples.................. -- 93,800,268 -- 93,800,268
Energy............................ -- 86,242,874 -- 86,242,874
Financials........................ -- 233,301,865 -- 233,301,865
Health Care....................... -- 65,429,443 -- 65,429,443
Industrials....................... -- 458,067,980 -- 458,067,980
Information Technology............ -- 166,276,917 -- 166,276,917
Materials......................... -- 139,249,320 -- 139,249,320
Real Estate....................... -- 42,003,507 -- 42,003,507
Telecommunication Services........ -- 11,042,463 -- 11,042,463
Utilities......................... -- 33,886,818 -- 33,886,818
Preferred Stocks................... -- 28,411 -- 28,411
Rights/Warrants.................... -- 2,265,507 -- 2,265,507
Securities Lending Collateral...... -- 56,583,806 -- 56,583,806
-- -------------- -- --------------
TOTAL.............................. -- $1,725,695,962 -- $1,725,695,962
== ============== == ==============
See accompanying Notes to Financial Statements.
284
THE CONTINENTAL SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (91.4%)
AUSTRIA -- (3.1%)
ANDRITZ AG.................... 310,627 $ 16,241,244 0.4%
Other Securities.............. 122,038,613 2.9%
------------ -----
TOTAL AUSTRIA..................... 138,279,857 3.3%
------------ -----
BELGIUM -- (4.3%)
Ackermans & van Haaren NV..... 134,383 18,652,359 0.5%
Umicore SA.................... 412,343 25,063,062 0.6%
Other Securities.............. 147,950,280 3.5%
------------ -----
TOTAL BELGIUM..................... 191,665,701 4.6%
------------ -----
DENMARK -- (4.5%)
GN Store Nord A.S............. 826,732 16,756,414 0.4%
Jyske Bank A.S................ 345,747 15,676,272 0.4%
* TDC A.S....................... 4,148,072 22,870,392 0.6%
Other Securities.............. 148,738,122 3.5%
------------ -----
TOTAL DENMARK..................... 204,041,200 4.9%
------------ -----
FINLAND -- (6.5%)
Amer Sports Oyj............... 641,324 17,449,969 0.4%
Elisa Oyj..................... 734,075 24,731,862 0.6%
Huhtamaki Oyj................. 467,536 18,868,806 0.5%
Kesko Oyj Class B............. 345,206 17,153,261 0.4%
Nokian Renkaat Oyj............ 623,433 20,910,928 0.5%
Orion Oyj Class B............. 436,647 18,585,395 0.5%
#* Outokumpu Oyj................. 3,022,031 21,068,282 0.5%
Other Securities.............. 153,616,179 3.6%
------------ -----
TOTAL FINLAND..................... 292,384,682 7.0%
------------ -----
FRANCE -- (12.5%)
Arkema SA..................... 298,145 28,270,807 0.7%
Edenred....................... 946,779 21,911,853 0.5%
Eurofins Scientific SE........ 38,653 17,565,704 0.4%
Lagardere SCA................. 619,304 15,771,620 0.4%
Rexel SA...................... 1,596,995 22,149,109 0.5%
Rubis SCA..................... 203,675 18,573,358 0.5%
SEB SA........................ 120,657 17,757,736 0.4%
# STMicroelectronics NV......... 2,136,887 20,281,219 0.5%
Teleperformance............... 336,308 35,533,493 0.9%
* Ubisoft Entertainment SA...... 521,852 17,756,325 0.4%
Other Securities.............. 344,488,930 8.3%
------------ -----
TOTAL FRANCE...................... 560,060,154 13.5%
------------ -----
GERMANY -- (15.4%)
* Dialog Semiconductor P.L.C.... 382,079 15,026,045 0.4%
Freenet AG.................... 652,809 18,715,461 0.5%
Gerresheimer AG............... 198,146 14,946,146 0.4%
# K+S AG........................ 990,931 20,066,101 0.5%
KION Group AG................. 258,832 15,638,698 0.4%
* KUKA AG....................... 135,482 15,374,609 0.4%
Lanxess AG.................... 484,758 31,084,953 0.8%
LEG Immobilien AG............. 306,750 25,874,994 0.6%
285
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
GERMANY -- (Continued)
MTU Aero Engines AG.......................... 249,839 $ 26,089,184 0.6%
Osram Licht AG............................... 343,036 19,483,339 0.5%
* QIAGEN NV.................................... 744,663 18,212,580 0.4%
Rheinmetall AG............................... 223,411 15,508,712 0.4%
Stada Arzneimittel AG........................ 306,492 15,370,132 0.4%
Other Securities............................. 439,286,005 10.4%
-------------- -----
TOTAL GERMANY.................................... 690,676,959 16.7%
-------------- -----
IRELAND -- (1.2%)
Other Securities............................. 53,214,050 1.3%
-------------- -----
ISRAEL -- (1.8%)
Other Securities............................. 82,999,079 2.0%
-------------- -----
ITALY -- (8.6%)
Prysmian SpA................................. 1,026,230 25,519,884 0.6%
Other Securities............................. 358,680,759 8.7%
-------------- -----
TOTAL ITALY...................................... 384,200,643 9.3%
-------------- -----
NETHERLANDS -- (4.7%)
Aalberts Industries NV....................... 600,156 18,953,870 0.5%
Delta Lloyd NV............................... 2,709,093 16,366,532 0.4%
# Gemalto NV................................... 304,031 16,518,507 0.4%
Other Securities............................. 158,514,893 3.8%
-------------- -----
TOTAL NETHERLANDS................................ 210,353,802 5.1%
-------------- -----
NORWAY -- (2.6%)
Other Securities............................. 118,249,011 2.9%
-------------- -----
PORTUGAL -- (0.9%)
Other Securities............................. 41,152,687 1.0%
-------------- -----
SPAIN -- (5.4%)
Distribuidora Internacional de Alimentacion
SA.......................................... 2,929,226 15,645,268 0.4%
Gamesa Corp. Tecnologica SA.................. 1,203,576 27,788,671 0.7%
Other Securities............................. 199,203,293 4.7%
-------------- -----
TOTAL SPAIN...................................... 242,637,232 5.8%
-------------- -----
SWEDEN -- (7.8%)
Other Securities............................. 348,471,161 8.4%
-------------- -----
SWITZERLAND -- (12.1%)
Baloise Holding AG........................... 193,722 23,833,522 0.6%
Flughafen Zuerich AG......................... 104,871 19,277,802 0.5%
Georg Fischer AG............................. 22,511 19,958,153 0.5%
Helvetia Holding AG.......................... 36,269 18,869,464 0.5%
# Logitech International SA.................... 650,486 15,732,970 0.4%
PSP Swiss Property AG........................ 201,709 18,048,619 0.4%
Straumann Holding AG......................... 45,962 17,244,502 0.4%
Temenos Group AG............................. 318,043 20,539,697 0.5%
Other Securities............................. 386,994,688 9.2%
-------------- -----
TOTAL SWITZERLAND................................ 540,499,417 13.0%
-------------- -----
TOTAL COMMON STOCKS.............................. 4,098,885,635 98.8%
-------------- -----
PREFERRED STOCKS -- (0.8%)
GERMANY -- (0.8%)
Other Securities............................. 34,254,167 0.9%
-------------- -----
TOTAL PREFERRED STOCKS........................... 34,254,167 0.9%
-------------- -----
286
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
RIGHTS/WARRANTS -- (0.0%)
SPAIN -- (0.0%)
Other Securities............... $ 55,356 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS................ 55,356 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES.......... 4,133,195,158
--------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (7.8%)
(S)@ DFA Short Term Investment Fund. 30,261,802 350,189,570 8.4%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,879,139,342)............ $4,483,384,728 108.1%
============== ======
Summary of the Series' investments as of October 31, 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........................ -- $ 138,279,857 -- $ 138,279,857
Belgium........................ -- 191,665,701 -- 191,665,701
Denmark........................ -- 204,041,200 -- 204,041,200
Finland........................ -- 292,384,682 -- 292,384,682
France......................... -- 560,060,154 -- 560,060,154
Germany........................ $1,885,545 688,791,414 -- 690,676,959
Ireland........................ -- 53,214,050 -- 53,214,050
Israel......................... -- 82,999,079 -- 82,999,079
Italy.......................... -- 384,200,643 -- 384,200,643
Netherlands.................... -- 210,353,802 -- 210,353,802
Norway......................... -- 118,249,011 -- 118,249,011
Portugal....................... -- 41,152,687 -- 41,152,687
Spain.......................... -- 242,637,232 -- 242,637,232
Sweden......................... 124,117 348,347,044 -- 348,471,161
Switzerland.................... -- 540,499,417 -- 540,499,417
Preferred Stocks
Germany........................ -- 34,254,167 -- 34,254,167
Rights/Warrants
Spain.......................... -- 55,356 -- 55,356
Securities Lending Collateral... -- 350,189,570 -- 350,189,570
---------- -------------- -- --------------
TOTAL........................... $2,009,662 $4,481,375,066 -- $4,483,384,728
========== ============== == ==============
See accompanying Notes to Financial Statements.
287
THE CANADIAN SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (81.3%)
Consumer Discretionary -- (7.7%)
Cineplex, Inc.......................... 318,474 $ 12,109,278 1.3%
# Corus Entertainment, Inc. Class B...... 740,938 6,115,100 0.7%
# Enercare, Inc.......................... 509,859 7,366,784 0.8%
#* IMAX Corp.............................. 259,917 7,862,489 0.9%
Linamar Corp........................... 144,412 5,873,164 0.6%
Other Securities....................... 49,050,359 5.2%
------------ -----
Total Consumer Discretionary............... 88,377,174 9.5%
------------ -----
Consumer Staples -- (3.6%)
Cott Corp.............................. 600,036 7,868,958 0.9%
Premium Brands Holdings Corp........... 132,462 6,410,280 0.7%
Other Securities....................... 26,731,797 2.8%
------------ -----
Total Consumer Staples..................... 41,011,035 4.4%
------------ -----
Energy -- (19.2%)
* Advantage Oil & Gas, Ltd............... 1,100,531 7,425,487 0.8%
# Enbridge Income Fund Holdings, Inc..... 251,755 6,389,130 0.7%
# Gibson Energy, Inc..................... 702,339 8,812,619 0.9%
# Mullen Group, Ltd...................... 536,825 7,440,227 0.8%
* Parex Resources, Inc................... 765,891 8,810,630 0.9%
# Parkland Fuel Corp..................... 474,825 11,090,932 1.2%
# Precision Drilling Corp................ 1,736,481 7,741,860 0.8%
* Raging River Exploration, Inc.......... 1,087,151 8,713,095 0.9%
ShawCor, Ltd........................... 319,981 8,003,700 0.9%
# Veresen, Inc........................... 1,597,192 14,467,966 1.6%
# Whitecap Resources, Inc................ 1,466,035 11,716,913 1.3%
Other Securities....................... 119,454,762 12.8%
------------ -----
Total Energy............................... 220,067,321 23.6%
------------ -----
Financials -- (4.8%)
# Canadian Western Bank.................. 441,032 8,368,198 0.9%
# Home Capital Group, Inc................ 325,263 6,438,330 0.7%
Laurentian Bank of Canada.............. 196,746 7,271,080 0.8%
TMX Group, Ltd......................... 191,063 8,815,991 0.9%
Other Securities....................... 24,707,351 2.7%
------------ -----
Total Financials........................... 55,600,950 6.0%
------------ -----
Health Care -- (1.3%)
Other Securities....................... 14,491,248 1.5%
------------ -----
Industrials -- (10.3%)
MacDonald Dettwiler & Associates, Ltd.. 172,507 9,873,527 1.1%
New Flyer Industries, Inc.............. 254,471 7,114,488 0.8%
Russel Metals, Inc..................... 362,155 5,764,564 0.6%
# Stantec, Inc........................... 410,229 9,126,395 1.0%
Toromont Industries, Ltd............... 390,325 11,465,597 1.2%
TransForce, Inc........................ 474,880 10,773,577 1.2%
Westshore Terminals Investment Corp.... 318,149 6,136,222 0.7%
Other Securities....................... 57,383,009 6.0%
------------ -----
Total Industrials.......................... 117,637,379 12.6%
------------ -----
Information Technology -- (3.1%)
Other Securities....................... 35,787,691 3.8%
------------ -----
288
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
Materials -- (23.7%)
Alamos Gold, Inc. Class A.......... 1,545,462 $ 12,121,272 1.3%
* B2Gold Corp........................ 5,268,073 15,239,039 1.6%
* Endeavour Mining Corp.............. 316,838 6,188,881 0.7%
* Fortuna Silver Mines, Inc.......... 876,406 5,991,682 0.6%
HudBay Minerals, Inc............... 1,398,004 5,888,856 0.6%
* IAMGOLD Corp....................... 2,443,241 9,781,707 1.1%
* Lundin Mining Corp................. 2,567,823 10,050,750 1.1%
# Methanex Corp...................... 267,966 9,739,314 1.0%
* New Gold, Inc...................... 2,668,183 10,523,140 1.1%
OceanaGold Corp.................... 3,061,665 9,358,702 1.0%
Pan American Silver Corp........... 990,673 15,820,633 1.7%
* SEMAFO, Inc........................ 1,661,946 6,517,435 0.7%
#* Silver Standard Resources, Inc..... 760,590 8,347,040 0.9%
# Stella-Jones, Inc.................. 204,600 7,260,837 0.8%
West Fraser Timber Co., Ltd........ 213,500 7,309,267 0.8%
Other Securities................... 131,140,488 14.1%
-------------- ------
Total Materials.......................... 271,279,043 29.1%
-------------- ------
Real Estate -- (1.6%)
FirstService Corp.................. 160,533 6,504,860 0.7%
Other Securities................... 12,104,751 1.3%
-------------- ------
Total Real Estate........................ 18,609,611 2.0%
-------------- ------
Telecommunication Services -- (0.4%)
Other Securities................... 4,507,968 0.5%
-------------- ------
Utilities -- (5.6%)
Algonquin Power & Utilities Corp... 1,173,558 10,368,048 1.1%
Capital Power Corp................. 523,509 8,059,689 0.9%
# Northland Power, Inc............... 536,896 9,606,728 1.0%
Superior Plus Corp................. 702,443 6,253,015 0.7%
TransAlta Corp..................... 1,446,740 6,374,587 0.7%
Other Securities................... 23,050,047 2.4%
-------------- ------
Total Utilities.......................... 63,712,114 6.8%
-------------- ------
TOTAL COMMON STOCKS...................... 931,081,534 99.8%
-------------- ------
TOTAL INVESTMENT SECURITIES.............. 931,081,534
--------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (18.7%)
(S)@ DFA Short Term Investment Fund..... 18,505,165 214,141,764 22.9%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,376,781,398).................. $1,145,223,298 122.7%
============== ======
289
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of October 31, 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......... $ 88,194,376 $ 182,798 -- $ 88,377,174
Consumer Staples............... 41,011,035 -- -- 41,011,035
Energy......................... 220,008,340 58,981 -- 220,067,321
Financials..................... 55,600,950 -- -- 55,600,950
Health Care.................... 14,491,248 -- -- 14,491,248
Industrials.................... 117,637,379 -- -- 117,637,379
Information Technology......... 35,787,691 -- -- 35,787,691
Materials...................... 271,278,805 238 -- 271,279,043
Real Estate.................... 18,609,611 -- -- 18,609,611
Telecommunication Services..... 4,507,968 -- -- 4,507,968
Utilities...................... 63,712,114 -- -- 63,712,114
Securities Lending Collateral... -- 214,141,764 -- 214,141,764
------------ ------------ -- --------------
TOTAL $930,839,517 $214,383,781 -- $1,145,223,298
============ ============ == ==============
See accompanying Notes to Financial Statements.
290
THE EMERGING MARKETS SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (94.0%)
BRAZIL -- (5.8%)
AMBEV SA ADR............................................ 5,984,451 $ 35,308,261 0.7%
Cielo SA................................................ 1,506,864 15,295,240 0.3%
Other Securities........................................ 242,707,051 4.9%
------------ -----
TOTAL BRAZIL................................................. 293,310,552 5.9%
------------ -----
CHILE -- (1.4%)
Other Securities........................................ 73,612,527 1.5%
------------ -----
CHINA -- (14.8%)
Bank of China, Ltd. Class H............................. 63,274,181 28,354,360 0.6%
China Construction Bank Corp. Class H................... 69,895,590 51,041,026 1.0%
China Mobile, Ltd. Sponsored ADR........................ 918,178 52,730,963 1.1%
CNOOC, Ltd. Sponsored ADR............................... 127,716 16,025,804 0.3%
Industrial & Commercial Bank of China, Ltd. Class H..... 71,229,185 42,754,557 0.9%
Ping An Insurance Group Co. of China, Ltd. Class H...... 4,622,500 24,330,600 0.5%
Tencent Holdings, Ltd................................... 4,351,400 115,322,199 2.3%
Other Securities........................................ 424,183,224 8.4%
------------ -----
TOTAL CHINA.................................................. 754,742,733 15.1%
------------ -----
COLOMBIA -- (0.5%)
Other Securities........................................ 23,941,405 0.5%
------------ -----
CZECH REPUBLIC -- (0.2%)
Other Securities........................................ 9,825,802 0.2%
------------ -----
EGYPT -- (0.2%)
Other Securities........................................ 8,164,964 0.2%
------------ -----
GREECE -- (0.2%)
Other Securities........................................ 12,197,777 0.2%
------------ -----
HUNGARY -- (0.4%)
Other Securities........................................ 19,420,220 0.4%
------------ -----
INDIA -- (12.2%)
HDFC Bank, Ltd.......................................... 1,441,144 27,008,537 0.5%
Housing Development Finance Corp., Ltd.................. 1,095,932 22,624,895 0.5%
Infosys, Ltd............................................ 1,886,232 28,287,791 0.6%
ITC, Ltd................................................ 4,896,443 17,714,670 0.4%
Reliance Industries, Ltd................................ 1,625,226 25,537,646 0.5%
Tata Consultancy Services, Ltd.......................... 720,066 25,774,900 0.5%
Tata Motors, Ltd........................................ 1,952,358 15,521,888 0.3%
Other Securities........................................ 457,000,473 9.1%
------------ -----
TOTAL INDIA.................................................. 619,470,800 12.4%
------------ -----
INDONESIA -- (3.2%)
Astra International Tbk PT.............................. 23,646,410 14,918,699 0.3%
Bank Central Asia Tbk PT................................ 15,447,700 18,366,468 0.4%
Other Securities........................................ 131,751,393 2.6%
------------ -----
TOTAL INDONESIA.............................................. 165,036,560 3.3%
------------ -----
291
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
MALAYSIA -- (3.5%)
Public Bank Bhd........................................ 3,537,614 $ 16,744,498 0.3%
Tenaga Nasional Bhd.................................... 4,375,250 14,949,608 0.3%
Other Securities....................................... 149,025,914 3.0%
------------ -----
TOTAL MALAYSIA............................................. 180,720,020 3.6%
------------ -----
MEXICO -- (5.0%)
America Movil S.A.B. de C.V. Series L.................. 46,329,297 30,688,471 0.6%
# Fomento Economico Mexicano S.A.B. de C.V............... 1,793,669 17,198,383 0.3%
# Grupo Financiero Banorte S.A.B. de C.V. Class O........ 4,609,848 27,194,225 0.6%
# Grupo Televisa S.A.B. Series CPO....................... 3,356,577 16,490,754 0.3%
Wal-Mart de Mexico S.A.B. de C.V....................... 7,054,235 14,921,344 0.3%
Other Securities....................................... 148,796,657 3.0%
------------ -----
TOTAL MEXICO............................................... 255,289,834 5.1%
------------ -----
PERU -- (0.3%)
Other Securities....................................... 14,446,744 0.3%
------------ -----
PHILIPPINES -- (1.7%)
Other Securities....................................... 87,260,101 1.7%
------------ -----
POLAND -- (1.4%)
Other Securities....................................... 73,590,632 1.5%
------------ -----
RUSSIA -- (1.8%)
Gazprom PJSC Sponsored ADR............................. 4,944,295 21,319,197 0.4%
Sberbank of Russia PJSC Sponsored ADR.................. 1,818,206 17,220,575 0.4%
Other Securities....................................... 53,848,767 1.0%
------------ -----
TOTAL RUSSIA............................................... 92,388,539 1.8%
------------ -----
SOUTH AFRICA -- (7.9%)
* AngloGold Ashanti, Ltd. Sponsored ADR.................. 1,637,102 22,493,782 0.5%
FirstRand, Ltd......................................... 4,730,180 16,961,318 0.3%
MTN Group, Ltd......................................... 2,516,919 21,739,475 0.4%
Naspers, Ltd. Class N.................................. 370,571 62,063,317 1.2%
Sasol, Ltd. Sponsored ADR.............................. 778,314 21,411,418 0.4%
Standard Bank Group, Ltd............................... 2,023,352 21,478,453 0.4%
Steinhoff International Holdings NV.................... 3,453,813 18,632,175 0.4%
Other Securities....................................... 219,673,686 4.5%
------------ -----
TOTAL SOUTH AFRICA......................................... 404,453,624 8.1%
------------ -----
SOUTH KOREA -- (14.3%)
Hyundai Motor Co....................................... 175,874 21,472,355 0.4%
KB Financial Group, Inc................................ 441,762 16,352,604 0.3%
NAVER Corp............................................. 33,801 25,288,736 0.5%
Samsung Electronics Co., Ltd........................... 97,289 139,155,193 2.8%
Samsung Electronics Co., Ltd. GDR...................... 52,509 36,940,669 0.7%
SK Hynix, Inc.......................................... 705,494 25,233,135 0.5%
Other Securities....................................... 462,680,857 9.3%
------------ -----
TOTAL SOUTH KOREA.......................................... 727,123,549 14.5%
------------ -----
TAIWAN -- (15.0%)
# Hon Hai Precision Industry Co., Ltd.................... 17,267,653 46,642,722 0.9%
Largan Precision Co., Ltd.............................. 133,860 15,792,148 0.3%
Taiwan Semiconductor Manufacturing Co., Ltd............ 25,188,808 151,166,887 3.0%
292
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
TAIWAN -- (Continued)
Taiwan Semiconductor Manufacturing Co.,
Ltd. Sponsored ADR..................... 1,672,158 $ 52,004,114 1.1%
Other Securities........................ 499,242,347 10.0%
-------------- ------
TOTAL TAIWAN.................................. 764,848,218 15.3%
-------------- ------
THAILAND -- (2.7%)
PTT PCL................................. 1,634,600 16,160,343 0.3%
Other Securities........................ 121,889,382 2.5%
-------------- ------
TOTAL THAILAND................................ 138,049,725 2.8%
-------------- ------
TURKEY -- (1.5%)
Other Securities........................ 74,744,642 1.5%
-------------- ------
TOTAL COMMON STOCKS........................... 4,792,638,968 95.9%
-------------- ------
PREFERRED STOCKS -- (3.2%)
BRAZIL -- (3.1%)
Banco Bradesco SA....................... 2,388,514 25,022,528 0.5%
Itau Unibanco Holding SA................ 4,317,027 51,934,159 1.0%
* Petroleo Brasileiro SA.................. 2,825,761 15,660,311 0.3%
* Petroleo Brasileiro SA Sponsored ADR.... 1,440,006 15,926,466 0.3%
Vale SA................................. 2,522,202 16,301,074 0.3%
Other Securities........................ 29,792,502 0.7%
-------------- ------
TOTAL BRAZIL.................................. 154,637,040 3.1%
-------------- ------
CHILE -- (0.0%)
Other Securities........................ 461,858 0.0%
-------------- ------
COLOMBIA -- (0.1%)
Other Securities........................ 5,642,477 0.1%
-------------- ------
SOUTH KOREA -- (0.0%)
Other Securities........................ 309,189 0.0%
-------------- ------
TOTAL PREFERRED STOCKS........................ 161,050,564 3.2%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
SOUTH KOREA -- (0.0%)
Other Securities........................ 415,149 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS......................... 415,149 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES................... 4,954,104,681
--------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (2.8%)
(S)@ DFA Short Term Investment Fund.......... 12,413,368 143,647,490 2.9%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,047,616,277)....................... $5,097,752,171 102.0%
============== ======
293
THE EMERGING MARKETS SERIES
CONTINUED
Summary of the Series' investments as of October 31, 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......................... $ 293,310,552 -- -- $ 293,310,552
Chile.......................... 36,556,767 $ 37,055,760 -- 73,612,527
China.......................... 123,639,714 631,103,019 -- 754,742,733
Colombia....................... 23,941,405 -- -- 23,941,405
Czech Republic................. -- 9,825,802 -- 9,825,802
Egypt.......................... 656,731 7,508,233 -- 8,164,964
Greece......................... -- 12,197,777 -- 12,197,777
Hungary........................ -- 19,420,220 -- 19,420,220
India.......................... 32,757,639 586,713,161 -- 619,470,800
Indonesia...................... 6,392,992 158,643,568 -- 165,036,560
Malaysia....................... -- 180,720,020 -- 180,720,020
Mexico......................... 255,289,834 -- -- 255,289,834
Peru........................... 14,446,744 -- -- 14,446,744
Philippines.................... 1,591,367 85,668,734 -- 87,260,101
Poland......................... -- 73,590,632 -- 73,590,632
Russia......................... 880,891 91,507,648 -- 92,388,539
South Africa................... 55,870,231 348,583,393 -- 404,453,624
South Korea.................... 24,723,258 702,400,291 -- 727,123,549
Taiwan......................... 61,828,890 703,019,328 -- 764,848,218
Thailand....................... 138,049,725 -- -- 138,049,725
Turkey......................... 592,181 74,152,461 -- 74,744,642
Preferred Stocks
Brazil......................... 154,637,040 -- -- 154,637,040
Chile.......................... -- 461,858 -- 461,858
Colombia....................... 5,642,477 -- -- 5,642,477
South Korea.................... 309,189 -- -- 309,189
Rights/Warrants
South Korea.................... -- 415,149 -- 415,149
Securities Lending Collateral... -- 143,647,490 -- 143,647,490
Futures Contracts**............. (265,685) -- -- (265,685)
-------------- -------------- -- --------------
TOTAL........................... $1,230,851,942 $3,866,634,544 -- $5,097,486,486
============== ============== == ==============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note G)
See accompanying Notes to Financial Statements.
294
THE EMERGING MARKETS SMALL CAP SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (87.8%)
BRAZIL -- (8.3%)
* BR Malls Participacoes SA.......... 6,998,232 $ 28,019,237 0.5%
CETIP SA - Mercados Organizados.... 945,300 13,288,099 0.3%
* Cia Siderurgica Nacional SA........ 5,779,408 19,445,752 0.4%
Duratex SA......................... 3,935,733 10,628,452 0.2%
EDP - Energias do Brasil SA........ 3,450,314 16,592,205 0.3%
Equatorial Energia SA.............. 2,273,758 40,560,082 0.7%
Estacio Participacoes SA........... 3,477,890 20,167,840 0.4%
Fleury SA.......................... 899,506 11,906,055 0.2%
Localiza Rent a Car SA............. 1,649,975 20,485,122 0.4%
MRV Engenharia e Participacoes SA.. 3,532,380 13,678,013 0.3%
Multiplan Empreendimentos
Imobiliarios SA................... 592,100 11,899,503 0.2%
Odontoprev SA...................... 2,908,696 10,934,947 0.2%
Qualicorp SA....................... 2,415,505 15,543,381 0.3%
* Rumo Logistica Operadora
Multimodal SA..................... 6,787,474 15,182,508 0.3%
Sao Martinho SA.................... 661,862 13,181,255 0.3%
Sul America SA..................... 2,810,065 16,964,268 0.3%
Totvs SA........................... 1,287,326 11,679,501 0.2%
Transmissora Alianca de Energia
Eletrica SA....................... 1,918,518 12,471,569 0.2%
Other Securities................... 202,885,715 3.5%
------------ -----
TOTAL BRAZIL........................... 505,513,504 9.2%
------------ -----
CHILE -- (1.6%)
Engie Energia Chile SA............. 5,731,371 10,171,435 0.2%
Parque Arauco SA................... 7,641,107 18,948,786 0.4%
Vina Concha y Toro SA.............. 5,623,245 9,803,867 0.2%
Other Securities................... 60,347,589 1.0%
------------ -----
TOTAL CHILE............................ 99,271,677 1.8%
------------ -----
CHINA -- (12.5%)
# GCL-Poly Energy Holdings, Ltd...... 80,160,000 10,804,244 0.2%
# GOME Electrical Appliances
Holding, Ltd...................... 84,442,000 10,640,930 0.2%
Kingboard Chemical Holdings, Ltd... 4,301,921 12,716,703 0.2%
Minth Group, Ltd................... 2,797,000 9,902,300 0.2%
Shenzhen International Holdings,
Ltd............................... 7,240,222 11,180,429 0.2%
# Sunac China Holdings, Ltd.......... 14,681,000 10,019,548 0.2%
Other Securities................... 698,392,014 12.6%
------------ -----
TOTAL CHINA............................ 763,656,168 13.8%
------------ -----
COLOMBIA -- (0.2%)
Other Securities................... 10,672,364 0.2%
------------ -----
GREECE -- (0.3%)
Other Securities................... 18,832,908 0.3%
------------ -----
HONG KONG -- (0.1%)
Other Securities................... 3,501,421 0.1%
------------ -----
HUNGARY -- (0.1%)
Other Securities................... 3,410,822 0.1%
------------ -----
INDIA -- (13.6%)
Arvind, Ltd........................ 1,766,630 11,011,026 0.2%
Berger Paints India, Ltd........... 2,563,663 9,940,850 0.2%
295
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
INDIA -- (Continued)
Federal Bank, Ltd.................. 8,408,191 $ 10,356,427 0.2%
TVS Motor Co., Ltd................. 2,133,665 13,107,680 0.2%
Other Securities................... 787,839,019 14.3%
-------------- -----
TOTAL INDIA............................ 832,255,002 15.1%
-------------- -----
INDONESIA -- (3.3%)
Other Securities................... 201,825,238 3.6%
-------------- -----
MALAYSIA -- (3.9%)
Other Securities................... 237,523,653 4.3%
-------------- -----
MEXICO -- (3.1%)
# Alsea S.A.B. de C.V................ 6,071,804 22,654,019 0.4%
# Banregio Grupo Financiero S.A.B.
de C.V............................ 2,236,173 14,657,398 0.3%
Gentera S.A.B. de C.V.............. 7,327,998 14,453,614 0.3%
# Grupo Aeroportuario del Centro
Norte S.A.B. de C.V............... 2,202,376 12,852,340 0.2%
#* Industrias CH S.A.B. de C.V.
Series B.......................... 2,280,755 10,775,695 0.2%
Other Securities................... 115,570,171 2.1%
-------------- -----
TOTAL MEXICO........................... 190,963,237 3.5%
-------------- -----
PHILIPPINES -- (1.6%)
Other Securities................... 97,508,208 1.8%
-------------- -----
POLAND -- (1.8%)
Other Securities................... 108,866,211 2.0%
-------------- -----
SOUTH AFRICA -- (7.0%)
AVI, Ltd........................... 3,346,741 23,508,782 0.4%
Barloworld, Ltd.................... 2,216,736 14,318,310 0.3%
# Clicks Group, Ltd.................. 2,666,173 24,871,462 0.5%
EOH Holdings, Ltd.................. 1,098,252 13,028,837 0.2%
Foschini Group, Ltd. (The)......... 1,564,234 16,079,708 0.3%
Imperial Holdings, Ltd............. 840,996 10,622,362 0.2%
JSE, Ltd........................... 892,197 10,394,209 0.2%
* Northam Platinum, Ltd.............. 3,640,843 13,265,319 0.2%
# Pick n Pay Stores, Ltd............. 2,069,376 10,139,102 0.2%
* Sappi, Ltd......................... 4,082,585 22,716,560 0.4%
SPAR Group, Ltd. (The)............. 1,141,280 16,180,895 0.3%
* Super Group, Ltd................... 3,398,200 10,029,578 0.2%
Other Securities................... 243,434,810 4.4%
-------------- -----
TOTAL SOUTH AFRICA..................... 428,589,934 7.8%
-------------- -----
SOUTH KOREA -- (11.8%)
Other Securities................... 725,273,437 13.1%
-------------- -----
TAIWAN -- (13.4%)
Other Securities................... 818,271,016 14.8%
-------------- -----
THAILAND -- (3.4%)
Other Securities................... 209,076,777 3.8%
-------------- -----
TURKEY -- (1.8%)
Other Securities................... 111,238,430 2.0%
-------------- -----
TOTAL COMMON STOCKS.................... 5,366,250,007 97.3%
-------------- -----
296
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
PREFERRED STOCKS -- (1.6%)
BRAZIL -- (1.5%)
Cia Energetica de Minas Gerais..... 3,890,229 $ 11,882,748 0.2%
Cia Paranaense de Energia.......... 857,600 9,819,950 0.2%
Other Securities................... 72,927,385 1.3%
-------------- ------
TOTAL BRAZIL............................. 94,630,083 1.7%
-------------- ------
CHILE -- (0.1%)
Other Securities................... 3,498,995 0.1%
-------------- ------
COLOMBIA -- (0.0%)
Other Securities................... 2,105,056 0.0%
-------------- ------
TOTAL PREFERRED STOCKS................... 100,234,134 1.8%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities................... 107,121 0.0%
-------------- ------
BRAZIL -- (0.0%)
Other Securities................... 4,731 0.0%
-------------- ------
CHINA -- (0.0%)
Other Securities................... 4,888 0.0%
-------------- ------
INDIA -- (0.0%)
Other Securities................... 498,840 0.0%
-------------- ------
SOUTH KOREA -- (0.0%)
Other Securities................... 9,793 0.0%
-------------- ------
TAIWAN -- (0.0%)
Other Securities................... 1,020 0.0%
-------------- ------
THAILAND -- (0.0%)
Other Securities................... 2,151 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS.................... 628,544 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES.............. 5,467,112,685
--------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (10.6%)
(S)@ DFA Short Term Investment Fund..... 56,051,755 648,630,910 11.8%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $5,926,075,685).................. $6,115,743,595 110.9%
============== ======
297
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Summary of the Series' investments as of October 31, 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......................... $ 505,513,504 -- -- $ 505,513,504
Chile.......................... 1,048,175 $ 98,223,502 -- 99,271,677
China.......................... 1,165,199 762,490,969 -- 763,656,168
Colombia....................... 10,672,364 -- -- 10,672,364
Greece......................... -- 18,832,908 -- 18,832,908
Hong Kong...................... -- 3,501,421 -- 3,501,421
Hungary........................ -- 3,410,822 -- 3,410,822
India.......................... 2,752,926 829,502,076 -- 832,255,002
Indonesia...................... 2,884,712 198,940,526 -- 201,825,238
Malaysia....................... 43,667 237,479,986 -- 237,523,653
Mexico......................... 190,963,237 -- -- 190,963,237
Philippines.................... -- 97,508,208 -- 97,508,208
Poland......................... -- 108,866,211 -- 108,866,211
South Africa................... 9,109,799 419,480,135 -- 428,589,934
South Korea.................... 1,107,997 724,165,440 -- 725,273,437
Taiwan......................... 1,012,253 817,258,763 -- 818,271,016
Thailand....................... 208,832,059 244,718 -- 209,076,777
Turkey......................... -- 111,238,430 -- 111,238,430
Preferred Stocks
Brazil......................... 94,630,083 -- -- 94,630,083
Chile.......................... -- 3,498,995 -- 3,498,995
Colombia....................... 2,105,056 -- -- 2,105,056
Rights/Warrants
Australia...................... -- 107,121 -- 107,121
Brazil......................... -- 4,731 -- 4,731
China.......................... -- 4,888 -- 4,888
India.......................... -- 498,840 -- 498,840
South Korea.................... -- 9,793 -- 9,793
Taiwan......................... -- 1,020 -- 1,020
Thailand....................... -- 2,151 -- 2,151
Securities Lending Collateral... -- 648,630,910 -- 648,630,910
Futures Contracts**............. 288,905 -- -- 288,905
-------------- -------------- -- --------------
TOTAL........................... $1,032,129,936 $5,083,902,564 -- $6,116,032,500
============== ============== == ==============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note G)
See accompanying Notes to Financial Statements.
298
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2016
(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 $1,407,685, $362,128,
$271,364 and $262,488 of securities on loan,
respectively).................................................... $20,729,659 $ 9,665,735 $3,107,991 $1,545,386
Temporary Cash Investments at Value & Cost........................ 200,994 -- -- --
Collateral from Securities on Loan Invested in Affiliate at Value
(including cost of $820,520, $370,043, $280,916 and
$261,799)........................................................ 820,651 370,103 280,962 261,843
Segregated Cash for Futures Contracts............................. 6,012 1,176 -- --
Foreign Currencies at Value....................................... -- 9,101 2,507 2,689
Cash.............................................................. -- 17,431 1,795 392
Receivables:
Investment Securities Sold...................................... 56,993 -- 4,478 6,989
Dividends, Interest and Tax Reclaims............................ 22,805 38,076 19,244 1,409
Securities Lending Income....................................... 228 158 684 420
Futures Margin Variation........................................ -- 13 -- --
----------- ----------- ---------- ----------
Total Assets................................................. 21,837,342 10,101,793 3,417,661 1,819,128
----------- ----------- ---------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................................ 820,496 370,018 280,889 261,796
Investment Securities Purchased................................. 97,218 -- 3,734 1,368
Due to Advisor.................................................. 1,787 1,649 261 134
Futures Margin Variation........................................ 247 -- -- --
Accrued Expenses and Other Liabilities............................ 1,026 586 183 94
----------- ----------- ---------- ----------
Total Liabilities............................................ 920,774 372,253 285,067 263,392
----------- ----------- ---------- ----------
NET ASSETS........................................................ $20,916,568 $ 9,729,540 $3,132,594 $1,555,736
=========== =========== ========== ==========
Investments at Cost............................................... $15,139,595 $ 9,675,856 $2,683,628 $1,595,952
=========== =========== ========== ==========
Foreign Currencies at Cost........................................ $ -- $ 9,131 $ 2,500 $ 2,692
=========== =========== ========== ==========
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
299
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2016
(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 $53,170,
$327,025, $202,280, $212,759 and
$954,168 of securities on loan,
respectively).............................. $1,669,112 $4,133,195 $ 931,082 $4,954,105 $5,467,113
Collateral from Securities on Loan Invested
in Affiliate at Value (including cost of
$56,574, $350,137, $214,106, $143,624
and $648,523).............................. 56,584 350,190 214,142 143,647 648,631
Segregated Cash for Futures Contracts....... -- -- -- 1,298 940
Foreign Currencies at Value................. 5,978 1,645 279 38,502 19,897
Cash........................................ 2,698 5,855 4,248 2,268 17,857
Receivables:
Investment Securities Sold................ 936 2,988 55 1,559 3,346
Dividends, Interest and Tax Reclaims...... 4,896 5,730 705 2,882 4,074
Securities Lending Income................. 93 1,051 375 526 3,868
Futures Margin Variation.................. -- -- -- 149 108
Unrealized Gain on Foreign Currency
Contracts.................................. -- -- 1 -- --
---------- ---------- ---------- ---------- ----------
Total Assets........................... 1,740,297 4,500,654 1,150,887 5,144,936 6,165,834
---------- ---------- ---------- ---------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......... 56,573 350,129 214,100 143,617 648,523
Investment Securities Purchased........... -- 1,969 3,384 2,758 332
Due to Advisor............................ 148 359 81 424 942
Unrealized Loss on Foreign Currency
Contracts.................................. -- -- 5 -- --
Accrued Expenses and Other Liabilities...... 111 272 53 406 390
---------- ---------- ---------- ---------- ----------
Total Liabilities...................... 56,832 352,729 217,623 147,205 650,187
---------- ---------- ---------- ---------- ----------
NET ASSETS.................................. $1,683,465 $4,147,925 $ 933,264 $4,997,731 $5,515,647
========== ========== ========== ========== ==========
Investments at Cost......................... $1,633,790 $3,529,003 $1,162,676 $3,903,992 $5,277,553
========== ========== ========== ========== ==========
Foreign Currencies at Cost.................. $ 5,962 $ 1,647 $ 279 $ 38,157 $ 20,038
========== ========== ========== ========== ==========
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
300
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2016
(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 $20, $27,352,
$5,758 and $1,317, respectively).......................... $482,647 $ 341,886 $ 52,010 $ 52,135
Income from Securities Lending............................. 3,444 9,676 5,693 5,042
-------- --------- -------- --------
Total Investment Income................................. 486,091 351,562 57,703 57,177
-------- --------- -------- --------
EXPENSES
Investment Management Fees................................. 19,402 17,844 2,725 1,385
Accounting & Transfer Agent Fees........................... 954 449 138 78
Custodian Fees............................................. 190 771 441 250
Shareholders' Reports...................................... 81 38 11 5
Directors'/Trustees' Fees & Expenses....................... 134 62 19 9
Professional Fees.......................................... 361 265 54 27
Other...................................................... 531 339 104 54
-------- --------- -------- --------
Total Expenses.......................................... 21,653 19,768 3,492 1,808
-------- --------- -------- --------
Fees Paid Indirectly (Note C).............................. -- (212) (15) (10)
-------- --------- -------- --------
Net Expenses............................................... 21,653 19,556 3,477 1,798
-------- --------- -------- --------
NET INVESTMENT INCOME (LOSS)............................... 464,438 332,006 54,226 55,379
-------- --------- -------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**............................. 567,193 (261,808) 122,152 (8,246)
Futures.................................................. 21,037 5,988 -- --
Foreign Currency Transactions............................ -- 5,590 2,170 309
Forward Currency Contracts............................... -- 8 (36) (18)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............... (57,128) (32,753) 214,787 168,801
Futures.................................................. (3,872) (852) -- --
Translation of Foreign Currency Denominated Amounts...... -- (908) (688) 22
-------- --------- -------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS).................... 527,230 (284,735) 338,385 160,868
-------- --------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS.................................................. $991,668 $ 47,271 $392,611 $216,247
======== ========= ======== ========
----------
**Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
301
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2016
(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
$50, $12,963, $2,757, $15,156 and $12,828,
respectively)............................... $ 79,890 $ 89,305 $ 16,189 $ 110,969 $118,814
Interest..................................... -- -- -- 55 47
Income from Securities Lending............... 1,716 14,119 3,503 6,697 38,494
--------- -------- -------- --------- --------
Total Investment Income................... 81,606 103,424 19,692 117,721 157,355
--------- -------- -------- --------- --------
EXPENSES
Investment Management Fees................... 1,820 3,945 747 4,522 9,995
Accounting & Transfer Agent Fees............. 94 204 37 232 256
Custodian Fees............................... 106 610 56 1,780 2,557
Shareholders' Reports........................ 8 14 3 18 22
Directors'/Trustees' Fees & Expenses......... 13 27 5 31 34
Professional Fees............................ 39 183 13 254 171
Other........................................ 76 165 22 172 198
--------- -------- -------- --------- --------
Total Expenses............................ 2,156 5,148 883 7,009 13,233
--------- -------- -------- --------- --------
Fees Paid Indirectly (Note C)................ (15) (36) (13) (69) (69)
--------- -------- -------- --------- --------
Net Expenses................................. 2,141 5,112 870 6,940 13,164
--------- -------- -------- --------- --------
NET INVESTMENT INCOME (LOSS)................. 79,465 98,312 18,822 110,781 144,191
--------- -------- -------- --------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold*................ 71,244 122,507 (24,152) (106,229) 140,851
Futures.................................... -- 687 -- 5,752 4,055
Foreign Currency Transactions.............. (1,277) (394) 229 975 457
Forward Currency Contracts................. -- (5) -- (4) (116)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.................................. (469,059) 27,064 135,836 512,891 400,224
Futures.................................... -- 19 -- (266) 289
Translation of Foreign Currency
Denominated Amounts....................... (215) (32) (6) 207 586
--------- -------- -------- --------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)...... (399,307) 149,846 111,907 413,326 546,346
--------- -------- -------- --------- --------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS..................... $(319,842) $248,158 $130,729 $ 524,107 $690,537
========= ======== ======== ========= ========
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0 and $68,
respectively.
See accompanying Notes to Financial Statements.
302
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE U.S. LARGE CAP VALUE THE DFA INTERNATIONAL THE JAPANESE SMALL
SERIES VALUE SERIES COMPANY SERIES
------------------------ ----------------------- ----------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2016 2015 2016 2015
----------- ----------- ---------- ----------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)......... $ 464,438 $ 413,724 $ 332,006 $ 313,826 $ 54,226 $ 43,264
Net Realized Gain (Loss) on:
Investment Securities Sold*........ 567,193 858,150 (261,808) 244,684 122,152 69,828
Futures............................ 21,037 (43) 5,988 -- -- --
Foreign Currency
Transactions...................... -- -- 5,590 (5,879) 2,170 (1,869)
Forward Currency Contracts......... -- -- 8 -- (36) --
In-Kind Redemptions................ -- -- -- -- -- 27,130
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency.................. (57,128) (1,018,426) (32,753) (1,034,230) 214,787 85,013
Futures............................ (3,872) -- (852) -- -- --
Translation of Foreign Currency
Denominated Amounts............... -- -- (908) 654 (688) 382
----------- ----------- ---------- ----------- ---------- ----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations....................... 991,668 253,405 47,271 (480,945) 392,611 223,748
----------- ----------- ---------- ----------- ---------- ----------
Transactions in Interest:
Contributions........................ 1,812,211 1,769,181 1,394,282 1,070,207 224,138 102,092
Withdrawals.......................... (981,368) (1,305,211) (939,918) (705,023) (115,843) (199,561)
----------- ----------- ---------- ----------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest......... 830,843 463,970 454,364 365,184 108,295 (97,469)
----------- ----------- ---------- ----------- ---------- ----------
Total Increase (Decrease) in
Net Assets....................... 1,822,511 717,375 501,635 (115,761) 500,906 126,279
NET ASSETS
Beginning of Year.................... 19,094,057 18,376,682 9,227,905 9,343,666 2,631,688 2,505,409
----------- ----------- ---------- ----------- ---------- ----------
End of Year.......................... $20,916,568 $19,094,057 $9,729,540 $ 9,227,905 $3,132,594 $2,631,688
=========== =========== ========== =========== ========== ==========
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
303
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE ASIA PACIFIC SMALL THE UNITED KINGDOM SMALL THE CONTINENTAL SMALL
COMPANY SERIES COMPANY SERIES COMPANY SERIES
---------------------- ---------------------- ----------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2016 2015 2016 2015
---------- ---------- ---------- ---------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)............ $ 55,379 $ 54,891 $ 79,465 $ 71,555 $ 98,312 $ 82,887
Net Realized Gain (Loss) on:
Investment Securities Sold*........... (8,246) (15,143) 71,244 82,685 122,507 115,635
Futures............................... -- -- -- -- 687 (4,875)
Foreign Currency Transactions......... 309 (913) (1,277) 144 (394) (1,002)
Forward Currency Contracts............ (18) -- -- -- (5) --
In-Kind Redemptions................... -- 18,027 -- 42,293 -- 58,734
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................. 168,801 (224,570) (469,059) (104) 27,064 55,052
Futures............................... -- -- -- -- 19 (19)
Translation of Foreign Currency
Denominated Amounts.................. 22 (13) (215) 86 (32) (57)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.......................... 216,247 (167,721) (319,842) 196,659 248,158 306,355
---------- ---------- ---------- ---------- ---------- ----------
Transactions in Interest:
Contributions........................... 137,711 119,899 112,811 12,907 441,553 454,912
Withdrawals............................. (26,496) (177,690) (193,617) (121,351) (195,529) (259,801)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest............ 111,215 (57,791) (80,806) (108,444) 246,024 195,111
---------- ---------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in Net
Assets.............................. 327,462 (225,512) (400,648) 88,215 494,182 501,466
NET ASSETS
Beginning of Year....................... 1,228,274 1,453,786 2,084,113 1,995,898 3,653,743 3,152,277
---------- ---------- ---------- ---------- ---------- ----------
End of Year............................. $1,555,736 $1,228,274 $1,683,465 $2,084,113 $4,147,925 $3,653,743
========== ========== ========== ========== ========== ==========
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
304
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE CANADIAN SMALL THE EMERGING MARKETS THE EMERGING MARKETS
COMPANY SERIES SERIES SMALL CAP SERIES
------------------- ---------------------- ----------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2016 2015 2016 2015
-------- --------- ---------- ---------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)............ $ 18,822 $ 19,902 $ 110,781 $ 101,691 $ 144,191 $ 134,189
Net Realized Gain (Loss) on:
Investment Securities Sold*........... (24,152) (9,138) (106,229) (99,010) 140,851 49,962
Futures............................... -- -- 5,752 2,478 4,055 --
Foreign Currency Transactions......... 229 149 975 (2,204) 457 (4,548)
Forward Currency Contracts............ -- -- (4) -- (116) --
In-Kind Redemptions................... -- 8,042 -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................. 135,836 (228,267) 512,891 (686,412) 400,224 (693,734)
Futures............................... -- -- (266) -- 289 --
Translation of Foreign Currency
Denominated Amounts.................. (6) 11 207 (95) 586 (241)
-------- --------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.......................... 130,729 (209,301) 524,107 (683,552) 690,537 (514,372)
-------- --------- ---------- ---------- ---------- ----------
Transactions in Interest:
Contributions........................... 187,903 20,480 471,019 1,463,845 448,086 792,529
Withdrawals............................. (8,500) (37,476) (400,950) (562,189) (521,283) (301,288)
-------- --------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest............ 179,403 (16,996) 70,069 901,656 (73,197) 491,241
-------- --------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in Net
Assets.............................. 310,132 (226,297) 594,176 218,104 617,340 (23,131)
NET ASSETS
Beginning of Year....................... 623,132 849,429 4,403,555 4,185,451 4,898,307 4,921,438
-------- --------- ---------- ---------- ---------- ----------
End of Year............................. $933,264 $ 623,132 $4,997,731 $4,403,555 $5,515,647 $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.
305
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
THE U.S. LARGE CAP VALUE SERIES
------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
---------------------------------------------------------------------------------------------
Total Return............. 4.75% 1.32% 15.67% 35.68% 18.31%
---------------------------------------------------------------------------------------------
Net Assets, End of Year
(thousands)............. $20,916,568 $19,094,057 $18,376,682 $14,838,988 $10,589,152
Ratio of Expenses to
Average Net Assets...... 0.11% 0.11% 0.11% 0.11% 0.12%
Ratio of Net Investment
Income to Average Net
Assets.................. 2.39% 2.20% 1.90% 1.98% 2.15%
Portfolio Turnover Rate.. 15% 16% 15% 15% 10%
---------------------------------------------------------------------------------------------
THE DFA INTERNATIONAL VALUE SERIES
------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
---------------------------------------------------------------------------------------------
Total Return............. (0.10)% (5.35)% (0.72)% 28.18% 3.17%
---------------------------------------------------------------------------------------------
Net Assets, End of Year
(thousands)............. $ 9,729,540 $ 9,227,905 $ 9,343,666 $ 8,792,130 $ 7,238,249
Ratio of Expenses to
Average Net Assets...... 0.22% 0.22% 0.22% 0.22% 0.24%
Ratio of Expenses to
Average Net Assets
(Excluding Fees Paid
Indirectly)............. 0.22% 0.22% 0.22% 0.22% 0.24%
Ratio of Net Investment
Income to Average Net
Assets.................. 3.72% 3.31% 4.50% 3.20% 3.75%
Portfolio Turnover Rate.. 17% 21% 17% 15% 14%
---------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
306
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
THE JAPANESE SMALL COMPANY SERIES
----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
-------------------------------------------------------------------------------------------------------------------------
Total Return................................................. 14.53% 9.04% 2.46% 30.62% 0.54%
-------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $3,132,594 $2,631,688 $2,505,409 $2,281,624 $1,686,731
Ratio of Expenses to Average Net Assets...................... 0.13% 0.13% 0.13% 0.14% 0.15%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly)................................................. 0.13% 0.13% 0.13% 0.14% 0.15%
Ratio of Net Investment Income to Average Net Assets......... 1.99% 1.69% 1.71% 1.87% 2.17%
Portfolio Turnover Rate...................................... 10% 6% 9% 16% 7%
-------------------------------------------------------------------------------------------------------------------------
THE ASIA PACIFIC SMALL COMPANY SERIES
------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
---------------------------------------------------------------------------------------------------------------------------
Total Return................................................. 16.69% (11.83)% (3.46)% 10.97% 7.48%
---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $1,555,736 $1,228,274 $1,453,786 $1,265,498 $1,003,860
Ratio of Expenses to Average Net Assets...................... 0.13% 0.13% 0.13% 0.15% 0.16%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly)................................................. 0.13% 0.13% 0.13% 0.15% 0.16%
Ratio of Net Investment Income to Average Net Assets......... 4.00% 4.17% 3.96% 4.64% 4.26%
Portfolio Turnover Rate...................................... 10% 7% 7% 9% 18%
---------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
307
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
THE UNITED KINGDOM SMALL COMPANY SERIES
-----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
--------------------------------------------------------------------------------------------------------------------------
Total Return................................................. (15.82)% 9.95% 1.22% 37.42% 23.41%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $1,683,465 $2,084,113 $1,995,898 $1,988,287 $1,464,838
Ratio of Expenses to Average Net Assets...................... 0.12% 0.11% 0.11% 0.12% 0.13%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly)................................................. 0.12% 0.11% 0.11% 0.12% 0.13%
Ratio of Net Investment Income to Average Net Assets......... 4.36% 3.44% 2.98% 3.29% 3.37%
Portfolio Turnover Rate...................................... 15% 10% 8% 17% 6%
--------------------------------------------------------------------------------------------------------------------------
THE CONTINENTAL SMALL COMPANY SERIES
-----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
--------------------------------------------------------------------------------------------------------------------------
Total Return................................................. 6.10% 9.81% (2.25)% 43.67% 2.29%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $4,147,925 $3,653,743 $3,152,277 $3,217,766 $2,245,179
Ratio of Expenses to Average Net Assets...................... 0.13% 0.13% 0.13% 0.14% 0.16%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly)................................................. 0.13% 0.13% 0.13% 0.14% 0.16%
Ratio of Net Investment Income to Average Net Assets......... 2.49% 2.44% 2.40% 2.67% 3.15%
Portfolio Turnover Rate...................................... 9% 14% 13% 13% 9%
--------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
308
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
THE CANADIAN SMALL COMPANY SERIES
------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
-----------------------------------------------------------------------------------------
Total Return.............. 20.77% (25.00)% (3.83)% 5.71% (2.51)%
-----------------------------------------------------------------------------------------
Net Assets, End of Year
(thousands).............. $ 933,264 $ 623,132 $ 849,429 $ 741,204 $ 689,086
Ratio of Expenses to
Average Net Assets....... 0.12% 0.12% 0.12% 0.13% 0.15%
Ratio of Expenses to
Average Net Assets
(Excluding Fees Paid
Indirectly).............. 0.12% 0.12% 0.12% 0.13% 0.15%
Ratio of Net Investment
Income to Average Net
Assets................... 2.52% 2.73% 2.42% 2.99% 2.29%
Portfolio Turnover Rate... 8% 18% 5% 14% 22%
-----------------------------------------------------------------------------------------
THE EMERGING MARKETS SERIES
------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
-----------------------------------------------------------------------------------------
Total Return.............. 11.44% (14.86)% 1.74% 6.99% 4.55%
-----------------------------------------------------------------------------------------
Net Assets, End of Year
(thousands).............. $4,997,731 $4,403,555 $4,185,451 $3,766,160 $2,913,307
Ratio of Expenses to
Average Net Assets....... 0.15% 0.16% 0.15% 0.16% 0.20%
Ratio of Expenses to
Average Net Assets
(Excluding Fees Paid
Indirectly).............. 0.15% 0.16% 0.15% 0.16% 0.20%
Ratio of Net Investment
Income to Average Net
Assets................... 2.45% 2.39% 2.51% 2.38% 2.55%
Portfolio Turnover Rate... 5% 9% 5% 4% 5%
-----------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
309
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
THE EMERGING MARKETS SMALL CAP SERIES
-----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
---------------------------------------------------------------------------------------------
Total Return.................... 14.45% (9.42)% 5.60% 9.41% 7.19%
---------------------------------------------------------------------------------------------
Net Assets, End of Year
(thousands).................... $5,515,647 $4,898,307 $4,921,438 $4,091,523 $2,953,350
Ratio of Expenses to Average
Net Assets..................... 0.26% 0.26% 0.26% 0.29% 0.36%
Ratio of Expenses to Average
Net Assets (Excluding Fees
Paid Indirectly)............... 0.26% 0.27% 0.26% 0.29% 0.36%
Ratio of Net Investment Income
to Average Net Assets.......... 2.89% 2.62% 2.48% 2.37% 2.48%
Portfolio Turnover Rate......... 18% 18% 9% 11% 13%
---------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
310
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven portfolios, nine of which are included in this section
of the report (collectively, the "Series"). The remaining operational
portfolios are presented in separate reports. The Series are investment
companies, and accordingly, follow the accounting and reporting guidance under
Financial Accounting Standards Board ("FASB") Accounting Standards
Certification ("ASC") Topic 946, "Financial Services-Investment Companies."
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 management 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.
311
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 October 31, 2016, The Emerging Markets Series and Emerging Markets Small Cap
Series had significant transfers of securities with a total value of $334,768
and $554,874 (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.
312
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 October 31, 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 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.
313
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Series. For the year ended October 31, 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 year ended October 31, 2016, expenses reduced were as follows
(amounts in thousands):
FEES PAID
INDIRECTLY
- ----------
The DFA International Value Series................ $212
The Japanese Small Company Series................. 15
The Asia Pacific Small Company Series............. 10
The United Kingdom Small Company Series........... 15
The Continental Small Company Series.............. 36
The Canadian Small Company Series................. 13
The Emerging Markets Series....................... 69
The Emerging Markets Small Cap Series............. 69
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 year ended October 31, 2016, the total related amounts paid by the Trust to
the CCO were $83 (in thousands). The total related amounts paid by each of the
Series are included in Other Expenses on the Statement of Operations.
D. DEFERRED COMPENSATION:
At October 31, 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............................. $478
The DFA International Value Series.......................... 321
The Japanese Small Company Series........................... 75
The Asia Pacific Small Company Series....................... 39
The United Kingdom Small Company Series..................... 50
The Continental Small Company Series........................ 95
The Canadian Small Company Series........................... 23
The Emerging Markets Series................................. 122
The Emerging Markets Small Cap Series....................... 97
314
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 2016, the Series transactions related to
investment securities, other than short-term securities and U.S. government
securities (amounts in thousands):
PURCHASES SALES
---------- ----------
The U.S. Large Cap Value Series........... $4,375,099 $2,884,283
The DFA International Value Series........ 2,247,033 1,472,195
The Japanese Small Company Series......... 435,288 279,916
The Asia Pacific Small Company Series..... 305,915 130,653
The United Kingdom Small Company Series... 317,512 275,930
The Continental Small Company Series...... 698,769 338,855
The Canadian Small Company Series......... 264,983 63,519
The Emerging Markets Series............... 408,207 255,204
The Emerging Markets Small Cap Series..... 921,870 872,555
There were no purchases or sales of long-term U.S. government securities.
F. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since the Series are
treated as partnerships for federal income tax purposes. Any net investment
income and realized and unrealized gains and losses have been deemed to have
been "passed down" to their respective partners.
At October 31, 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 U.S. Large Cap Value Series........... $16,161,109 $6,178,300 $ (588,105) $5,590,195
The DFA International Value Series........ 10,045,899 1,179,180 (1,189,241) (10,061)
The Japanese Small Company Series......... 2,964,544 692,022 (267,614) 424,408
The Asia Pacific Small Company Series..... 1,857,750 330,139 (380,660) (50,521)
The United Kingdom Small Company Series... 1,690,364 319,739 (284,407) 35,332
The Continental Small Company Series...... 3,879,139 1,155,725 (551,479) 604,246
The Canadian Small Company Series......... 1,376,781 117,905 (349,463) (231,558)
The Emerging Markets Series............... 4,047,616 1,441,316 (391,180) 1,050,136
The Emerging Markets Small Cap Series..... 5,926,076 1,151,901 (962,233) 189,668
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 Series' tax
positions and has concluded that no additional provision for income tax is
required in any Series' financial statements. The Series 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 Series' federal tax returns for the prior three fiscal years remain subject
to examination by the Internal Revenue Service.
315
G. FINANCIAL INSTRUMENTS:
In accordance with the Series' investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. FOREIGN MARKET RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States of America, including the possibility of future political and
economic developments and the level of foreign governmental supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the
United States of America. Consequently, acquisition and disposition of
international securities held by the Series may be inhibited.
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Series.
2. FUTURES CONTRACTS: The Series may 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, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Series could lose more than the
initial margin requirements. The Series entering into stock index futures are
subject to equity price risk from those futures contracts. Counterparty credit
risk related to exchange-traded futures is minimal because the exchange's
clearinghouse, as counterparty to all exchange-traded futures, guarantees the
futures against default.
At October 31, 2016, the following Series had 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) 12/16/16 1,336 $141,623 $(3,872) $6,012
-------- ------- ------
$141,623 $(3,872) $6,012
======== ======= ======
UNREALIZED
EXPIRATION NUMBER OF CONTRACT GAIN CASH
DESCRIPTION DATE CONTRACTS VALUE (LOSS) COLLATERAL
------------------------ ---------- --------- -------- ---------- ----------
The DFA International
Value Series........ MINI MSCI EAFE Index(R) 12/16/16 280 $23,320 $(852) $1,176
------- ----- ------
$23,320 $(852) $1,176
======= ===== ======
316
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL
--------------------------- ---------- --------- -------- ----------- ----------
The Emerging Markets MINI MSCI Emerging Markets
Series............. Index(R) 12/16/16 649 $29,319 $(266) $1,298
------- ----- ------
$29,319 $(266) $1,298
======= ===== ======
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL
--------------------------- ---------- --------- -------- ----------- ----------
The Emerging Markets MINI MSCI Emerging Markets
Small Cap Series... Index(R) 12/16/16 470 $21,232 $289 $940
------- ---- ----
$21,232 $289 $940
======= ==== ====
3. 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 October 31, 2016, the International Equity Portfolios
had no outstanding forward currency contracts.
The average volume (based on the open positions at each fiscal month-end) of
derivative activity for the year ended October 31, 2016 (amounts in thousands):
FORWARD
CURRENCY
CONTRACTS FUTURES
--------- --------
The U.S. Large Cap Value Series........ -- $108,242
The DFA International Value Series*.... $402 58,270
The Asia Pacific Small Company Series*. 341 --
The Canadian Small Company Series*..... 114 --
The Emerging Markets Series*........... 141 22,025
The Emerging Markets Small Cap Series.. -- 21,122
* The Series had derivative activity during the period but it did not have open
forward currency contract positions at October 31, 2016.
The following is a summary of the location of derivatives on the Series'
Statements of Assets and Liabilities as of October 31, 2016:
LOCATION ON THE STATEMENTS OF ASSETS AND
LIABILITIES
---------------------------------------------------
DERIVATIVE TYPE ASSET DERIVATIVES LIABILITY DERIVATIVES
--------------- ------------------------ ------------------------
Equity contracts Receivables: Futures Payables: Futures Margin
Margin Variation Variation
317
The following is a summary of the Series' derivative instrument holdings
categorized by primary risk exposure as of October 31, 2016 (amounts in
thousands):
ASSET DERIVATIVES VALUE
--------------------------
TOTAL VALUE
AT EQUITY
OCTOBER 31, 2016 CONTRACTS*
---------------- ----------
The Emerging Markets Small Cap Series............. 289 289
LIABILITY DERIVATIVES VALUE
--------------------------
TOTAL VALUE
AT EQUITY
OCTOBER 31, 2016 CONTRACTS*
---------------- ----------
The U.S. Large Cap Value Series................... (3,872) (3,872)
The DFA International Value Series................ (852) (852)
The Emerging Markets Series....................... (266) (266)
* 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 and value of derivative
instrument holdings on the Series' Statements of Operations categorized by
primary risk exposure for the year ended October 31, 2016:
DERIVATIVE TYPE LOCATION OF GAIN (LOSS) ON DERIVATIVES
--------------- --------------------------------------
Foreign exchange contracts Net Realized Gain (Loss) on: Foreign Currency Transactions
Equity contracts Net Realized Gain on: Futures
Change in Unrealized Appreciation (Depreciation) of:
Futures
The following is a summary of the realized and change in unrealized gains
and losses from the Series' derivative instrument holdings categorized by
primary risk exposure through the year ended October 31, 2016 (amounts in
thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
---------------------------
FOREIGN
EXCHANGE EQUITY
TOTAL CONTRACTS CONTRACTS
------- --------- ---------
The U.S. Large Cap Value Series......... $21,037 -- $21,037
The DFA International Value Series...... 5,996 $ 8 5,988
The Japanese Small Company Series....... (36) (36) --
The Asia Pacific Small Company Series... (18) (18) --
The Continental Small Company Series.... 682 (5) 687
The Emerging Markets Series............. 5,748 (4) 5,752
The Emerging Markets Small Cap Series... 3,939 (116) 4,055
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES
---------------------------
FOREIGN
EXCHANGE EQUITY
TOTAL CONTRACTS CONTRACTS
------- --------- ---------
The U.S. Large Cap Value Series......... $(3,872) -- $(3,872)
The DFA International Value Series...... (852) -- (852)
The Continental Small Company Series.... 19 -- 19
The Emerging Markets Series............. (266) -- (266)
The Emerging Markets Small Cap Series... 289 -- 289
318
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 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 year ended October 31, 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 LOAN DAYS EXPENSE BORROWED DURING
INTEREST RATE 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........ 0.96% 6,426 14 2 40,666
The Japanese Small Company Series......... 1.06% 4,697 23 3 35,507
The Asia Pacific Small Company Series..... 1.07% 120 11 -- 188
The United Kingdom Small Company Series... 1.02% 3,099 17 1 18,012
The Continental Small Company Series...... 1.10% 8,539 14 4 33,487
The Canadian Small Company Series......... 1.12% 1,826 1 -- 1,826
The Emerging Markets Series............... 1.06% 11,513 33 11 27,055
The Emerging Markets Small Cap Series..... 1.04% 16,966 30 16 92,715
* Number of Days Outstanding represents the total of single or consecutive days
during the year ended October 31, 2016, that each Series' available line of
credit was utilized.
There were no outstanding borrowings by the Series under the lines of credit
as of October 31, 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.
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 year
ended October 31, 2016.
319
I. AFFILIATED TRADES:
Cross trades for the year ended October 31, 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 year ended October 31, 2016, cross trades by the Series under Rule
17a-7 were as follows (amounts in thousands):
PORTFOLIO PURCHASES SALES REALIZED GAIN (LOSS)
--------- --------- -------- --------------------
The U.S. Large Cap Value Series......... $259,866 $167,106 $ 13,371
The DFA International Value Series...... 100,986 137,382 (50,541)
The Japanese Small Company Series....... 42,370 46,367 3,752
The Asia Pacific Small Company Series... 29,585 29,869 (873)
The Continental Small Company Series.... 36,654 49,457 1,095
The Canadian Small Company Series....... 29,808 29,863 1,183
The Emerging Markets Series............. 4,946 5,107 (252)
The Emerging Markets Small Cap Series... 4,788 6,157 876
J. SECURITIES LENDING:
As of October 31, 2016, each Series had securities on loan to
brokers/dealers, for which each such Series received cash collateral. The
non-cash collateral includes short-and/or long-term U.S. Treasuries and U.S.
Government Agency Securities as follows (amounts in thousands):
MARKET OVERINVESTED
VALUE CASH
-------- ------------
The U.S. Large Cap Value Series................... $631,247 --
The DFA International Value Series................ 21,237 --
The Japanese Small Company Series................. 8,397 --
The Asia Pacific Small Company Series............. 22,601 --
The Continental Small Company Series.............. 4,118 --
The Canadian Small Company Series................. -- $(529)
The Emerging Markets Series....................... 88,488 --
The Emerging Markets Small Cap Series............. 382,300 --
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
320
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.
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 October 31, 2016:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF OCTOBER 31, 2016
---------------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
------------- -------- ------------ -------- ------------
SECURITIES LENDING TRANSACTIONS
THE U.S. LARGE CAP VALUE SERIES
Common Stocks, Rights/Warrants.... $820,651,306 -- -- -- $820,651,306
THE DFA INTERNATIONAL VALUE SERIES
Common Stocks..................... $370,102,917 -- -- -- $370,102,917
THE JAPANESE SMALL COMPANY SERIES
Common Stocks..................... $280,961,564 -- -- -- $280,961,564
THE ASIA PACIFIC SMALL COMPANY SERIES
Common Stocks..................... $261,843,149 -- -- -- $261,843,149
THE UNITED KINGDOM SMALL COMPANY SERIES
Common Stocks..................... $ 56,583,806 -- -- -- $ 56,583,806
THE CONTINENTAL SMALL COMPANY SERIES
Common Stocks, Rights/Warrants.... $350,189,570 -- -- -- $350,189,570
THE CANADIAN SMALL COMPANY SERIES
Common Stocks..................... $214,141,764 -- -- -- $214,141,764
THE EMERGING MARKETS SERIES
Common Stocks..................... $143,647,490 -- -- -- $143,647,490
THE EMERGING MARKETS SMALL CAP SERIES
Common Stocks..................... $648,630,910 -- -- -- $648,630,910
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
321
COMPANY FRAUDULENT CONVEYANCE LITIGATION, No. 11-MD-2296-RJS (the "Tribune
MDL"). The Tribune MDL arises from the 2007 leveraged buyout of The Tribune
Company ("Tribune") (the "LBO") and Tribune's subsequent bankruptcy and
reorganization. In connection with the LBO, thousands of Tribune shareholders,
including The U.S. Large Cap Value Series, sold Tribune shares back to Tribune
for $34 per share. The Tribune MDL includes a series of lawsuits brought by
individual creditors of Tribune (the "Individual Creditor Actions") and a
lawsuit brought by a court-appointed trustee on behalf of the committee of
unsecured creditors of Tribune (the "Committee Action," and with the Individual
Creditor Actions, collectively referred to as the "Lawsuits"). The Lawsuits
seek to unwind the LBO stock repurchases as fraudulent transfers and recover
the stock repurchase proceeds paid to the Tribune shareholders who participated
in the LBO. On September 23, 2013, the Court entered an order dismissing the
Individual Creditor Actions in their entirety on the grounds that the
individual creditor plaintiffs lack standing to pursue their claims. The
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 Committee Action
remains pending, and a motion to dismiss on behalf of all shareholder
defendants in the Committee Action was filed on May 23, 2014. The motion to
dismiss is fully-briefed, and the parties await the scheduling of oral argument
on the motion. The Committee Action is stayed pending the disposition of the
motion to dismiss.
Litigation counsel to The U.S. Large Cap Value Series in the Lawsuits has
advised management that it does not believe that it is possible, at this early
stage in the proceedings, to predict with any reasonable certainty the probable
outcome of the Lawsuits or quantify the ultimate exposure to The U.S. Large Cap
Value Series arising from the Lawsuits. Until The U.S. Large Cap Value Series
can do so, no reduction of the net asset value of The U.S. Large Cap Value
Series will be made relating to the Lawsuits. However, even if the plaintiffs
in the Lawsuits were to obtain the full recovery the plaintiffs seek, the
amount would be less than 1% of The U.S. Large Cap Value Series' net asset
value at this time.
The U.S. Large Cap Value Series also cannot quantify the cost of the
Lawsuits that could potentially be deducted from its net asset value.
Therefore, at this time, those investors buying or redeeming shares of The U.S.
Large Cap Value Series will pay or receive, as the case may be, a price based
on the net asset value of The U.S. Large Cap Value Series with no adjustment
relating to the Lawsuits. The attorneys' fees and costs relating to the
Lawsuits will be taken as expenses by The U.S. Large Cap Value Series as
incurred and in a manner similar to any other expense incurred by The U.S.
Large Cap Value Series.
M. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the Series
through the date that the financial statements were issued and has determined
that there are no subsequent events requiring recognition or disclosure in the
financial statements.
322
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of The DFA Investment Trust Company and
Shareholders of the Series, as defined:
In our opinion, the accompanying statements of assets and liabilities,
including the summary schedules of portfolio holdings, and the related
statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
The U.S. Large Cap Value Series, The DFA International Value Series, The
Japanese Small Company Series, The Asia Pacific Small Company Series, The
United Kingdom Small Company Series, The Continental Small Company Series, The
Canadian Small Company Series, The Emerging Markets Series and The Emerging
Markets Small Cap Series (constituting portfolios within The DFA Investment
Trust Company, hereafter referred to as the "Series") as of October 31, 2016,
the results of each of their operations for the year then ended, the changes in
each of their net assets for each of the two years in the period then ended and
the financial highlights for each of the five years in the period then ended,
in conformity with accounting principles generally accepted in the United
States of America. These financial statements and financial highlights
(hereafter referred to as "financial statements") are the responsibility of the
Series' management. Our responsibility is to express an opinion on these
financial statements based on our audits. We conducted our audits of these
financial statements in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we
plan and perform the audit to obtain reasonable assurance about whether the
financial statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles used and
significant estimates made by management, and evaluating the overall financial
statement presentation. We believe that our audits, which included confirmation
of securities as of October 31, 2016 by correspondence with the custodians,
brokers and the transfer agent of the investee fund, provide a reasonable basis
for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 20, 2016
323
DIMENSIONAL EMERGING MARKETS VALUE FUND
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DIMENSIONAL EMERGING MARKETS VALUE FUND VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
Dimensional Emerging MSCI Emerging Markets
Markets Value Fund Index (net dividends)
-------------------- --------------------
10/31/06 $10,000 $10,000
11/30/06 10,734 10,743
12/31/06 11,114 11,227
01/31/07 11,289 11,108
02/28/07 11,356 11,043
03/31/07 11,951 11,481
04/30/07 12,908 12,025
05/31/07 13,893 12,609
06/30/07 14,292 13,200
07/31/07 14,974 13,897
08/31/07 14,496 13,601
09/30/07 15,804 15,103
10/31/07 17,545 16,788
11/30/07 16,271 15,597
12/31/07 16,251 15,652
01/31/08 14,640 13,699
02/29/08 15,228 14,710
03/31/08 14,720 13,932
04/30/08 15,859 15,062
05/31/08 16,002 15,342
06/30/08 14,145 13,811
07/31/08 13,872 13,290
08/31/08 12,690 12,229
09/30/08 10,502 10,089
10/31/08 7,244 7,328
11/30/08 6,697 6,776
12/31/08 7,524 7,305
01/31/09 6,847 6,833
02/28/09 6,266 6,447
03/31/09 7,353 7,374
04/30/09 8,800 8,601
05/31/09 10,786 10,071
06/30/09 10,654 9,935
07/31/09 12,089 11,052
08/31/09 12,184 11,013
09/30/09 13,312 12,012
10/31/09 12,999 12,027
11/30/09 13,833 12,544
12/31/09 14,524 13,039
01/31/10 13,702 12,312
02/28/10 13,813 12,355
03/31/10 15,031 13,353
04/30/10 15,133 13,514
05/31/10 13,554 12,326
06/30/10 13,640 12,235
07/31/10 14,908 13,254
08/31/10 14,641 12,997
09/30/10 16,405 14,441
10/31/10 16,971 14,860
11/30/10 16,428 14,468
12/31/10 17,799 15,500
01/31/11 17,244 15,080
02/28/11 16,965 14,939
03/31/11 17,944 15,818
04/30/11 18,590 16,308
05/31/11 17,887 15,880
06/30/11 17,523 15,636
07/31/11 17,384 15,567
08/31/11 15,625 14,176
09/30/11 12,826 12,109
10/31/11 14,516 13,713
11/30/11 13,785 12,799
12/31/11 13,295 12,645
01/31/12 15,145 14,079
02/29/12 16,069 14,922
03/31/12 15,384 14,424
04/30/12 14,889 14,252
05/31/12 13,244 12,653
06/30/12 13,847 13,142
07/31/12 13,765 13,398
08/31/12 13,961 13,354
09/30/12 14,863 14,159
10/31/12 14,675 14,073
11/30/12 14,843 14,252
12/31/12 15,930 14,949
01/31/13 16,192 15,155
02/28/13 15,927 14,965
03/31/13 15,796 14,707
04/30/13 15,938 14,818
05/31/13 15,489 14,438
06/30/13 14,189 13,518
07/31/13 14,470 13,660
08/31/13 14,169 13,425
09/30/13 15,219 14,298
10/31/13 15,913 14,993
11/30/13 15,537 14,774
12/31/13 15,386 14,560
01/31/14 14,317 13,615
02/28/14 14,638 14,066
03/31/14 15,295 14,497
04/30/14 15,401 14,546
05/31/14 16,032 15,053
06/30/14 16,456 15,453
07/31/14 16,772 15,752
08/31/14 17,150 16,107
09/30/14 15,753 14,913
10/31/14 15,739 15,089
11/30/14 15,483 14,930
12/31/14 14,769 14,241
01/31/15 14,652 14,327
02/28/15 15,179 14,770
03/31/15 14,758 14,560
04/30/15 16,226 15,680
05/31/15 15,509 15,052
06/30/15 15,022 14,661
07/31/15 13,824 13,645
08/31/15 12,573 12,411
09/30/15 12,157 12,038
10/31/15 12,914 12,896
11/30/15 12,416 12,393
12/31/15 12,046 12,117
01/31/16 11,375 11,331
02/29/16 11,446 11,312
03/31/16 13,139 12,809
04/30/16 13,494 12,879
05/31/16 12,624 12,398
06/30/16 13,318 12,894
07/31/16 14,160 13,543 Past performance is not predictive of
08/31/16 14,425 13,879 future performance.
09/30/16 14,632 14,058 The returns shown do not reflect the
10/31/16 14,954 14,091 deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
------------------------------------------------------ MSCI data copyright MSCI 2016, all
15.80% 0.60% 4.11% rights reserved.
--------------------------------------------------------------------------------
324
DIMENSIONAL EMERGING MARKETS VALUE FUND
MANAGEMENT DISCUSSION AND ANALYSIS
(UNAUDITED)
INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2016
Emerging markets had stronger performance over the period than non-U.S.
developed markets. As measured by the MSCI emerging markets indices, small-cap
stocks underperformed large-cap stocks, and growth stocks outperformed value
stocks.
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
RETURN IN U.S. DOLLARS
----------------------
MSCI Emerging Markets Index........... 9.27%
MSCI Emerging Markets Small Cap Index. 4.78%
MSCI Emerging Markets Value Index..... 8.60%
MSCI Emerging Markets Growth Index.... 9.81%
During the period, the performance of the U.S. dollar was mixed when
compared against the currencies of emerging markets. In particular, while the
U.S. dollar appreciated significantly against the Mexican peso, it also
depreciated significantly against the Brazilian real. Overall, currency
fluctuations benefitted from USD-denominated returns in emerging markets.
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
TEN LARGEST EMERGING MARKETS BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLARS
------------------------------------------ ------------ ----------------------
China........................ 1.62% 1.54%
Korea........................ 5.56% 5.17%
Taiwan....................... 14.56% 17.85%
India........................ 6.28% 3.99%
South Africa................. -0.92% 1.46%
Brazil....................... 40.59% 70.69%
Mexico....................... 8.65% -4.51%
Russia....................... 17.86% 18.61%
Malaysia..................... 4.44% 6.95%
Indonesia.................... 26.13% 32.31%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2016, all rights reserved.
For funds investing in non-US equities traded outside of the U.S. market
time zone, differences in the valuation timing and methodology between a fund
and its benchmark index may impact relative performance over the referenced
period. The funds price foreign exchange rates at the closing of the U.S.
market while their benchmark indices use rates at 4 pm London time. The funds
also may use fair value pricing to price certain portfolio securities at the
closing of the U.S. market, while benchmark indices may use local market
closing prices. For the one-year period ended October 31, 2016, these
differences generally benefitted the funds' relative performance.
DIMENSIONAL EMERGING MARKETS VALUE FUND
The Dimensional Emerging Markets Value Fund is designed to capture the
returns of value stocks of large and small companies in selected emerging
markets. Value is measured primarily by price-to-book ratio. The investment
strategy is process driven, emphasizing broad diversification. As of October
31, 2016, the Fund held approximately 2,200 securities across 19 eligible
emerging markets. In general, average cash exposure throughout the year was
less than 1% of the Fund's assets.
325
For the 12 months ended October 31, 2016, total returns were 15.80% for the
Fund and 9.27% for the MSCI Emerging Markets Index (net dividends), the Fund's
benchmark. As a result of the Fund's diversified investment approach,
performance was generally determined by broad trends in emerging markets rather
than by the behavior of a limited number of stocks. The Fund invests primarily
in low relative price (value) stocks, while the benchmark is neutral with
regard to value or growth stocks. The Fund's emphasis on the lowest relative
price (deep value) stocks contributed positively to its performance relative to
the benchmark, as that segment of the market outperformed for the year,
especially among small-caps. In addition, differences in country allocations
contributed positively to the Fund's relative performance. The Fund held a
lesser allocation to China, which underperformed, and a larger allocation to
Brazil, which outperformed, in each case contributing positively to relative
performance.
326
DIMENSIONAL EMERGING MARKETS VALUE FUND
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2016
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/16 10/31/16 RATIO* PERIOD*
--------- --------- ---------- --------
DIMENSIONAL EMERGING MARKETS VALUE FUND
---------------------------------------
Actual Fund Return...................... $1,000.00 $1,108.20 0.16% $0.85
Hypothetical 5% Annual Return........... $1,000.00 $1,024.33 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 (184), then divided
by the number of days in the year (366) to reflect the six-month period.
327
DIMENSIONAL EMERGING MARKETS VALUE FUND
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For the
Dimensional Emerging Markets Value Fund, this would be for the fiscal quarters
ending January 31 and July 31. The Form N-Q filing must be made within 60 days
of the end of the quarter. Dimensional Emerging Markets Value Fund filed its
most recent Form N-Q with the SEC on September 28, 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....................... 9.5%
Consumer Staples............................. 4.2%
Energy....................................... 16.8%
Financials................................... 29.6%
Health Care.................................. 0.5%
Industrials.................................. 9.2%
Information Technology....................... 8.0%
Materials.................................... 15.2%
Real Estate.................................. 3.2%
Telecommunication Services................... 2.0%
Utilities.................................... 1.8%
-----
100.0%
328
DIMENSIONAL EMERGING MARKETS VALUE FUND
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (92.2%)
BRAZIL -- (6.2%)
Banco do Brasil SA................. 11,814,302 $ 108,408,805 0.7%
BM&FBovespa SA - Bolsa de Valores
Mercadorias e Futuros............. 13,256,844 78,079,156 0.5%
Kroton Educacional SA.............. 13,035,605 64,932,995 0.4%
* Petroleo Brasileiro SA............. 12,763,637 74,534,522 0.5%
* Petroleo Brasileiro SA Sponsored
ADR............................... 22,735,012 265,317,590 1.6%
# Vale SA Sponsored ADR.............. 16,396,265 113,462,154 0.7%
Other Securities................... 357,181,075 2.0%
-------------- -----
TOTAL BRAZIL........................... 1,061,916,297 6.4%
-------------- -----
CHILE -- (1.5%)
Other Securities................... 256,066,436 1.5%
-------------- -----
CHINA -- (14.1%)
Agricultural Bank of China, Ltd.
Class H........................... 188,329,000 79,224,525 0.5%
Bank of China, Ltd. Class H........ 535,573,817 240,000,782 1.5%
China Construction Bank Corp.
Class H........................... 692,941,101 506,017,971 3.1%
China Petroleum & Chemical Corp.
ADR............................... 1,158,578 83,904,204 0.5%
# China Unicom Hong Kong, Ltd. ADR... 7,246,321 84,926,882 0.5%
CNOOC, Ltd......................... 117,592,000 147,962,957 0.9%
Industrial & Commercial Bank of
China, Ltd. Class H............... 372,912,996 223,837,040 1.4%
Other Securities................... 1,040,193,122 6.1%
-------------- -----
TOTAL CHINA............................ 2,406,067,483 14.5%
-------------- -----
COLOMBIA -- (0.2%)
Other Securities................... 34,189,337 0.2%
-------------- -----
CZECH REPUBLIC -- (0.2%)
Other Securities................... 42,272,990 0.3%
-------------- -----
GREECE -- (0.0%)
Other Securities................... 7,063,890 0.0%
-------------- -----
HONG KONG -- (0.0%)
Other Securities................... 679,848 0.0%
-------------- -----
HUNGARY -- (0.6%)
OTP Bank P.L.C..................... 2,918,488 81,788,121 0.5%
Other Securities................... 18,500,396 0.1%
-------------- -----
TOTAL HUNGARY.......................... 100,288,517 0.6%
-------------- -----
INDIA -- (13.1%)
Axis Bank, Ltd..................... 10,438,329 76,215,999 0.5%
ICICI Bank, Ltd. Sponsored ADR..... 16,081,202 133,313,164 0.8%
Reliance Industries, Ltd........... 19,870,744 312,234,750 1.9%
Tata Motors, Ltd................... 15,010,621 119,339,370 0.7%
Other Securities................... 1,597,583,381 9.5%
-------------- -----
TOTAL INDIA............................ 2,238,686,664 13.4%
-------------- -----
INDONESIA -- (3.1%)
Bank Mandiri Persero Tbk PT........ 95,456,931 84,083,115 0.5%
Other Securities................... 446,507,146 2.7%
-------------- -----
TOTAL INDONESIA........................ 530,590,261 3.2%
-------------- -----
329
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
MALAYSIA -- (3.4%)
Other Securities...................... $ 577,744,389 3.5%
-------------- -----
MEXICO -- (5.1%)
* Cemex S.A.B. de C.V. Sponsored ADR.... 13,493,350 117,122,279 0.7%
Fomento Economico Mexicano S.A.B. de
C.V. Sponsored ADR................... 1,633,336 156,261,255 0.9%
# Grupo Financiero Banorte S.A.B. de
C.V. Class O......................... 21,258,812 125,409,107 0.8%
Grupo Mexico S.A.B. de C.V. Series B.. 36,736,533 90,184,389 0.6%
Other Securities...................... 385,259,751 2.3%
-------------- -----
TOTAL MEXICO.............................. 874,236,781 5.3%
-------------- -----
PHILIPPINES -- (1.1%)
Other Securities...................... 191,803,333 1.2%
-------------- -----
POLAND -- (1.5%)
# Polski Koncern Naftowy Orlen SA....... 3,609,126 71,505,205 0.4%
Other Securities...................... 191,714,537 1.2%
-------------- -----
TOTAL POLAND.............................. 263,219,742 1.6%
-------------- -----
RUSSIA -- (2.2%)
Gazprom PJSC Sponsored ADR............ 61,401,592 264,756,173 1.5%
Lukoil PJSC Sponsored ADR............. 1,526,223 74,239,014 0.4%
Other Securities...................... 29,810,325 0.3%
-------------- -----
TOTAL RUSSIA.............................. 368,805,512 2.2%
-------------- -----
SOUTH AFRICA -- (7.1%)
Barclays Africa Group, Ltd............ 5,579,767 64,750,119 0.4%
MTN Group, Ltd........................ 10,762,518 92,959,482 0.6%
Sasol, Ltd............................ 3,802,484 105,005,545 0.6%
Standard Bank Group, Ltd.............. 16,569,484 175,889,757 1.1%
Steinhoff International Holdings NV... 24,951,223 134,603,568 0.8%
Other Securities...................... 632,956,606 3.7%
-------------- -----
TOTAL SOUTH AFRICA........................ 1,206,165,077 7.2%
-------------- -----
SOUTH KOREA -- (14.1%)
Hana Financial Group, Inc............. 3,086,346 88,276,195 0.5%
Hyundai Motor Co...................... 1,517,445 185,263,981 1.1%
KB Financial Group, Inc. ADR.......... 3,020,559 111,700,272 0.7%
Kia Motors Corp....................... 2,442,082 86,715,201 0.5%
# LG Electronics, Inc................... 1,692,217 70,543,997 0.4%
POSCO................................. 533,590 111,025,370 0.7%
POSCO Sponsored ADR................... 1,449,591 75,306,252 0.5%
Shinhan Financial Group Co., Ltd...... 3,520,728 134,682,551 0.8%
SK Innovation Co., Ltd................ 752,489 99,053,339 0.6%
Other Securities...................... 1,442,859,087 8.6%
-------------- -----
TOTAL SOUTH KOREA......................... 2,405,426,245 14.4%
-------------- -----
TAIWAN -- (14.0%)
# First Financial Holding Co., Ltd...... 144,043,234 75,453,806 0.5%
# Fubon Financial Holding Co., Ltd...... 92,306,471 130,605,137 0.8%
Mega Financial Holding Co., Ltd....... 129,885,796 88,800,916 0.6%
# Pegatron Corp......................... 24,483,998 65,929,943 0.4%
# United Microelectronics Corp.......... 216,382,681 80,538,501 0.5%
Other Securities...................... 1,956,054,996 11.6%
-------------- -----
TOTAL TAIWAN.............................. 2,397,383,299 14.4%
-------------- -----
330
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
THAILAND -- (3.3%)
PTT PCL............................ 21,629,500 $ 213,838,331 1.3%
Other Securities................... 349,702,709 2.1%
--------------- ------
TOTAL THAILAND........................... 563,541,040 3.4%
--------------- ------
TURKEY -- (1.4%)
Other Securities................... 240,781,051 1.4%
--------------- ------
TOTAL COMMON STOCKS...................... 15,766,928,192 94.7%
--------------- ------
PREFERRED STOCKS -- (4.3%)
BRAZIL -- (4.2%)
* Petroleo Brasileiro SA............. 28,867,973 159,985,728 1.0%
#* Petroleo Brasileiro SA Sponsored
ADR............................... 22,867,709 252,916,862 1.5%
Vale SA............................ 23,147,649 149,604,010 0.9%
# Vale SA Sponsored ADR.............. 10,365,717 66,755,217 0.4%
Other Securities................... 90,363,373 0.5%
--------------- ------
TOTAL BRAZIL............................. 719,625,190 4.3%
--------------- ------
COLOMBIA -- (0.1%)
Other Securities................... 14,779,867 0.1%
--------------- ------
SOUTH KOREA -- (0.0%)
Other Securities................... 1,768,449 0.0%
--------------- ------
TOTAL PREFERRED STOCKS................... 736,173,506 4.4%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities................... 35,001 0.0%
--------------- ------
INDIA -- (0.0%)
Other Securities................... 850,210 0.0%
--------------- ------
SOUTH KOREA -- (0.0%)
Other Securities................... 1,582,912 0.0%
--------------- ------
TOTAL RIGHTS/WARRANTS.................... 2,468,123 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES.............. 16,505,569,821
---------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (3.5%)
(S)@ DFA Short Term Investment Fund..... 51,188,093 592,348,611 3.6%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $18,135,039,268)................. $17,097,918,432 102.7%
=============== ======
Summary of the Fund's investments as of October 31, 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......................... $1,061,916,297 -- -- $ 1,061,916,297
Chile.......................... 68,522,696 $ 187,543,740 -- 256,066,436
China.......................... 222,507,491 2,183,559,992 -- 2,406,067,483
Colombia....................... 34,189,337 -- -- 34,189,337
331
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
-------------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------- --------------- ------- ---------------
Czech Republic................. -- $ 42,272,990 -- $ 42,272,990
Greece......................... -- 7,063,890 -- 7,063,890
Hong Kong...................... -- 679,848 -- 679,848
Hungary........................ -- 100,288,517 -- 100,288,517
India.......................... $ 166,309,441 2,072,377,223 -- 2,238,686,664
Indonesia...................... 5,419,169 525,171,092 -- 530,590,261
Malaysia....................... 13,467 577,730,922 -- 577,744,389
Mexico......................... 874,236,781 -- -- 874,236,781
Philippines.................... -- 191,803,333 -- 191,803,333
Poland......................... -- 263,219,742 -- 263,219,742
Russia......................... 10,015,478 358,790,034 -- 368,805,512
South Africa................... 137,638,609 1,068,526,468 -- 1,206,165,077
South Korea.................... 293,776,615 2,111,649,630 -- 2,405,426,245
Taiwan......................... 35,243,272 2,362,140,027 -- 2,397,383,299
Thailand....................... 563,411,706 129,334 -- 563,541,040
Turkey......................... -- 240,781,051 -- 240,781,051
Preferred Stocks
Brazil......................... 719,625,190 -- -- 719,625,190
Colombia....................... 14,779,867 -- -- 14,779,867
South Korea.................... 1,768,449 -- -- 1,768,449
Rights/Warrants
Australia...................... -- 35,001 -- 35,001
India.......................... -- 850,210 -- 850,210
South Korea.................... -- 1,582,912 -- 1,582,912
Securities Lending Collateral... -- 592,348,611 -- 592,348,611
Futures Contracts**............. (394,528) -- -- (394,528)
-------------- --------------- -- ---------------
TOTAL........................... $4,208,979,337 $12,888,544,567 -- $17,097,523,904
============== =============== == ===============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
332
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS)
ASSETS:
Investments at Value (including $905,952 of securities on loan)*.... $16,505,570
Collateral from Securities on Loan Invested in Affiliate at Value
(including cost of $592,251)....................................... 592,349
Segregated Cash for Futures Contracts............................... 4,653
Foreign Currencies at Value......................................... 123,200
Cash................................................................ 2,187
Receivables:
Investment Securities Sold......................................... 21,989
Dividends, Interest and Tax Reclaims............................... 1,885
Securities Lending Income.......................................... 2,395
Futures Margin Variation........................................... 57
-----------
Total Assets................................................... 17,254,285
-----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................................... 592,234
Due to Advisor..................................................... 1,406
Line of Credit..................................................... 11,747
Accrued Expenses and Other Liabilities.............................. 1,391
-----------
Total Liabilities.............................................. 606,778
-----------
NET ASSETS.......................................................... $16,647,507
===========
Investments at Cost................................................. $17,542,788
===========
Foreign Currencies at Cost.......................................... $ 123,360
===========
----------
* See Note H in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
333
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS)
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $54,517............. $ 400,123
Interest........................................................ 24
Income from Securities Lending.................................. 30,547
----------
Total Investment Income..................................... 430,694
----------
EXPENSES
Investment Management Fees...................................... 14,975
Accounting & Transfer Agent Fees................................ 818
Custodian Fees.................................................. 6,604
Shareholders' Reports........................................... 63
Directors'/Trustees' Fees & Expenses............................ 103
Professional Fees............................................... 590
Other........................................................... 687
----------
Total Expenses.............................................. 23,840
----------
Fees Paid Indirectly (Note C)................................... (198)
----------
Net Expenses.................................................... 23,642
----------
NET INVESTMENT INCOME (LOSS).................................... 407,052
----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold*................................... (88,448)
Futures....................................................... 11,480
Foreign Currency Transactions................................. 3,671
Forward Currency Contracts.................................... 93
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................... 1,983,912
Futures....................................................... (395)
Translation of Foreign Currency Denominated Amounts........... 48
----------
NET REALIZED AND UNREALIZED GAIN (LOSS)......................... 1,910,361
----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.. $2,317,413
==========
----------
* Net of foreign capital gain taxes withheld of $145.
See accompanying Notes to Financial Statements.
334
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DIMENSIONAL EMERGING
MARKETS VALUE FUND
------------------------
YEAR YEAR
ENDED ENDED
OCT. 31, OCT. 31,
2016 2015
----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......................................... $ 407,052 $ 437,571
Net Realized Gain (Loss) on:
Investment Securities Sold*......................................... (88,448) (413,376)
Futures............................................................. 11,480 --
Foreign Currency Transactions....................................... 3,764 (7,896)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.......................... 1,983,912 (3,319,869)
Futures............................................................. (395) --
Translation of Foreign Currency Denominated Amounts................. 48 108
----------- -----------
Net Increase (Decrease) in Net Assets Resulting from Operations.... 2,317,413 (3,303,462)
----------- -----------
Transactions in Interest:
Contributions......................................................... 1,192,055 1,713,486
Withdrawals........................................................... (1,950,019) (2,249,483)
----------- -----------
Net Increase (Decrease) from Transactions in Interest.............. (757,964) (535,997)
----------- -----------
Total Increase (Decrease) in Net Assets............................ 1,559,449 (3,839,459)
NET ASSETS
Beginning of Year..................................................... 15,088,058 18,927,517
----------- -----------
End of Year........................................................... $16,647,507 $15,088,058
=========== ===========
----------
* Net of foreign capital gain taxes withheld of $145 and $0, respectively.
See accompanying Notes to Financial Statements.
335
DIMENSIONAL EMERGING MARKETS VALUE FUND+
FINANCIAL HIGHLIGHTS
DIMENSIONAL EMERGING MARKETS VALUE FUND
-----------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
---------------------------------------------------------------------------------------------------------------------------
Total Return............................................ 15.80% (17.95)% (1.09)% 8.43% 1.10%
---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)..................... $16,647,507 $15,088,058 $18,927,517 $19,427,286 $16,884,322
Ratio of Expenses to Average Net Assets................. 0.16% 0.15% 0.15% 0.16% 0.20%
Ratio of Expenses to Average Net Assets (Excluding Fees
Paid Indirectly)....................................... 0.16% 0.15% 0.15% 0.16% 0.20%
Ratio of Net Investment Income to Average Net Assets.... 2.72% 2.54% 2.76% 2.32% 2.43%
Portfolio Turnover Rate................................. 12% 14% 12% 6% 8%
---------------------------------------------------------------------------------------------------------------------------
+ See Note A in the Notes to Financial Statements.
See accompanying Notes to Financial Statements.
336
DIMENSIONAL EMERGING MARKETS VALUE FUND
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
Dimensional Emerging Markets Value Fund (the "Fund") is an open-end
management investment company registered under the Investment Company Act of
1940. The Fund 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 Fund consists of one series.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. SECURITY VALUATION: The 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 management 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 Fund is calculated. When fair value pricing is used, the
prices of securities used by the Fund may differ from the quoted or published
prices for the same securities on their primary markets or exchanges. These
securities are generally categorized as Level 2 in the hierarchy.
The Fund will also apply a fair value price in the circumstances described
below. Generally, trading in foreign securities markets is completed each day
at various times prior to the close of the NYSE. For example, trading in the
Japanese securities markets is completed each day at the close of the Tokyo
Stock Exchange (normally, 2:00 a.m. ET), which is fourteen hours before the
close of the NYSE (normally, 4:00 p.m. ET) and the time that the net asset
value of the Fund is computed. Due to the time differences between the closings
of the relevant foreign
337
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
October 31, 2016, the Fund had significant transfers of securities with a total
value of $995,531 (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 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' Fees & Expenses. At October 31, 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 $508 (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
338
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 October 31, 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 year ended October 31, 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 year ended October 31, 2016, expenses reduced were $198 (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 year ended October 31, 2016, the total related amounts paid by the Fund to
the CCO were $16 (in thousands). The total related amounts paid by the Fund are
included in Other Expenses on the Statement of Operations.
339
D. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 2016, the Fund transactions related to
investment securities, other than short-term securities and U.S. government
securities (amounts in thousands):
PURCHASES SALES
---------- ----------
Dimensional Emerging Markets Value Fund... $1,868,316 $1,845,183
There were no purchases or sales of long-term U.S. government securities.
E. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since the Fund is treated
as a partnership for federal income tax purposes. Any net investment income and
realized and unrealized gains and losses have been deemed to have been "passed
down" to their respective partners.
At October 31, 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)
----------- ------------ ------------ --------------
Dimensional Emerging Markets Value Fund... $18,135,039 $2,483,785 $(3,520,905) $(1,037,120)
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
Fund deposits 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.
340
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 October 31, 2016, the Fund had the following outstanding futures
contracts (dollar amounts in thousands):
UNREALIZED
EXPIRATION NUMBER OF CONTRACT GAIN CASH
DESCRIPTION DATE CONTRACTS VALUE (LOSS) COLLATERAL
------------------- ---------- --------- -------- ---------- ----------
Dimensional
Emerging
Markets MINI MSCI Emerging
Value Fund... Markets Index(R) 12/16/16 650 $29,364 $(395) $4,653
------- ----- ------
$29,364 $(395) $4,653
======= ===== ======
Securities have been segregated as collateral for open futures contracts.
3. FORWARD CURRENCY CONTRACTS: The Fund 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 Fund's currency exposure with respect to a foreign market will be
based primarily on the Fund's existing exposure to a given foreign currency.
Each contract is valued daily and the change in value is recorded by the Fund
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 Fund records a realized gain
or loss equal to the change in the value of the contract when it was opened and
the value at the time it was closed or offset. This is presented in the
Statements of Operations as a net realized gain or loss on foreign currency
transactions. At October 31, 2016, the Fund had no outstanding forward currency
contracts.
The average volume (based on the open positions at each fiscal month-end) of
derivative activity for the year ended October 31, 2016:
FORWARD
CURRENCY
CONTRACTS FUTURES
--------- -------
Dimensional Emerging Markets Value Fund *. $682 $50,910
* The Fund had derivative activity during the period but it did not have open
forward positions at October 31, 2016.
The following is a summary of the location of derivatives on the Fund's
Statements of Assets and Liabilities as of October 31, 2016:
LOCATION ON THE
STATEMENTS OF ASSETS AND
LIABILITIES
------------------------
DERIVATIVE TYPE ASSET DERIVATIVES
--------------- ------------------------
Equity contracts Receivables: Futures
Margin Variation
341
The following is a summary of the Fund's derivative instrument holdings
categorized by primary risk exposure as of October 31, 2016 (amounts in
thousands):
LIABILITY DERIVATIVES VALUE
--------------------------
TOTAL VALUE
AT EQUITY
OCTOBER 31, 2016 CONTRACTS*
---------------- ----------
Dimensional Emerging Markets Value
Fund............................. $(395) $(395)
* 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 Fund's Statements of
Operations of realized and change in unrealized gains and losses from the
Fund's derivative instrument holdings through the year ended October 31, 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 Fund's derivative instrument holdings categorized by
primary risk exposure through the year ended October 31, 2016 (amounts in
thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
----------------------------------------
FORWARD
EQUITY CURRENCY
TOTAL CONTRACTS CONTRACTS
------- --------- ---------
Dimensional Emerging Markets Value Fund. $11,573 $11,480 $93
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES
-----------------------------
EQUITY
TOTAL CONTRACTS
------- ---------
Dimensional Emerging Markets Value Fund. $ (395) $ (395)
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.
342
For the year ended October 31, 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 LOAN DAYS EXPENSE BORROWED DURING
INTEREST RATE BALANCE OUTSTANDING* INCURRED THE PERIOD
------------- ------------ ------------ -------- ---------------
Dimensional Emerging Markets Value
Fund............................. 1.01% $25,340 51 $39 $152,831
* Number of Days Outstanding represents the total of single or consecutive days
during the year ended October 31, 2016, that the Fund's available line of
credit was utilized.
At October 31, 2016, the Fund had loans outstanding in the amount of $11,747
(in thousands).
Pursuant to an exemptive order issued by the SEC (the "Order"), the Fund may
participate in an interfund lending program among certain portfolios managed by
the Advisor (portfolios that operate as feeder funds do not participate in the
program). The program allows the participating portfolios to borrow money from
and loan money to each other for temporary or emergency purposes, subject to
the conditions in the Order. A loan can only be made through the program if the
interfund loan rate on that day is more favorable to both the borrowing and
lending portfolios as compared to rates available through short-term bank loans
or investments in overnight repurchase agreements and money market funds,
respectively, as detailed in the Order. Further, a portfolio may participate in
the program only if and to the extent that such participation is consistent
with its investment objectives and limitations. Interfund loans have a maximum
duration of seven days and may be called on one business day's notice. The Fund
did not utilize the interfund lending program during the year ended October 31,
2016.
H. AFFILIATED TRADES:
Cross trades for the year ended October 31, 2016, if any, were executed by
the Portfolio pursuant to procedures adopted by the Board of Directors of the
Fund to ensure compliance with Rule 17a-7 under the Investment Company Act of
1940 (the "1940 Act"). Cross trading is the buying or selling of portfolio
securities between series of investment companies, or between a series of an
investment company and another entity, that are or could be considered
affiliates by virtue of having a common investment adviser (or affiliated
investment advisers), common directors/ trustees and/or common officers. At its
regularly scheduled meetings, the Board reviews such transactions for
compliance with the requirements and restrictions set forth by Rule 17a-7 under
the 1940 Act.
For the year ended October 31, 2016, cross trades by the Portfolio under
Rule 17a-7 were as follows (amounts in thousands):
PORTFOLIO PURCHASES SALES REALIZED GAIN (LOSS)
--------- --------- ------ --------------------
Dimensional Emerging Markets Value Fund. 6,642 11,567 1,955
I. SECURITIES LENDING:
As of October 31, 2016, the Fund had securities on loan to brokers/dealers,
for which the Fund received cash collateral. The non-cash collateral includes
short-and/or long-term U.S. Treasuries and U.S. Government Agency Securities
with a market value of $421,691 (amounts in thousands). The Fund invests the
cash collateral, as described below, and records a liability for the return of
the collateral, during the period the securities are on loan. Loans of
securities are expected at all times to be secured by collateral 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
343
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 October 31, 2016:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF OCTOBER 31, 2016
---------------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
------------- -------- ------------ -------- ------------
SECURITIES LENDING TRANSACTIONS
DIMENSIONAL EMERGING MARKETS VALUE FUND
Common Stocks, Preferred Stocks........ $592,348,611 -- -- -- $592,348,611
J. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties 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.
K. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the Fund
through the date that the financial statements were issued and has determined
that there are no subsequent events requiring recognition or disclosure in the
financial statements.
344
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees and Shareholders of Dimensional Emerging Markets Value
Fund:
In our opinion, the accompanying statement of assets and liabilities, including
the summary schedule of portfolio holdings, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of Dimensional
Emerging Markets Value Fund (the "Fund") as of October 31, 2016, the results of
its operations for the year then ended, the changes in its net assets for each
of the two years in the period then ended and the financial highlights for each
of the five years in the period then ended, in conformity with accounting
principles generally accepted in the United States of America. These financial
statements and financial highlights (hereafter referred to as "financial
statements") are the responsibility of the Fund's management. Our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with the standards of the Public Company Accounting Oversight Board (United
States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities as of October 31, 2016 by
correspondence with the custodian, brokers and the transfer agent of the
investee fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 20, 2016
345
FUND MANAGEMENT
(UNAUDITED)
TRUSTEES/DIRECTORS
Each Board of Trustees/Directors (each, the "Board" and collectively, the
"Boards") of The DFA Investment Trust Company ("DFAITC"), DFA Investment
Dimensions Group Inc. ("DFAIDG"), Dimensional Investment Group Inc. ("DIG"),
and Dimensional Emerging Markets Value Fund ("DEM") (each, the "Fund" and
collectively, the "Funds") is responsible for establishing the Funds' policies
and for overseeing the management of the Funds. The Trustees/ Directors of the
Funds, including all of the disinterested Trustees/Directors, have adopted
written procedures to monitor potential conflicts of interest that might
develop between portfolios of the Funds (the "Feeder Portfolios") that invest
in certain series of DFAITC or DEM (the "Master Funds").
Each Board has three standing committees: an Audit Committee, a Nominating
Committee, and an Investment Strategy Committee (the "Strategy Committee"). The
Audit Committee is composed of George M. Constantinides, Roger G. Ibbotson, and
Abbie J. Smith. Each member of the Audit Committee is a disinterested
Trustee/Director. The Audit Committee oversees the Fund's accounting and
financial reporting policies and practices, the Fund's internal controls, the
Fund's financial statements, and the independent audits thereof and performs
other oversight functions as requested by the Board. The Audit Committee
recommends the appointment of each Fund's independent registered certified
public accounting firm and also acts as a liaison between the Fund's
independent registered certified public accounting firm and the full Board.
There were two Audit Committee meetings held during the fiscal year ended
October 31, 2016.
Each Board's Nominating Committee is composed of George M. Constantinides, John
P. Gould, Roger G. Ibbotson, Myron S. Scholes, Edward P. Lazear, and Abbie J.
Smith. Each member of the Nominating Committee is a disinterested
Trustee/Director. The Nominating Committee for each Board makes recommendations
for nominations of disinterested and interested members on the Board to the
full Board. The Nominating Committee evaluates a candidate's qualification for
Board membership and the independence of such candidate from the Advisor and
other principal service providers. The Nominating Committee did not meet during
the fiscal year ended October 31, 2016.
Each Board's Strategy Committee consists of both interested and disinterested
Trustees/Directors. The Strategy Committee is composed of John P. Gould, Edward
P. Lazear, Myron S. Scholes, and Eduardo A. Repetto. The Strategy Committee
assists the Board in carrying out its fiduciary duties with respect to the
oversight of the Fund and its performance. At the request of the Board or the
Advisor, the Strategy Committee may (i) review the design of possible new
series of the Fund, (ii) review performance of existing portfolios of the Fund
and discuss and recommend possible enhancements to the portfolios' investment
strategies, (iii) review proposals by the Advisor to modify or enhance the
investment strategies or policies of each portfolio, and (iv) consider issues
relating to investment services for each portfolio of the Fund. The Strategy
Committee was formed on December 17, 2010, and there were three Strategy
Committee meetings held during the fiscal year ended October 31, 2016.
Certain biographical information for each disinterested Trustee/Director and
each interested Trustee/Director of the Funds is set forth in the tables below,
including a description of each Trustee/Director's experience as a Trustee/
Director of the Funds and as a director or trustee of other funds, as well as
other recent professional experience.
The statements of additional information (together, "SAI") of the Funds include
additional information about each Trustee/Director. You may obtain copies of
the SAI and prospectus of each Fund advised by Dimensional Fund Advisors LP by
calling collect (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746.
Prospectuses are also available at http://us.dimensional.com.
346
NAME, POSITION PORTFOLIOS WITHIN THE
WITH THE FUND, TERM OF OFFICE/1/ AND DFA FUND COMPLEX/2/ PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND
ADDRESS AND YEAR OF BIRTH LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD
------------------------------------------------------------------------------------------------------------------------------
DISINTERESTED TRUSTEES/DIRECTORS
------------------------------------------------------------------------------------------------------------------------------
George M. Constantinides Since Inception 122 portfolios in 4 Leo Melamed Professor of Finance, The
Director of DFAIDG and investment companies University of Chicago Booth School of Business.
DIG.
Trustee of DFAITC and
DEM.
The University of Chicago
Booth School of Business
5807 S. Woodlawn
Avenue
Chicago, IL 60637
1947
------------------------------------------------------------------------------------------------------------------------------
John P. Gould DFAIDG-Since 1986 122 portfolios in 4 Steven G. Rothmeier Professor and
Director of DFAIDG and DIG DIG-Since 1993 investment companies Distinguished Service Professor of Economics,
Trustee of DFAITC and DEM DFAITC-Since 1992 University of Chicago Booth School of Business
The University of Chicago DEM-Since 1993 (since 1965). Member and Chair, Competitive
Booth School of Business Markets Advisory Council, Chicago Mercantile
5807 S. Woodlawn Avenue Exchange (futures trading exchange) (since
Chicago, IL 60637 2004). Trustee, Harbor Fund (registered
1939 investment company) (29 Portfolios) (since 1994).
Formerly, Member of the Board of Milwaukee
Insurance Company (1997-2010).
------------------------------------------------------------------------------------------------------------------------------
Roger G. Ibbotson DFAIDG-Since 1981 122 portfolios in 4 Professor in Practice of Finance, Yale School of
Director of DFAIDG and DIG DIG-Since 1993 investment companies Management (since 1984). Chairman, CIO and
Trustee of DFAITC and DEM DFAITC-Since 1992 Partner, Zebra Capital Management, LLC (hedge
Yale School of Management DEM-Since 1993 fund and asset manager) (since 2001).
P.O. Box 208200 Consultant to Morningstar Inc. (since 2006).
New Haven, CT 06520-8200 Formerly, Director, BIRR Portfolio Analysis, Inc.
1943 (sofware Products) (1990-2010).
------------------------------------------------------------------------------------------------------------------------------
Edward P. Lazear DFAIDG-Since 2010 122 portfolios in 4 Morris Arnold Cox Senior Fellow, Hoover
Director of DFAIDG and DIG DIG-Since 2010 investment companies Institution (since 2002). Jack Steele Parker
Trustee of DFAITC and DEM DFAITC-Since 2010 Professor of Human Resources Management and
Stanford University Graduate DEM-Since 2010 Economics, Graduate School of Business,
School of Business Stanford University (since 1995). Cornerstone
434 Galvez Mall Research (expert testimony and economic and
Stanford, CA 94305 financial analysis) (since 2009). Formerly,
1948 Chairman of the President George W. Bush's
Council of Economic Advisors, State of California
(2005-2006). Formerly, Commissioner, White
House Panel on Tax Reform (2005)
------------------------------------------------------------------------------------------------------------------------------
Myron S. Scholes DFAIDG-Since 1981 122 portfolios in 4 Chief Investment Strategist, Janus Capital Group
Director of DFAIDG and DIG DIG-Since 1993 investment companies Inc. (since 2014). Frank E. Buck Professor of
Trustee of DFAITC and DEM DFAITC-Since 1992 Finance Emeritus, Graduate School of Business,
c/o Dimensional Fund DEM-Since 1993 Stanford University (since 1981). Chairman,
Advisers, LP Ruapay Inc. (since 2013). Formerly, Chairman,
6300 Bee Cave Road Platinum Grove Asset Management, L.P. (hedge
Building 1 fund) (formerly, Oak Hill Platinum Partners)
Austin, TX 78746 (1999-2009). Formerly, Director, American
1941 Centruy Fund Complex (registered investment
companies) (43 Portfolios) (1980-2014).
------------------------------------------------------------------------------------------------------------------------------
Abbie J. Smith DFAIDG-Since 2000 122 portfolios in 4 Boris and Irene Stern Distinguished Service
Director of DFAIDG and DIG DIG-Since 2000 investment companies Professor of Accounting, University of Chicago
Trustee of DFAITC and DEM DFAITC-Since 2000 Booth School of Business (since 1980). Director,
The University of Chicago DEM-Since 2000 HNI Corporation (formerly known as HON
Booth School of Business Industries Inc.) (office furniture) (since 2000).
5807 S. Woodlawn Avenue Director, Ryder System Inc. (transportation,
Chicago, IL 60637 logistics and supply-chain management) (since
1953 2003). Trustee, UBS Funds (4 investment
companies within the fund complex) (33
portfolios) (since 2009). Formerly, Co-Director
Investment Research, Fundamental Investment
Advisors (hedge fund) (2008-2011).
347
NAME, POSITION PORTFOLIOS WITHIN THE
WITH THE FUND, TERM OF OFFICE/1/ AND DFA FUND COMPLEX/2/ PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND
ADDRESS AND YEAR OF BIRTH LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD
--------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES/DIRECTORS*
--------------------------------------------------------------------------------------------------------------------------------
David G. Booth DFAIDG-Since 1981 122 portfolios in 4 Chairman, Director/Trustee, President, Co-Chief
Chairman, Director/Trustee, DIG-Since 1992 investment companies Executive Officer and formerly, Chief Executive
President and Co-Chief DFAITC-Since 1992 Officer (until 1/1/2010) of the following companies:
Executive Officer DEM-Since 1993 Dimensional Holdings Inc., Dimensional Fund
6300 Bee Cave Road Advisors LP, DFA Securities LLC, DEM, DFAIDG,
Building One DIG and DFAITC (collectively, the "DFA Entities").
Austin, TX 78746 Director of Dimensional Fund Advisors Ltd. and
1946 formerly, Chief Investment Officer. Director of DFA
Australia Limited and formerly, President and Chief
Investment Officer. Director of Dimensional
Advisors Ltd., Dimensional Funds plc and
Dimensional Funds II plc. Formerly, President,
Dimensional SmartNest (US) LLC (2009- 2014).
Formerly, Limited Partner, Oak Hill Partners (2001-
2010). Limited Partner, VSC Investors, LLC (since
2007). Trustee, University of Chicago. Trustee,
University of Kansas Endowment Association.
Formerly, Director, SA Funds (registered
investment company). Chairman, Director and
Co-Chief Executive Officer of Dimensional Fund
Advisors Canada ULC. Director and President
(since 2012) of Dimensional Japan Ltd. Chairman,
Director, President, and Co-Chief Executive Officer
of Dimensional Cayman Commodity Fund I Ltd.
(since 2010).
--------------------------------------------------------------------------------------------------------------------------------
Eduardo A. Repetto DFAIDG-Since 2009 122 portfolios in 4 Co-Chief Executive Officer (beginning January
Director/Trustee, Co-Chief DIG-Since 2009 investment companies 2010), Co-Chief Investment Officer (since June
Executive Officer and Co- DFAITC-Since 2009 2014), Director/Trustee, and formerly, Chief
Chief Investment Officer DEM-Since 2009 Investment Officer (March 2007-June 2014) of the
6300 Bee Cave Road, DFA Entities. Director, Co-Chief Executive Officer
Building One and Chief Investment Officer (since 2010) of
Austin, TX 78746 Dimensional Cayman Commodity Fund I Ltd.
1967 Director, Co-Chief Executive Officer, President and
Co-Chief Investment Officer of Dimensional Fund
Advisors Canada ULC and formerly, Chief
Investment Officer (until April 2014). Co-Chief
Investment Officer, Vice President, and Director of
DFA Australia Limited and formerly, Chief
Investment Officer (until April 2014). Director of
Dimensional Fund Advisors Ltd., Dimensional
Funds plc, Dimensional Funds II plc and
Dimensional Advisors Ltd. Formerly, Vice
President of the DFA Entities and Dimensional
Fund Advisors Canada ULC. Director and Chief
Investment Officer (since December 2012) of
Dimensional Japan Ltd.
--------------------------------------------------------------------------------------------------------------------------------
/1/ Each Trustee/Director holds office for an indefinite term until his or her
successor is elected and qualified.
/2/ Each Trustee/Director is a director or trustee of each of the four
registered investment companies within the DFA Fund Complex, which includes
the DFAIDG, DIG, DFAITC and DEM. Each disinterested Trustee/Director also
serves on the Independent Review Committee of the Dimensional Funds, mutual
funds registered in the provinces of Canada and managed by an affiliate of
Dimensional Fund Advisors LP (the "Advisor"), Dimensional Fund Advisors
Canada ULC.
* Interested Trustees/Directors are described as such because they are deemed
to be "interested persons," as that term is defined under the Investment
Company Act of 1940, as amended, due to their positions with the Advisor.
348
OFFICERS
Below is the name, year of birth, information regarding positions with the
Funds and the principal occupation for each officer of the Funds. The address
of each officer is 6300 Bee Cave Road, Building One, Austin, TX 78746. Each of
the officers listed below holds the same office (except as otherwise noted) in
the DFA Entities.
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
-----------------------------------------------------------------------------------------------------------------
April A. Aandal Vice President Since 2008 Vice President of all the DFA Entities.
1963
-----------------------------------------------------------------------------------------------------------------
Robyn G. Alcorta Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1974 Vice President, Business Development at Capson
Physicians Insurance Company (2010-2012).
-----------------------------------------------------------------------------------------------------------------
Magdalia S. Armstrong Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1977 Regional Director for Dimensional Fund Advisors
LP (January 2011-January 2016).
-----------------------------------------------------------------------------------------------------------------
Darryl D. Avery Vice President Since 2005 Vice President of all the DFA Entities.
1966
-----------------------------------------------------------------------------------------------------------------
Arthur H. Barlow Vice President Since 1993 Vice President of all the DFA Entities. Director
1955 and Managing Director of Dimensional Fund
Advisors Ltd (since September 2013). Director of
Dimensional Funds plc and Dimensional Funds II
plc (since November 2013).
-----------------------------------------------------------------------------------------------------------------
Lana Bergstein Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1974 Client Service Manager for Dimensional Fund
Advisors LP (February 2008-January 2014).
-----------------------------------------------------------------------------------------------------------------
Stanley W. Black Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1970 Senior Research Associate (January 2012-
January 2014) and Research Associate (2006-
2011) for Dimensional Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------------
Aaron T. Borders Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1973 Regional Director for Dimensional Fund Advisors
LP (April 2008-January 2014).
-----------------------------------------------------------------------------------------------------------------
Scott A. Bosworth Vice President Since 2007 Vice President of all the DFA Entities.
1968
-----------------------------------------------------------------------------------------------------------------
Valerie A. Brown Vice President and Since 2001 Vice President and Assistant Secretary of all the
1967 Assistant Secretary DFA Entities, DFA Australia Limited, Dimensional
Fund Advisors Ltd., Dimensional Cayman
Commodity Fund I Ltd., Dimensional Fund
Advisors Pte. and Dimensional Hong Kong
Limited. Director, Vice President, Director and
Assistant Secretary of Dimensional Fund Advisors
Canada ULC.
-----------------------------------------------------------------------------------------------------------------
David P. Butler Vice President Since 2007 Vice President of all the DFA Entities. Head of
1964 Global Financial Services for Dimensional Fund
Advisors LP (since 2008).
-----------------------------------------------------------------------------------------------------------------
Douglas M. Byrkit Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1970 Regional Director for Dimensional Fund Advisors
LP (December 2010-January 2012).
-----------------------------------------------------------------------------------------------------------------
Hunt M. Cairns Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1973 Regional Director (January 2010-January 2014)
for Dimensional Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------------
David K. Campbell Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1966 DC Relationship Manager for Dimensional Fund
Advisors LP (October 2010-January 2016).
-----------------------------------------------------------------------------------------------------------------
Dennis M. Chamberlain Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1972 Regional Director (January 2012-January 2015)
for Dimensional Fund Advisors LP; Principal for
Chamberlain Financial Group (October 2010-
December 2011).
-----------------------------------------------------------------------------------------------------------------
349
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
-----------------------------------------------------------------------------------------------------------
Ryan J. Chaplinski Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1971 Regional Director (June 2011-January 2015) for
Dimensional Fund Advisors LP; Sales Executive
for Vanguard (2004-June 2011).
-----------------------------------------------------------------------------------------------------------
James G. Charles Vice President Since 2011 Vice President of all the DFA Entities.
1956
-----------------------------------------------------------------------------------------------------------
Joseph H. Chi Vice President Since 2009 Vice President of all the DFA Entities. Co-Head of
1966 Portfolio Management (since March 2012) and
Senior Portfolio Manager (since January 2012) for
Dimensional Fund Advisors LP. Vice President of
Dimensional Fund Advisors Canada ULC (since
April 2016). Formerly, Portfolio Manager for
Dimensional Fund Advisors LP (October 2005 to
January 2012).
-----------------------------------------------------------------------------------------------------------
Pil Sun Choi Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1972 Counsel for Dimensional Fund Advisors LP (April
2012-January 2014); Vice President and Counsel
for AllianceBernstein L.P. (2006-2012).
-----------------------------------------------------------------------------------------------------------
Stephen A. Clark Vice President Since 2004 Vice President of all the DFA Entities. Director
1972 and Vice President of Dimensional Japan Ltd
(since February 2016). President and Director of
Dimensional Fund Advisors Canada ULC (since
February 2016), Vice President of DFA Australia
Limited (since April 2008) and Director (since Oct
2016). Director of Dimensional Advisors Ltd,
Dimensional Fund Advisors Pte. Ltd., and
Dimensional Hong Kong Limited, (since April
2016), Vice President of Dimensional Fund
Advisors Pte Ltd. (since June 2016), Head of
Global Institutional Services for Dimensional Fund
Advisors LP (since January 2014). Formerly, Vice
President of Dimensional Fund Advisors Canada
ULC (December 2010-February 2016); Head of
Institutional, North America (March 2012 to
December 2013) and Head of Portfolio
Management (January 2006 to March 2012) for
Dimensional Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------
Matthew B. Cobb Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1971 Regional Director for Dimensional Fund Advisors
LP (September 2011-March 2013); Vice President
at MullinTBG (2005-2011).
-----------------------------------------------------------------------------------------------------------
Rose C. Cooke Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1971 Regional Director for Dimensional Fund Advisors
LP (August 2010-March 2014).
-----------------------------------------------------------------------------------------------------------
Ryan Cooper Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1979 Regional Director for Dimensional Fund Advisors
LP (2003-March 2014).
-----------------------------------------------------------------------------------------------------------
Jeffrey D. Cornell Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1976 Regional Director for Dimensional Fund Advisors
LP (August 2002-January 2012).
-----------------------------------------------------------------------------------------------------------
Robert P. Cornell Vice President Since 2007 Vice President of all the DFA Entities.
1949
-----------------------------------------------------------------------------------------------------------
John W. Crill (Wes) Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1982 Senior Associate, Research (January 2015-
January 2016); Associate, Research (January
2014-January 2015); Analyst, Research (July
2010-January 2014) for Dimensional Fund
Advisors LP.
-----------------------------------------------------------------------------------------------------------
350
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
-------------------------------------------------------------------------------------------------------------------
Christopher S. Crossan Vice President and Since 2004 Vice President and Global Chief Compliance
1965 Global Chief Officer of all the DFA Entities, DFA Australia
Compliance Officer Limited and Dimensional Fund Advisors Ltd. Chief
Compliance Officer and Chief Privacy Officer of
Dimensional Fund Advisors Canada ULC, Chief
Compliance Officer of Dimensional Fund Advisors
Pte. Ltd. Formerly, Vice President and Global
Chief Compliance Officer for Dimensional
SmartNest (US) LLC (October 2010-2014).
-------------------------------------------------------------------------------------------------------------------
John T. Curnutte Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1980 Manager, Research Systems (November 2012-
January 2016) for Dimensional Fund Advisors LP;
Assistant Vice President, Oaktree Capital
Management (April 2011-October 2012.
-------------------------------------------------------------------------------------------------------------------
John Dashtara Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1980 Regional Director (July 2013-January 2015) for
Dimensional Fund Advisors LP; Relationship
Manager for Blackrock, Inc. (July 2011-July
2013);Vice President for Towers Watson
(formerly, WellsCanning) (June 2009-July 2011).
-------------------------------------------------------------------------------------------------------------------
James L. Davis Vice President Since 1999 Vice President of all the DFA Entities.
1956
-------------------------------------------------------------------------------------------------------------------
Robert T. Deere Vice President Since 1994 Vice President of all the DFA Entities, DFA
1957 Australia Limited and Dimensional Fund Advisors
Canada ULC.
-------------------------------------------------------------------------------------------------------------------
Johnathon K. DeKinder Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1979 Regional Director (January 2012-January 2014)
and Senior Associate (August 2010-December
2011) for Dimensional Fund Advisors LP.
-------------------------------------------------------------------------------------------------------------------
Mark J. Dennis Vice President Since 2015 Vice President of all DFA Entities. Formerly,
1976 Regional Director (May 2011-January 2015) for
Dimensional Fund Advisors LP; Vice President,
Portfolio Specialist (January 2007-May 2011) for
Morgan Stanley Investment Management.
-------------------------------------------------------------------------------------------------------------------
Massimiliano DeSantis Vice President Since 2015 Vice President of all DFA Entities. Formerly,
1971 Senior Associate, Research (November 2012-
January 2015) for Dimensional Fund Advisors LP;
Senior Consultant, NERA Economic Consulting,
New York (May 2010-November 2012).
-------------------------------------------------------------------------------------------------------------------
Peter F. Dillard Vice President Since 2010 Vice President of all the DFA Entities. Chief Data
1972 Officer for Dimensional Fund Advisors LP (since
January 2016).
-------------------------------------------------------------------------------------------------------------------
Robert W. Dintzner Vice President Since 2001 Vice President of all the DFA Entities.
1970
-------------------------------------------------------------------------------------------------------------------
Karen M. Dolan Vice President Since 2014 Vice President of all the DFA Entities. Head of
1979 Marketing for Dimensional Fund Advisors LP
(since February 2013). Formerly, Senior Manager
of Research and Marketing for Dimensional Fund
Advisors LP (June 2012-January 2013); Director
of Mutual Fund Analysis at Morningstar (January
2008-May 2012).
-------------------------------------------------------------------------------------------------------------------
L. Todd Erskine Vice President Since 2015 Vice President of all DFA Entities. Formerly,
1959 Regional Director (May 2008-January 2015) for
Dimensional Fund Advisors LP.
-------------------------------------------------------------------------------------------------------------------
Richard A. Eustice Vice President and Since 1998 Vice President and Assistant Secretary of all the
1965 Assistant Secretary DFA Entities and DFA Australia Limited. Chief
Operating Officer for Dimensional Fund Advisors
Pte. Ltd. (since April 2013). Formerly, Chief
Operating Officer for Dimensional Fund Advisors
Ltd. (July 2008-March 2013).
-------------------------------------------------------------------------------------------------------------------
351
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
--------------------------------------------------------------------------------------------------------------------
Gretchen A. Flicker Vice President Since 2004 Vice President of all the DFA Entities.
1971
--------------------------------------------------------------------------------------------------------------------
Jed S. Fogdall Vice President Since 2008 Vice President of all the DFA Entities. Co-Head of
1974 Portfolio Management (since March 2012) and
Senior Portfolio Manager (since January 2012) of
Dimensional Fund Advisors LP. Vice President of
Dimensional Fund Advisors Canada ULC (since
April 2016). Formerly, Portfolio Manager of
Dimensional Fund Advisors LP (September 2004-
January 2012).
--------------------------------------------------------------------------------------------------------------------
Edward A. Foley Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1976 Regional Director for Dimensional Fund Advisors
LP (August 2011-January 2014); Senior Vice
President of First Trust Advisors L.P. (2007-July
2011).
--------------------------------------------------------------------------------------------------------------------
Deborah J.G. Foster Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1959 Senior Associate (May 2011-January 2015) for
Dimensional Fund Advisors LP.
--------------------------------------------------------------------------------------------------------------------
Jeremy P. Freeman Vice President Since 2009 Vice President of all the DFA Entities.
1970
--------------------------------------------------------------------------------------------------------------------
Kimberly A. Ginsburg Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1970 Vice President for Dimensional SmartNest (US)
LLC (January 2012-November 2014); Senior Vice
President for Morningstar (July 2004-July 2011).
--------------------------------------------------------------------------------------------------------------------
Mark R. Gochnour Vice President Since 2007 Vice President of all the DFA Entities.
1967
--------------------------------------------------------------------------------------------------------------------
Tom M. Goodrum Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1968 Managing Director at BlackRock (2004-January
2012).
--------------------------------------------------------------------------------------------------------------------
Henry F. Gray Vice President Since 2000 Vice President of all the DFA Entities.
1967
--------------------------------------------------------------------------------------------------------------------
John T. Gray Vice President Since 2007 Vice President of all the DFA Entities.
1974
--------------------------------------------------------------------------------------------------------------------
Christian Gunther Vice President Since 2011 Vice President of all the DFA Entities. Senior
1975 Trader for Dimensional Fund Advisors LP (since
2012). Formerly, Senior Trader (2009-2012).
--------------------------------------------------------------------------------------------------------------------
Robert W. Hawkins Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1974 Counsel for Dimensional Fund Advisors LP
(January 2011-January 2014).
--------------------------------------------------------------------------------------------------------------------
Joel H. Hefner Vice President Since 2007 Vice President of all the DFA Entities.
1967
--------------------------------------------------------------------------------------------------------------------
Kevin B. Hight Vice President Since 2005 Vice President of all the DFA Entities.
1967
--------------------------------------------------------------------------------------------------------------------
Gregory K. Hinkle Vice President, Chief Since 2016 Vice President, Chief Financial Officer, and
1958 Financial Officer, and Treasurer of all the DFA Entities. Interim Chief
Treasurer Financial Officer, interim Treasurer and Vice
President of Dimensional Advisors Ltd.,
Dimensional Hong Kong Limited, Dimensional
Cayman Commodity Fund I Ltd., Dimensional
Fund Advisors Canada ULC, Dimensional Fund
Advisors Pte. Ltd, DFA Australia Ltd. Formerly,
interim Chief Financial Officer and interim
Treasurer (April 2016-September 2016), and
Controller (August 2015-September 2016) of all
the DFA Entities); Vice President of T. Rowe Price
Group, Inc. and Director of Investment Treasury
and Treasurer of the T. Rowe Price Funds (March
2008-July 2015).
--------------------------------------------------------------------------------------------------------------------
352
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
--------------------------------------------------------------------------------------------------------------
Christine W. Ho Vice President Since 2004 Vice President of all the DFA Entities.
1967
--------------------------------------------------------------------------------------------------------------
Michael C. Horvath Vice President Since 2011 Vice President of all the DFA Entities. Formerly,
1960 Managing Director, Co-Head Global Consultant
Relations at BlackRock (2004-2011).
--------------------------------------------------------------------------------------------------------------
Mark A. Hunter Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1971 Senior Compliance Officer (November 2010-
January 2015) for Dimensional Fund Advisors LP.
--------------------------------------------------------------------------------------------------------------
Alan R. Hutchison Vice President Since 2016 Vice President of all the DFA Entities. Portfolio
1977 Manager for Dimensional Fund Advisors LP
(January 2013-Present). Formerly, Investment
Associate for Dimensional Fund Advisors LP
(January 2010-January 2013).
--------------------------------------------------------------------------------------------------------------
Shahryar S. Jaberzadeh Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1983 Regional Director for Dimensional Fund Advisors
LP (April 2006-January 2016).
--------------------------------------------------------------------------------------------------------------
Jeremy R. James Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1977 Manager, IT Service Management (October 2014-
January 2016); Manager, Managed DC Systems
(October 2005-October 2014) for Dimensional
Fund Advisors LP.
--------------------------------------------------------------------------------------------------------------
Jeff J. Jeon Vice President Since 2004 Vice President of all the DFA Entities and
1973 Dimensional Cayman Commodity Fund I Ltd.
--------------------------------------------------------------------------------------------------------------
Garret D. Jones Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1971 Manager of Sales and Marketing Systems
(January 2011-January 2014) for Dimensional
Fund Advisors LP.
--------------------------------------------------------------------------------------------------------------
Stephen W. Jones Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1968 Facilities Manager for Dimensional Fund Advisors
LP (October 2008-January 2012).
--------------------------------------------------------------------------------------------------------------
Scott P. Kaup Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1975 Senior Manager, Investment Operations (January
2014-January 2015) and Investment Operations
Manager (May 2008-January 2014) for
Dimensional Fund Advisors LP.
--------------------------------------------------------------------------------------------------------------
David M. Kavanaugh Vice President Since 2014 Vice President of all the DFA Entities. Head of
1978 Operations for Financial Advisor Services for
Dimensional Fund Advisors LP (since July 2014).
Formerly, Counsel of Dimensional Fund Advisors
LP (August 2011-January 2014); Associate at
Andrews Kurth LLP (2006-2011).
--------------------------------------------------------------------------------------------------------------
Patrick M. Keating Vice President Since 2003 Vice President of DFAIDG, DIG, DFAITC, DEM,
1954 Dimensional Holdings Inc., Dimensional Fund
Advisors LP and Dimensional Japan Ltd. Chief
Operating Officer and Director of Dimensional
Japan Ltd. Formerly, Vice President of DFA
Securities LLC, Dimensional Cayman Commodity
Fund I Ltd. and Dimensional Advisors Ltd (until
February 2015); Chief Operating Officer of
Dimensional Holdings Inc., DFA Securities LLC,
Dimensional Fund Advisors LP, Dimensional
Cayman Commodity Fund I Ltd., Dimensional
Advisors Ltd. and Dimensional Fund Advisors Pte.
Ltd. (until February 2015); Director, Vice
President, and Chief Privacy Officer of
Dimensional Fund Advisors Canada ULC (until
February 2015); Director of DFA Australia Limited,
Dimensional Fund Advisors Ltd. and Dimensional
Advisors Ltd. (until February 2015); and Director
and Vice President of Dimensional Hong Kong
Limited and Dimensional Fund Advisors Pte. Ltd.
(until February 2015).
--------------------------------------------------------------------------------------------------------------
353
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
-----------------------------------------------------------------------------------------------------------
Andrew K. Keiper Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1977 Regional Director for Dimensional Fund Advisors
LP (October 2004-January 2013).
-----------------------------------------------------------------------------------------------------------
David M. Kershner Vice President Since 2010 Vice President of all the DFA Entities. Portfolio
1971 Manager for Dimensional Fund Advisors LP
(since June 2004).
-----------------------------------------------------------------------------------------------------------
Arun C. Keswani Vice President Since 2016 Vice President of all the DFA Entities. Senior
1975 Portfolio Manager for Dimensional Fund Advisors
LP (January 2015-Present). Formerly, Portfolio
Manager (January 2013-January 2015) and
Investment Associate (October 2011-January
2013) for Dimensional Fund Advisors LP;
Investment Banking Associate at Morgan Stanley
(August 2010-September 2011).
-----------------------------------------------------------------------------------------------------------
Kimberly L. Kiser Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1972 Creative Director for Dimensional Fund Advisors
LP (September 2012-January 2014); Vice
President and Global Creative Director at Morgan
Stanley (2007-2012); Visiting Assistant Professor,
Graduate Communications Design at Pratt
Institute (2004-2012).
-----------------------------------------------------------------------------------------------------------
Natalia Y. Knych Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1971 Manager, RFP, Institutional (January 2015-
January 2016); Senior Associate, Institutional
(April 2007-January 2015) for Dimensional Fund
Advisors LP.
-----------------------------------------------------------------------------------------------------------
Timothy R. Kohn Vice President Since 2011 Vice President of all the DFA Entities. Head of
1971 Defined Contribution Sales for Dimensional Fund
Advisors LP (since August 2010).
-----------------------------------------------------------------------------------------------------------
Joseph F. Kolerich Vice President Since 2004 Vice President of all the DFA Entities. Senior
1971 Portfolio Manager of Dimensional Fund Advisors
LP (since January 2012). Formerly, Portfolio
Manager for Dimensional (April 2001-January
2012).
-----------------------------------------------------------------------------------------------------------
Mark D. Krasniewski Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1981 Senior Associate, Investment Analytics and Data
(January 2012-December 2012) and Systems
Developer (June 2007-December 2011) for
Dimensional Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------
Kahne L. Krause Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1966 Regional Director (May 2010-January 2014) for
Dimensional Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------
Stephen W. Kurad Vice President Since 2011 Vice President of all the DFA Entities.
1968
-----------------------------------------------------------------------------------------------------------
Michael F. Lane Vice President Since 2004 Vice President of all the DFA Entities. Formerly,
1967 Chief Executive Officer for Dimensional
SmartNest (US) LLC (July 2012-November 2014).
-----------------------------------------------------------------------------------------------------------
Francis R. Lao Vice President Since 2011 Vice President of all the DFA Entities. Formerly,
1969 Vice President-Global Operations at Janus
Capital Group (2005-2011).
-----------------------------------------------------------------------------------------------------------
David F. LaRusso Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1978 Senior Trader (January 2010-December 2012) for
Dimensional Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------
Juliet H. Lee Vice President Since 2005 Vice President of all the DFA Entities.
1971
-----------------------------------------------------------------------------------------------------------
Marlena I. Lee Vice President Since 2011 Vice President of all the DFA Entities.
1980
-----------------------------------------------------------------------------------------------------------
Paul A. Lehman Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1971 Regional Director (July 2013-January 2015) for
Dimensional Fund Advisors LP; Chief Investment
Officer (April 2005-April 2013) for First Citizens
Bancorporation.
-----------------------------------------------------------------------------------------------------------
354
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
----------------------------------------------------------------------------------------------------------
John B. Lessley Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1960 Regional Director for Dimensional Fund Advisors
LP (January 2008-January 2013).
----------------------------------------------------------------------------------------------------------
Joy L. Lopez Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1971 Senior Tax Manager (February 2013-January
2015) for Dimensional Fund Advisors LP; Vice
President and Tax Manager, North America
(August 2006-April 2012) for Pacific Investment
Management Company.
----------------------------------------------------------------------------------------------------------
Apollo D. Lupescu Vice President Since 2009 Vice President of all the DFA Entities.
1969
----------------------------------------------------------------------------------------------------------
Timothy P. Luyet Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1972 Senior Manager, Marketing Operations (January
2014-January 2015), Manager, Client Systems
(October 2011-January 2014) and RFP Manager
(April 2010-October 2011) for Dimensional Fund
Advisors LP.
----------------------------------------------------------------------------------------------------------
Peter Magnusson Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1969 Regional Director for Dimensional Fund Advisors
LP (January 2011-January 2014).
----------------------------------------------------------------------------------------------------------
Kenneth M. Manell Vice President Since 2010 Vice President of all the DFA Entities and
1972 Dimensional Cayman Commodity Fund I Ltd.
----------------------------------------------------------------------------------------------------------
Aaron M. Marcus Vice President Since 2008 Vice President of all DFA Entities and Head of
1970 Global Human Resources for Dimensional Fund
Advisors LP.
----------------------------------------------------------------------------------------------------------
Duane R. Mattson Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1965 Senior Compliance Officer (May 2012-January
2015) for Dimensional Fund Advisors LP; Chief
Compliance Officer (April 2010-April 2012) for Al
Frank Asset Management.
----------------------------------------------------------------------------------------------------------
Bryan R. McClune Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1975 Regional Director of Dimensional Fund Advisors
LP (January 2009-January 2014).
----------------------------------------------------------------------------------------------------------
Philip P. McInnis Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1984 Regional Director (January 2009-January 2014)
and Senior Associate (2011) for Dimensional
Fund Advisors LP.
----------------------------------------------------------------------------------------------------------
Francis L. McNamara Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1959 Manager, Project Management Office for
Dimensional Fund Advisors LP (October 2006-
January 2016).
----------------------------------------------------------------------------------------------------------
Travis A. Meldau Vice President Since 2015 Vice President of all the DFA Entities. Portfolio
1981 Manager (since September 2011) for Dimensional
Fund Advisors LP. Formerly, Portfolio Manager
for Wells Capital Management (October 2004-
September 2011).
----------------------------------------------------------------------------------------------------------
Tracy R. Mitchell Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1974 Regional Director for Dimensional Fund Advisors
LP (September 2013-January 2016); Managing
Director, Client Services, Charles Schwab
(December 2009-August 2013).
----------------------------------------------------------------------------------------------------------
Jonathan G. Nelson Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1971 Manager, Investment Systems (2011-January
2013) for Dimensional Fund Advisors LP.
----------------------------------------------------------------------------------------------------------
355
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
--------------------------------------------------------------------------------------------------------------------
Catherine L. Newell Vice President and Vice President since Vice President and Secretary of all the DFA
1964 Secretary 1997 and Secretary Entities. Director, Vice President and Secretary of
since 2000 DFA Australia Limited and Dimensional Fund
Advisors Ltd. (since February 2002, April 1997,
and May 2002, respectively). Vice President and
Secretary of Dimensional Fund Advisors Canada
ULC (since June 2003), Dimensional Cayman
Commodity Fund I Ltd., Dimensional Japan Ltd
(since February 2012), Dimensional Advisors Ltd
(since March 2012), Dimensional Fund Advisors
Pte. Ltd. (since June 2012). Director of
Dimensional Funds plc and Dimensional Funds II
plc (since 2002 and 2006, respectively). Director
of Dimensional Japan Ltd., Dimensional Advisors
Ltd., Dimensional Fund Advisors Pte. Ltd. and
Dimensional Hong Kong Limited (since August
2012 and July 2012). Formerly, Vice President
and Secretary of Dimensional SmartNest (US)
LLC (October 2010-November 2014).
--------------------------------------------------------------------------------------------------------------------
John R. Nicholson Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1977 Regional Director (June 2011-January 2015) for
Dimensional Fund Advisors LP; Sales Executive
for Vanguard (July 2008-May 2011).
--------------------------------------------------------------------------------------------------------------------
Pamela B. Noble Vice President Since 2011 Vice President of all the DFA Entities. Formerly,
1964 Portfolio Manager for Dimensional Fund Advisors
LP (2008-2010).
--------------------------------------------------------------------------------------------------------------------
Selwyn Notelovitz Vice President and Since 2013 Vice President and Deputy Chief Compliance
1961 Deputy Chief Officer of all the DFA Entities. Deputy Chief
Compliance Officer Compliance Officer of Dimensional Fund Advisors
LP (since December 2012). Formerly, Chief
Compliance Officer of Wellington Management
Company, LLP (2004-2011).
--------------------------------------------------------------------------------------------------------------------
Carolyn L. O Vice President Since 2010 Vice President of all the DFA Entities,
1974 Dimensional Cayman Commodity Fund I Ltd., and
Dimensional Fund Advisors Canada ULC (since
April 2016). Deputy General Counsel, Funds
(since 2011).
--------------------------------------------------------------------------------------------------------------------
Gerard K. O'Reilly Vice President and Vice President since Vice President and Co-Chief Investment Officer of
1976 Co-Chief Investment 2007 and Co-Chief all the DFA Entities, Dimensional Fund Advisors
Officer Investment Officer Canada ULC, and Dimensional Japan Ltd.
since 2014 Director of Dimensional Funds plc and
Dimensional Fund II plc.
--------------------------------------------------------------------------------------------------------------------
Randy C. Olson Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1980 Senior Compliance Officer for Dimensional Fund
Advisors LP (July 2014-January 2016); Vice
President Regional Head of Investment
Compliance, Asia, PIMCO Asia Private Limited
(July 2012-July 2014); Country Compliance
Officer, Janus Capital, Singapore Private Limited
(May 2011-June 2012).
--------------------------------------------------------------------------------------------------------------------
Daniel C. Ong Vice President Since 2009 Vice President of all the DFA Entities. Portfolio
1973 Manager for Dimensional Fund Advisors LP
(since July 2005).
--------------------------------------------------------------------------------------------------------------------
Kyle K. Ozaki Vice President Since 2010 Vice President of all the DFA Entities.
1978
--------------------------------------------------------------------------------------------------------------------
Matthew A. Pawlak Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1977 Regional Director for Dimensional Fund Advisors
LP (2012-January 2013); Senior Consultant (June
2011-December 2011) and Senior Investment
Analyst and Consultant (July 2008-June 2011) at
Hewitt EnnisKnupp.
--------------------------------------------------------------------------------------------------------------------
356
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
------------------------------------------------------------------------------------------------------------
Mary T. Phillips Vice President Since 2016 Vice President of all the DFA Entities. Senior
1981 Portfolio Manager (January 2015-present).
Formerly, Portfolio Manager (April 2014-January
2015) and Investment Associate for Dimensional
Fund Advisors LP (July 2012-March 2014).
------------------------------------------------------------------------------------------------------------
Jeffrey L. Pierce Vice President Since 2015 Vice President of all the DFA Entities. Senior
1984 Manager, Advisor Benchmarking (since January
2015) for Dimensional Fund Advisors LP.
Formerly, Manager, Advisor Benchmarking (April
2012-December 2014) for Dimensional Fund
Advisors LP; Senior Manager, Research and
Consulting (October 2010-April 2012) for Crain
Communications Inc.
------------------------------------------------------------------------------------------------------------
Olivian T. Pitis Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1974 Regional Director (May 2011-January 2015) for
Dimensional Fund Advisors LP.
------------------------------------------------------------------------------------------------------------
Brian P. Pitre Vice President Since 2015 Vice President of all the DFA Entities. Counsel for
1976 Dimensional Fund Advisors LP (since February
2015). Formerly, Chief Financial Officer and
General Counsel for Relentless (March 2014-
January 2015); Vice President of all the DFA
Entities (January 2013-March 2014); Counsel for
Dimensional Fund Advisors LP (January 2009-
March 2014).
------------------------------------------------------------------------------------------------------------
David A. Plecha Vice President Since 1993 Vice President of all the DFA Entities, DFA
1961 Australia Limited, Dimensional Fund Advisors Ltd.
and Dimensional Fund Advisors Canada ULC.
------------------------------------------------------------------------------------------------------------
Allen Pu Vice President Since 2011 Vice President of all the DFA Entities. Senior
1970 Portfolio Manager for Dimensional Fund Advisors
LP (since January 2015). Formerly, Portfolio
Manager for Dimensional Fund Advisors LP
(2006-January 2015).
------------------------------------------------------------------------------------------------------------
David J. Rapozo Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1967 Regional Director for Dimensional Fund Advisors
LP (January 2011-January 2014).
------------------------------------------------------------------------------------------------------------
Mark A. Regier Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1969 Planning and Analysis Manager for Dimensional
Fund Advisors LP (July 2007-January 2014).
------------------------------------------------------------------------------------------------------------
Cory T. Riedberger Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1979 Regional Director (March 2011-January 2015) for
Dimensional Fund Advisors LP.
------------------------------------------------------------------------------------------------------------
Savina B. Rizova Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1981 Research Associate (June 2011-January 2012)
for Dimensional Fund Advisors LP.
------------------------------------------------------------------------------------------------------------
Michael F. Rocque Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1968 Senior Fund Accounting Manager (July 2013-
January 2015) for Dimensional Fund Advisors LP;
Senior Financial Consultant and Chief Accounting
Officer (July 2002-July 2013) for MFS Investment
Management.
------------------------------------------------------------------------------------------------------------
L. Jacobo Rodriguez Vice President Since 2005 Vice President of all the DFA Entities.
1971
------------------------------------------------------------------------------------------------------------
Austin S. Rosenthal Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1978 Vice President for Dimensional SmartNest (US)
LLC (September 2010-November 2014).
------------------------------------------------------------------------------------------------------------
Oliver J. Rowe Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1960 Senior Manager, Human Resources for
Dimensional Fund Advisors LP (January 2012-
January 2014); Director of Human Resources at
Spansion, Inc. (March 2009-December 2011).
------------------------------------------------------------------------------------------------------------
357
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
-----------------------------------------------------------------------------------------------------------
Joseph S. Ruzicka Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1987 Manager Investment Analytics and Data (January
2014-January 2015), Senior Associate,
Investment Analytics and Data (January 2013-
January 2014), Associate, Investment Analytics
and Data (January 2012-January 2013), and
Investment Data Analyst (April 2010-January
2012) for Dimensional Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------
Julie A. Saft Vice President Since 2010 Vice President of all the DFA Entities.
1959
-----------------------------------------------------------------------------------------------------------
Joel P. Schneider Vice President Since 2015 Vice President of all the DFA Entities. Portfolio
1980 Manager (since 2013) for Dimensional Fund
Advisors LP. Formerly, Investment Associate
(April 2011-January 2013) for Dimensional Fund
Advisors LP.
-----------------------------------------------------------------------------------------------------------
Ashish Shrestha Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1978 Regional Director (September 2009-January
2015) for Dimensional Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------
Bruce A. Simmons Vice President Since 2009 Vice President of all the DFA Entities.
1965
-----------------------------------------------------------------------------------------------------------
Ted R. Simpson Vice President Since 2007 Vice President of all the DFA Entities.
1968
-----------------------------------------------------------------------------------------------------------
Bhanu P. Singh Vice President Since 2014 Vice President of all the DFA Entities. Senior
1981 Portfolio Manager for Dimensional Fund Advisors
LP (since January 2015). Formerly, Portfolio
Manager (January 2012-January 2015) and
Investment Associate for Dimensional Fund
Advisors LP (August 2010-December 2011).
-----------------------------------------------------------------------------------------------------------
Bryce D. Skaff Vice President Since 2007 Vice President of all the DFA Entities.
1975
-----------------------------------------------------------------------------------------------------------
Lukas J. Smart Vice President Since 2014 Vice President of all the DFA Entities. Portfolio
1977 Manager of Dimensional Fund Advisors LP (since
January 2010).
-----------------------------------------------------------------------------------------------------------
Andrew D. Smith Vice President Since 2011 Vice President of all the DFA Entities.
1968
-----------------------------------------------------------------------------------------------------------
Grady M. Smith Vice President Since 2004 Vice President of all the DFA Entities and
1956 Dimensional Fund Advisors Canada ULC.
-----------------------------------------------------------------------------------------------------------
Matthew Snider Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1976 Regional Director for Dimensional Fund Advisors
LP (September 2011-January 2016); Sales
Executive, Vanguard (May 2008-August 2011).
-----------------------------------------------------------------------------------------------------------
Lawrence R. Spieth Vice President Since 2004 Vice President of all the DFA Entities.
1947
-----------------------------------------------------------------------------------------------------------
Charlene L. St. John Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1965 Senior Manager for Dimensional Fund Advisors
LP (September 2014-January 2016); Vice
President of Marketing, Forward Management/
Salient (January 2008-February 2014).
-----------------------------------------------------------------------------------------------------------
Brent M. Stone Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1971 Project Manager (September 2012-December
2015) and Manager, Corporate Systems for
Dimensional Fund Advisors LP (January 2011-
September 2012).
-----------------------------------------------------------------------------------------------------------
Richard H. Tatlow V Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1971 Regional Director for Dimensional Fund Advisors
LP (April 2010-January 2013).
-----------------------------------------------------------------------------------------------------------
Blake T. Tatsuta Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1973 Manager, Investment Analytics and Data (2012-
January 2013) and Research Assistant (2002-
2011) for Dimensional Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------
358
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
-----------------------------------------------------------------------------------------------------------
James J. Taylor Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1983 Accounting Manager for Dimensional Fund
Advisors LP (November 2009-January 2016).
-----------------------------------------------------------------------------------------------------------
Erik T. Totten Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1980 Regional Director (2010-January 2013) for
Dimensional Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------
John H. Totten Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1978 Regional Director for Dimensional Fund Advisors
LP (January 2008-January 2012).
-----------------------------------------------------------------------------------------------------------
Robert C. Trotter Vice President Since 2009 Vice President of all the DFA Entities.
1958
-----------------------------------------------------------------------------------------------------------
Dave C. Twardowski Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1982 Research Associate (June 2011-January 2015)
for Dimensional Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------
Karen E. Umland Vice President Since 1997 Vice President of all the DFA Entities, DFA
1966 Australia Limited, Dimensional Fund Advisors
Ltd., and Dimensional Fund Advisors Canada
ULC.
-----------------------------------------------------------------------------------------------------------
Benjamin C. Walker Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1979 Regional Director for Dimensional Fund Advisors
LP (September 2008-January 2014).
-----------------------------------------------------------------------------------------------------------
Brian J. Walsh Vice President Since 2009 Vice President of all the DFA Entities. Portfolio
1970 Manager for Dimensional Fund Advisors LP
(since 2004).
-----------------------------------------------------------------------------------------------------------
Jessica Walton Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1974 Regional Director (January 2012-January 2015)
for Dimensional Fund Advisors LP; Director of
Marketing and Investor Relations for Treaty Oak
Capital Management (July 2011-October 2011);
Vice President for Rockspring Capital (October
2010-July 2011).
-----------------------------------------------------------------------------------------------------------
Griffin S. Watkins Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1985 Regional Director (January 2014-January 2016)
and Senior Associate (January 2011-December
2013).for Dimensional Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------
Timothy P. Wei Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1968 Counsel for Dimensional Fund Advisors LP (July
2014-January 2016); Assistant General Counsel,
Teacher Retirement System of Texas (October
2008-June 2014).
-----------------------------------------------------------------------------------------------------------
Weston J. Wellington Vice President Since 1997 Vice President of all the DFA Entities.
1951
-----------------------------------------------------------------------------------------------------------
Ryan J. Wiley Vice President Since 2007 Vice President of all the DFA Entities.
1976
-----------------------------------------------------------------------------------------------------------
Kristina M. Williams Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1975 Client Service Supervisor for Dowling & Yahnke
(July 2014-January 2016); Head of Operations for
The Elements Financial Group (January
2013-June 2014); Head of Operations for
Vericimetry Advisors LLC (July 2011-December
2012).
-----------------------------------------------------------------------------------------------------------
Jeremy J. Willis Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1976 Manager, Client Systems for Dimensional Fund
Advisors LP (May 2012-January 2016); Vice
President, Implementations, Citigroup (August
2006-October 2011).
-----------------------------------------------------------------------------------------------------------
359
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
--------------------------------------------------------------------------------------------------------
Stacey E. Winning Vice President Since 2015 Vice President of all the DFA Entities. Head of
1981 Global Recruiting and Development (since June
2014) for Dimensional Fund Advisors LP.
Formerly, Senior Manager, Recruiting (December
2012-June 2014) for Dimensional Fund Advisors
LP; Co-Head of Global Recruiting (May 2009-
November 2012) for Two Sigma Investments.
--------------------------------------------------------------------------------------------------------
Cecelia K. Wong Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1981 Client Service Manager for Dimensional Fund
Advisors LP (June 2005-January 2016).
--------------------------------------------------------------------------------------------------------
Craig A. Wright Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1982 Accounting Manager for Dimensional Fund
Advisors LP (November 2011-January 2016);
Senior Associate, PricewaterhouseCoopers LP
(July 2009-November 2011).
--------------------------------------------------------------------------------------------------------
Joseph L. Young Vice President Since 2011 Vice President of all the DFA Entities.
1978
--------------------------------------------------------------------------------------------------------
/1/ Each officer holds office for an indefinite term at the pleasure of the
Board of Directors and until his or her successor is elected and qualified.
360
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.
361
NOTICE TO SHAREHOLDERS
(UNAUDITED)
For shareholders that do not have an October 31, 2016 tax year end, this notice
is for informational purposes only. For shareholders with and October 31, 2016
tax year end, please consult your tax advisor as to the pertinence of this
notice. For the fiscal year November 1, 2015 to October 31, 2016, each
Portfolio is designating the following items with regard to distributions paid
during the fiscal year. All designations are based on financial information
available as of the date of this annual report and, accordingly are subject to
change. For each item, it is the intention of the Portfolio to designate the
maximum amount permitted under the Internal Revenue Code and the regulations
thereunder.
QUALIFYING
FOR
NET CORPORATE
INVESTMENT SHORT-TERM LONG-TERM RETURN DIVIDENDS
INCOME CAPITAL GAIN CAPITAL GAIN OF TAX-EXEMPT TOTAL RECEIVED
DFA INVESTMENT DIMENSIONS GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS CAPITAL INTEREST DISTRIBUTIONS DEDUCTION(1)
------------------------------------ ------------- ------------- ------------- ------- ---------- ------------- ------------
Enhanced U.S. Large Company
Portfolio........................... 10% 24% 66% -- -- 100% --
US Large Cap Equity Portfolio........ 100% -- -- -- -- 100% 100%
U.S. Large Cap Value Portfolio....... 36% -- 64% -- -- 100% 100%
U.S. Targeted Value Portfolio........ 24% 3% 73% -- -- 100% 100%
U.S. Small Cap Value Portfolio....... 20% -- 80% -- -- 100% 100%
U.S. Core Equity 1 Portfolio......... 62% -- 38% -- -- 100% 100%
U.S. Core Equity 2 Portfolio......... 49% -- 51% -- -- 100% 100%
U.S. Vector Equity Portfolio......... 33% -- 67% -- -- 100% 100%
U.S. Small Cap Portfolio............. 21% -- 79% -- -- 100% 100%
U.S. Micro Cap Portfolio............. 14% -- 86% -- -- 100% 100%
DFA Real Estate Securities
Portfolio........................... 100% -- -- -- -- 100% 100%
Large Cap International Portfolio.... 100% -- -- -- -- 100% 100%
International Core Equity Portfolio.. 100% -- -- -- -- 100% 100%
International Small Company
Portfolio........................... 57% -- 43% -- -- 100% 100%
Japanese Small Company
Portfolio........................... 100% -- -- -- -- 100% 100%
Asia Pacific Small Company
Portfolio........................... 100% -- -- -- -- 100% 100%
United Kingdom Small Company
Portfolio........................... 46% -- 54% -- -- 100% 100%
Continental Small Company
Portfolio........................... 100% -- -- -- -- 100% 100%
DFA International Real Estate
Securities Portfolio................ 100% -- -- -- -- 100% 100%
DFA Global Real Estate Securities
Portfolio........................... 100% -- -- -- -- 100% 100%
DFA International Small Cap Value
Portfolio........................... 66% -- 34% -- -- 100% 100%
International Vector Equity
Portfolio........................... 89% -- 11% -- -- 100% 100%
World ex U.S. Value Portfolio........ 100% -- -- -- -- 100% 100%
World ex U.S. Targeted Value
Portfolio**......................... 100% -- -- -- -- 100% 100%
QUALIFYING
SHORT-
QUALIFYING U.S. FOREIGN FOREIGN QUALIFYING TERM
DIVIDEND GOVERNMENT TAX SOURCE INTEREST CAPITAL
DFA INVESTMENT DIMENSIONS GROUP INC. INCOME(2) INTEREST(3) CREDIT(4) INCOME(5) INCOME(6) GAIN(7)
------------------------------------ ---------- ----------- --------- --------- ---------- ----------
Enhanced U.S. Large Company
Portfolio........................... -- 12% -- -- 100% 100%
US Large Cap Equity Portfolio........ 100% -- -- -- 100% 100%
U.S. Large Cap Value Portfolio....... 100% -- -- -- 100% 100%
U.S. Targeted Value Portfolio........ 100% -- -- -- 100% 100%
U.S. Small Cap Value Portfolio....... 100% -- -- -- 100% 100%
U.S. Core Equity 1 Portfolio......... 100% -- -- -- 100% 100%
U.S. Core Equity 2 Portfolio......... 100% -- -- -- 100% 100%
U.S. Vector Equity Portfolio......... 100% -- -- -- 100% 100%
U.S. Small Cap Portfolio............. 100% -- -- -- 100% 100%
U.S. Micro Cap Portfolio............. 100% -- -- -- 100% 100%
DFA Real Estate Securities
Portfolio........................... 100% -- -- -- 100% 100%
Large Cap International Portfolio.... 100% -- 6% 100% 100% 100%
International Core Equity Portfolio.. 100% -- 6% 100% 100% 100%
International Small Company
Portfolio........................... 100% -- 6% 100% 100% 100%
Japanese Small Company
Portfolio........................... 100% -- 9% 100% 100% 100%
Asia Pacific Small Company
Portfolio........................... 100% -- 2% 100% 100% 100%
United Kingdom Small Company
Portfolio........................... 100% -- -- 100% 100% 100%
Continental Small Company
Portfolio........................... 100% -- 10% 100% 100% 100%
DFA International Real Estate
Securities Portfolio................ 100% -- 2% 100% 100% 100%
DFA Global Real Estate Securities
Portfolio........................... 100% -- -- -- 100% 100%
DFA International Small Cap Value
Portfolio........................... 100% -- 6% 100% 100% 100%
International Vector Equity
Portfolio........................... 100% -- 5% 100% 100% 100%
World ex U.S. Value Portfolio........ 100% -- 5% 100% 100% 100%
World ex U.S. Targeted Value
Portfolio**......................... 100% -- 9% 100% 100% 100%
362
QUALIFYING
FOR
NET CORPORATE
INVESTMENT SHORT-TERM LONG-TERM RETURN DIVIDENDS
INCOME CAPITAL GAIN CAPITAL GAIN OF TAX-EXEMPT TOTAL RECEIVED
DFA INVESTMENT DIMENSIONS GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS CAPITAL INTEREST DISTRIBUTIONS DEDUCTION(1)
------------------------------------ ------------- ------------- ------------- ------- ---------- ------------- ------------
World ex U.S. Core Equity
Portfolio**.......................... 100% -- -- -- -- 100% 100%
World Core Equity Portfolio (formerly
Dimensional Retirement Equity
Fund II)............................. 98% -- 2% -- -- 100% 100%
Selectively Hedged Global Equity
Portfolio............................ 88% 2% 10% -- -- 100% 100%
Emerging Markets Portfolio............ 100% -- -- -- -- 100% 100%
Emerging Markets Small Cap
Portfolio............................ 75% -- 25% -- -- 100% 100%
Emerging Markets Value Portfolio...... 100% -- -- -- -- 100% 100%
Emerging Markets Core Equity
Portfolio............................ 100% -- -- -- -- 100% 100%
DFA Commodity Strategy
Portfolio............................ 97% 1% 2% -- -- 100% 100%
Dimensional Investment Group
Inc.................................. 100% -- -- -- -- 100% 100%
DFA International Value Portfolio..... 72% -- 28% -- -- 100% 100%
U.S. Large Company Portfolio.......... 10% 24% 66% -- -- 100% 0%
QUALIFYING
SHORT-
QUALIFYING U.S. FOREIGN FOREIGN QUALIFYING TERM
DIVIDEND GOVERNMENT TAX SOURCE INTEREST CAPITAL
DFA INVESTMENT DIMENSIONS GROUP INC. INCOME(2) INTEREST(3) CREDIT(4) INCOME(5) INCOME(6) GAIN(7)
------------------------------------ ---------- ----------- --------- --------- ---------- ----------
World ex U.S. Core Equity
Portfolio**.......................... 100% -- 6% 100% 100% 100%
World Core Equity Portfolio (formerly
Dimensional Retirement Equity
Fund II)............................. 100% -- 4% 54% 100% 100%
Selectively Hedged Global Equity
Portfolio............................ 100% -- 3% 53% 100% 100%
Emerging Markets Portfolio............ 100% -- 7% 100% 100% 100%
Emerging Markets Small Cap
Portfolio............................ 100% -- 3% 100% 100% 100%
Emerging Markets Value Portfolio...... 100% -- 7% 100% 100% 100%
Emerging Markets Core Equity
Portfolio............................ 100% -- 6% 100% 100% 100%
DFA Commodity Strategy
Portfolio............................ 100% 24% -- -- 100% 100%
Dimensional Investment Group
Inc.................................. 100% -- 5% 100% 100% 100%
DFA International Value Portfolio..... 100% -- -- -- 100% 100%
U.S. Large Company Portfolio.......... 0% 12% -- -- 100% 100%
----------
(1)Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
income distributions (the total of short-term capital gain and net
investment income distributions).
(2)The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
Please note that these percentages are designated only, refer to your 1099
for actual qualified dividend income.
(3)"U.S. Government Interest" represents the amount of interest that was
derived from direct U.S. Government obligations and distributed during the
fiscal year. This amount is reflected as a percentage of total ordinary
income distributions (the total of short-term capital gain and net
investment income distributions). Generally, interest from direct U.S.
Government obligations is exempt from state income tax.
(4)"Foreign Tax Credit" represents dividends which qualify for the foreign tax
credit pass through and is reflected as a percentage of investment company
taxable income.
(5)"Foreign Source Income" represents the portion of dividends derived from
foreign sources, and is reflected as a percentage of investment company
taxable income.
(6)The percentage in this column represents the amount of "Qualifying Interest
Income" as created by The American Jobs Creation Act of 2004. The
information is reflected as a percentage ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
(7)The percentage in this column represents the amount of "Qualifying
Short-Term Capital Gain" as created by The American Jobs Creation Act of
2004. The information is reflected as a percentage of ordinary income
distributions (the total of short-term capital gain and net investment
income distributions).
363
DFA103116-001A
00185755
[LOGO]
ANNUAL REPORT
year ended: October 31, 2016
DFA Investment Dimensions Group Inc.
DFA One-Year Fixed Income Portfolio
DFA Two-Year Global Fixed Income Portfolio
DFA Selectively Hedged Global Fixed Income Portfolio
DFA Five-Year Global Fixed Income Portfolio
DFA World ex U.S. Government Fixed Income Portfolio
DFA Short-Term Government Portfolio
DFA Intermediate Government Fixed Income Portfolio
DFA Short-Term Extended Quality Portfolio
DFA Intermediate-Term Extended Quality Portfolio
DFA Targeted Credit Portfolio
DFA Investment Grade Portfolio
DFA Diversified Fixed Income Portfolio
DFA LTIP Portfolio
DFA Inflation-Protected Securities Portfolio
DFA Short-Duration Real Return Portfolio
DFA Municipal Real Return Portfolio
DFA Municipal Bond Portfolio
DFA Short-Term Municipal Bond Portfolio
DFA Intermediate-Term Municipal Bond Portfolio
DFA California Short-Term Municipal Bond Portfolio
DFA California Intermediate-Term Municipal Bond Portfolio
DFA NY Municipal Bond Portfolio
[LOGO]
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
December 2016
Dear Fellow Shareholder,
On behalf of our team at Dimensional, I want to thank you for trusting us with
your investments. We recognize the important role those investments play in
your future plans, and we take the responsibility implied by this trust with
the utmost dedication and seriousness that it deserves.
Dimensional is focused on offering consistent ways to access the performance
delivered by securities in different markets and asset classes through
well-diversified, efficiently managed portfolios. The importance of the word
CONSISTENCY cannot be overemphasized. By being consistent in our investment
approach and the quality of our implementation, we create opportunities for you
to combine funds into an asset allocation that fits your goals and preferences
-- enabling you to be a long-term investor in control of your investments.
We recognize markets are full of uncertainties, which highlights the importance
of having efficiently managed funds focused on delivering value to investors as
part of an overall asset allocation that can help overcome those uncertainties.
We are fortunate to work with clients who are committed to a long-term
investment philosophy. We remain committed to managing investments for our
clients with the same dedication, transparency, efficiency, and consistency we
have for more than 35 years.
Sincerely,
/s/ Eduardo A. Repetto
Eduardo A. Repetto
CO-CHIEF EXECUTIVE OFFICER AND CO-CHIEF INVESTMENT OFFICER
DFA INVESTMENT DIMENSIONS GROUP INC.
ANNUAL REPORT
TABLE OF CONTENTS
PAGE
----
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES............................ 1
Performance Charts................................................. 3
Management's Discussion and Analysis............................... 14
Disclosure of Fund Expenses........................................ 21
Disclosure of Portfolio Holdings................................... 25
Schedules of Investments........................................... 27
DFA One-Year Fixed Income Portfolio............................ 27
DFA Two-Year Global Fixed Income Portfolio..................... 31
DFA Selectively Hedged Global Fixed Income Portfolio........... 35
DFA Five-Year Global Fixed Income Portfolio.................... 40
DFA World ex U.S. Government Fixed Income Portfolio............ 44
DFA Short-Term Government Portfolio............................ 47
DFA Intermediate Government Fixed Income Portfolio............. 48
DFA Short-Term Extended Quality Portfolio...................... 50
DFA Intermediate-Term Extended Quality Portfolio............... 59
DFA Targeted Credit Portfolio.................................. 66
DFA Investment Grade Portfolio................................. 74
DFA Diversified Fixed Income Portfolio......................... 90
DFA LTIP Portfolio............................................. 91
DFA Inflation-Protected Securities Portfolio................... 92
DFA Short-Duration Real Return Portfolio....................... 93
DFA Municipal Real Return Portfolio............................ 101
DFA Municipal Bond Portfolio................................... 108
DFA Short-Term Municipal Bond Portfolio........................ 115
DFA Intermediate-Term Municipal Bond Portfolio................. 124
DFA California Short-Term Municipal Bond Portfolio............. 136
DFA California Intermediate-Term Municipal Bond Portfolio...... 142
DFA NY Municipal Bond Portfolio................................ 149
Statements of Assets and Liabilities............................... 153
Statements of Operations........................................... 159
Statements of Changes in Net Assets................................ 165
Financial Highlights............................................... 171
Notes to Financial Statements...................................... 182
Report of Independent Registered Public Accounting Firm............ 206
Section 19(a) Notice............................................... 207
FUND MANAGEMENT....................................................... 208
VOTING PROXIES ON FUND PORTFOLIO SECURITIES........................... 222
NOTICE TO SHAREHOLDERS................................................ 223
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.
i
DFA INVESTMENT DIMENSIONS GROUP INC.
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULES OF INVESTMENTS
------------------------
Investment Abbreviations
AGM Assured Guaranty Municipal Corporation
AMBAC American Municipal Bond Assurance Corporation
ASSURED GTY Assured Guaranty
BAN Bond Anticipation Notes
BAM Build America Mutual Obligor
BHAC-CR Berkshire Hathaway Assurance Corporation Custodial Receipts
CP Certificate Participation
ETM Escrowed to Maturity
FGIC Federal Guaranty Insurance Corporation
GO General Obligation
GO OF AUTH General Obligation of Authority
GO OF DIST General Obligation of District
GO OF UNIV General Obligation of University
NATL-RE Credit rating enhanced by guaranty or insurance from National Public Finance
Guarantee Corp.
NATL-RE FGIC National Public Finance Guarantee Corp. Re-insures Financial Guaranty Insurance Co.
P.L.C. Public Limited Company
PSF-GTD Public School Fund Guarantee
Q-SBLF Qualified School Bond Loan Fund
RAN Revenue Anticipation Notes
RB Revenue Bond
RN Revenue Note
SCH BD RES FD School Board Resolution Fund
SCH BD GTY School Bond Guaranty
SCSDE South Carolina State Department of Education
SD CRED PROG School District Credit Program
ST Special Tax
ST AID WITHHLDG State Aid Withholding
ST GTD State Guaranteed
TRANS Tax and Revenue Anticipation Notes
CAD Canadian Dollars
DKK Danish Krone
EUR Euro
GBP British Pounds
JPY Japanese Yen
NOK Norwegian Krone
SEK Swedish Krona
SGD Singapore Dollars
USD United States Dollars
Investment Footnotes
+ See Note B to Financial Statements.
# Total or Partial Securities on Loan.
1
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
CONTINUED
^ Denominated in USD, unless otherwise noted.
@ Security purchased with cash proceeds from Securities on Loan.
(r) The adjustable rate shown is effective as of October 31, 2016.
(currency) Pre-refunded bonds are collateralized by U.S. Government or other eligible securities which are held in
escrow and used to pay principal and interest and retire the bonds at the earliest refunding date
(payment date) and/or whose interest rates vary with changes in a designated base rate (such as the
prime interest rate).
## 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.
^^^ Face Amount of security is not adjusted for inflation.
++ 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/Underlying 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
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.
RIC Registered Investment Company
SEC Securities and Exchange Commission
(a) Commencement of Operations.
2
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA ONE-YEAR FIXED INCOME PORTFOLIO VS.
THE BOFA MERRILL LYNCH US 6-MONTH TREASURY BILL INDEX,
THE BOFA MERRILL LYNCH 1-YEAR US TREASURY NOTE INDEX
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
DFA One-Year Fixed The BofA Merrill Lynch The BofA Merrill Lynch
Income Portfolio US 6-Month Treasury 1-Year US Treasury
Bill Index Note Index
--------------------- ----------------------- ----------------------
10/31/2006 $10,000 $10,000 $10,000
11/30/2006 10,036 10,042 10,041
12/31/2006 10,082 10,087 10,069
1/31/2007 10,132 10,128 10,108
2/28/2007 10,167 10,170 10,159
3/31/2007 10,217 10,215 10,199
4/30/2007 10,259 10,259 10,233
5/31/2007 10,305 10,308 10,266
6/30/2007 10,348 10,349 10,316
7/31/2007 10,391 10,391 10,375
8/31/2007 10,438 10,466 10,452
9/30/2007 10,473 10,509 10,507
10/31/2007 10,524 10,551 10,540
11/30/2007 10,558 10,623 10,645
12/31/2007 10,605 10,653 10,668
1/31/2008 10,647 10,742 10,805
2/29/2008 10,675 10,771 10,861
3/31/2008 10,695 10,799 10,895
4/30/2008 10,711 10,812 10,874
5/31/2008 10,733 10,812 10,869
6/30/2008 10,765 10,826 10,875
7/31/2008 10,790 10,860 10,910
8/31/2008 10,814 10,883 10,941
9/30/2008 10,766 10,933 10,990
10/31/2008 10,841 10,978 11,053
11/30/2008 10,918 11,015 11,123
12/31/2008 11,031 11,035 11,175
1/31/2009 11,042 11,034 11,163
2/28/2009 11,031 11,035 11,146
3/31/2009 11,072 11,046 11,173
4/30/2009 11,106 11,061 11,195
5/31/2009 11,148 11,066 11,205
6/30/2009 11,178 11,068 11,210
7/31/2009 11,186 11,077 11,224
8/31/2009 11,222 11,083 11,238
9/30/2009 11,245 11,090 11,247
10/31/2009 11,252 11,093 11,259
11/30/2009 11,283 11,097 11,279
12/31/2009 11,243 11,098 11,264
1/31/2010 11,276 11,104 11,290
2/28/2010 11,292 11,105 11,294
3/31/2010 11,287 11,106 11,291
4/30/2010 11,294 11,109 11,298
5/31/2010 11,299 11,114 11,304
6/30/2010 11,327 11,118 11,321
7/31/2010 11,345 11,122 11,334
8/31/2010 11,363 11,126 11,343
9/30/2010 11,368 11,129 11,349
10/31/2010 11,386 11,134 11,357
11/30/2010 11,369 11,135 11,354
12/31/2010 11,374 11,139 11,357
1/31/2011 11,385 11,141 11,368
2/28/2011 11,388 11,143 11,371
3/31/2011 11,395 11,146 11,374
4/30/2011 11,421 11,152 11,386
5/31/2011 11,438 11,154 11,393
6/30/2011 11,432 11,156 11,397
7/31/2011 11,448 11,156 11,393
8/31/2011 11,452 11,164 11,414
9/30/2011 11,445 11,164 11,411
10/31/2011 11,451 11,166 11,415
11/30/2011 11,444 11,167 11,419
12/31/2011 11,441 11,169 11,422
1/31/2012 11,474 11,169 11,425
2/29/2012 11,479 11,168 11,422
3/31/2012 11,484 11,169 11,422
4/30/2012 11,500 11,171 11,427
5/31/2012 11,494 11,174 11,429
6/30/2012 11,510 11,175 11,426
7/31/2012 11,527 11,178 11,437
8/31/2012 11,531 11,180 11,439
9/30/2012 11,537 11,181 11,442
10/31/2012 11,541 11,182 11,441
11/30/2012 11,546 11,185 11,445
12/31/2012 11,548 11,188 11,449
1/31/2013 11,559 11,189 11,452
2/28/2013 11,561 11,190 11,454
3/31/2013 11,565 11,192 11,458
4/30/2013 11,569 11,195 11,463
5/31/2013 11,561 11,197 11,463
6/30/2013 11,565 11,198 11,462
7/31/2013 11,568 11,200 11,469
8/31/2013 11,571 11,202 11,471
9/30/2013 11,586 11,205 11,477
10/31/2013 11,590 11,204 11,477
11/30/2013 11,593 11,205 11,477
12/31/2013 11,587 11,207 11,478
1/31/2014 11,598 11,210 11,481
2/28/2014 11,611 11,211 11,483
3/31/2014 11,603 11,212 11,487
4/30/2014 11,606 11,214 11,492
5/31/2014 11,620 11,215 11,495
6/30/2014 11,611 11,215 11,495
7/31/2014 11,614 11,216 11,497
8/31/2014 11,617 11,218 11,504
9/30/2014 11,620 11,219 11,507
10/31/2014 11,623 11,219 11,509
11/30/2014 11,637 11,220 11,510
12/31/2014 11,617 11,221 11,499
1/31/2015 11,639 11,224 11,511
2/28/2015 11,642 11,226 11,509
3/31/2015 11,646 11,226 11,511
4/30/2015 11,649 11,231 11,519
5/31/2015 11,653 11,232 11,522
6/30/2015 11,657 11,233 11,523
7/31/2015 11,661 11,233 11,526
8/31/2015 11,653 11,233 11,525
9/30/2015 11,669 11,245 11,536
10/31/2015 11,674 11,242 11,534
11/30/2015 11,658 11,241 11,516
12/31/2015 11,653 11,246 11,517
1/31/2016 11,681 11,255 11,540
2/29/2016 11,686 11,259 11,542
3/31/2016 11,705 11,270 11,558
4/30/2016 11,711 11,277 11,569
5/31/2016 11,707 11,278 11,564 Past performance is not predictive of
6/30/2016 11,748 11,292 11,592 future performance.
7/31/2016 11,744 11,296 11,591 The returns shown do not reflect the
8/31/2016 11,740 11,297 11,590 deduction of taxes that a shareholder
9/30/2016 11,747 11,307 11,598 would pay on fund distributions or the
10/31/2016 11,756 11,313 11,604 redemption of fund shares.
AVERAGE ANNUAL ONE FIVE TEN The Merrill Lynch Indices are used with
TOTAL RETURN YEAR YEARS YEARS permission; copyright 2016 Merrill
-------------------------------------------------------------- Lynch, Pierce, Fenner & Smith
0.70% 0.53% 1.63% Incorporated; all rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO VS.
CITI WORLD GOVERNMENT BOND INDEX, 1-2 YEARS, CURRENCY-HEDGED IN USD TERMS
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
DFA Two-Year Citi World Government Bond Index,
Global Fixed 1-2 Years, Currency-Hedged in
Income Portfolio USD Terms
---------------- -------------------------------------------
10/31/2006 $10,000 $10,000
11/30/2006 10,049 10,044
12/31/2006 10,082 10,068
1/31/2007 10,122 10,112
2/28/2007 10,172 10,162
3/31/2007 10,212 10,199
4/30/2007 10,251 10,236
5/31/2007 10,291 10,255
6/30/2007 10,331 10,294
7/31/2007 10,371 10,360
8/31/2007 10,421 10,443
9/30/2007 10,467 10,498
10/31/2007 10,528 10,543
11/30/2007 10,558 10,631
12/31/2007 10,614 10,663
1/31/2008 10,655 10,774
2/29/2008 10,676 10,825
3/31/2008 10,686 10,829
4/30/2008 10,717 10,803
5/31/2008 10,738 10,784
6/30/2008 10,767 10,797
7/31/2008 10,798 10,846
8/31/2008 10,829 10,884
9/30/2008 10,794 10,953
10/31/2008 10,867 11,071
11/30/2008 10,941 11,137
12/31/2008 11,047 11,207
1/31/2009 11,047 11,227
2/28/2009 11,047 11,235
3/31/2009 11,079 11,269
4/30/2009 11,122 11,280
5/31/2009 11,166 11,301
6/30/2009 11,187 11,312
7/31/2009 11,198 11,336
8/31/2009 11,231 11,359
9/30/2009 11,259 11,375
10/31/2009 11,270 11,384
11/30/2009 11,314 11,406
12/31/2009 11,276 11,392
1/31/2010 11,321 11,418
2/28/2010 11,343 11,440
3/31/2010 11,344 11,439
4/30/2010 11,355 11,429
5/31/2010 11,366 11,461
6/30/2010 11,400 11,468
7/31/2010 11,433 11,484
8/31/2010 11,455 11,500
9/30/2010 11,465 11,495
10/31/2010 11,477 11,503
11/30/2010 11,465 11,489
12/31/2010 11,473 11,499
1/31/2011 11,485 11,502
2/28/2011 11,485 11,504
3/31/2011 11,496 11,502
4/30/2011 11,519 11,517
5/31/2011 11,541 11,538
6/30/2011 11,541 11,541
7/31/2011 11,553 11,545
8/31/2011 11,575 11,589
9/30/2011 11,572 11,591
10/31/2011 11,572 11,586
11/30/2011 11,560 11,579
12/31/2011 11,563 11,630
1/31/2012 11,586 11,653
2/29/2012 11,597 11,669
3/31/2012 11,609 11,669
4/30/2012 11,620 11,675
5/31/2012 11,620 11,672
6/30/2012 11,633 11,681
7/31/2012 11,656 11,698
8/31/2012 11,667 11,717
9/30/2012 11,670 11,726
10/31/2012 11,670 11,731
11/30/2012 11,681 11,742
12/31/2012 11,682 11,749
1/31/2013 11,682 11,756
2/28/2013 11,694 11,766
3/31/2013 11,705 11,772
4/30/2013 11,717 11,787
5/31/2013 11,705 11,783
6/30/2013 11,694 11,777
7/31/2013 11,705 11,792
8/31/2013 11,705 11,792
9/30/2013 11,717 11,806
10/31/2013 11,729 11,820
11/30/2013 11,740 11,828
12/31/2013 11,736 11,827
1/31/2014 11,748 11,840
2/28/2014 11,748 11,847
3/31/2014 11,749 11,848
4/30/2014 11,761 11,854
5/31/2014 11,772 11,863
6/30/2014 11,765 11,869
7/31/2014 11,754 11,872
8/31/2014 11,765 11,882
9/30/2014 11,765 11,884
10/31/2014 11,789 11,892
11/30/2014 11,801 11,902
12/31/2014 11,780 11,897
1/31/2015 11,816 11,922
2/28/2015 11,804 11,918
3/31/2015 11,816 11,928
4/30/2015 11,816 11,932
5/31/2015 11,828 11,939
6/30/2015 11,831 11,939
7/31/2015 11,831 11,946
8/31/2015 11,831 11,946
9/30/2015 11,855 11,960
10/31/2015 11,855 11,962
11/30/2015 11,831 11,954
12/31/2015 11,819 11,955
1/31/2016 11,866 11,988
2/29/2016 11,866 11,999
3/31/2016 11,891 12,008
4/30/2016 11,903 12,019
5/31/2016 11,903 12,020
6/30/2016 11,938 12,056
7/31/2016 11,938 12,056
8/31/2016 11,938 12,056 Past performance is not predictive of
9/30/2016 11,938 12,072 future performance.
10/31/2016 11,950 12,074 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
-------------------------------------------------------------- Citigroup bond indices copyright 2016
0.81% 0.65% 1.80% by Citigroup.
--------------------------------------------------------------------------------
3
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO VS.
CITI WORLD GOVERNMENT BOND INDEX,
1-3 YEARS, IN USD TERMS (UNHEDGED)
JANUARY 9, 2008-OCTOBER 31, 2016
[CHART]
DFA Selectively Hedged Global Citi World Government Bond Index,
Fixed Income Portfolio 1-3 Years, in USD Terms (unhedged)
------------------------------ ---------------------------------
1/09/2008 $10,000 $10,000
1/31/2008 10,050 10,199
2/29/2008 10,140 10,433
3/31/2008 10,176 10,754
4/30/2008 10,216 10,485
5/31/2008 10,236 10,415
6/30/2008 10,266 10,466
7/31/2008 10,226 10,427
8/31/2008 9,845 10,188
9/30/2008 9,585 10,126
10/31/2008 8,933 10,032
11/30/2008 8,843 10,177
12/31/2008 9,113 10,732
1/31/2009 8,803 10,481
2/28/2009 8,742 10,160
3/31/2009 9,103 10,334
4/30/2009 9,184 10,379
5/31/2009 9,605 10,791
6/30/2009 9,615 10,735
7/31/2009 9,745 10,869
8/31/2009 9,825 11,016
9/30/2009 9,976 11,225
10/31/2009 10,026 11,251
11/30/2009 10,106 11,525
12/31/2009 10,044 11,076
1/31/2010 10,024 11,065
2/28/2010 10,054 11,084
3/31/2010 10,094 10,915
4/30/2010 10,144 10,843
5/31/2010 9,953 10,675
6/30/2010 9,984 10,776
7/31/2010 10,204 11,084
8/31/2010 10,134 11,116
9/30/2010 10,355 11,381
10/31/2010 10,435 11,578
11/30/2010 10,264 11,202
12/31/2010 10,522 11,426
1/31/2011 10,532 11,470
2/28/2011 10,603 11,508
3/31/2011 10,684 11,555
4/30/2011 10,959 11,838
5/31/2011 10,908 11,747
6/30/2011 10,918 11,794
7/31/2011 11,041 11,949
8/31/2011 10,990 12,038
9/30/2011 10,522 11,700
10/31/2011 10,837 11,827
11/30/2011 10,654 11,681
12/31/2011 10,611 11,654
1/31/2012 10,779 11,769
2/29/2012 10,895 11,675
3/31/2012 10,832 11,595
4/30/2012 10,853 11,690
5/31/2012 10,527 11,482
6/30/2012 10,758 11,544
7/31/2012 10,832 11,555
8/31/2012 10,916 11,649
9/30/2012 10,990 11,755
10/31/2012 10,969 11,692
11/30/2012 11,011 11,634
12/31/2012 11,058 11,565
1/31/2013 11,069 11,507
2/28/2013 11,015 11,353
3/31/2013 11,069 11,268
4/30/2013 11,156 11,300
5/31/2013 10,940 11,115
6/30/2013 10,680 11,136
7/31/2013 10,832 11,255
8/31/2013 10,691 11,228
9/30/2013 10,961 11,365
10/31/2013 11,026 11,398
11/30/2013 10,950 11,317
12/31/2013 10,936 11,293
1/31/2014 10,892 11,289
2/28/2014 11,057 11,390
3/31/2014 11,111 11,369
4/30/2014 11,166 11,422
5/31/2014 11,199 11,400
6/30/2014 11,243 11,441
7/31/2014 11,122 11,318
8/31/2014 11,177 11,261
9/30/2014 10,958 10,985
10/31/2014 10,947 10,923
11/30/2014 10,914 10,794
12/31/2014 10,764 10,659
1/31/2015 10,653 10,500
2/28/2015 10,686 10,455
3/31/2015 10,630 10,325
4/30/2015 10,831 10,475
5/31/2015 10,675 10,340
6/30/2015 10,597 10,412
7/31/2015 10,464 10,355
8/31/2015 10,341 10,405
9/30/2015 10,364 10,421
10/31/2015 10,464 10,396
11/30/2015 10,419 10,216
12/31/2015 10,423 10,311
1/31/2016 10,423 10,303
2/29/2016 10,468 10,461
3/31/2016 10,749 10,649
4/30/2016 10,794 10,774
5/31/2016 10,693 10,586
6/30/2016 10,895 10,749
7/31/2016 10,962 10,765
8/31/2016 10,940 10,715 Past performance is not predictive of
9/30/2016 10,974 10,792 future performance.
10/31/2016 10,929 10,607 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE SINCE would pay on fund distributions or the
TOTAL RETURN YEAR YEARS INCEPTION redemption of fund shares.
----------------------------------------------------------------- Citigroup bond indices copyright 2016
4.44% 0.17% 1.01% by Citigroup.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO VS.
CITI WORLD GOVERNMENT BOND INDEX,
1-5 YEARS, CURRENCY-HEDGED IN USD TERMS
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
DFA Five-Year Global Citi World Government Bond Index,
Fixed Income Portfolio 1-5 Years, Currency-Hedged
in USD Terms
---------------------- ---------------------------------
10/31/06 $10,000 $10,000
11/30/06 10,038 10,050
12/31/06 10,064 10,057
1/31/07 10,111 10,093
2/28/07 10,159 10,159
3/31/07 10,198 10,191
4/30/07 10,226 10,223
5/31/07 10,255 10,212
6/30/07 10,281 10,238
7/31/07 10,338 10,327
8/31/07 10,415 10,436
9/30/07 10,452 10,493
10/31/07 10,510 10,546
11/30/07 10,540 10,661
12/31/07 10,589 10,691
1/31/08 10,649 10,851
2/29/08 10,688 10,922
3/31/08 10,698 10,920
4/30/08 10,619 10,848
5/31/08 10,589 10,786
6/30/08 10,619 10,787
7/31/08 10,678 10,866
8/31/08 10,738 10,933
9/30/08 10,627 11,004
10/31/08 10,687 11,164
11/30/08 10,847 11,284
12/31/08 11,015 11,396
1/31/09 10,995 11,401
2/28/09 10,985 11,424
3/31/09 11,026 11,483
4/30/09 11,096 11,486
5/31/09 11,116 11,490
6/30/09 11,183 11,509
7/31/09 11,275 11,551
8/31/09 11,376 11,591
9/30/09 11,453 11,627
10/31/09 11,514 11,639
11/30/09 11,657 11,701
12/31/09 11,477 11,657
1/31/10 11,623 11,702
2/28/10 11,696 11,751
3/31/10 11,688 11,746
4/30/10 11,771 11,752
5/31/10 11,844 11,828
6/30/10 11,922 11,858
7/31/10 12,101 11,901
8/31/10 12,248 11,958
9/30/10 12,294 11,949
10/31/10 12,378 11,960
11/30/10 12,251 11,902
12/31/10 12,086 11,889
1/31/11 12,119 11,880
2/28/11 12,108 11,869
3/31/11 12,119 11,862
4/30/11 12,275 11,897
5/31/11 12,419 11,955
6/30/11 12,419 11,961
7/31/11 12,619 12,004
8/31/11 12,708 12,108
9/30/11 12,684 12,112
10/31/11 12,718 12,095
11/30/11 12,527 12,071
12/31/11 12,631 12,164
1/31/12 12,758 12,216
2/29/12 12,781 12,237
3/31/12 12,816 12,226
4/30/12 12,862 12,251
5/31/12 12,943 12,262
6/30/12 12,951 12,274
7/31/12 13,114 12,315
8/31/12 13,161 12,348
9/30/12 13,182 12,370
10/31/12 13,194 12,377
11/30/12 13,240 12,409
12/31/12 13,237 12,419
1/31/13 13,177 12,409
2/28/13 13,260 12,438
3/31/13 13,284 12,450
4/30/13 13,355 12,490
5/31/13 13,237 12,448
6/30/13 13,074 12,409
7/31/13 13,157 12,443
8/31/13 13,085 12,425
9/30/13 13,193 12,469
10/31/13 13,276 12,510
11/30/13 13,300 12,529
12/31/13 13,183 12,496
1/31/14 13,329 12,550
2/28/14 13,353 12,567
3/31/14 13,287 12,565
4/30/14 13,361 12,587
5/31/14 13,458 12,623
6/30/14 13,442 12,638
7/31/14 13,406 12,639
8/31/14 13,491 12,676
9/30/14 13,430 12,673
10/31/14 13,528 12,704
11/30/14 13,613 12,736
12/31/14 13,561 12,733
1/31/15 13,784 12,804
2/28/15 13,685 12,785
3/31/15 13,747 12,812
4/30/15 13,760 12,810
5/31/15 13,760 12,817
6/30/15 13,691 12,798
7/31/15 13,741 12,832
8/31/15 13,728 12,829
9/30/15 13,841 12,872
10/31/15 13,828 12,875
11/30/15 13,803 12,871
12/31/15 13,758 12,861
1/31/16 13,922 12,957
2/29/16 13,960 12,994
3/31/16 14,076 13,007
4/30/16 14,089 13,009
5/31/16 14,064 13,014
6/30/16 14,243 13,100
7/31/16 14,281 13,105
8/31/16 14,218 13,090 Past performance is not predictive of
9/30/16 14,243 13,115 future performance.
10/31/16 14,192 13,089 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
-------------------------------------------------------------- Citigroup bond indices copyright 2016
2.63% 2.22% 3.56% by Citigroup.
--------------------------------------------------------------------------------
4
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA WORLD EX U.S. GOVERNMENT FIXED INCOME PORTFOLIO VS.
CITI NON-USD WORLD GOVERNMENT BOND INDEX, CURRENCY-HEDGED IN USD TERMS
DECEMBER 6, 2011-OCTOBER 31, 2016
[CHART]
DFA World Ex U.S. Citi Non-USD World
Government Fixed Income Government Bond Index,
Portfolio Currency-Hedged in USD Terms
------------------------- ----------------------------
12/06/2011 $10,000 $10,000
12/31/2011 10,095 10,085
1/31/2012 10,145 10,165
2/29/2012 10,175 10,216
3/31/2012 10,165 10,218
4/30/2012 10,246 10,246
5/31/2012 10,506 10,370
6/30/2012 10,427 10,329
7/31/2012 10,648 10,436
8/31/2012 10,658 10,456
9/30/2012 10,656 10,515
10/31/2012 10,666 10,538
11/30/2012 10,757 10,623
12/31/2012 10,771 10,641
1/31/2013 10,606 10,608
2/28/2013 10,730 10,670
3/31/2013 10,834 10,776
4/30/2013 10,968 10,899
5/31/2013 10,741 10,744
6/30/2013 10,524 10,638
7/31/2013 10,587 10,690
8/31/2013 10,483 10,668
9/30/2013 10,576 10,745
10/31/2013 10,690 10,852
11/30/2013 10,680 10,857
12/31/2013 10,538 10,792
1/31/2014 10,780 10,963
2/28/2014 10,811 11,013
3/31/2014 10,848 11,051
4/30/2014 10,933 11,119
5/31/2014 11,081 11,203
6/30/2014 11,143 11,273
7/31/2014 11,239 11,343
8/31/2014 11,474 11,505
9/30/2014 11,431 11,500
10/31/2014 11,538 11,562
11/30/2014 11,730 11,712
12/31/2014 11,832 11,847
1/31/2015 12,152 12,060
2/28/2015 12,072 12,013
3/31/2015 12,186 12,113
4/30/2015 12,038 12,005
5/31/2015 11,946 11,904
6/30/2015 11,694 11,726
7/31/2015 11,889 11,902
8/31/2015 11,820 11,868
9/30/2015 11,957 11,961
10/31/2015 11,992 12,031
11/30/15 12,038 12,064
12/31/15 11,932 12,030
01/31/16 12,239 12,269
02/29/16 12,424 12,442
03/31/16 12,460 12,531
04/30/16 12,337 12,504
05/31/16 12,485 12,614
06/30/16 12,841 12,920
07/31/16 12,989 12,965
08/31/16 13,001 12,936
09/30/16 13,013 12,934 Past performance is not predictive of
10/31/16 12,743 12,752 future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE SINCE would pay on fund distributions or the
TOTAL RETURN YEAR INCEPTION redemption of fund shares.
-------------------------------------------------------- Citigroup bond indices copyright 2016
6.26% 5.07% by Citigroup.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA SHORT-TERM GOVERNMENT PORTFOLIO VS.
THE BOFA MERRILL LYNCH 1-5 YEAR US TREASURY & AGENCY INDEX
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
DFA Short-Term Government The BofA Merrill Lynch 1-5 Year
Portfolio US Treasury & Agency Index
--------------------------- ---------------------------------
10/31/06 $10,000 $10,000
11/30/06 10,038 10,062
12/31/06 10,082 10,050
1/31/07 10,121 10,065
2/28/07 10,160 10,163
3/31/07 10,207 10,200
4/30/07 10,246 10,241
5/31/07 10,295 10,212
6/30/07 10,332 10,247
7/31/07 10,382 10,353
8/31/07 10,422 10,470
9/30/07 10,458 10,549
10/31/07 10,498 10,596
11/30/07 10,539 10,805
12/31/07 10,581 10,842
1/31/08 10,612 11,063
2/29/08 10,725 11,180
3/31/08 10,769 11,217
4/30/08 10,542 11,104
5/31/08 10,439 11,037
6/30/08 10,495 11,076
7/31/08 10,567 11,128
8/31/08 10,671 11,190
9/30/08 10,757 11,264
10/31/08 10,882 11,369
11/30/08 11,205 11,605
12/31/08 11,466 11,750
1/31/09 11,350 11,682
2/28/09 11,350 11,672
3/31/09 11,467 11,768
4/30/09 11,457 11,741
5/31/09 11,457 11,744
6/30/09 11,464 11,717
7/31/09 11,496 11,749
8/31/09 11,570 11,815
9/30/09 11,640 11,858
10/31/09 11,673 11,888
11/30/09 11,801 11,996
12/31/09 11,633 11,857
1/31/10 11,742 11,972
2/28/10 11,796 12,010
3/31/10 11,751 11,962
4/30/10 11,817 12,014
5/31/10 11,904 12,098
6/30/10 12,030 12,191
7/31/10 12,128 12,258
8/31/10 12,172 12,308
9/30/10 12,206 12,340
10/31/10 12,294 12,386
11/30/10 12,217 12,339
12/31/10 12,151 12,268
1/31/11 12,162 12,304
2/28/11 12,140 12,278
3/31/11 12,155 12,273
4/30/11 12,257 12,359
5/31/11 12,359 12,443
6/30/11 12,344 12,447
7/31/11 12,423 12,534
8/31/11 12,514 12,626
9/30/11 12,500 12,609
10/31/11 12,512 12,622
11/30/11 12,535 12,638
12/31/11 12,563 12,659
1/31/12 12,621 12,700
2/29/12 12,598 12,669
3/31/12 12,607 12,645
4/30/12 12,654 12,703
5/31/12 12,654 12,725
6/30/12 12,673 12,717
7/31/12 12,719 12,767
8/31/12 12,754 12,775
9/30/12 12,749 12,776
10/31/12 12,749 12,761
11/30/12 12,772 12,789
12/31/12 12,763 12,783
1/31/13 12,751 12,768
2/28/13 12,774 12,797
3/31/13 12,779 12,803
4/30/13 12,815 12,832
5/31/13 12,732 12,767
6/30/13 12,638 12,714
7/31/13 12,685 12,744
8/31/13 12,626 12,709
9/30/13 12,709 12,773
10/31/13 12,745 12,806
11/30/13 12,769 12,822
12/31/13 12,706 12,762
1/31/14 12,765 12,817
2/28/14 12,777 12,835
3/31/14 12,755 12,796
4/30/14 12,779 12,827
5/31/14 12,827 12,878
6/30/14 12,813 12,866
7/31/14 12,789 12,837
8/31/14 12,813 12,881
9/30/14 12,802 12,859
10/31/14 12,850 12,922
11/30/14 12,899 12,963
12/31/14 12,865 12,921
1/31/15 12,986 13,049
2/28/15 12,925 12,985
3/31/15 12,991 13,039
4/30/15 12,991 13,042
5/31/15 13,003 13,054
6/30/15 12,995 13,042
7/31/15 13,020 13,066
8/31/15 13,007 13,064
9/30/15 13,086 13,132
10/31/15 13,062 13,104
11/30/15 13,013 13,066
12/31/15 12,992 13,047
1/31/16 13,138 13,186
2/29/16 13,175 13,217
3/31/16 13,208 13,249
4/30/16 13,196 13,248
5/31/16 13,171 13,229
6/30/16 13,302 13,354 Past performance is not predictive of
7/31/16 13,302 13,348 future performance.
8/31/16 13,240 13,308 The returns shown do not reflect the
9/30/16 13,269 13,331 deduction of taxes that a shareholder
10/31/16 13,244 13,305 would pay on fund distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE FIVE TEN The Merrill Lynch Indices are used with
TOTAL RETURN YEAR YEARS YEARS permission; copyright 2016 Merrill
------------------------------------------------------------- Lynch, Pierce, Fenner & Smith
1.40% 1.14% 2.85% Incorporated; all rights reserved.
--------------------------------------------------------------------------------
5
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO VS.
BLOOMBERG BARCLAYS U.S. GOVERNMENT BOND INDEX
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
DFA Intermediate Government Bloomberg Barclays U.S.
Fixed Income Portfolio Government Bond Index
--------------------------- ------------------------
10/31/2006 $10,000 $10,000
11/30/2006 10,115 10,101
12/31/2006 10,027 10,032
1/31/2007 10,009 10,019
2/28/2007 10,188 10,174
3/31/2007 10,191 10,176
4/30/2007 10,245 10,227
5/31/2007 10,128 10,147
6/30/2007 10,116 10,142
7/31/2007 10,253 10,287
8/31/2007 10,444 10,442
9/30/2007 10,525 10,508
10/31/2007 10,598 10,585
11/30/2007 10,930 10,876
12/31/2007 10,983 10,900
1/31/2008 11,283 11,161
2/29/2008 11,376 11,267
3/31/2008 11,457 11,342
4/30/2008 11,288 11,182
5/31/2008 11,118 11,060
6/30/2008 11,166 11,125
7/31/2008 11,232 11,173
8/31/2008 11,347 11,287
9/30/2008 11,345 11,338
0/31/2008 11,229 11,307
1/30/2008 11,865 11,843
2/31/2008 12,399 12,251
1/31/2009 12,104 11,946
2/28/2009 12,035 11,914
3/31/2009 12,225 12,130
4/30/2009 12,106 11,969
5/31/2009 12,076 11,878
6/30/2009 12,097 11,862
7/31/2009 12,177 11,919
/31/2009 12,277 12,013
9/30/2009 12,391 12,103
10/31/2009 12,431 12,105
11/30/2009 12,613 12,259
12/31/2009 12,309 11,981
1/31/2010 12,525 12,156
2/28/2010 12,597 12,206
3/31/2010 12,518 12,114
4/30/2010 12,653 12,229
5/31/2010 12,839 12,416
6/30/2010 13,078 12,628
7/31/2010 13,214 12,714
8/31/2010 13,443 12,940
9/30/2010 13,479 12,946
10/31/2010 13,532 12,938
11/30/2010 13,416 12,851
12/31/2010 13,161 12,643
1/31/2011 13,161 12,644
2/28/2011 13,161 12,636
3/31/2011 13,163 12,632
4/30/2011 13,325 12,770
5/31/2011 13,540 12,952
6/30/2011 13,482 12,913
7/31/2011 13,743 13,128
8/31/2011 14,080 13,462
9/30/2011 14,207 13,668
10/31/2011 14,130 13,571
11/30/2011 14,240 13,662
12/31/2011 14,401 13,783
1/31/2012 14,502 13,844
2/29/2012 14,435 13,754
3/31/2012 14,335 13,629
4/30/2012 14,559 13,813
5/31/2012 14,738 14,028
6/30/2012 14,706 13,987
7/31/2012 14,864 14,121
8/31/2012 14,920 14,107
9/30/2012 14,929 14,071
10/31/2012 14,906 14,050
11/30/2012 15,008 14,119
12/31/2012 14,935 14,062
1/31/2013 14,820 13,956
2/28/2013 14,935 14,027
3/31/2013 14,938 14,040
4/30/2013 15,065 14,158
5/31/2013 14,777 13,928
6/30/2013 14,448 13,776
7/31/2013 14,471 13,763
8/31/2013 14,321 13,696
9/30/2013 14,512 13,792
0/31/2013 14,594 13,858
1/30/2013 14,570 13,817
2/31/2013 14,410 13,697
1/31/2014 14,657 13,876
2/28/2014 14,692 13,914
3/31/2014 14,654 13,876
4/30/2014 14,748 13,952
5/31/2014 14,901 14,080
6/30/2014 14,882 14,062
7/31/2014 14,846 14,039
8/31/2014 14,989 14,182
9/30/2014 14,889 14,107
0/31/2014 15,032 14,240
11/30/2014 15,175 14,351
12/31/2014 15,156 14,370
1/31/2015 15,579 14,729
2/28/2015 15,325 14,511
3/31/2015 15,463 14,600
4/30/2015 15,427 14,528
5/31/2015 15,403 14,504
6/30/2015 15,280 14,381
7/31/2015 15,414 14,497
8/31/2015 15,414 14,503
9/30/2015 15,582 14,627
10/31/2015 15,521 14,576
11/30/2015 15,472 14,518
12/31/2015 15,424 14,493
1/31/2016 15,808 14,794
2/29/2016 15,944 14,921
3/31/2016 15,996 14,945
4/30/2016 15,984 14,931
5/31/2016 15,972 14,931
6/30/2016 16,346 15,250
7/31/2016 16,396 15,310
8/31/2016 16,284 15,230
9/30/2016 16,296 15,212 Past performance is not predictive of
10/31/2016 16,133 15,051 future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
---------------------------------------------------------- Bloomberg Barclays data provided by
3.95% 2.69% 4.90% Bloomberg.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO VS.
THE BOFA MERRILL LYNCH 1-5 YEAR US CORPORATE & GOVERNMENT INDEX
MARCH 4, 2009-OCTOBER 31, 2016
[CHART]
DFA Short-Term Extended The BofA Merrill Lynch 1-5 Year
Quality Portfolio US Corporate & Government Index
----------------------- ----------------------------------
3/4/2009 $10,000 $10,000
3/31/2009 10,030 10,077
4/30/2009 10,135 10,138
5/31/2009 10,251 10,223
6/30/2009 10,348 10,251
7/31/2009 10,501 10,329
8/31/2009 10,602 10,414
9/30/2009 10,681 10,476
10/31/2009 10,749 10,524
11/30/2009 10,880 10,628
12/31/2009 10,774 10,522
1/31/2010 10,918 10,641
2/28/2010 10,964 10,679
3/31/2010 10,958 10,655
4/30/2010 11,041 10,712
5/31/2010 11,047 10,754
6/30/2010 11,135 10,837
7/31/2010 11,258 10,922
8/31/2010 11,347 10,980
9/30/2010 11,404 11,022
10/31/2010 11,473 11,072
11/30/2010 11,403 11,024
12/31/2010 11,329 10,960
1/31/2011 11,381 11,002
2/28/2011 11,381 10,992
3/31/2011 11,383 10,994
4/30/2011 11,500 11,083
5/31/2011 11,575 11,159
6/30/2011 11,564 11,157
7/31/2011 11,671 11,241
8/31/2011 11,691 11,290
9/30/2011 11,648 11,250
10/31/2011 11,692 11,287
11/30/2011 11,615 11,269
12/31/2011 11,660 11,300
1/31/2012 11,768 11,373
2/29/2012 11,808 11,374
3/31/2012 11,817 11,370
4/30/2012 11,859 11,420
5/31/2012 11,866 11,429
6/30/2012 11,885 11,439
7/31/2012 11,989 11,507
8/31/2012 12,021 11,530
9/30/2012 12,062 11,551
10/31/2012 12,069 11,554
11/30/2012 12,087 11,578
12/31/2012 12,083 11,579
1/31/2013 12,072 11,574
2/28/2013 12,112 11,606
3/31/2013 12,125 11,614
4/30/2013 12,171 11,649
5/31/2013 12,111 11,590
6/30/2013 12,013 11,521
7/31/2013 12,062 11,561
8/31/2013 12,021 11,533
9/30/2013 12,108 11,599
10/31/2013 12,164 11,644
11/30/2013 12,190 11,664
12/31/2013 12,132 11,615
1/31/2014 12,211 11,672
2/28/2014 12,242 11,699
3/31/2014 12,213 11,667
4/30/2014 12,251 11,702
5/31/2014 12,311 11,757
6/30/2014 12,304 11,752
7/31/2014 12,284 11,726
8/31/2014 12,321 11,768
9/30/2014 12,290 11,744
10/31/2014 12,339 11,798
11/30/2014 12,388 11,835
12/31/2014 12,336 11,791
1/31/2015 12,474 11,905
2/28/2015 12,431 11,862
3/31/2015 12,471 11,909
4/30/2015 12,486 11,917
5/31/2015 12,487 11,928
6/30/2015 12,446 11,910
7/31/2015 12,474 11,931
8/31/2015 12,456 11,924
9/30/2015 12,530 11,980
10/31/2015 12,522 11,968
11/30/2015 12,519 11,940
12/31/2015 12,479 11,914
1/31/2016 12,572 12,020
2/29/2016 12,574 12,044
3/31/2016 12,696 12,106
4/30/2016 12,748 12,124
5/31/2016 12,731 12,112
6/30/2016 12,855 12,225 Past performance is not predictive of
7/31/2016 12,887 12,237 future performance.
8/31/2016 12,858 12,213 The returns shown do not reflect the
9/30/2016 12,875 12,231 deduction of taxes that a shareholder
10/31/2016 12,859 12,212 would pay on fund distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE FIVE SINCE The Merrill Lynch Indices are used with
TOTAL RETURN YEAR YEARS INCEPTION permission; copyright 2016 Merrill
-------------------------------------------------------------- Lynch, Pierce, Fenner & Smith
2.70% 1.92% 3.34% Incorporated; all rights reserved.
--------------------------------------------------------------------------------
6
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO VS.
BLOOMBERG BARCLAYS U.S. CREDIT BOND INDEX
JULY 20, 2010-OCTOBER 31, 2016
[CHART]
DFA Intermediate-Term Bloomberg Barclays U.S.
Extended Quality Portfolio Credit Bond Index
-------------------------- -----------------------
7/20/2010 $10,000 $10,000
7/31/2010 10,020 10,093
8/31/2010 10,230 10,296
9/30/2010 10,282 10,362
10/31/2010 10,315 10,376
11/30/2010 10,195 10,273
12/31/2010 9,963 10,169
1/31/2011 9,983 10,191
2/28/2011 10,018 10,264
3/31/2011 10,015 10,260
4/30/2011 10,184 10,434
5/31/2011 10,363 10,594
6/30/2011 10,278 10,516
7/31/2011 10,583 10,769
8/31/2011 10,745 10,808
9/30/2011 10,773 10,835
10/31/2011 10,825 10,993
11/30/2011 10,683 10,809
12/31/2011 10,897 11,019
1/31/2012 11,085 11,248
2/29/2012 11,133 11,333
3/31/2012 11,032 11,243
4/30/2012 11,228 11,394
5/31/2012 11,359 11,471
6/30/2012 11,356 11,520
7/31/2012 11,607 11,832
8/31/2012 11,644 11,857
9/30/2012 11,715 11,928
10/31/2012 11,819 12,061
11/30/2012 11,850 12,061
12/31/2012 11,798 12,051
1/31/2013 11,658 11,946
2/28/2013 11,770 12,030
3/31/2013 11,804 12,030
4/30/2013 11,989 12,247
5/31/2013 11,676 11,958
6/30/2013 11,290 11,617
7/31/2013 11,362 11,700
8/31/2013 11,224 11,605
9/30/2013 11,364 11,701
10/31/2013 11,509 11,870
11/30/2013 11,448 11,838
12/31/2013 11,348 11,809
1/31/2014 11,657 12,007
2/28/2014 11,730 12,138
3/31/2014 11,715 12,153
4/30/2014 11,855 12,297
5/31/2014 12,052 12,471
6/30/2014 12,051 12,481
7/31/2014 12,035 12,476
8/31/2014 12,223 12,656
9/30/2014 12,070 12,478
10/31/2014 12,189 12,611
11/30/2014 12,310 12,697
12/31/2014 12,263 12,697
1/31/2015 12,720 13,057
2/28/2015 12,563 12,927
3/31/2015 12,629 12,972
4/30/2015 12,579 12,896
5/31/2015 12,498 12,822
6/30/2015 12,275 12,598
7/31/2015 12,373 12,677
8/31/2015 12,288 12,602
9/30/2015 12,473 12,665
10/31/2015 12,513 12,725
11/30/2015 12,502 12,697
12/31/2015 12,420 12,600
1/31/2016 12,547 12,666
2/29/2016 12,642 12,771
3/31/2016 12,918 13,093
4/30/2016 13,054 13,253
5/31/2016 13,037 13,247
6/30/2016 13,346 13,549
7/31/2016 13,500 13,727
8/31/2016 13,484 13,754
9/30/2016 13,477 13,716
10/31/2016 13,340 13,599
Past performance is not predictive of
future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE SINCE would pay on fund distributions or the
TOTAL RETURN YEAR YEARS INCEPTION redemption of fund shares.
------------------------------------------------------ Bloomberg Barclays data provided by
6.61% 4.27% 4.69% Bloomberg.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA TARGETED CREDIT PORTFOLIO VS.
BLOOMBERG BARCLAYS GLOBAL AGGREGATE CREDIT 1-5 YEAR BOND INDEX (HEDGED TO USD)
MAY 20, 2015-OCTOBER 31, 2016
[CHART]
DFA Targeted Bloomberg Barclays Global Aggregate
Credit Portfolio Credit 1-5 year Bond Index
(Hedged to USD)
-------------------------- ---------------------------------
05/20/2015 $10,000 $10,000
5/31/2015 10,000 10,015
6/30/2015 9,941 9,980
7/31/2015 9,973 10,006
8/31/2015 9,957 9,991
9/30/2015 10,022 10,003
10/31/2015 10,018 10,028
11/30/2015 10,013 10,031
12/31/2015 9,969 10,008
1/31/2016 10,016 10,054
2/29/2016 10,018 10,071
3/31/2016 10,149 10,157
4/30/2016 10,205 10,195
5/31/2016 10,200 10,205
6/30/2016 10,320 10,278
7/31/2016 10,379 10,323
8/31/2016 10,366 10,335
9/30/2016 10,380 10,350
10/31/2016 10,358 10,343
Past performance is not predictive of
future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE SINCE would pay on fund distributions or the
TOTAL RETURN YEAR INCEPTION redemption of fund shares.
-------------------------------------------------------------- Bloomberg Barclays data provided by
3.39% 2.46% Bloomberg.
--------------------------------------------------------------------------------
7
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA INVESTMENT GRADE PORTFOLIO VS.
BLOOMBERG BARCLAYS U.S. AGGREGATE BOND INDEX
MARCH 7, 2011-OCTOBER 31, 2016
[CHART]
DFA Investment Grade Bloomberg Barclays U.S.
Portfolio Aggregate Bond Index
--------------------------- -------------------------
3/07/2011 $10,000 $10,000
3/31/2011 10,040 10,026
4/30/2011 10,180 10,153
5/31/2011 10,330 10,285
6/30/2011 10,273 10,255
7/31/2011 10,505 10,418
8/31/2011 10,686 10,570
9/30/2011 10,725 10,647
10/31/2011 10,735 10,658
11/30/2011 10,694 10,649
12/31/2011 10,831 10,766
1/31/2012 10,953 10,861
2/29/2012 10,963 10,858
3/31/2012 10,899 10,799
4/30/2012 11,042 10,919
5/31/2012 11,145 11,017
6/30/2012 11,140 11,022
7/31/2012 11,295 11,174
8/31/2012 11,336 11,181
9/30/2012 11,371 11,196
10/31/2012 11,402 11,218
11/30/2012 11,443 11,236
12/31/2012 11,406 11,220
1/31/2013 11,322 11,142
2/28/2013 11,396 11,197
3/31/2013 11,418 11,206
4/30/2013 11,533 11,320
5/31/2013 11,313 11,118
6/30/2013 11,045 10,946
7/31/2013 11,098 10,961
8/31/2013 10,982 10,905
9/30/2013 11,116 11,008
10/31/2013 11,222 11,097
11/30/2013 11,180 11,055
12/31/2013 11,078 10,993
1/31/2014 11,314 11,155
2/28/2014 11,367 11,215
3/31/2014 11,349 11,196
4/30/2014 11,446 11,290
5/31/2014 11,596 11,419
6/30/2014 11,583 11,424
7/31/2014 11,561 11,396
8/31/2014 11,702 11,522
9/30/2014 11,595 11,443
10/31/2014 11,704 11,556
11/30/2014 11,801 11,638
12/31/2014 11,768 11,649
1/31/2015 12,119 11,893
2/28/2015 11,976 11,781
3/31/2015 12,053 11,836
4/30/2015 12,020 11,793
5/31/2015 11,987 11,765
6/30/2015 11,847 11,637
7/31/2015 11,936 11,718
8/31/2015 11,891 11,701
9/30/2015 12,028 11,780
10/31/2015 12,028 11,782
11/30/2015 12,017 11,751
12/31/2015 11,957 11,713
1/31/2016 12,125 11,874
2/29/2016 12,204 11,958
3/31/2016 12,358 12,068
4/30/2016 12,415 12,114
5/31/2016 12,392 12,117
6/30/2016 12,645 12,335
7/31/2016 12,713 12,413
8/31/2016 12,668 12,399 Past performance is not predictive of
9/30/2016 12,686 12,392 future performance.
10/31/2016 12,583 12,297 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE SINCE would pay on fund distributions or the
TOTAL RETURN YEAR YEARS INCEPTION redemption of fund shares.
-------------------------------------------------------------- Bloomberg Barclays data provided by
4.62% 3.23% 4.15% Bloomberg.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA DIVERSIFIED FIXED INCOME PORTFOLIO VS.
BLOOMBERG BARCLAYS U.S. INTERMEDIATE GOVERNMENT BOND INDEX
AUGUST 10, 2016-OCTOBER 31, 2016
[CHART]
DFA Diversified Fixed Bloomberg Barclays U.S. Intermediate
Income Portfolio Government Bond Index
----------------------- ------------------------------------
08/2016 $10,000 $10,000
08/2016 $9,980 $9,968 Past performance is not predictive of
09/2016 $9,996 $9,985 future performance.
10/2016 $9,936 $9,937 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL SINCE would pay on fund distributions or the
TOTAL RETURN INCEPTION redemption of fund shares.
---------------------------------------------------------- Bloomberg Barclays data provided by
-0.64% Bloomberg.
--------------------------------------------------------------------------------
8
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA LTIP PORTFOLIO - INSTITUTIONAL CLASS VS.
CITI U.S. INFLATION-LINKED SECURITIES INDEX, 20+ YEARS
MARCH 7, 2012-OCTOBER 31, 2016
[CHART]
Citi U.S. Inflation-
DFA LTIP Portfolio - Linked Securities Index,
Institutional Class 20+ Years
--------------------- -------------------------
03/07/12 $10,000 $10,000
03/31/12 9,770 9,821
04/30/12 10,310 10,266
05/31/12 10,890 10,921
06/30/12 10,751 10,847
07/31/12 11,403 11,424
08/31/12 11,152 11,175
09/30/12 11,092 11,148
10/31/12 11,423 11,432
11/30/12 11,464 11,528
12/31/12 11,239 11,314
01/31/13 10,847 10,952
02/28/13 10,817 10,947
03/31/13 10,666 10,809
04/30/13 11,159 11,318
05/31/13 9,842 10,024
06/30/13 9,044 9,391
07/31/13 9,014 9,290
08/31/13 8,659 9,022
09/30/13 8,881 9,195
10/31/13 8,963 9,258
11/30/13 8,545 8,887
12/31/13 8,309 8,696
01/31/14 8,963 9,275
02/28/14 8,983 9,321
03/31/14 9,075 9,416
04/30/14 9,423 9,747
05/31/14 9,893 10,169
06/30/14 9,981 10,258
07/31/14 10,097 10,411
08/31/14 10,432 10,698
09/30/14 9,762 10,063
10/31/14 10,059 10,362
11/30/14 10,281 10,486
12/31/14 10,356 10,637
01/31/15 10,727 11,406
02/28/15 10,282 11,024
03/31/15 10,176 10,893
04/30/15 10,123 10,835
05/31/15 9,700 10,453
06/30/15 9,318 10,049
07/31/15 9,562 10,241
08/31/15 9,318 10,045
09/30/15 9,058 9,719
10/31/15 9,250 9,907
11/30/15 9,271 9,917
12/31/15 9,047 9,745
01/31/16 9,346 9,990
02/29/16 9,623 10,295
03/31/16 10,028 10,694
04/30/16 10,071 10,753
05/31/16 9,911 10,618
06/30/16 10,499 11,143
07/31/16 10,918 11,584 Past performance is not predictive of
08/31/16 10,929 11,607 future performance.
09/30/16 10,920 11,496 The returns shown do not reflect the
10/31/16 10,628 11,277 deduction of taxes that a shareholder
AVERAGE ANNUAL ONE SINCE would pay on fund distributions or the
TOTAL RETURN YEAR INCEPTION redemption of fund shares.
------------------------------------------------------- Citigroup bond indices copyright 2016
14.90% 1.32% by Citigroup.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA INFLATION-PROTECTED SECURITIES PORTFOLIO VS.
BLOOMBERG BARCLAYS U.S. TIPS INDEX
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
DFA Inflation-Protected Bloomberg Barclays
Securities U.S. TIPS
Portfolio Class Index
-------------------------- -------------------------------------
10/31/2006 $10,000 $10,000
11/30/2006 10,119 10,124
12/31/2006 9,878 9,888
1/31/2007 9,898 9,900
2/28/2007 10,106 10,112
3/31/2007 10,131 10,136
4/30/2007 10,201 10,208
5/31/2007 10,062 10,074
6/30/2007 10,031 10,059
7/31/2007 10,284 10,288
8/31/2007 10,366 10,377
9/30/2007 10,494 10,515
10/31/2007 10,638 10,633
11/30/2007 11,089 11,055
12/31/2007 11,047 11,038
1/31/2008 11,524 11,475
2/29/2008 11,721 11,616
3/31/2008 11,745 11,609
4/30/2008 11,463 11,364
5/31/2008 11,453 11,402
6/30/2008 11,679 11,577
7/31/2008 11,605 11,518
8/31/2008 11,690 11,612
9/30/2008 11,212 11,167
10/31/2008 10,214 10,197
11/30/2008 10,246 10,269
12/31/2008 10,891 10,778
1/31/2009 11,023 10,960
2/28/2009 10,759 10,745
3/31/2009 11,451 11,373
4/30/2009 11,275 11,161
5/31/2009 11,440 11,395
6/30/2009 11,451 11,447
7/31/2009 11,484 11,456
8/31/2009 11,594 11,556
9/30/2009 11,835 11,800
10/31/2009 12,022 11,945
11/30/2009 12,351 12,277
12/31/2009 12,090 12,008
1/31/2010 12,279 12,201
2/28/2010 12,168 12,060
3/31/2010 12,152 12,076
4/30/2010 12,474 12,362
5/31/2010 12,463 12,361
6/30/2010 12,666 12,537
7/31/2010 12,677 12,556
8/31/2010 12,902 12,772
9/30/2010 13,040 12,849
10/31/2010 13,378 13,189
11/30/2010 13,164 12,966
12/31/2010 12,914 12,766
1/31/2011 12,982 12,791
2/28/2011 13,062 12,900
3/31/2011 13,182 13,031
4/30/2011 13,514 13,359
5/31/2011 13,606 13,400
6/30/2011 13,726 13,508
7/31/2011 14,300 14,036
8/31/2011 14,441 14,151
9/30/2011 14,385 14,117
10/31/2011 14,634 14,380
11/30/2011 14,776 14,491
12/31/2011 14,792 14,497
1/31/2012 15,130 14,829
2/29/2012 15,082 14,780
3/31/2012 14,925 14,622
4/30/2012 15,263 14,918
5/31/2012 15,505 15,167
6/30/2012 15,417 15,083
7/31/2012 15,686 15,368
8/31/2012 15,686 15,324
9/30/2012 15,797 15,402
10/31/2012 15,907 15,536
11/30/2012 16,005 15,610
12/31/2012 15,894 15,508
1/31/2013 15,782 15,404
2/28/2013 15,807 15,409
3/31/2013 15,856 15,452
4/30/2013 15,981 15,575
5/31/2013 15,273 14,896
6/30/2013 14,597 14,362
7/31/2013 14,759 14,467
8/31/2013 14,484 14,257
9/30/2013 14,783 14,463
10/31/2013 14,859 14,543
11/30/2013 14,695 14,385
12/31/2013 14,420 14,174
1/31/2014 14,760 14,454
2/28/2014 14,810 14,518
3/31/2014 14,697 14,450
4/30/2014 14,911 14,645
5/31/2014 15,238 14,955
6/30/2014 15,281 15,000
7/31/2014 15,269 15,004
8/31/2014 15,345 15,070
9/30/2014 14,935 14,693
10/31/2014 15,064 14,819
11/30/2014 15,128 14,857
12/31/2014 14,906 14,689
1/31/2015 15,445 15,152
2/28/2015 15,227 14,969
3/31/2015 15,175 14,899
4/30/2015 15,291 15,008
5/31/2015 15,150 14,885
6/30/2015 15,008 14,740
7/31/2015 15,085 14,770
8/31/2015 14,944 14,658
9/30/2015 14,891 14,571
10/31/2015 14,916 14,608
11/30/2015 14,891 14,594
12/31/2015 14,723 14,478
1/31/2016 15,008 14,693
2/29/2016 15,189 14,857
3/31/2016 15,461 15,124
4/30/2016 15,500 15,176
5/31/2016 15,370 15,069
6/30/2016 15,729 15,382
7/31/2016 15,820 15,515
8/31/2016 15,729 15,446
9/30/2016 15,883 15,530
10/31/2016 15,805 15,468 Past performance is not predictive of
future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
-------------------------------------------------------------- Bloomberg Barclays data provided by
5.96% 1.55% 4.68% Bloomberg.
--------------------------------------------------------------------------------
9
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA SHORT DURATION REAL RETURN PORTFOLIO VS.
BLOOMBERG BARCLAYS U.S. TIPS 1-5 YEARS INDEX
NOVEMBER 5, 2013-OCTOBER 31, 2016
[CHART]
DFA Short Duration Real Bloomberg Barclays U.S. TIPS
Return Portfolio 1-5 Years Index
------------------ ------------------
11/05/2013 $10,000 $10,000
11/30/2013 9,990 10,020
12/31/2013 9,930 9,969
1/31/2014 9,980 10,009
2/28/2014 10,040 10,037
3/31/2014 10,020 9,989
4/30/2014 10,060 10,050
5/31/2014 10,170 10,135
6/30/2014 10,221 10,171
7/31/2014 10,160 10,136
8/31/2014 10,140 10,121
9/30/2014 10,030 10,015
10/31/2014 10,020 10,019
11/30/2014 9,990 10,004
12/31/2014 9,836 9,856
1/31/2015 9,957 9,968
2/28/2015 9,967 9,938
3/31/2015 9,906 9,901
4/30/2015 9,987 9,978
5/31/2015 9,967 9,971
6/30/2015 9,927 9,963
7/31/2015 9,896 9,930
8/31/2015 9,856 9,902
9/30/2015 9,856 9,892
10/31/2015 9,896 9,890
11/30/2015 9,896 9,870
12/31/2015 9,881 9,842
1/31/2016 9,891 9,912
2/29/2016 9,891 9,938
3/31/2016 10,055 10,054
4/30/2016 10,086 10,058
5/31/2016 10,065 10,038
6/30/2016 10,157 10,149
7/31/2016 10,167 10,140
8/31/2016 10,157 10,104 Past performance is not predictive of
9/30/2016 10,229 10,177 future performance.
10/31/2016 10,260 10,182 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE SINCE would pay on fund distributions or the
TOTAL RETURN YEAR INCEPTION redemption of fund shares.
-------------------------------------------------- Bloomberg Barclays data provided by
3.67% 0.86% Bloomberg.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA MUNICIPAL REAL RETURN PORTFOLIO VS.
S&P INTERMEDIATE TERM NATIONAL AMT-FREE MUNICIPAL BOND INDEX
NOVEMBER 4, 2014-OCTOBER 31, 2016
[CHART]
S&P Intermediate Term
DFA Municipal Real National AMT-Free Municipal
Return Portfolio Bond Index
-------------------- ---------------------------
11/04/14 $10,000 $10,000
11/30/14 9,910 10,027
12/31/14 9,760 10,067
01/31/15 9,950 10,213
02/28/15 9,894 10,121
03/31/15 9,786 10,138
04/30/15 9,832 10,103
05/31/15 9,760 10,067
06/30/15 9,798 10,063
07/31/15 9,756 10,130
08/31/15 9,753 10,144
09/30/15 9,711 10,211
10/31/15 9,802 10,247
11/30/15 9,838 10,280
12/31/15 9,866 10,344
01/31/16 9,911 10,460
02/29/16 9,917 10,466
03/31/16 9,990 10,488
04/30/16 10,050 10,551
05/31/16 9,977 10,557
06/30/16 10,057 10,692
07/31/16 10,068 10,695 Past performance is not predictive of
08/31/16 10,087 10,711 future performance.
09/30/16 10,135 10,670 The returns shown do not reflect the
10/31/16 10,136 10,592 deduction of taxes that a shareholder
AVERAGE ANNUAL ONE SINCE would pay on fund distributions or the
TOTAL RETURN YEAR INCEPTION redemption of fund shares.
------------------------------------------------------ The S&P data are provided by
3.40% 0.68% Standard & Poor's Index Services Group.
--------------------------------------------------------------------------------
10
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA MUNICIPAL BOND PORTFOLIO VS.
S&P INTERMEDIATE TERM NATIONAL AMT-FREE MUNICIPAL BOND INDEX
MARCH 10, 2015-OCTOBER 31, 2016
[CHART]
S&P Intermediate Term
DFA Municipal National AMT-Free Municipal
Bond Portfolio Bond Index
---------------- ---------------------------
03/10/15 $10,000 $10,000
03/31/15 10,060 10,072
04/30/15 10,024 10,037
05/31/15 9,984 10,001
06/30/15 9,994 9,997
07/31/15 10,052 10,065
08/31/15 10,062 10,078
09/30/15 10,132 10,145
10/31/15 10,183 10,181
11/30/15 10,180 10,213
12/31/15 10,211 10,277
01/31/16 10,358 10,392
02/29/16 10,385 10,398
03/31/16 10,348 10,419
04/30/16 10,398 10,482
05/31/16 10,377 10,488
06/30/16 10,457 10,622
07/31/16 10,477 10,626 Past performance is not predictive of
08/31/16 10,475 10,642 future performance.
09/30/16 10,440 10,601 The returns shown do not reflect the
10/31/16 10,409 10,523 deduction of taxes that a shareholder
AVERAGE ANNUAL ONE SINCE would pay on fund distributions or the
TOTAL RETURN YEAR INCEPTION redemption of fund shares.
------------------------------------------------------ The S&P data are provided by
2.22% 2.47% Standard & Poor's Index Services Group.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO VS.
THE BOFA MERRILL LYNCH 1-3 YEAR US MUNICIPAL SECURITIES INDEX
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
DFA Short-Term Municipal The BofA Merrill Lynch
Bond Portfolio 1-3 Year US Municipal
Securities Index
-------------------------- -----------------------
10/31/2006 $10,000 $10,000
11/30/2006 10,032 10,033
12/31/2006 10,046 10,051
1/31/2007 10,066 10,059
2/28/2007 10,097 10,103
3/31/2007 10,133 10,140
4/30/2007 10,157 10,162
5/31/2007 10,184 10,178
6/30/2007 10,209 10,199
7/31/2007 10,245 10,250
8/31/2007 10,272 10,296
9/30/2007 10,309 10,359
10/31/2007 10,344 10,402
11/30/2007 10,371 10,462
12/31/2007 10,405 10,522
1/31/2008 10,457 10,701
2/29/2008 10,437 10,612
3/31/2008 10,476 10,736
4/30/2008 10,481 10,740
5/31/2008 10,506 10,777
6/30/2008 10,488 10,752
7/31/2008 10,534 10,846
8/31/2008 10,581 10,906
9/30/2008 10,505 10,820
10/31/2008 10,541 10,868
11/30/2008 10,628 10,978
12/31/2008 10,707 11,066
1/31/2009 10,834 11,203
2/28/2009 10,807 11,191
3/31/2009 10,854 11,245
4/30/2009 10,885 11,276
5/31/2009 10,872 11,302
6/30/2009 10,880 11,323
7/31/2009 10,985 11,397
8/31/2009 10,971 11,401
9/30/2009 11,032 11,464
10/31/2009 10,995 11,465
11/30/2009 11,098 11,522
12/31/2009 11,103 11,531
1/31/2010 11,135 11,562
2/28/2010 11,167 11,591
3/31/2010 11,106 11,559
4/30/2010 11,135 11,595
5/31/2010 11,184 11,635
6/30/2010 11,211 11,662
7/31/2010 11,293 11,712
8/31/2010 11,342 11,736
9/30/2010 11,301 11,723
10/31/2010 11,296 11,730
11/30/2010 11,267 11,699
12/31/2010 11,225 11,680
1/31/2011 11,225 11,702
2/28/2011 11,249 11,730
3/31/2011 11,287 11,757
4/30/2011 11,335 11,790
5/31/2011 11,383 11,837
6/30/2011 11,397 11,862
7/31/2011 11,436 11,893
8/31/2011 11,496 11,924
9/30/2011 11,466 11,919
10/31/2011 11,436 11,906
11/30/2011 11,448 11,923
12/31/2011 11,492 11,956
1/31/2012 11,525 11,985
2/29/2012 11,547 12,014
3/31/2012 11,517 12,008
4/30/2012 11,542 12,021
5/31/2012 11,544 12,029
6/30/2012 11,558 12,037
7/31/2012 11,572 12,056
8/31/2012 11,583 12,065
9/30/2012 11,586 12,077
10/31/2012 11,586 12,078
11/30/2012 11,586 12,088
12/31/2012 11,575 12,079
1/31/2013 11,587 12,104
2/28/2013 11,595 12,128
3/31/2013 11,596 12,133
4/30/2013 11,605 12,141
5/31/2013 11,603 12,139
6/30/2013 11,578 12,112
7/31/2013 11,587 12,139
8/31/2013 11,583 12,144
9/30/2013 11,603 12,168
10/31/2013 11,634 12,193
11/30/2013 11,631 12,205
12/31/2013 11,629 12,209
1/31/2014 11,663 12,234
2/28/2014 11,689 12,259
3/31/2014 11,642 12,239
4/30/2014 11,661 12,257
5/31/2014 11,693 12,275
6/30/2014 11,690 12,281
7/31/2014 11,698 12,287
8/31/2014 11,741 12,298
9/30/2014 11,726 12,295
10/31/2014 11,735 12,303
11/30/2014 11,744 12,309
12/31/2014 11,695 12,297
1/31/2015 11,798 12,334
2/28/2015 11,746 12,336
3/31/2015 11,746 12,328
4/30/2015 11,742 12,330
5/31/2015 11,716 12,320
6/30/2015 11,748 12,330
7/31/2015 11,780 12,358
8/31/2015 11,788 12,375
9/30/2015 11,820 12,400
10/31/2015 11,853 12,417
11/30/2015 11,832 12,392
12/31/2015 11,829 12,390
1/31/2016 11,913 12,447
2/29/2016 11,942 12,477
3/31/2016 11,897 12,452
4/30/2016 11,927 12,475
5/31/2016 11,913 12,468
6/30/2016 11,969 12,511 Past performance is not predictive of
7/31/2016 12,002 12,536 future performance.
8/31/2016 11,987 12,529 The returns shown do not reflect the
9/30/2016 11,948 12,489 deduction of taxes that a shareholder
10/31/2016 11,934 12,490 would pay on fund distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE FIVE TEN The Merrill Lynch Indices are used with
TOTAL RETURN YEAR YEARS YEARS permission; copyright 2016 Merrill
---------------------------------------------------------- Lynch, Pierce, Fenner & Smith
0.68% 0.86% 1.78% Incorporated; all rights reserved.
--------------------------------------------------------------------------------
11
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO VS.
S&P INTERMEDIATE TERM NATIONAL AMT-FREE MUNICIPAL BOND INDEX
MARCH 1, 2012-OCTOBER 31, 2016
[CHART]
DFA Intermediate-Term Municipal S&P Intermediate Term National
Bond Portfolio AMT-Free Municipal Bond Index
------------------------------- --------------------------------
3/1/2012 $10,000 $10,000
3/31/2012 9,860 9,930
4/30/2012 9,957 10,019
5/31/2012 10,012 10,082
6/30/2012 9,974 10,071
7/31/2012 10,066 10,198
8/31/2012 10,055 10,209
9/30/2012 10,106 10,267
10/31/2012 10,113 10,277
11/30/2012 10,225 10,414
12/31/2012 10,114 10,281
1/31/2013 10,124 10,327
2/28/2013 10,160 10,367
3/31/2013 10,128 10,318
4/30/2013 10,227 10,409
5/31/2013 10,053 10,290
6/30/2013 9,828 10,051
7/31/2013 9,828 10,016
8/31/2013 9,704 9,901
9/30/2013 9,928 10,073
10/31/2013 10,022 10,152
11/30/2013 9,954 10,133
12/31/2013 9,907 10,106
1/31/2014 10,070 10,268
2/28/2014 10,177 10,369
3/31/2014 10,101 10,349
4/30/2014 10,228 10,456
5/31/2014 10,325 10,549
6/30/2014 10,299 10,541
7/31/2014 10,324 10,563
8/31/2014 10,430 10,665
9/30/2014 10,392 10,661
10/31/2014 10,457 10,707
11/30/2014 10,459 10,713
12/31/2014 10,450 10,756
1/31/2015 10,658 10,912
2/28/2015 10,526 10,814
3/31/2015 10,540 10,831
4/30/2015 10,510 10,794
5/31/2015 10,471 10,756
6/30/2015 10,472 10,752
7/31/2015 10,536 10,824
8/31/2015 10,559 10,838
9/30/2015 10,634 10,910
10/31/2015 10,679 10,949
11/30/2015 10,678 10,983
12/31/2015 10,722 11,052
1/31/2016 10,858 11,175
2/29/2016 10,887 11,183
3/31/2016 10,850 11,205
4/30/2016 10,913 11,273
5/31/2016 10,882 11,279
6/30/2016 10,989 11,423
7/31/2016 11,012 11,427
8/31/2016 11,002 11,444
9/30/2016 10,958 11,401 Past performance is not predictive of
10/31/2016 10,917 11,317 future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE SINCE would pay on fund distributions or the
TOTAL RETURN YEAR INCEPTION redemption of fund shares.
----------------------------------------------------------- The S&P data are provided by Standard
2.23% 1.90% & Poor's Index Services Group.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO VS.
THE BOFA MERRILL LYNCH 1-3 YEAR CALIFORNIA INCLUDING PUERTO RICO MUNICIPAL
SECURITIES INDEX
APRIL 2, 2007-OCTOBER 31, 2016
[CHART]
DFA California Short-Term The BofA Merrill Lynch 1-3 Year
Municipal Bond Portfolio California including Puerto Rico
Municipal Securities Index
-------------------------- --------------------------------
4/2/2007 $10,000 $10,000
4/30/2007 10,010 10,023
5/31/2007 10,038 10,040
6/30/2007 10,061 10,060
7/31/2007 10,090 10,108
8/31/2007 10,124 10,151
9/30/2007 10,155 10,211
10/31/2007 10,189 10,254
11/30/2007 10,223 10,308
12/31/2007 10,253 10,368
1/31/2008 10,315 10,536
2/29/2008 10,291 10,453
3/31/2008 10,340 10,569
4/30/2008 10,337 10,575
5/31/2008 10,354 10,617
6/30/2008 10,340 10,596
7/31/2008 10,389 10,690
8/31/2008 10,450 10,756
9/30/2008 10,346 10,664
10/31/2008 10,371 10,692
11/30/2008 10,479 10,788
12/31/2008 10,574 10,848
1/31/2009 10,720 10,966
2/28/2009 10,696 10,973
3/31/2009 10,733 11,022
4/30/2009 10,776 11,074
5/31/2009 10,763 11,106
6/30/2009 10,750 11,109
7/31/2009 10,865 11,190
8/31/2009 10,875 11,193
9/30/2009 10,946 11,272
10/31/2009 10,880 11,267
11/30/2009 10,994 11,332
12/31/2009 10,988 11,341
1/31/2010 11,020 11,367
2/28/2010 11,055 11,397
3/31/2010 10,995 11,373
4/30/2010 11,047 11,414
5/31/2010 11,084 11,454
6/30/2010 11,111 11,482
7/31/2010 11,205 11,543
8/31/2010 11,253 11,577
9/30/2010 11,226 11,570
10/31/2010 11,222 11,570
11/30/2010 11,161 11,524
12/31/2010 11,119 11,491
1/31/2011 11,130 11,518
2/28/2011 11,155 11,557
3/31/2011 11,195 11,589
4/30/2011 11,233 11,615
5/31/2011 11,293 11,663
6/30/2011 11,309 11,698
7/31/2011 11,347 11,735
8/31/2011 11,399 11,764
9/30/2011 11,382 11,760
10/31/2011 11,342 11,746
11/30/2011 11,363 11,762
12/31/2011 11,417 11,794
1/31/2012 11,450 11,822
2/29/2012 11,473 11,849
3/31/2012 11,456 11,842
4/30/2012 11,470 11,853
5/31/2012 11,483 11,861
6/30/2012 11,487 11,874
7/31/2012 11,512 11,894
8/31/2012 11,523 11,900
9/30/2012 11,525 11,906
10/31/2012 11,525 11,910
11/30/2012 11,535 11,922
12/31/2012 11,525 11,903
1/31/2013 11,536 11,933
2/28/2013 11,542 11,955
3/31/2013 11,554 11,957
4/30/2013 11,564 11,963
5/31/2013 11,551 11,959
6/30/2013 11,515 11,932
7/31/2013 11,536 11,966
8/31/2013 11,521 11,957
9/30/2013 11,563 11,965
10/31/2013 11,605 11,987
11/30/2013 11,602 11,998
12/31/2013 11,600 11,997
1/31/2014 11,634 12,016
2/28/2014 11,660 12,041
3/31/2014 11,613 12,025
4/30/2014 11,644 12,045
5/31/2014 11,675 12,069
6/30/2014 11,671 12,078
7/31/2014 11,679 12,079
8/31/2014 11,720 12,090
9/30/2014 11,705 12,094
10/31/2014 11,724 12,097
11/30/2014 11,720 12,103
12/31/2014 11,693 12,096
1/31/2015 11,783 12,131
2/28/2015 11,740 12,136
3/31/2015 11,740 12,130
4/30/2015 11,723 12,135
5/31/2015 11,696 12,127
6/30/2015 11,726 12,125
7/31/2015 11,756 12,157
8/31/2015 11,764 12,173
9/30/2015 11,805 12,202
10/31/2015 11,825 12,217
11/30/2015 11,815 12,188
12/31/2015 11,811 12,185
1/31/2016 11,893 12,243
2/29/2016 11,921 12,271
3/31/2016 11,887 12,248
4/30/2016 11,917 12,265
5/31/2016 11,891 12,258
6/30/2016 11,945 12,300 Past performance is not predictive of
7/31/2016 11,977 12,322 future performance.
8/31/2016 11,962 12,318 The returns shown do not reflect the
9/30/2016 11,933 12,274 deduction of taxes that a shareholder
10/31/2016 11,919 12,276 would pay on fund distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE FIVE SINCE The Merrill Lynch Indices are used with
TOTAL RETURN YEAR YEARS INCEPTION permission; copyright 2016 Merrill
---------------------------------------------------------------- Lynch, Pierce, Fenner & Smith
0.79% 1.00% 1.85% Incorporated; all rights reserved.
--------------------------------------------------------------------------------
12
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO VS.
S&P INTERMEDIATE TERM CALIFORNIA AMT-FREE MUNICIPAL BOND INDEX
NOVEMBER 29, 2011-OCTOBER 31, 2016
[CHART]
DFA California Intermediate-Term S&P Intermediate Term California
Municipal Bond Portfolio AMT-Free Municipal Bond Index
-------------------------------- --------------------------------
11/29/2011 $10,000 $10,000
11/30/2011 10,000 10,005
12/31/2011 10,155 10,197
1/31/2012 10,255 10,401
2/29/2012 10,226 10,408
3/31/2012 10,114 10,321
4/30/2012 10,216 10,424
5/31/2012 10,268 10,495
6/30/2012 10,262 10,480
7/31/2012 10,373 10,610
8/31/2012 10,366 10,628
9/30/2012 10,419 10,703
10/31/2012 10,421 10,718
11/30/2012 10,556 10,874
12/31/2012 10,441 10,745
1/31/2013 10,471 10,798
2/28/2013 10,491 10,839
3/31/2013 10,462 10,790
4/30/2013 10,546 10,881
5/31/2013 10,425 10,759
6/30/2013 10,213 10,505
7/31/2013 10,236 10,471
8/31/2013 10,145 10,388
9/30/2013 10,343 10,607
10/31/2013 10,430 10,699
11/30/2013 10,381 10,681
12/31/2013 10,365 10,663
1/31/2014 10,530 10,859
2/28/2014 10,618 10,984
3/31/2014 10,531 10,971
4/30/2014 10,681 11,094
5/31/2014 10,780 11,208
6/30/2014 10,776 11,204
7/31/2014 10,802 11,233
8/31/2014 10,922 11,349
9/30/2014 10,875 11,352
10/31/2014 10,932 11,399
11/30/2014 10,947 11,402
12/31/2014 10,930 11,454
1/31/2015 11,149 11,624
2/28/2015 11,031 11,522
3/31/2015 11,047 11,543
4/30/2015 11,019 11,500
5/31/2015 10,970 11,474
6/30/2015 10,984 11,469
7/31/2015 11,051 11,548
8/31/2015 11,065 11,575
9/30/2015 11,154 11,655
10/31/2015 11,200 11,690
11/30/2015 11,190 11,726
12/31/2015 11,235 11,799
1/31/2016 11,365 11,924
2/29/2016 11,396 11,936
3/31/2016 11,359 11,965
4/30/2016 11,424 12,034
5/31/2016 11,395 12,038
6/30/2016 11,504 12,190
7/31/2016 11,528 12,187
8/31/2016 11,520 12,206 Past performance is not predictive of
9/30/2016 11,476 12,150 future performance.
10/31/2016 11,435 12,058 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE SINCE would pay on fund distributions or the
TOTAL RETURN YEAR INCEPTION redemption of fund shares.
----------------------------------------------------------- The S&P data are provided by Standard
2.10% 2.76% & Poor's Index Services Group.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA NY MUNICIPAL BOND PORTFOLIO VS.
S&P INTERMEDIATE TERM NEW YORK AMT-FREE MUNICIPAL BOND INDEX
JUNE 16, 2015-OCTOBER 31, 2016
[CHART]
S&P Intermediate Term
DFA NY Municipal New York AMT-Free Municipal
Bond Portfolio Bond Index
------------------ ---------------------------
06/16/15 $10,000 $10,000
06/30/15 10,000 10,015
07/31/15 10,052 10,090
08/31/15 10,072 10,112
09/30/15 10,143 10,177
10/31/15 10,175 10,216
11/30/15 10,184 10,251
12/31/15 10,212 10,321
01/31/16 10,340 10,442
02/29/16 10,358 10,450
03/31/16 10,330 10,469
04/30/16 10,389 10,539
05/31/16 10,368 10,543
06/30/16 10,447 10,687
07/31/16 10,466 10,685
08/31/16 10,454 10,697 Past performance is not predictive of
09/30/16 10,429 10,657 future performance.
10/31/16 10,408 10,568 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE SINCE would pay on fund distributions or the
TOTAL RETURN YEAR INCEPTION redemption of fund shares.
----------------------------------------------------- The S&P data provided are provided by
2.29% 2.95% Standard & Poor's Index Services Group.
--------------------------------------------------------------------------------
13
DFA INVESTMENT DIMENSIONS GROUP INC.
MANAGEMENT'S DISCUSSION AND ANALYSIS
(UNAUDITED)
FIXED INCOME MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2016
Interest rates in both U.S. and developed international fixed income markets
generally decreased across their respective yield curves for the year ended
October 31, 2016. In the U.S., the yield curve flattened as shorter-term bond
yields increased and longer-term bond yields declined. The Eurozone, as well as
U.K. and Japan, saw a sharp decline in bond yields across the curve with the
largest declines in longer-term bonds. In general, U.S. and developed
international fixed income market investment grade credit outperformed
government bonds of similar duration. The one-month U.S. Treasury bill yield
increased to 0.17% during the period, while the yield on ten-year U.S. Treasury
notes decreased to 1.83%.
OCTOBER 31, 2015 OCTOBER 31, 2016 CHANGE
---------------- ---------------- ------
One-Month Treasury Bill (yield)...... 0.00% 0.17% 0.17%
Ten-Year U.S. Treasury Notes (yield). 2.14% 1.83% -0.31%
----------
Source: Bloomberg.
There is generally an inverse relationship between interest rates and bond
prices, such that bond prices fall when interest rates rise. For the 12 months
ended October 31, 2016, the total return was 0.32% for three-month U.S.
Treasury bills, 2.36% for five-year U.S. Treasury notes, and 9.65% for 30- year
U.S. Treasury bonds.
Source: Bloomberg Barclays US Treasury Bellwethers.
Some of Dimensional's fixed income strategies are based on a
variable-maturity strategy that identifies a maturity range with favorable
risk-adjusted expected returns. When the yield curve is flat or inverted,
short-term securities are believed to offer the most attractive opportunity on
a risk-adjusted basis. When the yield curve is upwardly sloped, maturities may
be lengthened to position a portfolio for higher expected returns associated
with longer maturities. These higher returns may be achieved by capital
appreciation (from holding bonds through an upwardly sloped term structure) as
well as by earning higher current yields. During the period under review, the
portfolios employing a variable maturity approach continued to take term risk,
reflecting upward-sloping eligible yield curves.
Some of Dimensional's fixed income strategies are based on a variable-credit
approach that varies exposure to credit risk. When credit spreads are narrow,
higher-quality securities are believed to offer the more attractive opportunity
on a risk-adjusted basis. When credit spreads are wide, additional credit risk
may be taken to position a portfolio for higher expected returns associated
with increased credit risk. The portfolios employing a variable-credit approach
continued to focus on single-A and BBB-rated bonds during the first few months
of 2016 as credit spreads remained relatively wide. In the second half of the
fiscal year, the portfolios increased their allocation to higher-quality bonds
as credit spreads started to narrow.
DFA ONE-YEAR FIXED INCOME PORTFOLIO
The DFA One-Year Fixed Income Portfolio is designed to achieve a stable real
return in excess of the rate of inflation by generally investing in
high-quality fixed income securities with an average maturity of one year or
less. The investment strategy uses a variable maturity approach and shifts
maturities based on changes in the yield curve. The strategy uses current
yields and identifies favorable maturity ranges for risk-adjusted expected
returns based on potential buy and sell strategies. Maturity targets are
shifted based on the Advisor's expectations for term premia. The average
maturity of the Portfolio decreased to 324 days on October 31, 2016, from 347
days on October 31, 2015.
For the 12 months ended October 31, 2016, the total return was 0.70% for the
Portfolio, 0.64% for The BofA Merrill Lynch US 6-Month Treasury Bill Index, and
0.60% for The BofA Merrill Lynch 1-Year US Treasury Note Index, the Portfolio's
benchmark. During the period, interest rates increased across the eligible
maturity range as yields on the two-year U.S. Treasury note increased from
approximately 0.73% to 0.84%. As the yield curve
14
remained upwardly sloped, the Portfolio's maturity structure remained extended.
While two-year rates moved higher, negatively impacting returns, the Portfolio
benefited from capital appreciation as bonds were held through the upwardly
sloped term structure. The Portfolio's corporate bonds and floating rate notes
also contributed to returns as there was a positive credit premium during the
period.
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
The DFA Two-Year Global Fixed Income Portfolio is designed to maximize
risk-adjusted total returns consistent with the preservation of capital by
investing in U.S. and foreign government securities, high-quality corporate
securities, and global fixed income instruments maturing in two years or less.
The Portfolio hedges substantially all of the currency exposure of its non-U.S.
dollar-denominated securities. As of the date of this report, eligible
countries for investment by the Portfolio include but are not limited to
Australia, Canada, Denmark, certain countries in the Economic and Monetary
Union of the European Union ("EMU"), Japan, New Zealand, Norway, Singapore,
Sweden, Switzerland, the United Kingdom, and the United States. The investment
strategy uses a variable-maturity approach and shifts maturities and country
allocations based on changes in the eligible yield curves. The strategy uses
current yields and identifies favorable maturity ranges for risk-adjusted
expected returns based on potential buy and sell strategies for each eligible
country. Maturity targets and country allocations are shifted based on the
Advisor's expectations for term premia. The average maturity of the Portfolio
decreased to 1.21 years as of October 31, 2016, from 1.46 years as of
October 31, 2015.
For the 12 months ended October 31, 2016, the total return was 0.81% for the
Portfolio and 0.94% for the Citi World Government Bond Index, 1-2 Years,
Currency-Hedged in USD Terms, the Portfolio's benchmark. The Portfolio's lack
of exposure to Euro-denominated and Japanese yen-denominated government bonds
detracted from the Portfolio's performance as compared to the benchmark as
these sovereign debt markets outperformed. Compared to the benchmark, the
Portfolio's larger exposure to U.S. dollar-denominated securities contributed
positively to its performance relative to the benchmark.
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
The DFA Selectively Hedged Global Fixed Income Portfolio is designed to
maximize total returns by investing in U.S. and foreign government securities,
investment grade corporate securities, and global fixed income instruments
maturing in five years or less. The Portfolio hedges foreign currency exposure
on a selective basis to capture higher interest rates that may be offered in
foreign yield curves. As of the date of this report, eligible countries for
investment by the Portfolio include but are not limited to Australia, Canada,
Denmark, certain EMU countries, Japan, New Zealand, Norway, Singapore, Sweden,
Switzerland, the United Kingdom, and the United States. The investment strategy
uses both variable-maturity and variable-credit approaches and shifts
maturities and country allocations based on changes in the eligible yield
curves for each country. Using current yield curves, the strategy identifies
the countries and maturity ranges offering favorable risk-adjusted expected
returns. Maturity targets and country allocations are shifted as expected
return premia change. The Portfolio also uses a variable credit approach and
generally emphasizes investment grade obligations rated in the lower half of
the investment grade spectrum, except when the Advisor believes the credit risk
premium does not warrant the investment in these lower-rated securities. The
average maturity of the Portfolio decreased slightly to 2.83 years as of
October 31, 2016, from 2.89 years as of October 31, 2015.
For the 12 months ended October 31, 2016, the total return was 4.44% for the
Portfolio and 2.03% for the Citi World Government Bond Index, 1-3 Years, in USD
Terms (unhedged), the Portfolio's benchmark. The Portfolio's outperformance
relative to the benchmark was primarily due to higher exposure to U.S.
dollar-denominated three- to five-year corporate debt during a period where
interest rates in this segment of the curve decreased and credit spreads
narrowed.
Certain foreign yield curves exhibited higher interest rates than the U.S.
yield curve throughout the year. The Portfolio was positioned to capture these
higher rates with unhedged exposure during the entire fiscal year to the
Australian dollar, New Zealand dollar, Norwegian krone, and Singapore dollar.
During the year ended October 31, 2016, foreign currencies produced mixed
results against the U.S. dollar. On average, however, the Portfolio benefited
during the period from foreign currency exposure.
15
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
The DFA Five-Year Global Fixed Income Portfolio is designed to provide a
market rate of return by investing in fixed income securities with low relative
volatility of returns including U.S. and foreign government securities,
high-quality corporate securities, and currency-hedged global fixed income
instruments maturing in five years or less. The currency exposure associated
with non-U.S. dollar-denominated securities within the Portfolio is generally
hedged back to the U.S. dollar. As of the date of this report, eligible
countries for investment by the Portfolio include but are not limited to
Australia, Canada, Denmark, certain EMU countries, Japan, New Zealand, Norway,
Singapore, Sweden, Switzerland, the United Kingdom, and the United States. The
investment strategy uses a variable maturity approach and shifts maturities and
country allocations based on changes in the eligible yield curves. The strategy
uses current yields and identifies favorable maturity ranges for risk-adjusted
expected returns based on potential buy and sell strategies for each eligible
country. Maturity targets and country allocations are shifted based on the
Advisor's expectations for term premia. The average maturity of the Portfolio
decreased to 3.58 years as of October 31, 2016, from 3.79 years as of
October 31, 2015.
For the 12 months ended October 31, 2016, the total return was 2.63% for the
Portfolio and 1.66% for the Citi World Government Bond Index, 1-5 Years,
Currency-Hedged in USD Terms, the Portfolio's benchmark. The Portfolio had an
average allocation during the period of approximately 97% of assets in U.S.
dollar-denominated securities and the majority of the remainder invested in
currency-hedged U.K. pound sterling-denominated bonds. The Portfolio's greater
exposure than the benchmark to U.S. dollar-denominated bonds contributed to the
Portfolio's outperformance relative to the benchmark as interest rates declined
in the three- to five-year segment of the U.S. yield curve. The Portfolio also
benefited from its lack of exposure to Japanese yen and Euro-denominated bonds,
which represented approximately 45% of the benchmark as those bonds
underperformed.
DFA WORLD EX U.S. GOVERNMENT FIXED INCOME PORTFOLIO
The DFA World ex U.S. Government Fixed Income Portfolio is designed to
maximize total returns by investing in high-quality debt securities issued
primarily by non-U.S. government issuers and supranational organizations and
their agencies. The average maturity of the Portfolio increased to 10.10 years
as of October 31, 2016, from 9.33 years as of October 31, 2015. The Portfolio
primarily invests in securities that mature within 15 years from the date of
settlement and maintains average portfolio duration between three and 12 years.
The Portfolio hedges substantially all of its foreign currency exposure.
For the 12 months ended October 31, 2016, the total return was 6.26% for the
Portfolio and 5.99% for the Citi Non-USD World Government Bond Index,
Currency-Hedged in USD Terms, the Portfolio's benchmark. The Portfolio
benefited from its overweight in British pound-denominated securities and from
its allocation to higher-rated countries within the Eurozone such as France.
The Portfolio's underweight in Japanese yen-denominated securities detracted
from the Portfolio's performance as compared to the benchmark as Japanese
government bond yields declined sharply.
DFA SHORT-TERM GOVERNMENT PORTFOLIO
The DFA Short-Term Government Portfolio is designed to maximize
risk-adjusted total returns by investing in U.S. government and U.S. government
agency securities maturing in five years or less. The investment strategy uses
a variable-maturity approach and shifts maturities based on changes in the
yield curve. The strategy uses current yields and identifies favorable maturity
ranges for risk-adjusted expected returns based on potential buy and sell
strategies. Maturity targets are shifted based on the Advisor's expectations
for term premia. The average maturity of the Portfolio was 2.89 years as of
October 31, 2016, which was unchanged from the previous year.
For the 12 months ended October 31, 2016, the total return was 1.40% for the
Portfolio and 1.54% for the BofA Merrill Lynch 1-5 Year U.S. Treasury and
Agency Index, the Portfolio's benchmark. During the period, the Portfolio
performed in-line with the benchmark while maintaining a duration similar to
the benchmark.
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
The DFA Intermediate Government Fixed Income Portfolio is designed to
provide current income consistent with the preservation of capital from
investing generally in U.S. Treasury and government agency issues with
maturities of between five and 15 years. The average maturity of the Portfolio
increased to 7.52 years as of
16
October 31, 2016, from 6.82 years as of October 31, 2015. The Portfolio will
not shift the maturity of its investments in anticipation of interest rate
movements and ordinarily will have an average weighted maturity, based upon
market values, between three and 10 years.
For the 12 months ended October 31, 2016, the total return was 3.95% for the
Portfolio and 3.25% for the Bloomberg Barclays U.S. Government Bond Index, the
Portfolio's benchmark. The Portfolio's outperformance was primarily due to the
Portfolio's higher weight relative to the benchmark in bonds with maturities in
the range of five to 15 years, as these securities outperformed.
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
The DFA Short-Term Extended Quality Portfolio is designed to maximize total
returns by investing in U.S. and foreign corporate debt securities with an
investment grade credit rating. The Portfolio uses both variable maturity and
variable credit approaches and generally emphasizes investment grade
obligations rated in the lower half of the investment grade spectrum except
when the Advisor believes the credit risk premium does not warrant investment
in these lower-rated securities. The Portfolio primarily invests in securities
that mature within five years from the date of settlement and maintains an
average portfolio maturity and duration of three years or less. The Portfolio
hedges substantially all of its foreign currency exposure. The average maturity
of the Portfolio increased to 2.92 years as of October 31, 2016, from 2.85
years as of October 31, 2015.
For the 12 months ended October 31, 2016, the total return was 2.70% for the
Portfolio and 2.03% for The BofA Merrill Lynch 1-5 Year U.S. Corporate &
Government Index, the Portfolio's benchmark. The Portfolio outperformed the
benchmark while maintaining a similar average maturity during the period. The
primary contributor to the Portfolio's relative outperformance was the
Portfolio's higher allocation to corporate securities relative to the benchmark
during a period of positive credit premiums. The Portfolio only invested in
U.S. dollar-denominated securities throughout the year as the U.S. yield curve
offered the highest expected term premium.
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
The DFA Intermediate-Term Extended Quality Portfolio is designed to maximize
total returns by investing in U.S. and foreign corporate debt securities with
an investment grade credit rating. The Portfolio uses a variable credit
approach and generally emphasizes investment grade obligations rated in the
lower half of the investment grade spectrum, except when the Advisor believes
the credit risk premium does not warrant investment in these lower-rated
securities. The Portfolio primarily invests in securities that mature within 15
years from the date of settlement and maintains average portfolio duration
between three and 10 years. The Portfolio hedges substantially all of its
foreign currency exposure. The average duration of the Portfolio increased to
7.13 years as of October 31, 2016, from 6.87 years as of October 31, 2015.
For the 12 months ended October 31, 2016, the total return was 6.61% for the
Portfolio and 6.87% for the Bloomberg Barclays U.S. Credit Bond Index, the
Portfolio's benchmark. The Portfolio maintained duration similar to the
benchmark for the period. The Portfolio's lack of exposure to bonds greater
than 15 years to maturity detracted from its performance relative to the
benchmark during a period when longer-term interest rates declined. Also
detracting from performance was a relative underweight to BBB-rated energy
bonds during a period when these securities outperformed the benchmark.
DFA TARGETED CREDIT PORTFOLIO
The DFA Targeted Credit Portfolio seeks to maximize total returns from a
universe of U.S. and foreign corporate debt securities rated in the lower half
of the investment grade spectrum that mature within five years from the date of
settlement. All non-U.S. dollar-denominated securities within the Portfolio are
currency-hedged. The investment strategy uses both variable maturity and
variable credit approaches and shifts maturities and country allocations based
on changes in the eligible yield curves. The strategy uses current yields and
identifies favorable maturity ranges for risk-adjusted expected returns based
on potential buy and sell strategies for each eligible country. Maturity
targets and country allocations are shifted based on the Advisor's expectations
for term premia. While the Portfolio targets debt securities in the lower half
of the investment grade spectrum, it may vary its exposure to credits within
this range. The average maturity of the Portfolio increased to 3.51 years as of
October 31, 2016, from 3.42 years as of October 31, 2015.
17
For the 12 months ended October 31, 2016, the total return was 3.39% for the
Portfolio and 3.14% for the Bloomberg Barclays Global Aggregate Credit 1-5 Year
(hedged to USD), the Portfolio's benchmark. The Portfolio's higher average
allocation than the benchmark to U.S. dollar-denominated bonds in the 3-5 year
maturity range contributed to its performance relative to the benchmark as
these bonds outperformed during the period. The Portfolio also benefited from
larger relative exposure to BBB-rated bonds during a period when credit
premiums were positive.
DFA INVESTMENT GRADE PORTFOLIO
The DFA Investment Grade Portfolio is designed to maximize total returns
through exposure to a broad portfolio of investment grade debt securities of
U.S. and non-U.S. corporate and government issuers using a variable credit
approach. The Portfolio emphasizes investment grade obligations rated in the
lower half of the investment grade spectrum, except when the Advisor believes
the credit risk premium does not warrant investment in these lower-rated
securities. The average duration of the Portfolio decreased to 5.45 years as of
October 31, 2016, from 5.69 years as of October 31, 2015. The Portfolio's
average sector allocation as of October 31, 2016, was approximately 57.3% in
corporate securities and 42.7% in government securities.
For the 12 months ended October 31, 2016, the total return was 4.62% for the
Portfolio and 4.37% for the Bloomberg Barclays U.S. Aggregate Bond Index, the
Portfolio's benchmark. The Portfolio's higher average allocation to
intermediate-term corporate debt securities contributed to its performance
relative to the benchmark as corporate bonds outperformed government bonds
during this period.
DFA DIVERSIFIED FIXED INCOME PORTFOLIO
The DFA Diversified Fixed Income Portfolio is designed to provide a market
rate of return for a fixed income portfolio with low relative volatility of
returns by investing directly or through other funds managed by Dimensional
("Underlying Funds") in a universe of U.S. and foreign debt securities,
including inflation-protected securities. The Underlying Funds may include the
DFA Two-Year Global Fixed Income Portfolio and DFA Intermediate Government
Fixed Income Portfolio and/or other Underlying Funds. Generally, the Portfolio
or the Underlying Funds will purchase debt securities that mature within twenty
years from the date of settlement. The average maturity of the Portfolio was
5.05 years on October 31, 2016.
From inception on August 10, 2016, through October 31, 2016, the total
return was -0.64% for the Portfolio and -0.49% for the Bloomberg Barclays U.S.
Intermediate Government Bond Index, the Portfolio's benchmark. The Portfolio
had a longer duration than the benchmark during the period, which detracted
from performance as longer-term interest rates increased.
DFA LTIP PORTFOLIO
The LTIP Portfolio seeks to provide total return comprised of income and
capital appreciation consistent with long-term inflation protection. The
Portfolio generally invests in inflation-protected securities issued by the
U.S. government and its agencies and instrumentalities with maturities greater
than 10 years. The average maturity of the Portfolio decreased to 27.61 years
as of October 31, 2016, from 28.07 years as of October 31, 2015.
For the 12 months ended October 31, 2016, the total return was 14.90% for
the Portfolio and 13.83% for the Citi U.S. Inflation-Linked Securities Index,
20+ Years, the Portfolio's benchmark. The Portfolio benefited from a longer
duration relative to the benchmark during a period when long-term U.S. TIPS
yields declined.
DFA INFLATION-PROTECTED SECURITIES PORTFOLIO
The DFA Inflation-Protected Securities Portfolio is designed to provide
inflation protection and current income by investing in inflation-protected
securities issued by the U.S. government and its agencies and instrumentalities
with maturities of between five and 20 years. The average maturity of the
Portfolio decreased to 8.54 years as of October 31, 2016, from 8.58 years as of
October 31, 2015.
For the 12 months ended October 31, 2016, the total return was 5.96% for the
Portfolio and 5.89% for the Bloomberg Barclays U.S. TIPS Index, the Portfolio's
benchmark. The Portfolio maintained a duration similar to the benchmark
throughout the period and also performed in-line with the benchmark. The
Portfolio's focus on the intermediate segment of the inflation-protected
government yield curve, versus the Index's universe of maturities from 1 to 30
years, did not have a material impact on relative performance.
18
DFA SHORT-DURATION REAL RETURN PORTFOLIO
The DFA Short-Duration Real Return Portfolio is designed to seek inflation
protection and maximize total returns. The strategy pursues its investment
objective by using both variable maturity and variable credit approaches and
investing in a combination of investment grade debt securities,
inflation-protected securities that mature within five years from the date of
settlement, and derivative instruments such as inflation swaps. The Portfolio
maintains an average portfolio duration of three years or less. The average
duration of the Portfolio increased to 2.77 years as of October 31, 2016, from
2.75 years as of October 31, 2015.
For the 12 months ended October 31, 2016, the total return was 3.67% for the
Portfolio and 2.95% for the Bloomberg Barclays US TIPS 1-5 Years Index, the
Portfolio's benchmark. The Portfolio outperformed the benchmark because of its
allocation to U.S. and foreign corporate debt securities during a period of
positive credit premium. The benchmark holds only U.S. Treasury
Inflation-Protected Securities.
DFA MUNICIPAL REAL RETURN PORTFOLIO
The DFA Municipal Real Return Portfolio seeks to provide inflation
protection and current income by investing in a universe of investment grade
municipal securities, including inflation-protected municipal securities, and
in derivative instruments to provide inflation protection. The average duration
of the Portfolio remained relatively constant at 4.77 years as of October 31,
2016, compared to 4.78 years as of October 31, 2015.
For the 12 months ended October 31, 2016, the total return was 3.40% for the
Portfolio and 3.36% for the S&P Intermediate Term National AMT-Free Municipal
Bond Index, the Portfolio's benchmark. The Portfolio's inflation protection
contributed to positive performance, as the difference in yield between nominal
U.S. Treasuries and TIPS increased during the period, benefiting the
Portfolio's inflation swaps. In comparison, the benchmark only holds nominal
bonds without inflation protection. The Portfolio's underweight to bonds with
maturities greater than 10 years detracted from performance as 10- to 20-year
municipal yields declined. The positive contribution to performance from the
Portfolio's inflation swaps offset the lower relative returns due to the
Portfolio's underweight in long-term municipal securities.
DFA MUNICIPAL BOND PORTFOLIO
The DFA Municipal Bond Portfolio is designed to provide current income
exempt from federal personal income tax by investing in a universe of
investment grade municipal securities. The average duration of the Portfolio
decreased to 3.20 years as of October 31, 2016, from 4.91 years as of
October 31, 2015.
For the 12 months ended October 31, 2016, the total return was 2.22% for the
Portfolio and 3.36% for S&P Intermediate Term National AMT-Free Municipal Bond
Index, the Portfolio's benchmark. Due to a flattening municipal yield curve
throughout the period, the Portfolio maintained an average duration below that
of the benchmark. Underperformance was mainly driven by an underweight to
securities in the 10- to 20-year maturity range during a period when municipal
yields beyond 10 years to maturity declined.
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
The DFA Short-Term Municipal Bond Portfolio seeks to provide current income
exempt from federal personal income tax by investing in high-quality municipal
securities. The investment strategy uses a variable maturity approach to
determine where to invest cash flows. The weighted average maturity of the
Portfolio generally will not exceed three years. The average maturity of the
Portfolio decreased to 2.26 years as of October 31, 2016, from 2.80 years as of
October 31, 2015.
For the 12 months ended October 31, 2016, the total return was 0.68% for the
Portfolio and 0.59% for the BofA Merrill Lynch 1-3 Year US Municipal Securities
Index, the Portfolio's benchmark. Contributing positively to Portfolio
performance was the Portfolio's allocation to securities with maturities
greater than three years during a period when term premia were rewarded. Over
the period, the Portfolio had an approximately 42% allocation to this portion
of the municipal curve whereas the benchmark did not include any securities
with maturities greater than three years.
19
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
The DFA Intermediate-Term Municipal Bond Portfolio is designed to provide
current income exempt from federal personal income tax by investing in
high-quality municipal securities. The average duration of the Portfolio
decreased to 3.86 years as of October 31, 2016, from 4.77 years as of
October 31, 2015.
For the 12 months ended October 31, 2016, the total return was 2.23% for the
Portfolio and 3.36% for the S&P Intermediate Term National AMT-Free Municipal
Bond Index, the Portfolio's benchmark. Due to a flattening municipal yield
curve throughout the period, the Portfolio maintained an average duration below
that of the benchmark. The Portfolio's underperformance relative to the
benchmark was mainly driven by an underweight to securities in the 10- to
20-year maturity range during a period when municipal yields beyond 10 years to
maturity declined.
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
The DFA California Short-Term Municipal Bond Portfolio is designed to
provide current income that is exempt from both federal personal income taxes
and California state personal income taxes by investing primarily in a universe
of municipal securities issued by or on behalf of California state or local
governments and their agencies, instrumentalities, and regional governmental
authorities. The average maturity of the Portfolio decreased to 2.19 years as
of October 31, 2016, from 2.84 years as of October 31, 2015.
For the 12 months ended October 31, 2016, the total return was 0.79% for the
Portfolio and 0.49% for the BofA Merrill Lynch 1-3 Year California including
Puerto Rico Municipal Securities Index, the Portfolio's benchmark. Contributing
positively to the Portfolio's performance relative to the benchmark was the
Portfolio's allocation to securities with maturities greater than three years
during a period when term premia were rewarded. Over the period, the Portfolio
had an approximately 36% allocation to this portion of the municipal curve
whereas the benchmark did not include any securities with maturities greater
than three years.
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
The DFA California Intermediate-Term Municipal Bond Portfolio is designed to
provide current income that is exempt from both federal personal income taxes
and California state personal income taxes by investing primarily in a universe
of municipal securities issued by or on behalf of California state or local
governments and their agencies, instrumentalities, and regional governmental
authorities. The average duration of the Portfolio decreased to 3.74 years as
of October 31, 2016, from 4.59 years as of October 31, 2015.
For the 12 months ended October 31, 2016, the total return was 2.10% for the
Portfolio and 3.15% for the S&P Intermediate Term California AMT-Free Municipal
Bond Index, the Portfolio's benchmark. Due to a flattening California municipal
yield curve throughout the period, the Portfolio maintained an average duration
below that of the benchmark. Underperformance was mainly driven by an
underweight to securities in the 10- to 20-year maturity range during a period
when California municipal yields beyond 10 years to maturity declined.
DFA NY MUNICIPAL BOND PORTFOLIO
The DFA NY Municipal Bond Portfolio seeks to provide current income that is
exempt from both federal personal income taxes and New York state personal
income taxes by investing primarily in a universe of municipal securities
issued by or on behalf of New York state or local governments and their
agencies, instrumentalities, and regional governmental authorities. The average
maturity of the Portfolio decreased to 2.83 years as of October 31, 2016, from
5.25 years as of October 31, 2015.
For the 12 months ended October 31, 2016, the total return was 2.29% for the
Portfolio and 3.44% for the S&P Intermediate Term New York AMT-Free Municipal
Bond Index, the Portfolio's benchmark. Due to a flattening New York municipal
yield curve throughout the period, the Portfolio maintained an average duration
below that of the benchmark. Underperformance was mainly driven by an
underweight to securities in the 10- to 20-year maturity range during a period
when New York municipal yields beyond 10 years to maturity declined.
20
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2016
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/16 10/31/16 RATIO* PERIOD*
--------- --------- ---------- --------
DFA ONE-YEAR FIXED INCOME PORTFOLIO
-----------------------------------
Actual Fund Return
Institutional Class Shares................ $1,000.00 $1,003.80 0.17% $0.86
Hypothetical 5% Annual Return
Institutional Class Shares................ $1,000.00 $1,024.28 0.17% $0.87
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
------------------------------------------
Actual Fund Return
Institutional Class Shares................ $1,000.00 $1,004.00 0.17% $0.86
Hypothetical 5% Annual Return
Institutional Class Shares................ $1,000.00 $1,024.28 0.17% $0.87
21
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/16 10/31/16 RATIO* PERIOD*
--------- --------- ---------- --------
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
----------------------------------------------------
Actual Fund Return
Institutional Class Shares.......................... $1,000.00 $1,013.50 0.17% $0.86
Hypothetical 5% Annual Return
Institutional Class Shares.......................... $1,000.00 $1,024.28 0.17% $0.87
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
-------------------------------------------
Actual Fund Return
Institutional Class Shares.......................... $1,000.00 $1,007.30 0.27% $1.36
Hypothetical 5% Annual Return
Institutional Class Shares.......................... $1,000.00 $1,023.78 0.27% $1.37
DFA WORLD EX U.S. GOVERNMENT FIXED INCOME PORTFOLIO
---------------------------------------------------
Actual Fund Return
Institutional Class Shares.......................... $1,000.00 $1,032.90 0.19% $0.97
Hypothetical 5% Annual Return
Institutional Class Shares.......................... $1,000.00 $1,024.18 0.19% $0.97
DFA SHORT-TERM GOVERNMENT PORTFOLIO
-----------------------------------
Actual Fund Return
Institutional Class Shares.......................... $1,000.00 $1,003.70 0.19% $0.96
Hypothetical 5% Annual Return
Institutional Class Shares.......................... $1,000.00 $1,024.18 0.19% $0.97
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
--------------------------------------------------
Actual Fund Return
Institutional Class Shares.......................... $1,000.00 $1,009.30 0.12% $0.61
Hypothetical 5% Annual Return
Institutional Class Shares.......................... $1,000.00 $1,024.53 0.12% $0.61
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
-----------------------------------------
Actual Fund Return
Institutional Class Shares.......................... $1,000.00 $1,008.70 0.22% $1.11
Hypothetical 5% Annual Return
Institutional Class Shares.......................... $1,000.00 $1,024.03 0.22% $1.12
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
------------------------------------------------
Actual Fund Return
Institutional Class Shares.......................... $1,000.00 $1,021.90 0.22% $1.12
Hypothetical 5% Annual Return
Institutional Class Shares.......................... $1,000.00 $1,024.03 0.22% $1.12
DFA TARGETED CREDIT PORTFOLIO
-----------------------------
Actual Fund Return
Institutional Class Shares.......................... $1,000.00 $1,015.00 0.20% $1.01
Hypothetical 5% Annual Return
Institutional Class Shares.......................... $1,000.00 $1,024.13 0.20% $1.02
22
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/16 10/31/16 RATIO* PERIOD*
--------- --------- ---------- --------
DFA INVESTMENT GRADE PORTFOLIO
------------------------------
Actual Fund Return
Institutional Class Shares.................. $1,000.00 $1,013.60 0.22% $1.11
Hypothetical 5% Annual Return
Institutional Class Shares.................. $1,000.00 $1,024.03 0.22% $1.12
DFA DIVERSIFIED FIXED INCOME PORTFOLIO**
----------------------------------------
Actual Fund Return
Institutional Class Shares.................. $1,000.00 $ 993.60 0.15% $0.60
Hypothetical 5% Annual Return
Institutional Class Shares.................. $1,000.00 $1,003.31 0.15% $0.61
DFA LTIP PORTFOLIO
------------------
Actual Fund Return
Institutional Class Shares.................. $1,000.00 $1,055.30 0.15% $0.77
Hypothetical 5% Annual Return
Institutional Class Shares.................. $1,000.00 $1,024.38 0.15% $0.76
DFA INFLATION-PROTECTED SECURITIES PORTFOLIO
--------------------------------------------
Actual Fund Return
Institutional Class Shares.................. $1,000.00 $1,019.70 0.12% $0.61
Hypothetical 5% Annual Return
Institutional Class Shares.................. $1,000.00 $1,024.53 0.12% $0.61
DFA SHORT-DURATION REAL RETURN PORTFOLIO
----------------------------------------
Actual Fund Return
Institutional Class Shares.................. $1,000.00 $1,017.30 0.24% $1.22
Hypothetical 5% Annual Return
Institutional Class Shares.................. $1,000.00 $1,023.93 0.24% $1.22
DFA MUNICIPAL REAL RETURN PORTFOLIO
-----------------------------------
Actual Fund Return
Institutional Class Shares.................. $1,000.00 $1,008.50 0.26% $1.31
Hypothetical 5% Annual Return
Institutional Class Shares.................. $1,000.00 $1,023.83 0.26% $1.32
DFA MUNICIPAL BOND PORTFOLIO
----------------------------
Actual Fund Return
Institutional Class Shares.................. $1,000.00 $1,001.10 0.23% $1.16
Hypothetical 5% Annual Return
Institutional Class Shares.................. $1,000.00 $1,023.98 0.23% $1.17
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
---------------------------------------
Actual Fund Return
Institutional Class Shares.................. $1,000.00 $1,000.60 0.22% $1.11
Hypothetical 5% Annual Return
Institutional Class Shares.................. $1,000.00 $1,024.03 0.22% $1.12
23
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/16 10/31/16 RATIO* PERIOD*
--------- --------- ---------- --------
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
----------------------------------------------
Actual Fund Return
Institutional Class Shares............................... $1,000.00 $1,000.40 0.23% $1.16
Hypothetical 5% Annual Return
Institutional Class Shares............................... $1,000.00 $1,023.98 0.23% $1.17
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
--------------------------------------------------
Actual Fund Return
Institutional Class Shares............................... $1,000.00 $1,000.20 0.22% $1.11
Hypothetical 5% Annual Return
Institutional Class Shares............................... $1,000.00 $1,024.03 0.22% $1.12
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
---------------------------------------------------------
Actual Fund Return
Institutional Class Shares............................... $1,000.00 $1,001.00 0.23% $1.16
Hypothetical 5% Annual Return
Institutional Class Shares............................... $1,000.00 $1,023.98 0.23% $1.17
DFA NY MUNICIPAL BOND PORTFOLIO
-------------------------------
Actual Fund Return
Institutional Class Shares............................... $1,000.00 $1,001.80 0.25% $1.26
Hypothetical 5% Annual Return
Institutional Class Shares............................... $1,000.00 $1,023.88 0.25% $1.27
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then divided
by the number of days in the year (366) to reflect the six-month period.
**DFA Diversified Fixed Income Portfolio commenced operations on August 10,
2016. Expenses are equal to the fund's annualized expense ratio for the
period, multiplied by the average account value over the period, multiplied
by the number of days since inception (82), then divided by the number of
days in the year (366) to reflect the period. The "Ending Account Value" is
derived from the fund's share class actual return since inception. The
"Hypothetical 5% Annual Return" information reflects the 184 day period for
the year ended October 31, 2016 to allow for comparability. The Portfolio
invests directly and indirectly through 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).
24
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on September 28, 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.
The categories of industry classification for the Affiliated Investment
Companies are represented in their Disclosures of Portfolio Holdings, which are
included within the report. Refer to the Schedules of Investments for each of
the underlying Affiliated Investment Company's holdings, which reflect the
investments by category and/or country.
FIXED INCOME PORTFOLIOS
DFA ONE-YEAR FIXED INCOME PORTFOLIO
Corporate.................................... 19.4%
Government................................... 17.2%
Foreign Corporate............................ 21.8%
Foreign Government........................... 34.6%
Supranational................................ 7.0%
-----
100.0%
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
Corporate.................................... 16.9%
Government................................... 18.0%
Foreign Corporate............................ 23.8%
Foreign Government........................... 37.7%
Supranational................................ 3.6%
-----
100.0%
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
Corporate.................................... 56.8%
Government................................... 4.3%
Foreign Corporate............................ 25.2%
Foreign Government........................... 10.3%
Supranational................................ 3.4%
-----
100.0%
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
Corporate.................................... 32.4%
Government................................... 1.5%
Foreign Corporate............................ 31.7%
Foreign Government........................... 25.9%
Supranational................................ 8.5%
-----
100.0%
DFA WORLD EX U.S. GOVERNMENT FIXED INCOME PORTFOLIO
Government................................... 5.0%
Foreign Corporate............................ 1.4%
Foreign Government........................... 82.5%
Supranational................................ 11.1%
-----
100.0%
DFA SHORT-TERM GOVERNMENT PORTFOLIO
Government................................... 100.0%
-----
100.0%
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
Government................................... 100.0%
-----
100.0%
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
Corporate.................................... 59.0%
Government................................... 2.3%
Foreign Corporate............................ 23.8%
Foreign Government........................... 10.8%
Supranational................................ 4.1%
-----
100.0%
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
Corporate.................................... 76.4%
Government................................... 6.5%
Foreign Corporate............................ 16.1%
Foreign Government........................... 0.6%
Supranational................................ 0.4%
-----
100.0%
DFA TARGETED CREDIT PORTFOLIO
Corporate.................................... 77.5%
Foreign Corporate............................ 22.5%
-----
100.0%
DFA INVESTMENT GRADE PORTFOLIO
Corporate.................................... 46.5%
Government................................... 40.5%
Foreign Corporate............................ 11.1%
Foreign Government........................... 1.5%
Supranational................................ 0.4%
-----
100.0%
DFA DIVERSIFIED FIXED INCOME PORTFOLIO
Affiliated Investment Companies.............. 79%
Government................................... 21%
-----
100.0%
25
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
DFA LTIP PORTFOLIO
Government................................... 100.0%
-----
100.0%
DFA INFLATION-PROTECTED SECURITIES PORTFOLIO
Government................................... 100.0%
-----
100.0%
DFA SHORT-DURATION REAL RETURN PORTFOLIO
Corporate.................................... 60.1%
Government................................... 6.6%
Foreign Corporate............................ 21.6%
Foreign Government........................... 8.6%
Supranational................................ 3.1%
-----
100.0%
DFA MUNICIPAL REAL RETURN PORTFOLIO
Muni Insured................................. 0.1%
Muni G.O. Local.............................. 54.9%
Muni G.O. State.............................. 28.6%
Muni Revenue................................. 16.3%
Muni Pre-Refunded............................ 0.1%
-----
100.0%
DFA MUNICIPAL BOND PORTFOLIO
Muni Insured................................. 0.2%
Muni G.O. Local.............................. 57.8%
Muni G.O. State.............................. 21.2%
Muni Revenue................................. 18.8%
Muni Pre-Refunded............................ 2.0%
-----
100.0%
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
Muni Insured................................. 1.0%
Muni G.O. Local.............................. 44.3%
Muni G.O. State.............................. 33.2%
Muni Revenue................................. 20.8%
Muni Pre-Refunded............................ 0.7%
-----
100.0%
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
Corporate.................................... 0.2%
Muni Insured................................. 0.6%
Muni G.O. Local.............................. 51.6%
Muni G.O. State.............................. 31.8%
Muni Revenue................................. 15.2%
Muni Pre-Refunded............................ 0.6%
-----
100.0%
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
Muni Insured................................. 2.3%
Muni G.O. Local.............................. 40.7%
Muni G.O. State.............................. 18.6%
Muni Revenue................................. 22.2%
Muni Pre-Refunded............................ 16.2%
-----
100.0%
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND
PORTFOLIO
Muni Insured................................. 9.1%
Muni G.O. Local.............................. 43.6%
Muni G.O. State.............................. 19.3%
Muni Revenue................................. 21.1%
Muni Pre-Refunded............................ 6.9%
-----
100.0%
DFA NY MUNICIPAL BOND PORTFOLIO
Muni Insured................................. 1.1%
Muni G.O. Local.............................. 51.4%
Muni G.O. State.............................. 2.0%
Muni Revenue................................. 29.3%
Muni Pre-Refunded............................ 16.2%
-----
100.0%
26
DFA ONE-YEAR FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
FACE
AMOUNT VALUE+
------ ------
(000)
AGENCY OBLIGATIONS -- (9.3%)
Federal Home Loan Bank
0.625%, 10/26/17............................. $36,700 $ 36,670,750
5.000%, 11/17/17............................. 7,255 7,577,811
1.000%, 12/19/17............................. 15,000 15,043,800
1.375%, 03/09/18............................. 43,500 43,825,423
1.250%, 06/08/18............................. 90,000 90,505,260
0.625%, 08/07/18............................. 50,000 49,797,350
0.875%, 10/01/18............................. 61,500 61,445,634
Federal Home Loan Mortgage Corp.
1.000%, 09/29/17............................. 14,500 14,539,875
Federal Home Loan Mortgage Corporation
1.000%, 12/15/17............................. 20,000 20,059,880
0.750%, 01/12/18............................. 20,000 19,995,660
0.875%, 03/07/18............................. 15,000 15,008,850
0.750%, 04/09/18............................. 27,000 26,970,138
0.875%, 10/12/18............................. 40,000 39,959,160
Federal National Mortgage Association
0.875%, 10/26/17............................. 25,000 25,040,925
0.875%, 12/20/17............................. 10,849 10,864,677
0.875%, 02/08/18............................. 10,000 10,010,850
0.875%, 03/28/18............................. 20,000 20,010,000
1.125%, 07/20/18............................. 20,000 20,080,040
1.875%, 09/18/18............................. 90,000 91,610,730
1.125%, 10/19/18............................. 35,000 35,134,785
------------
TOTAL AGENCY OBLIGATIONS......................... 654,151,598
------------
BONDS -- (79.6%)
3M Co.
1.000%, 06/26/17............................. 6,357 6,366,230
African Development Bank
0.750%, 11/03/17............................. 3,500 3,492,195
1.000%, 11/02/18............................. 3,800 3,790,002
Agence Francaise de Developpement
1.625%, 10/04/17............................. 22,250 22,356,711
Alberta, Province of Canada
1.000%, 06/21/17............................. 10,897 10,895,104
ANZ New Zealand International Ltd.
1.400%, 04/27/17............................. 19,500 19,517,882
Apple, Inc.
# 1.050%, 05/05/17............................. 5,100 5,107,186
0.900%, 05/12/17............................. 14,445 14,451,890
# 1.300%, 02/23/18............................. 22,000 22,059,400
1.000%, 05/03/18............................. 15,245 15,224,861
Asian Development Bank
2.250%, 08/18/17............................. 25,000 25,255,700
0.875%, 04/26/18............................. 19,000 18,964,033
FACE
AMOUNT VALUE+
------ ------
(000)
Australia & New Zealand Banking Group, Ltd.
1.250%, 01/10/17............................. $ 1,150 $ 1,150,771
1.250%, 06/13/17............................. 35,025 35,063,387
1.875%, 10/06/17............................. 29,800 29,978,562
1.450%, 05/15/18............................. 3,501 3,499,285
Australia & New Zealand Banking Group, Ltd.
Floating Rate Note
(r)## 1.256%, 01/10/17............................. 17,800 17,808,081
(r) 1.256%, 01/10/17............................. 4,000 4,001,816
Bank Nederlandse Gemeenten NV
0.875%, 02/21/17............................. 51,960 51,944,412
1.375%, 09/27/17............................. 40,000 40,125,160
## 1.000%, 02/12/18............................. 31,130 31,092,177
1.375%, 03/19/18............................. 15,500 15,556,606
## 1.125%, 05/25/18............................. 18,500 18,494,765
## 1.000%, 09/20/18............................. 24,500 24,416,014
Bank of Montreal
1.144%, 06/16/17............................. 74,000 74,026,270
# 1.400%, 09/11/17............................. 32,500 32,540,170
1.554%, 03/16/18............................. 26,000 25,990,900
1.400%, 04/10/18............................. 9,000 9,005,040
# 1.350%, 08/28/18............................. 4,000 3,993,256
Bank of Montreal Floating Rate Note
(r) 1.322%, 09/01/17............................. 48,700 48,767,985
#(r) 1.476%, 04/09/18............................. 15,000 15,029,850
Bank of Nova Scotia (The)
1.065%, 12/05/16............................. 74,300 74,339,453
# 1.100%, 12/13/16............................. 36,825 36,837,042
# 2.550%, 01/12/17............................. 22,500 22,572,945
1.300%, 07/21/17............................. 29,038 29,042,878
Bank of Nova Scotia (The) Floating Rate Note
(r) 1.186%, 04/11/17............................. 24,000 24,014,112
Berkshire Hathaway Finance Corp.
1.450%, 03/07/18............................. 16,900 16,984,027
Berkshire Hathaway Finance Corp.
# 1.600%, 05/15/17............................. 53,482 53,717,321
Berkshire Hathaway Finance Corp. Floating Rate Note
(r) 1.174%, 01/12/18............................. 16,000 16,047,664
(r) 1.383%, 03/07/18............................. 68,782 69,053,414
Berkshire Hathaway, Inc.
1.900%, 01/31/17............................. 2,490 2,494,494
1.550%, 02/09/18............................. 12,850 12,908,545
Berkshire Hathaway, Inc. Floating Rate Note
(r) 0.931%, 08/06/18............................. 8,747 8,747,481
Caisse des Depots et Consignations
0.875%, 11/07/16............................. 21,200 21,199,364
27
DFA ONE-YEAR FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
1.000%, 03/13/17............................. $ 18,000 $ 17,996,112
1.125%, 11/13/17............................. 3,400 3,398,235
Canada Government International Bond
# 0.875%, 02/14/17............................. 47,320 47,330,410
Chevron Corp.
1.344%, 11/09/17............................. 59,725 59,848,631
1.345%, 11/15/17............................. 2,035 2,038,177
1.365%, 03/02/18............................. 58,737 58,832,565
Chevron Corp. Floating Rate Note
(r) 0.911%, 02/22/17............................. 15,400 15,405,852
(r) 1.318%, 05/16/18............................. 15,418 15,484,174
Cisco Systems, Inc.
# 1.100%, 03/03/17............................. 4,376 4,381,632
3.150%, 03/14/17............................. 6,000 6,051,690
# 1.400%, 02/28/18............................. 62,271 62,505,513
1.650%, 06/15/18............................. 21,007 21,154,616
Coca-Cola Co. (The)
0.875%, 10/27/17............................. 31,200 31,172,513
# 1.650%, 03/14/18............................. 11,185 11,264,827
Commonwealth Bank of Australia
1.900%, 09/18/17............................. 27,727 27,872,012
1.625%, 03/12/18............................. 1,500 1,504,200
### 1.375%, 09/06/18............................. 16,700 16,645,859
2.500%, 09/20/18............................. 2,860 2,911,737
Cooperatieve Centrale Raiffeisen- Boerenleenbank
BA
3.375%, 01/19/17............................. 4,781 4,805,383
1.700%, 03/19/18............................. 9,900 9,933,432
Cooperatieve Centrale Raiffeisen- Boerenleenbank
BA Floating Rate Note
(r) 1.097%, 11/23/16............................. 39,500 39,510,467
Cooperatieve Rabobank UA
1.311%, 08/16/17............................. 30,000 30,063,480
Development Bank of Japan, Inc.
5.125%, 02/01/17............................. 11,500 11,615,851
5.125%, 02/01/17............................. 54,300 54,846,855
1.500%, 03/13/17............................. 14,050 14,048,455
Erste Abwicklungsanstalt
1.000%, 02/27/17............................. 100,200 100,181,463
1.000%, 10/13/17............................. 23,800 23,775,748
1.250%, 03/15/18............................. 15,000 15,004,200
European Bank for Reconstruction & Development
1.000%, 02/16/17............................. 25,386 25,405,370
European Investment Bank
# 1.750%, 03/15/17............................. 54,100 54,273,715
# 5.125%, 05/30/17............................. 9,500 9,727,867
1.625%, 06/15/17............................. 50,000 50,217,100
# 1.000%, 08/17/17............................. 9,200 9,202,999
# 1.125%, 09/15/17............................. 48,200 48,262,033
1.000%, 12/15/17............................. 20,351 20,353,239
1.000%, 03/15/18............................. 18,500 18,490,695
Export Development Canada
## 0.625%, 04/27/17............................. 8,700 8,683,966
0.625%, 04/27/17............................. 15,100 15,078,090
0.750%, 12/15/17............................. 11,000 10,970,883
FACE
AMOUNT VALUE+
------ ------
(000)
Exxon Mobil Corp.
0.921%, 03/15/17............................. $ 6,000 $ 6,004,422
# 1.439%, 03/01/18............................. 84,390 84,691,188
Exxon Mobil Corp. Floating Rate Note
(r) 1.429%, 02/28/18............................. 19,109 19,241,578
(r) 0.892%, 03/01/18............................. 93,475 93,399,940
FMS Wertmanagement AoeR
0.625%, 01/30/17............................. 23,000 22,987,051
1.125%, 09/05/17............................. 89,753 89,846,792
1.000%, 11/21/17............................. 23,965 23,957,595
General Electric Co.
# 2.900%, 01/09/17............................. 100 100,366
5.625%, 09/15/17............................. 10,000 10,388,500
5.250%, 12/06/17............................. 40,360 42,176,725
# 1.625%, 04/02/18............................. 8,500 8,538,123
# 5.625%, 05/01/18............................. 61,799 65,888,487
Inter-American Development Bank
1.125%, 03/15/17............................. 10,000 10,009,100
1.250%, 01/16/18............................. 56,331 56,568,266
0.875%, 03/15/18............................. 16,555 16,537,733
International Bank for Reconstruction &
Development
0.625%, 05/02/17............................. 30,000 29,963,700
1.000%, 11/15/17............................. 9,000 9,010,800
International Business Machines Corp.
# 1.250%, 02/08/18............................. 11,515 11,531,466
Japan Bank for International Cooperation
1.125%, 07/19/17............................. 46,750 46,666,317
Japan Finance Organization for Municipalities
1.500%, 09/12/17............................. 15,308 15,320,690
KFW
0.750%, 03/17/17............................. 94,300 94,273,030
2.750%, 07/27/17............................. 25,000 25,330,000
# 0.875%, 09/05/17............................. 19,000 18,989,607
0.875%, 11/16/17............................. 5,000 4,995,365
2.375%, 12/22/17............................. 11,600 11,780,136
# 4.375%, 03/15/18............................. 9,000 9,409,869
# 1.000%, 09/07/18............................. 18,000 17,971,992
Kommunalbanken A.S.
1.375%, 06/08/17............................. 57,800 57,933,287
1.000%, 09/26/17............................. 20,500 20,490,160
### 1.000%, 03/15/18............................. 1,050 1,048,384
1.000%, 03/15/18............................. 6,000 5,991,972
1.125%, 05/23/18............................. 14,500 14,497,013
## 1.125%, 05/23/18............................. 1,700 1,699,748
Kommunekredit
1.000%, 01/17/17............................. 16,363 16,366,862
1.125%, 01/16/18............................. 11,700 11,709,360
1.125%, 03/15/18............................. 3,778 3,779,625
Kommuninvest I Sverige AB
0.875%, 12/13/16............................. 36,200 36,208,435
1.625%, 02/13/17............................. 8,000 8,014,448
### 1.000%, 04/11/17............................. 7,000 7,001,484
1.000%, 04/11/17............................. 35,000 35,007,420
28
DFA ONE-YEAR FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
1.000%, 10/24/17............................. $ 28,500 $ 28,486,035
1.000%, 01/29/18............................. 38,000 37,962,874
1.125%, 10/09/18............................. 7,000 6,998,425
Landeskreditbank Baden- Wuerttemberg Foerderbank
0.625%, 01/26/17............................. 19,650 19,638,210
0.875%, 04/10/17............................. 21,400 21,390,413
1.625%, 04/25/17............................. 155,854 156,326,861
1.000%, 04/23/18............................. 8,750 8,733,848
Landwirtschaftliche Rentenbank
0.875%, 09/12/17............................. 30,280 30,268,978
Merck & Co., Inc. Floating Rate Note
(r) 0.932%, 02/10/17............................. 4,400 4,401,320
Microsoft Corp.
# 0.875%, 11/15/17............................. 4,532 4,532,521
Municipality Finance P.L.C.
1.125%, 04/17/18............................. 55,375 55,380,593
1.250%, 09/10/18............................. 30,000 30,042,090
## 1.250%, 09/10/18............................. 104,500 104,646,613
National Australia Bank, Ltd.
2.750%, 03/09/17............................. 10,930 10,991,798
# 1.250%, 03/17/17............................. 5,000 5,001,260
National Australia Bank, Ltd. Floating Rate Note
(r)## 1.269%, 12/02/16............................. 8,345 8,348,822
(r)## 1.227%, 03/17/17............................. 34,165 34,171,662
Nederlandse Waterschapsbank NV
1.250%, 09/18/17............................. 20,000 20,036,200
1.250%, 01/16/18............................. 36,000 36,047,520
## 1.500%, 04/16/18............................. 4,200 4,220,521
1.500%, 04/16/18............................. 9,000 9,043,974
0.875%, 07/13/18............................. 5,000 4,974,930
Nestle Holdings, Inc.
1.375%, 06/21/17............................. 13,503 13,526,806
Netherlands Government Bond
1.000%, 02/24/17............................. 15,700 15,702,763
Nordea Bank AB
3.125%, 03/20/17............................. 12,500 12,602,100
## 3.125%, 03/20/17............................. 7,092 7,149,927
Nordea Bank Finland P.L.C.
1.182%, 02/13/17............................. 100,000 100,105,900
1.271%, 08/18/17............................. 22,000 22,028,732
Nordic Investment Bank
1.000%, 03/07/17............................. 38,700 38,712,113
1.125%, 03/19/18............................. 35,000 35,055,300
NRW Bank
1.000%, 05/22/17............................. 10,000 10,001,200
1.375%, 08/20/18............................. 25,000 25,074,525
Oesterreichische Kontrollbank AG
0.750%, 12/15/16............................. 21,000 21,002,730
0.750%, 05/19/17............................. 74,100 74,030,865
1.125%, 05/29/18............................. 9,400 9,402,942
Ontario, Province of Canada
4.950%, 11/28/16............................. 1,294 1,297,727
1.100%, 10/25/17............................. 62,951 62,977,376
FACE
AMOUNT VALUE+
------ ------
(000)
# 3.150%, 12/15/17............................. $ 20,059 $ 20,518,833
1.200%, 02/14/18............................. 45,500 45,545,272
3.000%, 07/16/18............................. 15,060 15,520,776
# 2.000%, 09/27/18............................. 56,780 57,609,953
Pfizer, Inc.
1.100%, 05/15/17............................. 11,700 11,714,953
1.200%, 06/01/18............................. 110,000 110,070,510
Precision Castparts Corp.
# 1.250%, 01/15/18............................. 10,000 10,005,140
Province of British Columbia Canada
# 1.200%, 04/25/17............................. 24,000 24,028,560
Quebec, Province of Canada
5.125%, 11/14/16............................. 49,087 49,151,353
4.625%, 05/14/18............................. 15,491 16,312,379
Royal Bank of Canada
1.030%, 12/15/16............................. 12,000 12,007,068
1.400%, 10/13/17............................. 12,000 12,022,200
1.566%, 03/22/18............................. 40,000 40,093,120
1.500%, 06/07/18............................. 59,000 59,122,366
2.200%, 07/27/18............................. 13,818 13,991,637
1.800%, 07/30/18............................. 11,061 11,118,506
1.286%, 10/31/18............................. 45,000 44,982,270
Royal Bank of Canada Floating Rate Note
(r) 1.138%, 10/13/17............................. 2,350 2,350,945
Sanofi
1.250%, 04/10/18............................. 9,963 9,978,612
Shell International Finance BV
1.125%, 08/21/17............................. 3,500 3,502,072
1.250%, 11/10/17............................. 20,088 20,116,123
# 1.900%, 08/10/18............................. 17,000 17,169,269
State of North Rhine-Westphalia
1.125%, 11/21/17............................. 32,300 32,295,543
1.250%, 02/20/18............................. 7,800 7,805,951
Statoil ASA
1.250%, 11/09/17............................. 7,000 7,000,420
1.200%, 01/17/18............................. 5,170 5,159,422
# 1.150%, 05/15/18............................. 8,950 8,923,132
Svensk Exportkredit AB
5.125%, 03/01/17............................. 34,244 34,710,506
1.750%, 05/30/17............................. 10,000 10,039,760
1.125%, 04/05/18............................. 101,060 101,089,307
Sweden Government International Bond
0.875%, 08/15/17............................. 34,500 34,493,445
Toronto-Dominion Bank (The)
1.625%, 03/13/18............................. 19,300 19,382,411
# 1.400%, 04/30/18............................. 86,471 86,524,353
1.750%, 07/23/18............................. 7,785 7,824,696
1.450%, 09/06/18............................. 21,000 20,997,543
# 2.625%, 09/10/18............................. 10,000 10,215,960
Toronto-Dominion Bank (The) Floating Rate Note
(r) 1.124%, 01/06/17............................. 57,000 57,023,655
#(r) 1.437%, 04/30/18............................. 5,500 5,514,328
29
DFA ONE-YEAR FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
Total Capital International SA
1.500%, 02/17/17............................. $ 5,000 $ 5,007,155
1.550%, 06/28/17............................. 13,000 13,030,160
Toyota Motor Credit Corp.
1.125%, 05/16/17............................. 19,900 19,916,318
1.750%, 05/22/17............................. 38,000 38,146,794
1.250%, 10/05/17............................. 17,825 17,859,723
1.200%, 04/06/18............................. 6,254 6,246,939
# 1.550%, 07/13/18............................. 3,450 3,465,373
Toyota Motor Credit Corp. Floating Rate Note
(r) 1.008%, 02/16/17............................. 100,000 100,057,000
(r) 1.244%, 04/06/18............................. 15,500 15,526,738
#(r) 1.338%, 07/13/18............................. 1,995 2,001,887
Wal-Mart Stores, Inc.
1.125%, 04/11/18............................. 37,000 37,030,192
Westpac Banking Corp.
1.200%, 05/19/17............................. 12,657 12,665,303
2.000%, 08/14/17............................. 23,367 23,506,805
1.500%, 12/01/17............................. 27,000 27,043,335
1.550%, 05/25/18............................. 13,300 13,314,896
2.250%, 07/30/18............................. 19,869 20,118,137
Westpac Banking Corp. Floating Rate Note
(r) 1.141%, 05/19/17............................. 10,000 10,008,520
#(r) 1.212%, 12/01/17............................. 31,277 31,286,477
--------------
TOTAL BONDS........................................ 5,625,982,098
--------------
U.S. TREASURY OBLIGATIONS -- (7.3%)
U.S. Treasury Notes
0.750%, 10/31/17............................. 127,000 127,044,704
0.875%, 11/15/17............................. 105,000 105,151,725
2.250%, 11/30/17............................. 70,000 71,129,310
1.000%, 12/15/17............................. 114,000 114,325,128
0.750%, 12/31/17............................. 64,000 64,002,496
FACE
AMOUNT VALUE+
------ ------
(000)
0.875%, 01/15/18............................. $ 20,000 $ 20,032,040
2.625%, 01/31/18............................. 15,000 15,343,950
--------------
TOTAL U.S. TREASURY OBLIGATIONS.................... 517,029,353
--------------
TOTAL INVESTMENT SECURITIES........................ 6,797,163,049
--------------
COMMERCIAL PAPER -- (2.0%)
Nordea Bank Finland NY
1.610%, 05/02/18............................. 40,000 40,129,920
PSP Capital, Inc.
## 0.800%, 01/26/17............................. 25,000 24,960,367
Svenska Handelsbanken AB
## 0.890%, 12/21/16............................. 15,000 14,987,377
## 1.200%, 02/24/17............................. 25,000 24,924,439
Swedbank AB
1.160%, 02/22/17............................. 15,000 14,964,185
Total Capital Canada, Ltd.
## 0.710%, 01/10/17............................. 19,000 18,978,229
--------------
TOTAL COMMERCIAL PAPER............................. 138,944,517
--------------
SHARES
------
TEMPORARY CASH INVESTMENTS -- (1.0%)
State Street Institutional U.S. Government
Money Market Fund, 0.260%................... 72,578,309 72,578,309
--------------
SECURITIES LENDING COLLATERAL -- (0.8%)
(S)@ DFA Short Term Investment Fund............... 5,161,958 59,734,177
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $7,067,163,676)............................ $7,068,420,052
==============
Summary of the Portfolio's investments as of October 31, 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
----------- -------------- ------- --------------
Agency Obligations................. -- $ 654,151,598 -- $ 654,151,598
Bonds.............................. -- 5,625,982,098 -- 5,625,982,098
U.S. Treasury Obligations.......... -- 517,029,353 -- 517,029,353
Commercial Paper................... -- 138,944,517 -- 138,944,517
Temporary Cash Investments......... $72,578,309 -- -- 72,578,309
Securities Lending Collateral...... -- 59,734,177 -- 59,734,177
----------- -------------- -- --------------
TOTAL.............................. $72,578,309 $6,995,841,743 -- $7,068,420,052
=========== ============== == ==============
See accompanying Notes to Financial Statements.
30
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
FACE
AMOUNT^ VALUE+
------- ------
(000)
BONDS -- (80.5%)
AUSTRALIA -- (7.5%)
ANZ New Zealand International Ltd.
1.400%, 04/27/17............................. 15,680 $ 15,694,379
Australia & New Zealand Banking Group, Ltd.
1.250%, 01/10/17............................. 3,265 3,267,187
1.250%, 06/13/17............................. 54,180 54,239,381
1.875%, 10/06/17............................. 22,800 22,936,618
1.500%, 01/16/18............................. 5,150 5,154,532
Commonwealth Bank of Australia
1.125%, 03/13/17............................. 16,700 16,709,870
1.400%, 09/08/17............................. 11,590 11,595,795
1.900%, 09/18/17............................. 26,648 26,787,369
### 1.375%, 09/06/18............................. 18,200 18,140,996
2.500%, 09/20/18............................. 2,790 2,840,471
National Australia Bank, Ltd.
2.750%, 03/09/17............................. 56,525 56,844,592
1.250%, 03/17/17............................. 23,245 23,250,858
## 1.300%, 06/30/17............................. 7,670 7,675,292
1.300%, 06/30/17............................. 3,100 3,102,139
Westpac Banking Corp.
1.200%, 05/19/17............................. 22,503 22,517,762
2.000%, 08/14/17............................. 17,539 17,643,936
1.500%, 12/01/17............................. 16,744 16,770,874
1.600%, 01/12/18............................. 2,500 2,505,025
1.550%, 05/25/18............................. 13,367 13,381,971
2.250%, 07/30/18............................. 19,369 19,611,868
------------
TOTAL AUSTRALIA................................... 360,670,915
------------
AUSTRIA -- (0.1%)
Oesterreichische Kontrollbank AG
1.125%, 05/29/18............................. 2,500 2,500,782
------------
CANADA -- (12.9%)
Bank of Montreal
1.400%, 09/11/17............................. 23,200 23,228,675
1.400%, 04/10/18............................. 5,500 5,503,080
1.310%, 04/17/18............................. 50,000 49,985,550
1.800%, 07/31/18............................. 2,405 2,418,088
1.350%, 08/28/18............................. 5,720 5,710,356
Bank of Nova Scotia (The)
2.100%, 11/08/16............................. CAD 8,000 5,964,900
2.550%, 01/12/17............................. 31,833 31,936,203
1.250%, 04/11/17............................. 28,080 28,098,280
1.300%, 07/21/17............................. 29,044 29,048,879
Export Development Canada
0.750%, 12/15/17............................. 7,305 7,285,664
FACE
AMOUNT^ VALUE+
------- ------
(000)
CANADA -- (Continued)
Ontario, Province of Canada
1.100%, 10/25/17............................. 67,327 $ 67,355,210
3.150%, 12/15/17............................. 16,000 16,366,784
1.200%, 02/14/18............................. 25,317 25,342,191
3.000%, 07/16/18............................. 21,910 22,580,358
2.000%, 09/27/18............................. 7,000 7,102,319
Quebec, Province of Canada
4.625%, 05/14/18............................. 10,792 11,364,224
Royal Bank of Canada
1.250%, 06/16/17............................. 8,909 8,913,276
1.400%, 10/13/17............................. 23,000 23,042,550
1.500%, 01/16/18............................. 5,000 5,008,715
1.500%, 06/07/18............................. 64,435 64,568,638
2.200%, 07/27/18............................. 16,375 16,580,768
1.800%, 07/30/18............................. 13,000 13,067,587
1.285%, 10/31/18............................. 6,000 5,997,636
Toronto-Dominion Bank (The)
1.125%, 05/02/17............................. 25,865 25,864,483
1.625%, 03/13/18............................. 66,417 66,700,999
1.400%, 04/30/18............................. 22,644 22,657,971
1.750%, 07/23/18............................. 14,066 14,137,723
1.450%, 09/06/18............................. 10,000 9,998,830
------------
TOTAL CANADA........................................ 615,829,937
------------
DENMARK -- (2.5%)
Kommunekredit
1.125%, 01/16/18............................. 20,700 20,716,560
1.125%, 03/15/18............................. 7,000 7,003,010
1.250%, 08/27/18............................. 32,500 32,555,250
Nordea Bank AB
3.125%, 03/20/17............................. 32,975 33,244,340
## 3.125%, 03/20/17............................. 9,550 9,628,004
1.250%, 04/04/17............................. 8,780 8,789,553
Nordea Bank AB Floating Rate Note
(r)## 1.697%, 09/17/18............................. 6,500 6,544,148
------------
TOTAL DENMARK....................................... 118,480,865
------------
FINLAND -- (2.8%)
Municipality Finance P.L.C.
1.125%, 04/17/18............................. 107,200 107,210,827
## 1.250%, 09/10/18............................. 28,800 28,840,407
------------
TOTAL FINLAND....................................... 136,051,234
------------
FRANCE -- (2.4%)
Agence Francaise de Developpement
1.625%, 10/04/17............................. 26,614 26,741,641
Caisse des Depots et Consignations
1.000%, 03/13/17............................. 42,200 42,190,885
1.125%, 11/13/17............................. 3,200 3,198,339
31
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
FRANCE -- (Continued)
Sanofi
1.250%, 04/10/18............................. 11,638 $ 11,656,237
Total Capital Canada, Ltd.
1.450%, 01/15/18............................. 2,638 2,643,067
Total Capital International SA
1.500%, 02/17/17............................. 10,000 10,014,280
1.550%, 06/28/17............................. 14,500 14,533,640
Total Capital SA
2.125%, 08/10/18............................. 3,904 3,950,657
------------
TOTAL FRANCE..................................... 114,928,746
------------
GERMANY -- (10.0%)
Erste Abwicklungsanstalt
1.000%, 02/27/17............................. 43,800 43,791,897
1.000%, 10/13/17............................. 23,000 22,976,563
1.125%, 02/12/18............................. 37,000 36,946,017
1.250%, 03/15/18............................. 9,200 9,202,576
FMS Wertmanagement AoeR
1.125%, 09/05/17............................. 8,661 8,670,051
1.000%, 11/21/17............................. 18,977 18,971,136
KFW
0.875%, 12/15/17............................. 6,000 5,993,760
2.375%, 12/22/17............................. 18,400 18,685,734
1.000%, 01/26/18............................. 18,929 18,922,640
4.375%, 03/15/18............................. 13,250 13,853,418
1.000%, 09/07/18............................. 63,800 63,700,727
Landeskreditbank Baden- Wuerttemberg Foerderbank
1.000%, 04/23/18............................. 106,900 106,702,662
NRW Bank
1.375%, 08/20/18............................. 20,000 20,059,620
State of North Rhine- Westphalia
1.125%, 11/21/17............................. 49,000 48,993,238
1.250%, 02/20/18............................. 41,200 41,231,436
------------
TOTAL GERMANY.................................... 478,701,475
------------
JAPAN -- (6.6%)
Development Bank of Japan, Inc.
5.125%, 02/01/17............................. 14,000 14,140,994
1.500%, 03/13/17............................. 64,030 64,022,957
Japan Bank for International Cooperation
1.125%, 07/19/17............................. 79,600 79,457,516
Japan Finance Organization for Municipalities
1.500%, 09/12/17............................. 14,090 14,101,681
Nippon Telegraph & Telephone Corp.
1.400%, 07/18/17............................. 8,645 8,654,277
Toyota Motor Credit Corp.
1.125%, 05/16/17............................. 34,311 34,339,135
1.750%, 05/22/17............................. 2,075 2,083,013
FACE
AMOUNT^ VALUE+
------- ------
(000)
JAPAN -- (Continued)
1.250%, 10/05/17............................. 39,975 $ 40,052,871
1.375%, 01/10/18............................. 12,000 12,012,996
1.450%, 01/12/18............................. 27,041 27,098,597
1.200%, 04/06/18............................. 15,133 15,115,915
2.000%, 10/24/18............................. 5,985 6,061,608
------------
TOTAL JAPAN...................................... 317,141,560
------------
NETHERLANDS -- (8.2%)
Bank Nederlandse Gemeenten NV
1.375%, 09/27/17............................. 29,250 29,341,523
## 1.000%, 02/12/18............................. 27,900 27,866,102
1.375%, 03/19/18............................. 55,698 55,901,409
## 1.125%, 05/25/18............................. 20,000 19,994,340
## 1.000%, 09/20/18............................. 5,000 4,982,860
Cooperatieve Centrale Raiffeisen-Boerenleenbank
BA
1.700%, 03/19/18............................. 23,878 23,958,636
Nederlandse Waterschapsbank NV
1.250%, 09/18/17............................. 27,040 27,088,942
1.250%, 01/16/18............................. 33,500 33,544,220
## 1.500%, 04/16/18............................. 3,160 3,175,440
1.500%, 04/16/18............................. 49,000 49,239,414
0.875%, 07/13/18............................. 23,280 23,163,274
Shell International Finance BV
1.125%, 08/21/17............................. 19,750 19,761,670
1.250%, 11/10/17............................. 32,860 32,906,004
1.900%, 08/10/18............................. 43,230 43,660,441
------------
TOTAL NETHERLANDS................................ 394,584,275
------------
NORWAY -- (2.6%)
Kommunalbanken A.S.
1.000%, 09/26/17............................. 10,750 10,744,840
1.000%, 03/15/18............................. 10,750 10,735,617
## 1.000%, 03/15/18............................. 800 798,769
1.125%, 05/23/18............................. 72,450 72,435,075
Statoil ASA
3.125%, 08/17/17............................. 7,281 7,393,346
1.250%, 11/09/17............................. 9,000 9,000,540
1.200%, 01/17/18............................. 5,170 5,159,422
1.150%, 05/15/18............................. 10,268 10,237,175
------------
TOTAL NORWAY..................................... 126,504,784
------------
SINGAPORE -- (0.8%)
Singapore Government Bond
0.500%, 04/01/18............................. SGD 7,000 5,006,682
4.000%, 09/01/18............................. SGD 46,500 35,310,253
------------
TOTAL SINGAPORE.................................. 40,316,935
------------
32
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (3.6%)
African Development Bank
1.625%, 10/02/18............................. 12,750 $ 12,871,495
1.000%, 11/02/18............................. 5,000 4,986,845
Asian Development Bank
0.875%, 04/26/18............................. 15,500 15,470,658
European Investment Bank
1.000%, 12/15/17............................. 34,561 34,564,802
1.000%, 03/15/18............................. 16,000 15,991,952
1.000%, 06/15/18............................. 11,200 11,188,184
Inter-American Development Bank
# 1.250%, 01/16/18............................. 47,405 47,604,670
0.875%, 03/15/18............................. 10,000 9,989,570
Nordic Investment Bank
1.125%, 03/19/18............................. 20,000 20,031,600
------------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 172,699,776
------------
SWEDEN -- (5.7%)
Kommuninvest I Sverige AB
1.000%, 10/24/17............................. 28,300 28,286,133
1.000%, 01/29/18............................. 54,000 53,947,242
1.000%, 06/20/18............................. SEK 160,000 18,095,324
1.125%, 10/09/18............................. 28,000 27,993,700
Svensk Exportkredit AB
1.125%, 04/05/18............................. 107,185 107,216,084
Svenska Handelsbanken AB
2.875%, 04/04/17............................. 10,090 10,168,096
1.875%, 08/29/17............................. GBP 6,154 7,603,050
1.625%, 03/21/18............................. 18,592 18,637,866
------------
TOTAL SWEDEN..................................... 271,947,495
------------
SWITZERLAND -- (0.2%)
Nestle Holdings, Inc.
1.375%, 06/21/17............................. 7,939 7,952,996
------------
UNITED KINGDOM -- (1.0%)
Network Rail Infrastructure Finance P.L.C.
0.875%, 05/15/18............................. 48,000 47,803,200
------------
UNITED STATES -- (13.6%)
Apple, Inc.
1.300%, 02/23/18............................. $ 20,100 20,154,270
1.000%, 05/03/18............................. 9,869 9,855,963
Berkshire Hathaway Finance Corp
1.450%, 03/07/18............................. 25,705 25,832,805
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Berkshire Hathaway Finance Corp.
1.300%, 05/15/18............................. $ 3,630 $ 3,633,408
5.400%, 05/15/18............................. 4,400 4,676,659
Chevron Corp.
1.344%, 11/09/17............................. 42,416 42,503,801
1.345%, 11/15/17............................. 5,135 5,143,016
1.365%, 03/02/18............................. 72,368 72,485,743
Chevron Corp. Floating Rate Note
(r) 1.318%, 05/16/18............................. 1,703 1,710,309
Cisco Systems, Inc.
1.400%, 02/28/18............................. 86,950 87,277,454
1.650%, 06/15/18............................. 39,249 39,524,803
Coca-Cola Co. (The)
0.875%, 10/27/17............................. 20,000 19,982,380
1.650%, 03/14/18............................. 6,480 6,526,248
1.150%, 04/01/18............................. 12,326 12,342,147
Exxon Mobil Corp.
1.439%, 03/01/18............................. 101,100 101,460,826
1.305%, 03/06/18............................. 12,658 12,694,278
General Electric Co.
5.250%, 12/06/17............................. 7,600 7,942,099
1.625%, 04/02/18............................. 5,000 5,022,425
5.625%, 05/01/18............................. 46,369 49,437,422
International Business Machines Corp.
5.700%, 09/14/17............................. 4,000 4,160,440
1.125%, 02/06/18............................. 7,250 7,249,333
1.250%, 02/08/18............................. 11,515 11,531,466
Pfizer, Inc.
1.200%, 06/01/18............................. 86,210 86,265,260
Precision Castparts Corp.
1.250%, 01/15/18............................. 11,978 11,984,157
--------------
TOTAL UNITED STATES............................... 649,396,712
--------------
TOTAL BONDS....................................... 3,855,511,687
--------------
AGENCY OBLIGATIONS -- (10.6%)
Federal Home Loan Bank
# 5.000%, 11/17/17............................. 35,660 37,246,692
1.000%, 12/19/17............................. 30,000 30,087,600
1.250%, 06/08/18............................. 48,305 48,576,184
0.625%, 08/07/18............................. 60,000 59,756,820
0.875%, 10/01/18............................. 46,800 46,758,629
Federal Home Loan Mortgage Corporation
# 5.125%, 11/17/17............................. 45,616 47,688,973
1.000%, 12/15/17............................. 53,100 53,258,981
0.750%, 01/12/18............................. 30,000 29,993,490
0.750%, 04/09/18............................. 20,000 19,977,880
# 0.875%, 10/12/18............................. 30,000 29,969,370
Federal National Mortgage Association
0.875%, 12/20/17............................. 27,334 27,373,498
0.875%, 02/08/18............................. 10,000 10,010,850
33
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
1.125%, 07/20/18............................. 10,000 $ 10,040,020
1.875%, 09/18/18............................. 40,000 40,715,880
1.125%, 10/19/18............................. 15,000 15,057,765
--------------
TOTAL AGENCY OBLIGATIONS 506,512,632
--------------
U.S. TREASURY OBLIGATIONS -- (7.1%)
U.S. Treasury Notes
0.875%, 11/15/17............................. 32,000 32,046,240
2.250%, 11/30/17............................. 50,000 50,806,650
1.000%, 12/15/17............................. 110,000 110,313,720
# 0.750%, 12/31/17............................. 30,000 30,001,170
0.875%, 01/15/18............................. 35,000 35,056,070
2.625%, 01/31/18............................. 30,000 30,687,900
1.000%, 03/15/18............................. 35,000 35,106,645
2.875%, 03/31/18............................. 15,000 15,433,005
--------------
TOTAL U.S. TREASURY OBLIGATIONS.................. 339,451,400
--------------
TOTAL INVESTMENT SECURITIES 4,701,475,719
--------------
SHARES VALUE+
------ ------
SECURITIES LENDING COLLATERAL -- (1.8%)
(S)@ DFA Short Term Investment Fund................. 7,427,838 $ 85,954,946
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,791,369,001).............................. $4,787,430,665
==============
Summary of the Portfolio's investments as of October 31, 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................................... -- $ 360,670,915 -- $ 360,670,915
Austria..................................... -- 2,500,782 -- 2,500,782
Canada...................................... -- 615,829,937 -- 615,829,937
Denmark..................................... -- 118,480,865 -- 118,480,865
Finland..................................... -- 136,051,234 -- 136,051,234
France...................................... -- 114,928,746 -- 114,928,746
Germany..................................... -- 478,701,475 -- 478,701,475
Japan....................................... -- 317,141,560 -- 317,141,560
Netherlands................................. -- 394,584,275 -- 394,584,275
Norway...................................... -- 126,504,784 -- 126,504,784
Singapore................................... -- 40,316,935 -- 40,316,935
Supranational Organization Obligations...... -- 172,699,776 -- 172,699,776
Sweden...................................... -- 271,947,495 -- 271,947,495
Switzerland................................. -- 7,952,996 -- 7,952,996
United Kingdom.............................. -- 47,803,200 -- 47,803,200
United States............................... -- 649,396,712 -- 649,396,712
Agency Obligations........................... -- 506,512,632 -- 506,512,632
U.S. Treasury Obligations.................... -- 339,451,400 -- 339,451,400
Securities Lending Collateral................ -- 85,954,946 -- 85,954,946
Forward Currency Contracts**................. -- 1,596,698 -- 1,596,698
-- -------------- -- --------------
TOTAL........................................ -- $4,789,027,363 -- $4,789,027,363
== ============== == ==============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note G)
See accompanying Notes to Financial Statements.
34
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
FACE
AMOUNT^ VALUE+
------- ------
(000)
BONDS -- (94.9%)
AUSTRALIA -- (3.1%)
Commonwealth Bank of Australia
2.300%, 03/12/20............................. 3,100 $ 3,138,325
Macquarie Group, Ltd.
## 3.000%, 12/03/18............................. 4,475 4,571,208
National Australia Bank, Ltd.
## 2.400%, 12/09/19............................. 15,000 15,236,070
2.625%, 01/14/21............................. 1,905 1,947,562
Westpac Banking Corp.
4.875%, 11/19/19............................. 5,000 5,434,970
-----------
TOTAL AUSTRALIA.................................. 30,328,135
-----------
BELGIUM -- (0.8%)
Anheuser-Busch InBev Worldwide, Inc.
5.375%, 01/15/20............................. 7,000 7,777,105
-----------
CANADA -- (6.8%)
Bank of Nova Scotia (The)
2.050%, 06/05/19............................. 10,000 10,088,960
Brookfield Asset Management, Inc.
5.800%, 04/25/17............................. 4,150 4,231,037
Goldcorp, Inc.
3.625%, 06/09/21............................. 500 521,904
Province of Ontario Canada
1.875%, 05/21/20............................. 10,000 10,124,570
Royal Bank of Canada
2.150%, 03/06/20............................. 17,197 17,388,970
Thomson Reuters Corp.
6.500%, 07/15/18............................. 4,700 5,080,094
Toronto-Dominion Bank (The)
1.400%, 04/30/18............................. 10,605 10,611,543
2.250%, 11/05/19............................. 9,000 9,159,822
-----------
TOTAL CANADA..................................... 67,206,900
-----------
DENMARK -- (0.5%)
Danske Bank A.S.
## 2.800%, 03/10/21............................. 5,000 5,148,530
-----------
FRANCE -- (2.7%)
BPCE SA
2.500%, 07/15/19............................. 4,900 4,987,259
2.250%, 01/27/20............................. 2,000 2,021,194
Credit Agricole SA
## 2.750%, 06/10/20............................. 5,000 5,112,105
Electricite de France SA
## 2.350%, 10/13/20............................. 5,300 5,386,014
Total Capital SA
4.450%, 06/24/20............................. 8,000 8,729,648
-----------
TOTAL FRANCE..................................... 26,236,220
-----------
GERMANY -- (5.1%)
Bayer U.S. Finance LLC
## 2.375%, 10/08/19............................. 5,000 5,070,115
FACE
AMOUNT^ VALUE+
------- ------
(000)
GERMANY -- (Continued)
BMW US Capital LLC
## 2.000%, 04/11/21............................. 2,365 $ 2,367,479
Deutsche Bank AG
6.000%, 09/01/17............................. 4,000 4,101,832
2.950%, 08/20/20............................. 1,000 977,766
FMS Wertmanagement AoeR
1.000%, 11/21/17............................. 20,000 19,993,820
KFW
1.500%, 04/20/20............................. 14,000 14,065,926
Volkswagen Group of America Finance LLC
## 2.400%, 05/22/20............................. 3,625 3,657,458
-----------
TOTAL GERMANY.................................... 50,234,396
-----------
IRELAND -- (0.4%)
Actavis, Inc.
1.875%, 10/01/17............................. 1,860 1,867,343
Medtronic, Inc.
2.500%, 03/15/20............................. 2,000 2,052,958
-----------
TOTAL IRELAND.................................... 3,920,301
-----------
JAPAN -- (4.0%)
American Honda Finance Corp.
2.450%, 09/24/20............................. 5,000 5,122,060
Bank of Tokyo-Mitsubishi UFJ, Ltd. (The)
## 2.350%, 09/08/19............................. 3,000 3,033,420
Japan Finance Organization for Municipalities
1.375%, 02/05/18............................. 7,330 7,311,683
Mizuho Financial Group, Inc.
## 2.632%, 04/12/21............................. 4,000 4,039,620
MUFG Union Bank NA
2.625%, 09/26/18............................. 5,245 5,327,640
Nissan Motor Acceptance Corp.
## 2.550%, 03/08/21............................. 3,500 3,562,377
Sumitomo Mitsui Banking Corp.
2.450%, 01/10/19............................. 2,600 2,635,066
Sumitomo Mitsui Financial Group, Inc.
2.058%, 07/14/21............................. 3,000 2,957,280
Toyota Motor Credit Corp.
1.900%, 04/08/21............................. 5,000 5,019,510
-----------
TOTAL JAPAN...................................... 39,008,656
-----------
NETHERLANDS -- (6.6%)
ABN AMRO Bank NV
## 2.450%, 06/04/20............................. 2,400 2,434,181
Bank Nederlandse Gemeenten NV
1.375%, 09/27/17............................. 5,000 5,015,645
1.375%, 03/19/18............................. 5,000 5,018,260
1.750%, 03/24/20............................. 10,000 10,102,000
35
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
NETHERLANDS -- (Continued)
Cooperatieve Rabobank UA
2.250%, 01/14/19............................. 2,070 $ 2,097,202
ING Bank NV
## 2.750%, 03/22/21............................. 5,000 5,131,535
Mylan, Inc.
2.550%, 03/28/19............................. 4,400 4,456,874
Nederlandse Waterschapsbank NV
1.500%, 04/16/18............................. 5,000 5,024,430
Shell International Finance BV
4.375%, 03/25/20............................. 10,000 10,846,600
2.125%, 05/11/20............................. 3,620 3,651,436
2.250%, 11/10/20............................. 4,606 4,667,048
1.750%, 09/12/21............................. 7,000 6,918,205
-----------
TOTAL NETHERLANDS................................ 65,363,416
-----------
NORWAY -- (1.2%)
Kommunalbanken A.S.
1.375%, 06/08/17............................. 10,000 10,023,060
Statoil ASA
3.125%, 08/17/17............................. 2,200 2,233,946
-----------
TOTAL NORWAY..................................... 12,257,006
-----------
SPAIN -- (0.8%)
Santander UK P.L.C.
2.375%, 03/16/20............................. 5,000 5,034,670
Telefonica Emisiones SAU
3.192%, 04/27/18............................. 2,500 2,553,457
-----------
TOTAL SPAIN...................................... 7,588,127
-----------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (3.3%)
African Development Bank
0.875%, 03/15/18............................. 8,040 8,021,243
European Investment Bank
1.000%, 12/15/17............................. 15,000 15,001,650
Inter-American Development Bank
0.875%, 03/15/18............................. 10,000 9,989,570
-----------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 33,012,463
-----------
SWEDEN -- (2.0%)
Kommuninvest I Sverige AB
1.000%, 10/24/17............................. 4,000 3,998,040
Svenska Handelsbanken AB
2.400%, 10/01/20............................. 15,145 15,400,390
-----------
TOTAL SWEDEN..................................... 19,398,430
-----------
SWITZERLAND -- (0.8%)
Credit Suisse AG
2.300%, 05/28/19............................. 3,425 3,460,154
5.300%, 08/13/19............................. 3,016 3,294,485
FACE
AMOUNT^ VALUE+
------- ------
(000)
SWITZERLAND -- (Continued)
UBS AG
2.375%, 08/14/19............................. 667 $ 678,321
-----------
TOTAL SWITZERLAND................................ 7,432,960
-----------
UNITED KINGDOM -- (3.4%)
AstraZeneca P.L.C.
2.375%, 11/16/20............................. 5,000 5,090,435
Barclays P.L.C.
2.750%, 11/08/19............................. 8,000 8,064,144
BP Capital Markets P.L.C.
2.315%, 02/13/20............................. 2,600 2,640,932
HSBC USA, Inc.
2.375%, 11/13/19............................. 2,000 2,017,888
2.350%, 03/05/20............................. 3,825 3,836,930
Nationwide Building Society
## 2.350%, 01/21/20............................. 1,266 1,276,822
Network Rail Infrastructure Finance P.L.C.
0.875%, 05/15/18............................. 10,000 9,959,000
Unilever Capital Corp.
4.250%, 02/10/21............................. 1,000 1,103,339
-----------
TOTAL UNITED KINGDOM............................. 33,989,490
-----------
UNITED STATES -- (53.4%)
Abbott Laboratories
2.000%, 03/15/20............................. 8,500 8,571,298
AbbVie, Inc.
2.500%, 05/14/20............................. 6,350 6,430,537
Adobe Systems, Inc.
4.750%, 02/01/20............................. 4,000 4,372,564
Aflac, Inc.
2.650%, 02/15/17............................. 1,550 1,556,898
Agilent Technologies, Inc.
6.500%, 11/01/17............................. 596 625,142
Ameren Corp.
2.700%, 11/15/20............................. 1,000 1,029,363
American Express Credit Corp.
2.250%, 08/15/19............................. 3,500 3,557,533
Amgen, Inc.
2.200%, 05/22/19............................. 5,700 5,786,680
Anthem, Inc.
5.875%, 06/15/17............................. 2,990 3,073,810
1.875%, 01/15/18............................. 1,000 1,003,579
Apache Corp.
6.900%, 09/15/18............................. 4,890 5,350,966
Apple, Inc.
2.250%, 02/23/21............................. 8,558 8,716,015
2.850%, 05/06/21............................. 11,176 11,670,091
Assurant, Inc.
2.500%, 03/15/18............................. 5,000 5,049,250
AT&T, Inc.
1.400%, 12/01/17............................. 5,425 5,418,512
Autodesk, Inc.
1.950%, 12/15/17............................. 3,000 3,011,496
36
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Bank of America Corp.
2.600%, 01/15/19............................. 1,670 $ 1,697,737
2.650%, 04/01/19............................. 1,000 1,018,592
Bank of New York Mellon Corp. (The)
2.150%, 02/24/20............................. 3,600 3,635,665
Becton Dickinson and Co.
5.000%, 05/15/19............................. 1,000 1,082,701
6.375%, 08/01/19............................. 4,500 5,045,701
Berkshire Hathaway, Inc.
2.100%, 08/14/19............................. 4,125 4,204,043
Biogen, Inc.
2.900%, 09/15/20............................. 5,000 5,157,015
Boston Scientific Corp.
6.000%, 01/15/20............................. 2,000 2,238,624
Bristol-Myers Squibb Co.
1.750%, 03/01/19............................. 2,200 2,222,924
Buckeye Partners L.P.
6.050%, 01/15/18............................. 1,880 1,971,376
Capital One Financial Corp.
6.750%, 09/15/17............................. 2,000 2,090,390
Cardinal Health, Inc.
1.700%, 03/15/18............................. 5,000 5,015,565
Caterpillar Financial Services Corp.
2.450%, 09/06/18............................. 2,880 2,932,644
CBS Corp.
2.300%, 08/15/19............................. 6,638 6,722,701
Celgene Corp.
2.250%, 05/15/19............................. 5,000 5,056,375
Chevron Corp.
2.193%, 11/15/19............................. 10,000 10,196,050
2.419%, 11/17/20............................. 10,000 10,219,750
2.100%, 05/16/21............................. 2,200 2,215,924
Cisco Systems, Inc.
2.450%, 06/15/20............................. 6,270 6,435,584
2.200%, 02/28/21............................. 5,000 5,086,020
CNA Financial Corp.
7.350%, 11/15/19............................. 3,000 3,435,774
Comerica, Inc.
2.125%, 05/23/19............................. 700 704,655
ConocoPhillips
6.000%, 01/15/20............................. 1,500 1,683,984
CVS Health Corp.
2.250%, 08/12/19............................. 600 610,250
2.800%, 07/20/20............................. 2,665 2,746,293
Dollar General Corp.
1.875%, 04/15/18............................. 4,000 4,016,940
Dominion Resources, Inc.
2.500%, 12/01/19............................. 6,167 6,320,552
DTE Energy Co.
2.400%, 12/01/19............................. 2,210 2,248,299
eBay, Inc.
2.200%, 08/01/19............................. 8,500 8,588,187
Enbridge Energy Partners L.P.
5.875%, 12/15/16............................. 1,942 1,951,401
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Exelon Generation Co. LLC
6.200%, 10/01/17............................. 4,000 $ 4,169,968
Express Scripts Holding Co.
2.250%, 06/15/19............................. 5,865 5,935,732
Exxon Mobil Corp.
1.305%, 03/06/18............................. 8,988 9,013,760
1.912%, 03/06/20............................. 5,009 5,068,817
2.222%, 03/01/21............................. 2,800 2,841,524
Fifth Third Bancorp
2.300%, 03/01/19............................. 2,270 2,286,162
Fifth Third Bank
2.375%, 04/25/19............................. 1,615 1,640,913
FMC Technologies, Inc.
2.000%, 10/01/17............................. 2,500 2,503,157
Ford Motor Credit Co. LLC
5.000%, 05/15/18............................. 5,000 5,233,955
2.375%, 03/12/19............................. 1,000 1,008,579
Fortune Brands Home & Security, Inc.
3.000%, 06/15/20............................. 3,000 3,085,908
GATX Corp.
2.500%, 03/15/19............................. 3,000 3,043,710
GE Capital International Funding Co., Unlimited
Co.
2.342%, 11/15/20............................. 23,715 24,198,051
General Electric Co.
2.200%, 01/09/20............................. 3,209 3,255,810
Gilead Sciences, Inc.
2.550%, 09/01/20............................. 6,118 6,280,549
Goldman Sachs Group, Inc. (The)
5.950%, 01/18/18............................. 2,000 2,104,272
5.250%, 07/27/21............................. 5,000 5,615,520
Halliburton Co.
6.150%, 09/15/19............................. 3,000 3,349,671
Harley-Davidson Financial Services, Inc.
## 2.150%, 02/26/20............................. 5,000 5,027,075
Hershey Co. (The)
4.125%, 12/01/20............................. 300 328,383
Humana, Inc.
2.625%, 10/01/19............................. 2,000 2,040,112
Huntington Bancshares, Inc.
# 2.600%, 08/02/18............................. 5,000 5,071,140
International Business Machines Corp.
# 1.950%, 02/12/19............................. 8,575 8,695,590
Jefferies Group LLC
5.125%, 04/13/18............................. 1,875 1,952,749
Johnson & Johnson
1.650%, 03/01/21............................. 1,077 1,083,983
JPMorgan Chase & Co.
6.300%, 04/23/19............................. 548 607,450
2.250%, 01/23/20............................. 4,000 4,033,420
KeyBank NA
1.650%, 02/01/18............................. 820 822,510
37
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
KeyCorp
2.900%, 09/15/20............................. 2,142 $ 2,205,697
Kroger Co. (The)
2.300%, 01/15/19............................. 3,000 3,047,682
L-3 Communications Corp.
4.750%, 07/15/20............................. 1,553 1,686,091
Legg Mason, Inc.
2.700%, 07/15/19............................. 5,425 5,529,019
Lockheed Martin Corp.
2.500%, 11/23/20............................. 3,500 3,591,056
Manufacturers & Traders Trust Co.
2.100%, 02/06/20............................. 7,800 7,853,945
Marathon Petroleum Corp.
3.400%, 12/15/20............................. 3,500 3,632,370
Marsh & McLennan Cos., Inc.
2.350%, 09/10/19............................. 2,200 2,230,452
Mattel, Inc.
2.350%, 05/06/19............................. 6,000 6,073,398
McDonald's Corp.
5.350%, 03/01/18............................. 870 916,241
McKesson Corp.
1.400%, 03/15/18............................. 4,407 4,398,318
Mead Johnson Nutrition Co.
3.000%, 11/15/20............................. 2,800 2,894,864
Merck & Co., Inc.
# 3.875%, 01/15/21............................. 7,155 7,755,956
Microsoft Corp.
1.850%, 02/12/20............................. 2,000 2,022,916
3.000%, 10/01/20............................. 5,000 5,271,230
Monsanto Co.
2.125%, 07/15/19............................. 2,500 2,523,455
Morgan Stanley
6.250%, 08/28/17............................. 1,000 1,040,048
7.300%, 05/13/19............................. 1,800 2,035,318
2.375%, 07/23/19............................. 1,365 1,383,746
NextEra Energy Capital Holdings, Inc.
2.400%, 09/15/19............................. 3,850 3,921,194
NiSource Finance Corp.
6.400%, 03/15/18............................. 1,194 1,269,394
Nordstrom, Inc.
4.750%, 05/01/20............................. 5,225 5,677,166
Nucor Corp.
5.750%, 12/01/17............................. 7,160 7,472,835
Omnicom Group, Inc.
4.450%, 08/15/20............................. 1,000 1,087,299
Oracle Corp.
5.000%, 07/08/19............................. 3,000 3,279,150
1.900%, 09/15/21............................. 15,000 14,953,530
Pacific Gas & Electric Co.
3.500%, 10/01/20............................. 100 105,940
PepsiCo, Inc.
4.500%, 01/15/20............................. 1,700 1,859,844
PG&E Corp.
2.400%, 03/01/19............................. 5,000 5,081,165
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
PNC Bank NA
2.400%, 10/18/19............................. 2,000 $2,042,560
2.600%, 07/21/20............................. 1,000 1,024,447
Principal Financial Group, Inc.
1.850%, 11/15/17............................. 5,707 5,727,637
Progress Energy, Inc.
4.400%, 01/15/21............................. 1,500 1,633,095
Prudential Financial, Inc.
6.000%, 12/01/17............................. 250 261,953
Reinsurance Group of America, Inc.
5.625%, 03/15/17............................. 1,000 1,015,245
Republic Services, Inc.
3.800%, 05/15/18............................. 2,527 2,617,388
Reynolds American, Inc.
2.300%, 08/21/17............................. 2,000 2,015,100
Scripps Networks Interactive, Inc.
2.750%, 11/15/19............................. 6,000 6,136,110
Southern Co. (The)
2.750%, 06/15/20............................. 5,000 5,135,180
Southwest Airlines Co.
2.750%, 11/06/19............................. 5,000 5,148,365
Starwood Hotels & Resorts Worldwide, Inc.
6.750%, 05/15/18............................. 1,000 1,076,847
State Street Corp.
2.550%, 08/18/20............................. 2,000 2,060,120
Stryker Corp.
2.625%, 03/15/21............................. 2,400 2,445,595
Symantec Corp.
2.750%, 06/15/17............................. 4,000 4,029,524
Tech Data Corp.
3.750%, 09/21/17............................. 2,500 2,545,315
Thermo Fisher Scientific, Inc.
2.400%, 02/01/19............................. 6,599 6,709,216
TIAA Asset Management Finance Co. LLC
## 2.950%, 11/01/19............................. 4,972 5,113,826
Time Warner, Inc.
4.875%, 03/15/20............................. 2,635 2,876,408
Tyson Foods, Inc.
2.650%, 08/15/19............................. 5,000 5,111,320
Union Pacific Corp.
1.800%, 02/01/20............................. 2,498 2,531,473
4.000%, 02/01/21............................. 1,470 1,596,999
UnitedHealth Group, Inc.
2.300%, 12/15/19............................. 5,000 5,109,650
2.700%, 07/15/20............................. 1,930 1,989,708
Verizon Communications, Inc.
3.650%, 09/14/18............................. 1,000 1,037,463
4.600%, 04/01/21............................. 1,197 1,316,038
Wal-Mart Stores, Inc.
3.625%, 07/08/20............................. 1,500 1,611,548
Walgreens Boots Alliance, Inc.
2.700%, 11/18/19............................. 5,000 5,130,355
Wells Fargo & Co.
2.125%, 04/22/19............................. 1,000 1,011,144
2.150%, 01/30/20............................. 3,250 3,275,753
38
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Wisconsin Electric Power Co.
1.700%, 06/15/18............................. 535 $ 538,993
Wyndham Worldwide Corp.
2.500%, 03/01/18............................. 7,405 7,473,067
Xerox Corp.
2.750%, 03/15/19............................. 5,800 5,855,077
------------
TOTAL UNITED STATES.............................. 526,075,758
------------
TOTAL BONDS...................................... 934,977,893
------------
U.S. TREASURY OBLIGATIONS -- (4.3%)
U.S. Treasury Notes
1.125%, 04/30/20............................. 32,300 32,306,299
1.625%, 11/30/20............................. 10,000 10,158,590
------------
TOTAL U.S. TREASURY OBLIGATIONS.................. 42,464,889
------------
TOTAL INVESTMENT SECURITIES...................... 977,442,782
------------
SHARES VALUE+
------ ------
SECURITIES LENDING COLLATERAL -- (0.8%)
(S)@ DFA Short Term Investment Fund............... 646,387 $ 7,479,992
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $978,743,423).............................. $984,922,774
============
Summary of the Portfolio's investments as of October 31, 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......................... -- $ 30,328,135 -- $ 30,328,135
Belgium........................... -- 7,777,105 -- 7,777,105
Canada............................ -- 67,206,900 -- 67,206,900
Denmark........................... -- 5,148,530 -- 5,148,530
France............................ -- 26,236,220 -- 26,236,220
Germany........................... -- 50,234,396 -- 50,234,396
Ireland........................... -- 3,920,301 -- 3,920,301
Japan............................. -- 39,008,656 -- 39,008,656
Netherlands....................... -- 65,363,416 -- 65,363,416
Norway............................ -- 12,257,006 -- 12,257,006
Spain............................. -- 7,588,127 -- 7,588,127
Supranational Organization
Obligations..................... -- 33,012,463 -- 33,012,463
Sweden............................ -- 19,398,430 -- 19,398,430
Switzerland....................... -- 7,432,960 -- 7,432,960
United Kingdom.................... -- 33,989,490 -- 33,989,490
United States..................... -- 526,075,758 -- 526,075,758
U.S. Treasury Obligations.......... -- 42,464,889 -- 42,464,889
Securities Lending Collateral...... -- 7,479,992 -- 7,479,992
Forward Currency Contracts**....... -- (1,684,049) -- (1,684,049)
-- ------------ -- ------------
TOTAL.............................. -- $983,238,725 -- $983,238,725
== ============ == ============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note G)
See accompanying Notes to Financial Statements.
39
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
FACE
AMOUNT^ VALUE+
------- ------
(000)
BONDS -- (98.1%)
AUSTRALIA -- (8.7%)
Australia & New Zealand Banking Group, Ltd.
2.250%, 06/13/19............................. 261,561 $ 264,967,309
# 5.100%, 01/13/20............................. 8,962 9,829,530
2.700%, 11/16/20............................. 18,300 18,828,815
Commonwealth Bank of Australia
2.250%, 03/13/19............................. 45,012 45,611,605
2.300%, 09/06/19............................. 110,025 111,678,126
2.300%, 03/12/20............................. 78,537 79,507,953
2.400%, 11/02/20............................. 23,935 24,291,153
National Australia Bank, Ltd.
2.250%, 07/01/19............................. 132,250 134,014,744
## 2.400%, 12/09/19............................. 5,000 5,078,690
2.625%, 07/23/20............................. 57,207 58,616,523
2.625%, 01/14/21............................. 19,900 20,344,606
1.875%, 07/12/21............................. 3,550 3,522,629
Westpac Banking Corp.
2.250%, 01/17/19............................. 139,489 141,332,208
4.875%, 11/19/19............................. 7,601 8,262,241
2.300%, 05/26/20............................. 83,559 84,681,866
2.600%, 11/23/20............................. 74,195 75,873,736
----------------
TOTAL AUSTRALIA................................... 1,086,441,734
----------------
AUSTRIA -- (2.0%)
Oesterreichische Kontrollbank AG
1.375%, 02/10/20............................. 43,500 43,509,483
1.500%, 10/21/20............................. 119,886 119,991,380
1.875%, 01/20/21............................. 92,200 93,290,818
----------------
TOTAL AUSTRIA..................................... 256,791,681
----------------
BELGIUM -- (0.9%)
Dexia Credit Local SA
2.250%, 01/30/19............................. 55,278 56,012,589
1.875%, 01/29/20............................. 51,000 51,010,047
----------------
TOTAL BELGIUM..................................... 107,022,636
----------------
CANADA -- (14.9%)
Alberta, Province of Canada
### 1.750%, 08/26/20............................. 219,600 221,429,707
1.750%, 08/26/20............................. 10,000 10,082,110
Bank of Nova Scotia (The)
2.050%, 06/05/19............................. 120,580 121,652,680
2.350%, 10/21/20............................. 89,537 90,857,850
4.375%, 01/13/21............................. 6,321 6,915,711
2.450%, 03/22/21............................. 85,605 87,165,922
Province of Manitoba Canada
2.050%, 11/30/20............................. 176,000 179,447,312
Province of Ontario Canada
1.650%, 09/27/19............................. 64,691 65,062,650
4.000%, 10/07/19............................. 27,031 29,000,749
FACE
AMOUNT^ VALUE+
------- ------
(000)
CANADA -- (Continued)
4.400%, 04/14/20............................. 58,213 $ 63,867,287
# 1.875%, 05/21/20............................. 188,950 191,303,750
2.500%, 09/10/21............................. 4,000 4,140,280
Province of Quebec Canada
3.500%, 07/29/20............................. 133,326 142,882,941
Royal Bank of Canada
2.150%, 03/15/19............................. 54,695 55,414,458
2.150%, 03/06/20............................. 55,000 55,613,965
2.350%, 10/30/20............................. 124,725 126,703,762
2.500%, 01/19/21............................. 56,250 57,702,881
Toronto-Dominion Bank (The)
2.125%, 07/02/19............................. 71,670 72,698,608
2.250%, 11/05/19............................. 53,875 54,831,712
2.500%, 12/14/20............................. 144,820 148,196,913
2.125%, 04/07/21............................. 75,912 76,452,873
1.800%, 07/13/21............................. 5,000 4,969,170
----------------
TOTAL CANADA..................................... 1,866,393,291
----------------
DENMARK -- (1.8%)
Nordea Bank AB
2.375%, 04/04/19............................. 71,805 72,937,796
## 4.875%, 01/27/20............................. 10,000 10,918,240
4.875%, 01/27/20............................. 14,161 15,460,437
## 2.500%, 09/17/20............................. 74,125 75,549,015
## 2.250%, 05/27/21............................. 55,541 55,988,772
----------------
TOTAL DENMARK.................................... 230,854,260
----------------
FINLAND -- (0.2%)
Municipality Finance P.L.C.
1.500%, 03/23/20............................. 19,200 19,218,086
----------------
FRANCE -- (4.4%)
Agence Francaise de Developpement
1.625%, 01/21/20............................. 233,464 234,028,283
Caisse d'Amortissement de la Dette Sociale
2.000%, 03/22/21............................. 58,200 59,032,027
Sanofi
4.000%, 03/29/21............................. 10,430 11,392,689
Total Capital International SA
2.125%, 01/10/19............................. 39,900 40,497,742
2.100%, 06/19/19............................. 74,583 75,837,113
Total Capital SA
4.450%, 06/24/20............................. 115,834 126,398,756
----------------
TOTAL FRANCE..................................... 547,186,610
----------------
GERMANY -- (5.0%)
FMS Wertmanagement AoeR
# 1.375%, 06/08/21............................. 20,000 19,827,300
KFW
1.500%, 04/20/20............................. 325,500 327,032,779
2.750%, 09/08/20............................. 22,000 23,112,826
40
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
GERMANY -- (Continued)
NRW Bank
2.000%, 09/23/19.............................. 90,200 $ 91,529,007
State of North Rhine-Westphalia
1.625%, 01/22/20.............................. 163,500 164,044,455
----------------
TOTAL GERMANY...................................... 625,546,367
----------------
JAPAN -- (3.2%)
Japan Bank for International Cooperation
1.750%, 05/28/20.............................. 41,150 41,191,356
Japan Finance Organization for Municipalities
2.125%, 03/06/19.............................. 25,000 25,202,300
Toyota Motor Credit Corp.
2.125%, 07/18/19.............................. 24,219 24,617,112
2.150%, 03/12/20.............................. 156,896 159,392,372
4.500%, 06/17/20.............................. 287 314,348
4.250%, 01/11/21.............................. 12,296 13,492,831
1.900%, 04/08/21.............................. 129,049 129,552,549
2.750%, 05/17/21.............................. 13,695 14,227,188
----------------
TOTAL JAPAN........................................ 407,990,056
----------------
NETHERLANDS -- (8.6%)
Bank Nederlandse Gemeenten NV
1.750%, 03/24/20.............................. 179,600 181,431,920
4.375%, 02/16/21.............................. 15,000 16,688,325
1.625%, 04/19/21.............................. 156,100 156,066,126
Cooperatieve Rabobank UA
2.250%, 01/14/19.............................. 118,157 119,709,701
4.500%, 01/11/21.............................. 8,139 8,952,574
2.500%, 01/19/21.............................. 76,554 78,156,505
Nederlandse Waterschapsbank NV
1.750%, 09/05/19.............................. 14,000 14,122,738
1.625%, 03/04/20.............................. 131,400 132,006,542
Shell International Finance BV
2.000%, 11/15/18.............................. 4,380 4,435,254
4.300%, 09/22/19.............................. 31,500 33,820,448
4.375%, 03/25/20.............................. 15,330 16,627,838
2.125%, 05/11/20.............................. 133,665 134,825,747
2.250%, 11/10/20.............................. 117,260 118,814,164
1.875%, 05/10/21.............................. 64,820 64,399,902
----------------
TOTAL NETHERLANDS.................................. 1,080,057,784
----------------
NORWAY -- (1.2%)
Kommunalbanken A.S.
1.500%, 10/22/19.............................. 41,900 42,033,535
1.625%, 01/15/20.............................. 30,000 30,160,140
1.625%, 02/10/21.............................. 8,000 8,013,128
Statoil ASA
2.250%, 11/08/19.............................. 62,422 63,517,506
2.900%, 11/08/20.............................. 7,763 8,082,805
----------------
TOTAL NORWAY....................................... 151,807,114
----------------
FACE
AMOUNT^ VALUE+
------- ------
(000)
SINGAPORE -- (0.9%)
Singapore Government Bond
2.250%, 06/01/21............................. SGD 57,500 $ 43,061,456
1.250%, 10/01/21............................. SGD 97,000 69,407,030
Temasek Financial I, Ltd.
3.265%, 02/19/20............................. SGD 1,000 761,351
----------------
TOTAL SINGAPORE.................................. 113,229,837
----------------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (8.5%)
Asian Development Bank
1.625%, 03/16/21............................. 64,333 64,771,558
Council Of Europe Development Bank
1.625%, 03/16/21............................. 24,000 24,074,472
EUROFIMA
1.750%, 05/29/20............................. 188,440 190,265,418
European Investment Bank
1.625%, 03/16/20............................. 204,500 206,478,666
2.875%, 09/15/20............................. 41,933 44,187,528
1.625%, 12/15/20............................. 69,500 69,990,354
4.000%, 02/16/21............................. 10,000 11,020,430
2.000%, 03/15/21............................. 30,000 30,601,800
Inter-American Development Bank
1.875%, 06/16/20............................. 182,800 185,935,203
2.125%, 11/09/20............................. 65,054 66,815,272
International Bank for Reconstruction &
Development
2.125%, 11/01/20............................. 35,000 35,987,210
1.625%, 03/09/21............................. 60,000 60,425,315
# 1.375%, 05/24/21............................. 63,506 63,160,459
2.250%, 06/24/21............................. 10,000 10,319,400
----------------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 1,064,033,085
----------------
SWEDEN -- (5.4%)
Kommuninvest I Sverige AB
2.000%, 11/12/19............................. 93,979 95,659,345
Svensk Exportkredit AB
1.750%, 08/28/20............................. 200,920 202,604,312
1.750%, 03/10/21............................. 76,885 77,479,167
Svenska Handelsbanken AB
2.500%, 01/25/19............................. 73,906 75,393,506
2.250%, 06/17/19............................. 119,548 121,325,081
## 5.125%, 03/30/20............................. 65,368 72,173,528
2.400%, 10/01/20............................. 31,700 32,234,557
----------------
TOTAL SWEDEN..................................... 676,869,496
----------------
SWITZERLAND -- (0.1%)
Novartis Capital Corp.
4.400%, 04/24/20............................. 15,095 16,484,449
----------------
41
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (32.3%)
3M Co.
2.000%, 08/07/20............................. 116,667 $ 119,212,091
Alphabet, Inc.
3.625%, 05/19/21............................. 11,075 12,090,168
Apple, Inc.
2.100%, 05/06/19............................. 56,158 57,250,947
1.550%, 02/07/20............................. 38,312 38,407,703
2.000%, 05/06/20............................. 82,835 84,131,533
2.250%, 02/23/21............................. 142,671 145,305,277
2.850%, 05/06/21............................. 23,968 25,027,625
Automatic Data Processing, Inc.
2.250%, 09/15/20............................. 59,281 60,797,171
Berkshire Hathaway Finance Corp.
2.900%, 10/15/20............................. 5,022 5,229,394
4.250%, 01/15/21............................. 2,689 2,958,026
Berkshire Hathaway, Inc.
2.100%, 08/14/19............................. 60,292 61,447,315
# 2.200%, 03/15/21............................. 179,093 183,032,151
Chevron Corp.
2.193%, 11/15/19............................. 26,867 27,393,728
1.961%, 03/03/20............................. 202,132 204,369,803
2.427%, 06/24/20............................. 32,440 33,250,578
2.419%, 11/17/20............................. 80,284 82,048,241
2.100%, 05/16/21............................. 21,860 22,018,223
Cisco Systems, Inc.
4.450%, 01/15/20............................. 66,218 72,053,660
2.450%, 06/15/20............................. 264,880 271,875,216
2.200%, 02/28/21............................. 17,000 17,292,468
Coca-Cola Co. (The)
1.875%, 10/27/20............................. 243,988 246,568,661
2.450%, 11/01/20............................. 3,271 3,381,373
3.150%, 11/15/20............................. 6,250 6,635,838
Exxon Mobil Corp.
1.819%, 03/15/19............................. 54,340 54,946,000
1.912%, 03/06/20............................. 151,699 153,510,589
2.222%, 03/01/21............................. 142,560 144,674,165
GE Capital International Funding Co., Unlimited
Co.
2.342%, 11/15/20............................. 353,667 360,870,843
International Business Machines Corp.
# 1.950%, 02/12/19............................. 14,159 14,358,118
# 1.625%, 05/15/20............................. 103,458 103,672,055
2.250%, 02/19/21............................. 107,597 109,868,050
Johnson & Johnson
1.650%, 03/01/21............................. 70,389 70,845,402
Merck & Co., Inc.
1.850%, 02/10/20............................. 198,508 200,710,049
3.875%, 01/15/21............................. 16,460 17,842,492
Microsoft Corp.
1.850%, 02/12/20............................. 135,631 137,185,060
3.000%, 10/01/20............................. 6,000 6,325,476
2.000%, 11/03/20............................. 217,317 220,445,930
Oracle Corp.
3.875%, 07/15/20............................. 14,646 15,798,567
2.800%, 07/08/21............................. 35,198 36,524,753
1.900%, 09/15/21............................. 17,519 17,464,726
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Pfizer, Inc.
2.100%, 05/15/19............................. 202,225 $ 205,698,417
1.950%, 06/03/21............................. 129,165 129,769,492
Procter & Gamble Co. (The)
1.900%, 11/01/19............................. 19,756 20,082,824
1.850%, 02/02/21............................. 48,391 48,878,055
U.S. Bank NA
2.125%, 10/28/19............................. 158,605 161,278,604
Wal-Mart Stores, Inc.
3.625%, 07/08/20............................. 11,300 12,140,325
3.250%, 10/25/20............................. 15,319 16,316,757
4.250%, 04/15/21............................. 6,596 7,322,200
---------------
TOTAL UNITED STATES................................ 4,048,306,139
---------------
TOTAL BONDS........................................ 12,298,232,625
---------------
AGENCY OBLIGATIONS -- (1.1%)
Federal Home Loan Bank
# 1.375%, 02/18/21............................. 10,000 10,009,630
Federal Home Loan Mortgage Corporation
# 1.375%, 05/01/20............................. 40,000 40,321,960
Federal National Mortgage Association
# 1.500%, 11/30/20............................. 63,000 63,490,329
1.250%, 05/06/21............................. 30,000 29,811,780
---------------
TOTAL AGENCY OBLIGATIONS........................... 143,633,699
---------------
U.S. TREASURY OBLIGATIONS -- (0.3%)
U.S. Treasury Notes
1.625%, 07/31/20............................. 40,000 40,671,880
---------------
TOTAL INVESTMENT SECURITIES........................ 12,482,538,204
---------------
SHARES
------
SECURITIES LENDING COLLATERAL -- (0.5%)
(S)@ DFA Short Term Investment Fund............... 5,121,372 59,264,513
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $12,430,697,138)........................... $12,541,802,717
===============
42
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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......................... -- $ 1,086,441,734 -- $ 1,086,441,734
Austria........................... -- 256,791,681 -- 256,791,681
Belgium........................... -- 107,022,636 -- 107,022,636
Canada............................ -- 1,866,393,291 -- 1,866,393,291
Denmark........................... -- 230,854,260 -- 230,854,260
Finland........................... -- 19,218,086 -- 19,218,086
France............................ -- 547,186,610 -- 547,186,610
Germany........................... -- 625,546,367 -- 625,546,367
Japan............................. -- 407,990,056 -- 407,990,056
Netherlands....................... -- 1,080,057,784 -- 1,080,057,784
Norway............................ -- 151,807,114 -- 151,807,114
Singapore......................... -- 113,229,837 -- 113,229,837
Supranational Organization
Obligations..................... -- 1,064,033,085 -- 1,064,033,085
Sweden............................ -- 676,869,496 -- 676,869,496
Switzerland....................... -- 16,484,449 -- 16,484,449
United States..................... -- 4,048,306,139 -- 4,048,306,139
Agency Obligations................. -- 143,633,699 -- 143,633,699
U.S. Treasury Obligations.......... -- 40,671,880 -- 40,671,880
Securities Lending Collateral...... -- 59,264,513 -- 59,264,513
Forward Currency Contracts**....... -- 1,499,520 -- 1,499,520
-- --------------- -- ---------------
TOTAL.............................. -- $12,543,302,237 -- $12,543,302,237
== =============== == ===============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note G)
See accompanying Notes to Financial Statements.
43
DFA WORLD EX U.S. GOVERNMENT FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
FACE
AMOUNT^ VALUE+
------- ------
(000)
BONDS -- (95.1%)
AUSTRIA -- (3.6%)
Austria Government Bond
## 1.650%, 10/21/24............................. EUR 13,650 $16,880,253
## 4.850%, 03/15/26............................. EUR 6,550 10,308,107
-----------
TOTAL AUSTRIA.................................... 27,188,360
-----------
BELGIUM -- (3.9%)
Belgium Government Bond
5.500%, 03/28/28............................. EUR 10,200 17,501,845
## 1.000%, 06/22/31............................. EUR 10,500 11,891,176
-----------
TOTAL BELGIUM.................................... 29,393,021
-----------
CANADA -- (11.2%)
Alberta, Province of Canada
2.550%, 12/15/22............................. CAD 1,650 1,299,740
2.900%, 09/20/29............................. CAD 11,300 8,745,305
British Columbia, Province of Canada
2.850%, 06/18/25............................. CAD 21,100 16,974,701
5.700%, 06/18/29............................. CAD 9,158 9,316,403
Manitoba, Province of Canada
3.300%, 06/02/24............................. CAD 10,750 8,803,892
3.250%, 09/05/29............................. CAD 25,200 20,106,079
Ontario, Province of Canada
1.875%, 05/21/24............................. EUR 6,800 8,355,151
6.500%, 03/08/29............................. CAD 9,600 10,279,436
-----------
TOTAL CANADA..................................... 83,880,707
-----------
DENMARK -- (3.6%)
Denmark Government Bond
1.750%, 11/15/25............................. DKK 163,380 27,281,094
-----------
FINLAND -- (3.7%)
Finland Government Bond
## 2.750%, 07/04/28............................. EUR 19,950 27,844,073
-----------
FRANCE -- (23.5%)
Caisse d'Amortissement de la Dette Sociale
1.375%, 11/25/24............................. EUR 19,950 23,982,600
France Government Bond OAT
2.250%, 05/25/24............................. EUR 22,950 29,364,081
0.500%, 05/25/25............................. EUR 10,450 11,727,075
6.000%, 10/25/25............................. EUR 5,650 9,382,407
1.000%, 11/25/25............................. EUR 6,000 6,985,907
3.500%, 04/25/26............................. EUR 14,800 20,996,103
2.750%, 10/25/27............................. EUR 26,500 36,031,348
FACE
AMOUNT^ VALUE+
------- ------
(000)
FRANCE -- (Continued)
SNCF Mobilites Group
5.375%, 03/18/27............................. GBP 5,100 $ 8,135,537
SNCF Reseau
3.125%, 10/25/28............................. EUR 6,600 9,193,518
5.250%, 12/07/28............................. GBP 12,123 19,708,042
UNEDIC
2.375%, 05/25/24............................. EUR 1,000 1,281,420
------------
TOTAL FRANCE..................................... 176,788,038
------------
GERMANY -- (7.3%)
Bundesrepublik Deutschland
4.750%, 07/04/28............................. EUR 2,950 4,930,602
Deutsche Bahn Finance BV
3.125%, 07/24/26............................. GBP 15,550 21,257,584
KFW
2.050%, 02/16/26............................. JPY 2,499,000 28,757,850
------------
TOTAL GERMANY.................................... 54,946,036
------------
NETHERLANDS -- (5.4%)
Bank Nederlandse Gemeenten NV
2.250%, 07/17/23............................. EUR 4,000 5,041,923
1.125%, 09/04/24............................. EUR 6,976 8,231,636
Nederlandse Waterschapsbank NV
3.000%, 11/16/23............................. EUR 4,700 6,211,433
Netherlands Government Bond
5.500%, 01/15/28............................. EUR 12,150 21,001,862
------------
TOTAL NETHERLANDS................................ 40,486,854
------------
NORWAY -- (1.4%)
Norway Government Bond
## 1.500%, 02/19/26............................. NOK 85,000 10,394,827
------------
SINGAPORE -- (2.3%)
Singapore Government Bond
3.125%, 09/01/22............................. SGD 4,270 3,343,874
2.750%, 07/01/23............................. SGD 13,180 10,131,903
3.000%, 09/01/24............................. SGD 1,900 1,487,907
3.500%, 03/01/27............................. SGD 2,300 1,887,942
------------
TOTAL SINGAPORE.................................. 16,851,626
------------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (12.6%)
Asian Development Bank
2.350%, 06/21/27............................. JPY 2,430,000 29,166,349
44
DFA WORLD EX U.S. GOVERNMENT FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (Continued)
European Financial Stability Facility
1.750%, 06/27/24.............................. EUR 8,325 $ 10,371,536
European Investment Bank
1.250%, 05/12/25.............................. SEK 65,000 7,400,752
1.900%, 01/26/26.............................. JPY 1,721,000 19,500,947
6.000%, 12/07/28.............................. GBP 1,300 2,311,550
European Union
0.625%, 11/04/23.............................. EUR 9,400 10,872,356
3.000%, 09/04/26.............................. EUR 6,925 9,678,309
2.875%, 04/04/28.............................. EUR 3,460 4,884,886
------------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS....... 94,186,685
------------
SWEDEN -- (3.9%)
Sweden Government Bond
1.500%, 11/13/23.............................. SEK 160,500 19,850,706
1.000%, 11/12/26.............................. SEK 77,400 9,191,851
------------
TOTAL SWEDEN....................................... 29,042,557
------------
UNITED KINGDOM -- (12.7%)
United Kingdom Gilt
4.250%, 12/07/27.............................. GBP 30,875 49,088,421
4.750%, 12/07/30.............................. GBP 26,900 46,444,548
------------
TOTAL UNITED KINGDOM............................... 95,532,969
------------
TOTAL BONDS........................................ 713,816,847
------------
FACE
AMOUNT^ VALUE+
------- ------
(000)
AGENCY OBLIGATIONS -- (0.9%)
Federal Home Loan Bank
5.750%, 06/12/26.............................. 2,000 $ 2,623,494
Federal National Mortgage Association
2.625%, 09/06/24.............................. 1,000 1,054,949
7.250%, 05/15/30.............................. 2,000 3,088,838
------------
TOTAL AGENCY OBLIGATIONS............................ 6,767,281
------------
U.S. TREASURY OBLIGATIONS -- (4.0%)
U.S. Treasury Bonds
5.375%, 02/15/31.............................. 3,150 4,476,200
U.S. Treasury Notes
1.750%, 05/15/23.............................. 3,630 3,669,705
2.125%, 05/15/25.............................. 21,600 22,218,473
------------
TOTAL U.S. TREASURY OBLIGATIONS..................... 30,364,378
------------
TOTAL INVESTMENT SECURITIES......................... 750,948,506
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $765,760,200)............................... $750,948,506
============
45
DFA WORLD EX U.S. GOVERNMENT FIXED INCOME PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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
Austria.......................................... -- $ 27,188,360 -- $ 27,188,360
Belgium.......................................... -- 29,393,021 -- 29,393,021
Canada........................................... -- 83,880,707 -- 83,880,707
Denmark.......................................... -- 27,281,094 -- 27,281,094
Finland.......................................... -- 27,844,073 -- 27,844,073
France........................................... -- 176,788,038 -- 176,788,038
Germany.......................................... -- 54,946,036 -- 54,946,036
Netherlands...................................... -- 40,486,854 -- 40,486,854
Norway........................................... -- 10,394,827 -- 10,394,827
Singapore........................................ -- 16,851,626 -- 16,851,626
Supranational Organization Obligations........... -- 94,186,685 -- 94,186,685
Sweden........................................... -- 29,042,557 -- 29,042,557
United Kingdom................................... -- 95,532,969 -- 95,532,969
Agency Obligations................................ -- 6,767,281 -- 6,767,281
U.S. Treasury Obligations......................... -- 30,364,378 -- 30,364,378
Forward Currency Contracts**...................... -- 4,605,687 -- 4,605,687
-- ------------ -- ------------
TOTAL............................................. -- $755,554,193 -- $755,554,193
== ============ == ============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note G)
See accompanying Notes to Financial Statements.
46
DFA SHORT-TERM GOVERNMENT PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
FACE
AMOUNT VALUE+
---------- --------------
(000)
AGENCY OBLIGATIONS -- (24.3%)
Federal Home Loan Bank
1.375%, 03/09/18................................................... $ 145,700 $ 146,789,982
1.250%, 06/08/18................................................... 55,075 55,384,191
4.750%, 06/08/18................................................... 18,505 19,645,667
2.000%, 09/14/18................................................... 27,860 28,370,618
1.750%, 12/14/18................................................... 44,850 45,573,475
1.500%, 03/08/19................................................... 7,430 7,516,054
5.375%, 05/15/19................................................... 27,860 30,883,730
2.000%, 09/13/19................................................... 54,640 56,053,154
2.375%, 12/13/19................................................... 25,000 25,877,675
4.125%, 03/13/20................................................... 22,950 25,184,550
1.375%, 02/18/21................................................... 20,000 20,019,260
Tennessee Valley Authority
4.500%, 04/01/18................................................... 14,098 14,805,325
1.750%, 10/15/18................................................... 29,380 29,798,283
--------------
TOTAL AGENCY OBLIGATIONS............................................. 505,901,964
--------------
U.S. TREASURY OBLIGATIONS -- (75.5%)
U.S. Treasury Notes
1.500%, 12/31/18................................................... 45,734 46,304,296
1.500%, 01/31/19................................................... 189,673 192,110,576
1.625%, 04/30/19................................................... 101,300 102,989,684
3.125%, 05/15/19................................................... 262,388 276,655,031
1.750%, 09/30/19................................................... 279,690 285,720,676
3.625%, 02/15/20................................................... 142,000 153,670,696
1.875%, 06/30/20................................................... 40,000 41,051,560
2.000%, 09/30/20................................................... 127,000 130,924,046
1.625%, 11/30/20................................................... 181,000 183,870,479
3.625%, 02/15/21................................................... 20,000 21,975,780
1.250%, 03/31/21................................................... 141,000 140,834,748
--------------
TOTAL U.S. TREASURY OBLIGATIONS...................................... 1,576,107,572
--------------
TOTAL INVESTMENT SECURITIES.......................................... 2,082,009,536
--------------
SHARES
----------
TEMPORARY CASH INVESTMENTS -- (0.2%)
State Street Institutional U.S. Government Money Market Fund, 0.260%. 4,943,150 4,943,150
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,077,563,969)............................................... $2,086,952,686
==============
Summary of the Portfolio's investments as of October 31, 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
---------- -------------- ------- --------------
Agency Obligations......... -- $ 505,901,964 -- $ 505,901,964
U.S. Treasury Obligations.. -- 1,576,107,572 -- 1,576,107,572
Temporary Cash Investments. $4,943,150 -- -- 4,943,150
---------- -------------- -- --------------
TOTAL...................... $4,943,150 $2,082,009,536 -- $2,086,952,686
========== ============== == ==============
See accompanying Notes to Financial Statements.
47
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
FACE
AMOUNT VALUE+
------ ------
(000)
AGENCY OBLIGATIONS -- (41.9%)
Federal Farm Credit Bank
5.100%, 09/03/19............................. $ 6,305 $ 7,004,206
5.320%, 09/03/19............................. 14,921 16,677,381
5.150%, 11/15/19............................. 7,846 8,783,448
4.670%, 05/07/20............................. 3,923 4,377,884
5.350%, 08/07/20............................. 4,693 5,379,980
3.650%, 12/21/20............................. 30,822 33,647,360
5.250%, 03/02/21............................. 4,273 4,924,727
5.220%, 02/22/22............................. 3,503 4,157,924
5.210%, 12/19/22............................. 14,851 17,874,277
5.250%, 03/06/23............................. 4,203 5,076,253
5.220%, 05/15/23............................. 33,694 40,709,596
3.500%, 12/20/23............................. 6,000 6,696,522
Federal Home Loan Bank
1.500%, 03/08/19............................. 10,220 10,338,368
1.875%, 03/08/19............................. 37,125 37,847,230
5.375%, 05/15/19............................. 34,730 38,499,351
1.625%, 06/14/19............................. 37,710 38,276,291
5.125%, 08/15/19............................. 3,710 4,115,778
1.375%, 09/13/19............................. 3,505 3,534,088
4.500%, 09/13/19............................. 25,900 28,378,008
4.125%, 12/13/19............................. 18,215 19,844,459
1.875%, 03/13/20............................. 86,165 88,136,628
4.125%, 03/13/20............................. 104,395 114,559,524
3.000%, 03/18/20............................. 12,665 13,392,769
3.375%, 06/12/20............................. 19,965 21,441,631
2.875%, 09/11/20............................. 10,295 10,910,476
4.625%, 09/11/20............................. 17,970 20,204,929
3.125%, 12/11/20............................. 4,205 4,494,788
5.250%, 12/11/20............................. 5,290 6,104,538
1.750%, 03/12/21............................. 28,330 28,724,382
5.000%, 03/12/21............................. 3,645 4,200,899
2.250%, 06/11/21............................. 49,035 50,767,603
3.625%, 06/11/21............................. 7,030 7,728,135
5.625%, 06/11/21............................. 25,905 30,745,556
2.375%, 09/10/21............................. 27,565 28,762,010
3.000%, 09/10/21............................. 21,875 23,456,212
2.625%, 12/10/21............................. 75,370 79,556,879
5.000%, 12/10/21............................. 31,875 37,399,256
2.250%, 03/11/22............................. 7,005 7,265,425
2.500%, 03/11/22............................. 7,705 8,087,530
5.250%, 06/10/22............................. 5,780 6,912,158
5.750%, 06/10/22............................. 13,660 16,697,465
2.000%, 09/09/22............................. 11,365 11,617,735
5.375%, 09/30/22............................. 44,400 53,668,411
5.250%, 12/09/22............................. 10,510 12,617,392
2.125%, 03/10/23............................. 10,000 10,250,140
4.750%, 03/10/23............................. 34,465 40,766,201
3.250%, 06/09/23............................. 24,520 26,786,751
2.875%, 06/14/24............................. 23,000 24,592,037
5.375%, 08/15/24............................. 29,950 37,544,721
5.365%, 09/09/24............................. 1,400 1,749,947
FACE
AMOUNT VALUE+
------ ------
(000)
4.375%, 03/13/26............................. $ 14,080 $ 16,774,236
5.750%, 06/12/26............................. 8,080 10,598,916
Tennessee Valley Authority
3.875%, 02/15/21............................. 74,241 81,786,855
1.875%, 08/15/22............................. 89,450 90,781,910
2.875%, 09/15/24............................. 117,875 125,698,128
6.750%, 11/01/25............................. 47,282 64,769,910
7.125%, 05/01/30............................. 15,000 22,623,240
--------------
TOTAL AGENCY OBLIGATIONS......................... 1,578,318,454
--------------
U.S. TREASURY OBLIGATIONS -- (57.9%)
U.S. Treasury Bonds
8.125%, 05/15/21............................. 86,583 112,645,738
8.125%, 08/15/21............................. 90,711 119,277,627
7.250%, 08/15/22............................. 65,541 86,698,024
6.250%, 08/15/23............................. 100,259 130,544,366
7.500%, 11/15/24............................. 92,352 133,196,727
6.875%, 08/15/25............................. 75,630 107,461,805
6.000%, 02/15/26............................. 79,833 108,647,219
6.750%, 08/15/26............................. 98,183 141,732,272
6.625%, 02/15/27............................. 98,828 143,195,612
5.250%, 11/15/28............................. 95,132 128,751,594
5.250%, 02/15/29............................. 98,750 134,157,714
6.125%, 08/15/29............................. 102,528 150,680,070
6.250%, 05/15/30............................. 107,289 161,554,340
5.375%, 02/15/31............................. 100,000 142,101,600
U.S. Treasury Notes
2.000%, 09/30/20............................. 24,472 25,228,445
3.125%, 05/15/21............................. 116,635 125,997,425
2.000%, 10/31/21............................. 64,843 66,843,784
2.750%, 02/15/24............................. 105,538 113,639,101
2.250%, 11/15/24............................. 49,500 51,493,514
--------------
TOTAL U.S. TREASURY OBLIGATIONS.................. 2,183,846,977
--------------
TOTAL INVESTMENT SECURITIES...................... 3,762,165,431
--------------
SHARES
----------
TEMPORARY CASH INVESTMENTS -- (0.2%)
State Street Institutional U.S. Government
Money Market Fund, 0.250%................... 9,384,581 9,384,581
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,664,741,626).......................... $3,771,550,012
==============
48
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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
---------- -------------- ------- --------------
Agency Obligations............ -- $1,578,318,454 -- $1,578,318,454
U.S. Treasury Obligations..... -- 2,183,846,977 -- 2,183,846,977
Temporary Cash Investments.... $9,384,581 -- -- 9,384,581
---------- -------------- -- --------------
TOTAL......................... $9,384,581 $3,762,165,431 -- $3,771,550,012
========== ============== == ==============
See accompanying Notes to Financial Statements.
49
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
FACE
AMOUNT VALUE+
------ ------
(000)
AGENCY OBLIGATIONS -- (2.1%)
Federal Home Loan Bank
4.875%, 05/17/17............................. $ 2,700 $ 2,763,091
1.875%, 03/08/19............................. 7,155 7,294,193
1.375%, 02/18/21............................. 5,000 5,004,815
Federal Home Loan Mortgage Corp.
1.000%, 07/28/17............................. 982 984,837
1.000%, 09/29/17............................. 764 766,101
# 1.750%, 05/30/19............................. 4,471 4,556,007
Federal National Mortgage Association
1.875%, 09/18/18............................. 4,726 4,810,581
1.875%, 02/19/19............................. 16,942 17,275,097
# 1.500%, 06/22/20............................. 48,451 49,013,710
Tennessee Valley Authority
1.750%, 10/15/18............................. 8,303 8,421,210
---------------
TOTAL AGENCY OBLIGATIONS......................... 100,889,642
---------------
BONDS -- (95.8%)
21st Century Fox America, Inc.
6.900%, 03/01/19............................. 4,000 4,467,760
5.650%, 08/15/20............................. 4,210 4,760,895
4.500%, 02/15/21............................. 7,638 8,419,833
ABB Finance USA, Inc.
1.625%, 05/08/17............................. 193 193,491
Abbott Laboratories
5.125%, 04/01/19............................. 1,348 1,463,716
2.000%, 03/15/20............................. 13,567 13,680,800
4.125%, 05/27/20............................. 3,000 3,223,794
AbbVie, Inc.
2.500%, 05/14/20............................. 24,891 25,206,693
Actavis, Inc.
1.875%, 10/01/17............................. 14,811 14,869,474
Advance Auto Parts, Inc.
5.750%, 05/01/20............................. 2,825 3,097,680
Aetna, Inc.
2.200%, 03/15/19............................. 10,171 10,296,459
3.950%, 09/01/20............................. 3,000 3,205,101
Aflac, Inc.
2.650%, 02/15/17............................. 15,775 15,845,199
African Development Bank
1.125%, 03/15/17............................. 5,811 5,816,427
Agilent Technologies, Inc.
6.500%, 11/01/17............................. 1,754 1,839,764
5.000%, 07/15/20............................. 1,690 1,868,234
Airgas, Inc.
3.050%, 08/01/20............................. 6,528 6,804,245
Altria Group, Inc.
2.625%, 01/14/20............................. 5,000 5,140,545
Amazon.com, Inc.
2.600%, 12/05/19............................. 11,705 12,096,205
FACE
AMOUNT VALUE+
------ ------
(000)
Ameren Corp.
2.700%, 11/15/20............................. $ 1,000 $ 1,029,363
American Express Credit Corp.
2.250%, 08/15/19............................. 5,365 5,453,190
2.600%, 09/14/20............................. 13,925 14,247,030
American Honda Finance Corp.
2.125%, 10/10/18............................. 2,988 3,033,932
American International Group, Inc.
2.300%, 07/16/19............................. 9,941 10,086,954
3.375%, 08/15/20............................. 3,000 3,152,568
6.400%, 12/15/20............................. 11,283 13,138,783
Ameriprise Financial, Inc.
5.300%, 03/15/20............................. 6,957 7,698,477
Amgen, Inc.
2.200%, 05/22/19............................. 11,625 11,801,781
3.450%, 10/01/20............................. 4,990 5,262,684
4.100%, 06/15/21............................. 5,000 5,397,310
Amphenol Corp.
2.550%, 01/30/19............................. 452 460,975
Anheuser-Busch InBev Worldwide, Inc.
1.375%, 07/15/17............................. 13,943 13,971,025
5.375%, 01/15/20............................. 3,933 4,369,622
Anthem, Inc.
5.875%, 06/15/17............................. 1,358 1,396,065
2.250%, 08/15/19............................. 14,691 14,827,391
AP Moeller - Maersk A.S.
## 2.875%, 09/28/20............................. 3,000 3,044,415
Apache Corp.
6.900%, 09/15/18............................. 200 218,853
Apple, Inc.
1.000%, 05/03/18............................. 696 695,081
2.100%, 05/06/19............................. 40,239 41,022,131
2.000%, 05/06/20............................. 2,978 3,024,612
2.250%, 02/23/21............................. 4,000 4,073,856
2.850%, 05/06/21............................. 29,000 30,282,090
Applied Materials, Inc.
2.625%, 10/01/20............................. 5,090 5,234,841
Arizona Public Service Co.
8.750%, 03/01/19............................. 1,788 2,079,067
Asian Development Bank
1.125%, 03/15/17............................. 4,151 4,153,424
1.750%, 09/11/18............................. 7,409 7,504,872
# 1.875%, 04/12/19............................. 17,884 18,194,967
1.625%, 03/16/21............................. 6,000 6,040,902
Associated Banc-Corp
2.750%, 11/15/19............................. 447 454,133
Assurant, Inc.
2.500%, 03/15/18............................. 8,303 8,384,785
AstraZeneca P.L.C.
2.375%, 11/16/20............................. 23,256 23,676,631
AT&T, Inc.
1.600%, 02/15/17............................. 4,151 4,156,699
50
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
5.500%, 02/01/18............................. $ 4,645 $ 4,862,897
5.800%, 02/15/19............................. 3,751 4,071,223
2.300%, 03/11/19............................. 600 606,037
4.600%, 02/15/21............................. 8,793 9,510,649
Australia & New Zealand Banking Group, Ltd.
2.250%, 06/13/19............................. 40,154 40,676,926
2.700%, 11/16/20............................. 1,000 1,028,897
Autodesk, Inc.
1.950%, 12/15/17............................. 3,554 3,567,619
3.125%, 06/15/20............................. 14,337 14,600,528
Bank Nederlandse Gemeenten NV
1.375%, 09/27/17............................. 11,622 11,658,365
1.375%, 03/19/18............................. 20,754 20,829,794
4.375%, 02/16/21............................. 10,000 11,125,550
1.625%, 04/19/21............................. 20,000 19,995,660
Bank of America Corp.
2.000%, 01/11/18............................. 4,815 4,839,123
2.650%, 04/01/19............................. 5,365 5,464,746
2.625%, 10/19/20............................. 5,000 5,067,000
Bank of Montreal
2.375%, 01/25/19............................. 273 277,383
1.900%, 08/27/21............................. 16,492 16,313,177
Bank of New York Mellon Corp. (The)
5.450%, 05/15/19............................. 3,309 3,625,734
2.150%, 02/24/20............................. 23,063 23,291,485
Bank of Nova Scotia (The)
2.050%, 06/05/19............................. 1,788 1,803,906
2.350%, 10/21/20............................. 1,315 1,334,399
2.450%, 03/22/21............................. 35,179 35,820,454
Bank of Tokyo-Mitsubishi UFJ, Ltd. (The)
## 2.350%, 09/08/19............................. 13,163 13,309,636
Barclays P.L.C.
2.750%, 11/08/19............................. 26,424 26,635,868
Baxalta, Inc.
2.875%, 06/23/20............................. 4,024 4,107,067
Bayer U.S. Finance LLC
## 2.375%, 10/08/19............................. 5,616 5,694,753
BB&T Corp.
2.150%, 03/22/17............................. 4,774 4,787,988
1.450%, 01/12/18............................. 1,640 1,642,184
2.450%, 01/15/20............................. 13,289 13,557,757
Beam Suntory, Inc.
1.750%, 06/15/18............................. 16,605 16,623,780
Becton Dickinson and Co.
1.750%, 11/08/16............................. 2,109 2,109,316
6.375%, 08/01/19............................. 2,175 2,438,756
Berkshire Hathaway Finance Corp.
1.600%, 05/15/17............................. 258 259,135
2.900%, 10/15/20............................. 5,000 5,206,485
Berkshire Hathaway, Inc.
# 2.100%, 08/14/19............................. 24,591 25,062,213
2.200%, 03/15/21............................. 8,295 8,477,449
BHP Billiton Finance USA, Ltd.
1.625%, 02/24/17............................. 5,566 5,573,514
FACE
AMOUNT VALUE+
------ ------
(000)
Biogen, Inc.
2.900%, 09/15/20............................. $ 19,046 $ 19,644,102
BlackRock, Inc.
5.000%, 12/10/19............................. 3,443 3,801,623
BNP Paribas SA
1.250%, 12/12/16............................. 15,605 15,611,866
2.450%, 03/17/19............................. 9,836 9,984,061
Boeing Capital Corp.
2.900%, 08/15/18............................. 1,169 1,202,938
Boston Scientific Corp.
2.850%, 05/15/20............................. 9,273 9,524,614
BP Capital Markets P.L.C.
2.248%, 11/01/16............................. 5,556 5,556,000
4.750%, 03/10/19............................. 894 959,632
2.315%, 02/13/20............................. 15,559 15,803,945
BPCE SA
2.500%, 12/10/18............................. 2,250 2,287,532
2.500%, 07/15/19............................. 4,024 4,095,659
2.250%, 01/27/20............................. 18,309 18,503,020
Branch Banking & Trust Co.
2.300%, 10/15/18............................. 9,329 9,471,836
Bristol-Myers Squibb Co.
1.750%, 03/01/19............................. 4,256 4,300,348
British Telecommunications P.L.C.
1.250%, 02/14/17............................. 3,155 3,156,483
Brown-Forman Corp.
1.000%, 01/15/18............................. 1,745 1,743,450
Buckeye Partners L.P.
2.650%, 11/15/18............................. 1,030 1,041,417
Burlington Northern Santa Fe LLC
4.700%, 10/01/19............................. 3,514 3,843,265
Caisse d'Amortissement de la Dette Sociale
2.000%, 03/22/21............................. 16,000 16,228,736
Canadian Pacific Railway Co.
7.250%, 05/15/19............................. 2,576 2,922,222
Capital One Bank USA NA
2.300%, 06/05/19............................. 4,471 4,516,899
Capital One Financial Corp.
2.450%, 04/24/19............................. 11,883 12,084,013
Cardinal Health, Inc.
1.700%, 03/15/18............................. 9,758 9,788,377
Caterpillar Financial Services Corp.
2.450%, 09/06/18............................. 5,330 5,427,427
CBS Corp.
2.300%, 08/15/19............................. 14,110 14,290,044
5.750%, 04/15/20............................. 1,341 1,502,953
Celgene Corp.
2.250%, 05/15/19............................. 2,683 2,713,251
CenterPoint Energy Resources Corp.
6.125%, 11/01/17............................. 457 476,843
CF Industries, Inc.
6.875%, 05/01/18............................. 10,594 11,179,308
Charles Schwab Corp. (The)
2.200%, 07/25/18............................. 3,317 3,364,619
51
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
Chevron Corp.
1.718%, 06/24/18............................. $ 31,067 $ 31,279,405
1.961%, 03/03/20............................. 19,050 19,260,903
2.419%, 11/17/20............................. 30,379 31,046,579
Chubb INA Holdings, Inc.
2.300%, 11/03/20............................. 8,000 8,164,048
Cisco Systems, Inc.
2.125%, 03/01/19............................. 24,144 24,553,869
2.450%, 06/15/20............................. 1,788 1,835,219
2.200%, 02/28/21............................. 49,100 49,944,716
Citigroup, Inc.
2.500%, 09/26/18............................. 10,282 10,422,658
2.550%, 04/08/19............................. 8,942 9,103,501
Citizens Bank NA
2.450%, 12/04/19............................. 3,733 3,785,475
CNA Financial Corp.
7.350%, 11/15/19............................. 7,117 8,150,801
5.875%, 08/15/20............................. 1,000 1,126,537
Coca-Cola Co. (The)
1.150%, 04/01/18............................. 3,593 3,597,707
1.875%, 10/27/20............................. 16,673 16,849,350
Coca-Cola European Partners US LLC
3.500%, 09/15/20............................. 4,591 4,834,497
Colgate-Palmolive Co.
1.750%, 03/15/19............................. 1,565 1,585,409
Comerica, Inc.
2.125%, 05/23/19............................. 2,057 2,070,679
Commonwealth Bank of Australia
2.500%, 09/20/18............................. 10,627 10,819,242
2.250%, 03/13/19............................. 4,471 4,530,558
2.300%, 09/06/19............................. 38,525 39,103,838
2.300%, 03/12/20............................. 4,500 4,555,633
2.400%, 11/02/20............................. 10,000 10,148,800
## 2.000%, 09/06/21............................. 5,000 4,976,925
ConocoPhillips
6.000%, 01/15/20............................. 1,341 1,505,482
ConocoPhillips Co.
1.050%, 12/15/17............................. 15,482 15,402,887
1.500%, 05/15/18............................. 1,788 1,789,382
Cooperatieve Rabobank UA
2.250%, 01/14/19............................. 38,949 39,460,829
2.500%, 01/19/21............................. 15,000 15,313,995
Corning, Inc.
4.250%, 08/15/20............................. 2,850 3,058,968
Costco Wholesale Corp.
1.700%, 12/15/19............................. 2,973 2,997,833
Crane Co.
2.750%, 12/15/18............................. 13,057 13,315,516
Credit Suisse AG
2.300%, 05/28/19............................. 22,132 22,359,163
5.300%, 08/13/19............................. 3,130 3,419,012
CVS Health Corp.
2.250%, 12/05/18............................. 6,522 6,611,932
2.250%, 08/12/19............................. 5,370 5,461,736
FACE
AMOUNT VALUE+
------ ------
(000)
Daimler Finance North America LLC
## 1.650%, 03/02/18............................. $ 12,161 $ 12,186,027
## 2.250%, 03/02/20............................. 9,750 9,858,508
Danske Bank A/S
### 2.750%, 09/17/20............................. 15,822 16,284,888
Deutsche Bank AG
6.000%, 09/01/17............................. 10,004 10,258,682
2.500%, 02/13/19............................. 7,592 7,480,322
Deutsche Telekom International Finance BV
6.000%, 07/08/19............................. 6,741 7,489,487
Development Bank of Japan, Inc.
1.875%, 10/03/18............................. 6,890 6,953,209
Discovery Communications LLC
5.050%, 06/01/20............................. 5,000 5,457,540
Dollar General Corp.
1.875%, 04/15/18............................. 10,692 10,737,281
Dominion Gas Holdings LLC
2.800%, 11/15/20............................. 5,000 5,150,910
Dominion Resources, Inc.
2.500%, 12/01/19............................. 7,881 8,077,229
Dow Chemical Co. (The)
4.250%, 11/15/20............................. 7,657 8,245,571
Dr. Pepper Snapple Group, Inc.
2.600%, 01/15/19............................. 939 959,818
2.000%, 01/15/20............................. 747 749,677
DTE Energy Co.
2.400%, 12/01/19............................. 18,342 18,659,867
Duke Energy Corp.
1.625%, 08/15/17............................. 4,606 4,618,754
2.100%, 06/15/18............................. 181 182,761
5.050%, 09/15/19............................. 586 640,654
Eastman Chemical Co.
2.400%, 06/01/17............................. 2,586 2,604,058
2.700%, 01/15/20............................. 3,756 3,824,254
eBay, Inc.
1.350%, 07/15/17............................. 1,424 1,424,805
2.200%, 08/01/19............................. 4,918 4,969,024
Ecolab, Inc.
3.000%, 12/08/16............................. 537 538,080
EI du Pont de Nemours & Co.
6.000%, 07/15/18............................. 8,215 8,839,118
4.625%, 01/15/20............................. 1,289 1,404,289
Electricite de France SA
## 2.350%, 10/13/20............................. 1,500 1,524,343
Electronic Arts, Inc.
3.700%, 03/01/21............................. 7,544 7,979,591
EMD Finance LLC
## 2.400%, 03/19/20............................. 1,755 1,776,994
Enterprise Products Operating LLC
5.250%, 01/31/20............................. 1,788 1,964,781
EOG Resources, Inc.
5.875%, 09/15/17............................. 8,178 8,493,311
ERAC USA Finance LLC
## 2.350%, 10/15/19............................. 7,283 7,377,169
52
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European Investment Bank
4.875%, 01/17/17............................. $ 4,151 $ 4,184,789
1.125%, 09/15/17............................. 2,490 2,493,205
1.875%, 03/15/19............................. 4,471 4,540,484
2.875%, 09/15/20............................. 9,000 9,482,760
1.625%, 12/15/20............................. 8,000 8,057,056
2.000%, 03/15/21............................. 5,000 5,100,300
1.375%, 09/15/21............................. 38,000 37,659,558
Eversource Energy
2.500%, 03/15/21............................. 5,500 5,579,799
Exelon Corp.
2.450%, 04/15/21............................. 1,560 1,576,408
Exelon Generation Co. LLC
2.950%, 01/15/20............................. 7,064 7,253,322
Express Scripts Holding Co.
2.250%, 06/15/19............................. 14,819 14,997,717
Exxon Mobil Corp.
1.305%, 03/06/18............................. 10,307 10,336,540
1.819%, 03/15/19............................. 23,798 24,063,395
1.912%, 03/06/20............................. 8,143 8,240,244
2.222%, 03/01/21............................. 38,138 38,703,587
FedEx Corp.
2.300%, 02/01/20............................. 5,340 5,430,294
Fidelity National Information Services, Inc.
3.625%, 10/15/20............................. 11,503 12,134,526
Fifth Third Bancorp
2.300%, 03/01/19............................. 9,810 9,879,847
Fifth Third Bank
1.450%, 02/28/18............................. 2,683 2,682,088
Fiserv, Inc.
2.700%, 06/01/20............................. 4,460 4,564,979
FMS Wertmanagement AoeR
1.000%, 11/21/17............................. 10,755 10,751,677
Ford Motor Credit Co. LLC
5.000%, 05/15/18............................. 17,685 18,512,499
2.459%, 03/27/20............................. 5,365 5,382,238
3.157%, 08/04/20............................. 11,533 11,838,809
Fortune Brands Home & Security, Inc.
3.000%, 06/15/20............................. 6,500 6,686,134
GATX Corp.
2.500%, 03/15/19............................. 6,703 6,800,663
GE Capital International Funding Co., Unlimited
Co.
2.342%, 11/15/20............................. 84,822 86,549,739
General Mills, Inc.
2.200%, 10/21/19............................. 4,867 4,949,398
Gilead Sciences, Inc.
2.050%, 04/01/19............................. 1,498 1,518,148
2.550%, 09/01/20............................. 2,000 2,053,138
4.500%, 04/01/21............................. 1,198 1,315,745
Goldman Sachs Group, Inc. (The)
7.500%, 02/15/19............................. 8,000 8,994,272
2.550%, 10/23/19............................. 6,000 6,114,474
2.750%, 09/15/20............................. 10,000 10,204,980
FACE
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(000)
Harley-Davidson Financial Services, Inc.
## 2.150%, 02/26/20............................. $ 21,047 $ 21,160,970
Harris Corp.
2.700%, 04/27/20............................. 4,247 4,302,508
Hartford Financial Services Group, Inc. (The)
5.500%, 03/30/20............................. 5,100 5,667,926
Heineken NV
## 1.400%, 10/01/17............................. 1,775 1,777,318
Hershey Co. (The)
1.500%, 11/01/16............................. 151 151,000
1.600%, 08/21/18............................. 7,441 7,491,926
4.125%, 12/01/20............................. 700 766,228
Hewlett Packard Enterprise Co.
## 3.850%, 10/15/20............................. 10,000 10,595,930
Home Depot, Inc. (The)
2.000%, 06/15/19............................. 18,484 18,807,729
HSBC USA, Inc.
1.625%, 01/16/18............................. 13,118 13,125,792
2.375%, 11/13/19............................. 2,683 2,706,997
2.350%, 03/05/20............................. 8,942 8,969,890
Humana, Inc.
2.625%, 10/01/19............................. 3,845 3,922,115
Huntington Bancshares, Inc.
2.600%, 08/02/18............................. 22,992 23,319,130
Iberdrola Finance Ireland, Ltd.
## 5.000%, 09/11/19............................. 6,662 7,231,088
Illinois Tool Works, Inc.
1.950%, 03/01/19............................. 2,651 2,685,349
Imperial Brands Finance P.L.C.
## 2.950%, 07/21/20............................. 3,577 3,673,361
Indiana Michigan Power Co.
7.000%, 03/15/19............................. 2,236 2,491,488
ING Bank NV
## 2.500%, 10/01/19............................. 1,025 1,042,871
## 2.750%, 03/22/21............................. 6,000 6,157,842
Integrys Holding, Inc.
4.170%, 11/01/20............................. 1,000 1,072,063
Intel Corp.
2.450%, 07/29/20............................. 12,471 12,850,829
Inter-American Development Bank
1.125%, 03/15/17............................. 680 680,619
0.875%, 03/15/18............................. 8,303 8,294,340
1.875%, 06/16/20............................. 7,000 7,120,057
2.125%, 11/09/20............................. 35,000 35,947,590
Intercontinental Exchange, Inc.
2.500%, 10/15/18............................. 10,956 11,179,502
International Bank for Reconstruction &
Development
0.875%, 04/17/17............................. 8,845 8,851,961
2.250%, 06/24/21............................. 6,000 6,191,640
International Business Machines Corp
# 1.950%, 02/12/19............................. 10,697 10,847,432
1.875%, 05/15/19............................. 4,511 4,568,321
53
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# 1.625%, 05/15/20............................. $ 5,859 $ 5,871,122
2.250%, 02/19/21............................. 4,000 4,084,428
International Finance Corp.
0.875%, 06/15/18............................. 2,490 2,484,776
Intesa Sanpaolo SpA
3.875%, 01/16/18............................. 1,797 1,833,262
Japan Finance Organization for Municipalities
2.500%, 09/12/18............................. 6,886 6,999,130
2.125%, 03/06/19............................. 4,472 4,508,187
Jefferies Group LLC
5.125%, 04/13/18............................. 1,557 1,621,563
Jersey Central Power & Light Co.
7.350%, 02/01/19............................. 7,945 8,832,425
John Deere Capital Corp.
2.000%, 01/13/17............................. 4,180 4,188,678
2.050%, 03/10/20............................. 29,509 29,792,611
Johnson & Johnson
1.650%, 03/01/21............................. 9,000 9,058,356
Johnson Controls, Inc.
2.600%, 12/01/16............................. 3,524 3,528,437
JPMorgan Chase & Co.
6.300%, 04/23/19............................. 1,964 2,177,065
2.250%, 01/23/20............................. 6,729 6,785,221
2.550%, 10/29/20............................. 11,000 11,188,606
Kellogg Co.
1.875%, 11/17/16............................. 1,305 1,305,123
1.750%, 05/17/17............................. 1,645 1,651,350
KeyBank NA
2.500%, 12/15/19............................. 4,467 4,566,516
KeyCorp
2.900%, 09/15/20............................. 11,259 11,593,809
KFW
4.875%, 01/17/17............................. 4,151 4,185,810
1.250%, 02/15/17............................. 10,398 10,410,883
1.875%, 04/01/19............................. 6,259 6,358,531
1.500%, 04/20/20............................. 7,500 7,535,317
Kimberly-Clark Corp.
1.900%, 05/22/19............................. 3,603 3,652,675
KLA-Tencor Corp.
3.375%, 11/01/19............................. 2,696 2,781,140
Kommunalbanken A.S.
1.000%, 09/26/17............................. 3,322 3,320,405
1.000%, 03/15/18............................. 24,908 24,874,673
1.750%, 05/28/19............................. 17,884 18,071,138
1.625%, 02/10/21............................. 10,000 10,016,410
Kommunekredit
1.125%, 03/15/18............................. 8,303 8,306,570
Kommuninvest I Sverige AB
1.000%, 10/24/17............................. 20,606 20,595,903
2.000%, 11/12/19............................. 9,471 9,640,341
Kroger Co. (The)
2.300%, 01/15/19............................. 13,672 13,889,303
L-3 Communications Corp.
4.750%, 07/15/20............................. 4,650 5,048,500
FACE
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(000)
Laboratory Corp. of America Holdings
2.200%, 08/23/17............................. $ 18,949 $ 19,075,030
2.625%, 02/01/20............................. 7,623 7,749,313
Lam Research Corp.
2.750%, 03/15/20............................. 8,942 9,080,851
Legg Mason, Inc.
2.700%, 07/15/19............................. 9,258 9,435,513
Lincoln National Corp.
6.250%, 02/15/20............................. 3,215 3,615,116
4.850%, 06/24/21............................. 1,270 1,392,829
Lloyds Bank P.L.C.
4.200%, 03/28/17............................. 5,049 5,110,416
1.750%, 03/16/18............................. 8,692 8,725,125
2.700%, 08/17/20............................. 1,600 1,636,536
Lockheed Martin Corp.
2.500%, 11/23/20............................. 7,500 7,695,120
LyondellBasell Industries NV
5.000%, 04/15/19............................. 7,601 8,123,569
Macquarie Group, Ltd.
## 3.000%, 12/03/18............................. 20,235 20,670,032
Macy's Retail Holdings, Inc.
3.450%, 01/15/21............................. 500 517,573
Manufacturers & Traders Trust Co.
2.250%, 07/25/19............................. 4,030 4,096,898
2.100%, 02/06/20............................. 31,557 31,775,248
Marriott International, Inc.
3.000%, 03/01/19............................. 4,860 4,987,157
Marsh & McLennan Cos., Inc.
2.300%, 04/01/17............................. 6,338 6,360,601
2.350%, 09/10/19............................. 4,471 4,532,888
2.350%, 03/06/20............................. 1,000 1,011,670
MasterCard, Inc.
2.000%, 04/01/19............................. 32,504 33,037,066
Mattel, Inc.
1.700%, 03/15/18............................. 4,887 4,896,447
2.350%, 05/06/19............................. 20,051 20,296,284
Maxim Integrated Products, Inc.
2.500%, 11/15/18............................. 5,464 5,542,835
McDonald's Corp.
5.350%, 03/01/18............................. 1,314 1,383,840
3.500%, 07/15/20............................. 5,678 6,004,638
McKesson Corp.
1.400%, 03/15/18............................. 9,031 9,013,209
Medtronic, Inc.
2.500%, 03/15/20............................. 5,195 5,332,558
Merck & Co., Inc.
1.850%, 02/10/20............................. 4,450 4,499,364
MetLife, Inc.
7.717%, 02/15/19............................. 2,743 3,118,964
Microsoft Corp.
1.625%, 12/06/18............................. 8,227 8,328,760
1.850%, 02/12/20............................. 21,640 21,887,951
3.000%, 10/01/20............................. 5,000 5,271,230
2.000%, 11/03/20............................. 33,993 34,482,431
1.550%, 08/08/21............................. 10,978 10,868,044
54
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
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(000)
Mitsubishi UFJ Financial Group, Inc.
2.950%, 03/01/21............................. $ 3,000 $ 3,079,197
Mizuho Bank, Ltd.
## 2.450%, 04/16/19............................. 5,052 5,115,256
## 2.700%, 10/20/20............................. 11,960 12,161,526
Mizuho Financial Group, Inc.
## 2.632%, 04/12/21............................. 5,000 5,049,525
Molson Coors Brewing Co.
2.000%, 05/01/17............................. 818 821,315
Mondelez International, Inc.
2.250%, 02/01/19............................. 1,162 1,179,965
5.375%, 02/10/20............................. 1,431 1,589,588
Monsanto Co.
1.850%, 11/15/18............................. 25,011 25,067,375
2.125%, 07/15/19............................. 2,236 2,256,978
Morgan Stanley
4.750%, 03/22/17............................. 18,527 18,792,195
7.300%, 05/13/19............................. 5,365 6,066,377
Municipality Finance P.L.C.
1.125%, 04/17/18............................. 10,755 10,756,086
Mylan NV
## 3.750%, 12/15/20............................. 6,065 6,333,843
Mylan, Inc.
2.550%, 03/28/19............................. 11,964 12,118,647
National Australia Bank, Ltd.
# 2.250%, 07/01/19............................. 15,626 15,834,513
2.625%, 01/14/21............................. 2,000 2,044,684
1.875%, 07/12/21............................. 5,500 5,457,595
Nationwide Building Society
## 2.350%, 01/21/20............................. 480 484,103
Nederlandse Waterschapsbank NV
1.875%, 03/13/19............................. 53,652 54,366,162
1.625%, 03/04/20............................. 30,000 30,138,480
NetApp, Inc.
2.000%, 12/15/17............................. 8,303 8,344,756
# 3.375%, 06/15/21............................. 8,650 9,024,346
Newell Brands, Inc.
6.250%, 04/15/18............................. 10,793 11,468,253
NextEra Energy Capital Holdings, Inc.
2.400%, 09/15/19............................. 9,378 9,551,418
NiSource Finance Corp.
6.400%, 03/15/18............................. 992 1,054,639
Nissan Motor Acceptance Corp.
## 2.550%, 03/08/21............................. 16,249 16,538,590
Nomura Holdings, Inc.
2.750%, 03/19/19............................. 17,884 18,227,283
Nordea Bank AB
1.625%, 05/15/18............................. 1,923 1,925,923
2.375%, 04/04/19............................. 15,005 15,241,719
## 2.500%, 09/17/20............................. 3,000 3,057,633
Nordic Investment Bank
1.875%, 06/14/19............................. 9,471 9,638,968
Nordstrom, Inc.
4.750%, 05/01/20............................. 13,135 14,271,690
FACE
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Northrop Grumman Corp.
1.750%, 06/01/18............................. $ 10,165 $ 10,234,539
NRW Bank
1.875%, 07/01/19............................. 17,884 18,100,683
Nucor Corp.
5.750%, 12/01/17............................. 1,992 2,079,034
Oesterreichische Kontrollbank AG
1.125%, 05/29/18............................. 16,605 16,610,197
Omnicom Group, Inc.
4.450%, 08/15/20............................. 550 598,014
ONE Gas, Inc.
2.070%, 02/01/19............................. 4,199 4,254,330
Oracle Corp.
2.800%, 07/08/21............................. 6,536 6,782,368
1.900%, 09/15/21............................. 10,000 9,969,020
PACCAR Financial Corp.
1.600%, 03/15/17............................. 377 378,021
1.750%, 08/14/18............................. 1,350 1,361,925
Pacific Gas & Electric Co.
3.500%, 10/01/20............................. 900 953,462
Penske Truck Leasing Co. L.P. / PTL Finance Corp.
## 2.500%, 06/15/19............................. 5,000 5,067,600
## 3.050%, 01/09/20............................. 828 847,499
PepsiCo, Inc.
4.500%, 01/15/20............................. 1,745 1,909,075
Pernod Ricard SA
## 5.750%, 04/07/21............................. 620 708,370
Perrigo Finance Unlimited Co.
3.500%, 03/15/21............................. 12,000 12,401,280
Petro-Canada
6.050%, 05/15/18............................. 4,982 5,309,596
Pfizer, Inc.
2.100%, 05/15/19............................. 8,942 9,095,588
1.950%, 06/03/21............................. 25,347 25,465,624
PG&E Corp.
2.400%, 03/01/19............................. 1,462 1,485,733
Philip Morris International, Inc.
1.625%, 03/20/17............................. 1,851 1,856,035
Phillips 66 Partners L.P.
2.646%, 02/15/20............................. 6,873 6,925,654
PNC Bank NA
2.400%, 10/18/19............................. 17,154 17,519,037
2.300%, 06/01/20............................. 1,200 1,218,384
2.600%, 07/21/20............................. 5,365 5,496,158
Praxair, Inc.
1.250%, 11/07/18............................. 3,908 3,906,898
Progress Energy, Inc.
4.875%, 12/01/19............................. 4,672 5,092,784
Province of British Columbia Canada
1.200%, 04/25/17............................. 8,303 8,312,881
Province of Manitoba Canada
2.050%, 11/30/20............................. 3,800 3,874,431
Province of Ontario Canada
1.650%, 09/27/19............................. 4,471 4,496,686
55
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
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(000)
4.000%, 10/07/19............................. $ 5,000 $ 5,364,350
4.400%, 04/14/20............................. 15,000 16,456,965
1.875%, 05/21/20............................. 10,000 10,124,570
2.500%, 09/10/21............................. 25,000 25,876,750
Province of Quebec Canada
3.500%, 07/29/20............................. 33,000 35,365,473
Prudential Financial, Inc.
2.350%, 08/15/19............................. 13,413 13,657,251
5.375%, 06/21/20............................. 1,700 1,893,440
4.500%, 11/15/20............................. 7,000 7,655,165
PSEG Power LLC
2.450%, 11/15/18............................. 6,831 6,928,820
5.125%, 04/15/20............................. 11,108 12,090,825
Puget Energy, Inc.
6.500%, 12/15/20............................. 3,363 3,880,105
QUALCOMM, Inc.
2.250%, 05/20/20............................. 8,235 8,371,125
Raytheon Co.
6.750%, 03/15/18............................. 3,402 3,660,651
3.125%, 10/15/20............................. 3,000 3,161,142
Regions Financial Corp.
3.200%, 02/08/21............................. 10,500 10,887,334
Republic Services, Inc.
3.800%, 05/15/18............................. 4,507 4,668,211
5.500%, 09/15/19............................. 5,333 5,899,130
Reynolds American, Inc.
2.300%, 08/21/17............................. 11,046 11,129,397
Roper Technologies, Inc.
2.050%, 10/01/18............................. 1,565 1,579,509
Royal Bank of Canada
2.350%, 10/30/20............................. 7,428 7,545,845
2.500%, 01/19/21............................. 1,250 1,282,286
Ryder System, Inc.
2.500%, 03/01/18............................. 2,902 2,939,331
2.650%, 03/02/20............................. 7,000 7,138,859
Sanofi
4.000%, 03/29/21............................. 10,000 10,923,000
Santander Holdings USA, Inc.
2.650%, 04/17/20............................. 3,000 2,998,077
Santander UK Group Holdings P.L.C.
3.125%, 01/08/21............................. 15,000 15,193,335
Santander UK P.L.C.
2.375%, 03/16/20............................. 2,824 2,843,582
Scripps Networks Interactive, Inc.
2.750%, 11/15/19............................. 19,864 20,314,615
Sempra Energy
2.850%, 11/15/20............................. 5,400 5,558,512
Shell International Finance BV
2.000%, 11/15/18............................. 20,679 20,939,866
4.300%, 09/22/19............................. 4,471 4,800,356
2.250%, 11/10/20............................. 18,999 19,250,813
1.875%, 05/10/21............................. 21,175 21,037,765
1.750%, 09/12/21............................. 25,000 24,707,875
Societe Generale SA
2.750%, 10/12/17............................. 6,642 6,727,615
## 2.625%, 09/16/20............................. 17,000 17,358,615
FACE
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Solvay Finance America LLC
## 3.400%, 12/03/20............................. $ 10,000 $ 10,410,930
Southern Co. (The)
2.750%, 06/15/20............................. 9,683 9,944,790
Southwest Airlines Co.
2.750%, 11/06/19............................. 17,072 17,578,577
2.650%, 11/05/20............................. 4,500 4,602,960
St Jude Medical, Inc.
2.800%, 09/15/20............................. 2,490 2,545,465
Starbucks Corp.
2.000%, 12/05/18............................. 4,901 4,980,347
2.100%, 02/04/21............................. 1,770 1,795,396
Starwood Hotels & Resorts Worldwide, Inc.
6.750%, 05/15/18............................. 4,264 4,591,676
State of North Rhine-Westphalia
1.625%, 01/22/20............................. 16,000 16,053,280
State Street Corp.
2.550%, 08/18/20............................. 14,052 14,474,403
Statoil ASA
1.200%, 01/17/18............................. 1,955 1,951,000
# 1.150%, 05/15/18............................. 11,682 11,646,931
1.950%, 11/08/18............................. 8,303 8,384,253
Stryker Corp.
2.625%, 03/15/21............................. 6,121 6,237,287
Sumitomo Mitsui Banking Corp.
2.450%, 01/10/19............................. 13,616 13,799,639
Sumitomo Mitsui Financial Group, Inc.
2.934%, 03/09/21............................. 4,000 4,094,808
2.058%, 07/14/21............................. 10,000 9,857,600
SunTrust Banks, Inc.
2.500%, 05/01/19............................. 8,348 8,514,326
2.900%, 03/03/21............................. 14,765 15,243,371
Svensk Exportkredit AB
1.875%, 06/17/19............................. 9,836 9,968,245
1.750%, 08/28/20............................. 6,000 6,050,298
Svenska Handelsbanken AB
2.500%, 01/25/19............................. 27,669 28,225,894
2.250%, 06/17/19............................. 8,942 9,074,923
Symantec Corp.
2.750%, 06/15/17............................. 4,151 4,181,639
4.200%, 09/15/20............................. 6,000 6,274,632
Sysco Corp.
2.600%, 10/01/20............................. 16,190 16,580,341
Target Corp.
2.300%, 06/26/19............................. 3,504 3,589,866
TD Ameritrade Holding Corp.
5.600%, 12/01/19............................. 1,788 1,986,050
Tech Data Corp.
3.750%, 09/21/17............................. 4,151 4,226,241
Telefonica Emisiones SAU
3.192%, 04/27/18............................. 950 970,314
5.877%, 07/15/19............................. 1,000 1,101,693
5.134%, 04/27/20............................. 10,180 11,162,482
Thermo Fisher Scientific, Inc.
1.850%, 01/15/18............................. 7,734 7,774,000
2.400%, 02/01/19............................. 8,455 8,596,215
56
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
FACE
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(000)
Thomson Reuters Corp.
1.300%, 02/23/17............................. $ 5,024 $ 5,025,959
1.650%, 09/29/17............................. 800 802,054
TIAA Asset Management Finance Co.LLC
## 2.950%, 11/01/19............................. 9,568 9,840,927
Time Warner, Inc.
4.700%, 01/15/21............................. 7,900 8,670,534
Toronto-Dominion Bank (The)
1.400%, 04/30/18............................. 1,779 1,780,098
2.625%, 09/10/18............................. 8,303 8,482,312
2.125%, 07/02/19............................. 31,297 31,746,175
2.500%, 12/14/20............................. 20,000 20,466,360
2.125%, 04/07/21............................. 8,138 8,195,983
1.800%, 07/13/21............................. 4,683 4,654,125
Total Capital International SA
2.125%, 01/10/19............................. 9,066 9,201,818
2.100%, 06/19/19............................. 27,483 27,945,127
Total System Services, Inc.
2.375%, 06/01/18............................. 4,011 4,037,108
Toyota Motor Credit Corp.
2.100%, 01/17/19............................. 24,526 24,886,262
2.125%, 07/18/19............................. 21,405 21,756,855
1.900%, 04/08/21............................. 18,733 18,806,096
Tyson Foods, Inc.
2.650%, 08/15/19............................. 19,752 20,191,759
U.S. Bancorp
2.200%, 04/25/19............................. 13,413 13,672,595
U.S. Bank NA
2.125%, 10/28/19............................. 14,432 14,675,280
UBS AG
2.375%, 08/14/19............................. 3,278 3,333,637
2.350%, 03/26/20............................. 8,079 8,199,539
Unilever Capital Corp.
2.200%, 03/06/19............................. 1,162 1,184,048
Union Pacific Corp.
2.250%, 02/15/19............................. 3,689 3,761,939
1.800%, 02/01/20............................. 7,154 7,249,864
UnitedHealth Group, Inc.
6.000%, 06/15/17............................. 1,431 1,474,860
1.400%, 10/15/17............................. 3,147 3,154,773
2.300%, 12/15/19............................. 8,191 8,370,629
4.700%, 02/15/21............................. 2,040 2,263,884
Unum Group
3.000%, 05/15/21............................. 1,000 1,015,152
Valero Energy Corp.
9.375%, 03/15/19............................. 5,009 5,860,420
Verizon Communications, Inc.
3.650%, 09/14/18............................. 9,836 10,204,486
2.550%, 06/17/19............................. 2,683 2,746,863
4.500%, 09/15/20............................. 2,350 2,559,216
Viacom, Inc.
2.500%, 12/15/16............................. 5,642 5,654,187
2.750%, 12/15/19............................. 7,725 7,860,883
Vodafone Group P.L.C.
5.450%, 06/10/19............................. 1,732 1,893,540
4.375%, 03/16/21............................. 4,525 4,914,073
FACE
AMOUNT VALUE+
------ ------
(000)
Volkswagen Group of America Finance LLC
## 2.125%, 05/23/19............................. $ 7,431 $ 7,464,343
### 2.400%, 05/22/20............................. 5,911 5,963,927
Walgreen Co.
5.250%, 01/15/19............................. 610 656,134
Walgreens Boots Alliance, Inc.
# 2.600%, 06/01/21............................. 14,457 14,636,397
Walt Disney Co. (The)
1.125%, 02/15/17............................. 1,017 1,017,801
2.150%, 09/17/20............................. 8,942 9,138,420
WEC Energy Group, Inc.
2.450%, 06/15/20............................. 14,176 14,463,333
Wells Fargo & Co.
2.100%, 05/08/17............................. 6,407 6,436,927
2.125%, 04/22/19............................. 13,413 13,562,474
2.600%, 07/22/20............................. 8,000 8,153,512
Westpac Banking Corp.
4.875%, 11/19/19............................. 2,853 3,101,194
2.600%, 11/23/20............................. 8,672 8,868,213
Wm Wrigley Jr Co.
## 2.900%, 10/21/19............................. 1,484 1,528,032
Wyndham Worldwide Corp.
2.500%, 03/01/18............................. 8,626 8,705,290
Xcel Energy, Inc.
2.400%, 03/15/21............................. 4,070 4,146,125
Xerox Corp.
2.750%, 03/15/19............................. 13,128 13,252,663
5.625%, 12/15/19............................. 5,365 5,847,764
2.800%, 05/15/20............................. 2,000 1,996,212
Xilinx, Inc.
2.125%, 03/15/19............................. 5,969 6,032,689
Zimmer Biomet Holdings, Inc.
2.700%, 04/01/20............................. 4,632 4,710,253
Zoetis, Inc.
3.450%, 11/13/20............................. 12,400 12,874,015
---------------
TOTAL BONDS........................................ 4,567,645,944
---------------
U.S. TREASURY OBLIGATIONS -- (0.1%)
U.S. Treasury Notes
2.125%, 09/30/21............................. 5,000 5,183,790
---------------
TOTAL INVESTMENT SECURITIES........................ 4,673,719,376
---------------
SHARES
------
SECURITIES LENDING COLLATERAL -- (2.0%)
(S)@ DFA Short Term Investment Fund............... 8,217,003 95,087,160
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,729,356,840)............................ $ 4,768,806,536
===============
57
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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
------- -------------- ------- --------------
Agency Obligations................. -- $ 100,889,642 -- $ 100,889,642
Bonds.............................. -- 4,567,645,944 -- 4,567,645,944
U.S. Treasury Obligations.......... -- 5,183,790 -- 5,183,790
Securities Lending Collateral...... -- 95,087,160 -- 95,087,160
-- -------------- -- --------------
TOTAL.............................. -- $4,768,806,536 -- $4,768,806,536
== ============== == ==============
See accompanying Notes to Financial Statements.
58
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
FACE
AMOUNT VALUE+
------ ------
(000)
AGENCY OBLIGATIONS -- (4.3%)
Federal Farm Credit Bank
2.630%, 08/03/26............................. $ 3,173 $ 3,267,613
5.770%, 01/05/27............................. 1,058 1,393,408
Federal Home Loan Bank
5.750%, 06/12/26............................. 1,260 1,652,801
Federal Home Loan Mortgage Corporation
6.750%, 09/15/29............................. 8,814 13,010,019
Federal National Mortgage Association
6.250%, 05/15/29............................. 17,628 24,941,223
7.125%, 01/15/30............................. 3,526 5,391,956
6.625%, 11/15/30............................. 2,000 2,980,640
Tennessee Valley Authority
6.750%, 11/01/25............................. 3,596 4,926,031
7.125%, 05/01/30............................. 2,108 3,179,319
-----------
TOTAL AGENCY OBLIGATIONS......................... 60,743,010
-----------
BONDS -- (91.2%)
21st Century Fox America, Inc.
3.700%, 09/15/24............................. 2,468 2,606,425
Abbott Laboratories
2.950%, 03/15/25............................. 6,870 6,908,541
AbbVie, Inc.
3.600%, 05/14/25............................. 9,500 9,672,206
Actavis Funding SCS
3.800%, 03/15/25............................. 8,592 8,925,988
Adobe Systems, Inc.
3.250%, 02/01/25............................. 1,058 1,097,592
Advance Auto Parts, Inc.
4.500%, 01/15/22............................. 1,410 1,511,779
4.500%, 12/01/23............................. 1,500 1,608,138
Aetna, Inc.
3.500%, 11/15/24............................. 2,953 3,081,774
Affiliated Managers Group, Inc.
3.500%, 08/01/25............................. 1,410 1,388,574
Aflac, Inc.
3.625%, 06/15/23............................. 2,115 2,257,688
3.625%, 11/15/24............................. 1,099 1,174,441
3.250%, 03/17/25............................. 6,064 6,271,080
Ahold Finance USA LLC
6.875%, 05/01/29............................. 388 505,476
Alabama Power Co.
2.800%, 04/01/25............................. 1,410 1,443,228
Albemarle Corp.
4.150%, 12/01/24............................. 3,335 3,544,021
Allstate Corp. (The)
3.150%, 06/15/23............................. 2,468 2,592,172
Altera Corp.
4.100%, 11/15/23............................. 821 917,722
Amazon.com, Inc.
3.800%, 12/05/24............................. 2,679 2,936,530
FACE
AMOUNT VALUE+
------ ------
(000)
American Express Co.
2.650%, 12/02/22............................. $ 353 $ 359,005
American Honda Finance Corp.
2.300%, 09/09/26............................. 1,500 1,473,671
American International Group, Inc.
4.125%, 02/15/24............................. 3,763 4,048,314
3.750%, 07/10/25............................. 2,000 2,088,682
3.900%, 04/01/26............................. 4,000 4,204,532
American Water Capital Corp.
3.850%, 03/01/24............................. 1,166 1,273,143
Ameriprise Financial, Inc.
4.000%, 10/15/23............................. 705 763,370
3.700%, 10/15/24............................. 7,090 7,561,712
2.875%, 09/15/26............................. 1,000 994,451
AmerisourceBergen Corp.
3.400%, 05/15/24............................. 673 694,614
Amgen, Inc.
3.625%, 05/22/24............................. 3,526 3,700,502
3.125%, 05/01/25............................. 2,763 2,808,186
Analog Devices, Inc.
3.900%, 12/15/25............................. 800 857,598
Anheuser-Busch InBev Finance, Inc.
2.625%, 01/17/23............................. 141 142,295
3.650%, 02/01/26............................. 8,000 8,427,168
Anthem, Inc.
3.500%, 08/15/24............................. 3,491 3,607,959
Aon P.L.C.
4.000%, 11/27/23............................. 2,203 2,359,307
3.500%, 06/14/24............................. 4,331 4,500,481
AP Moeller - Maersk A.S.
## 3.750%, 09/22/24............................. 1,000 1,002,872
## 3.875%, 09/28/25............................. 1,000 1,007,088
Apache Corp.
# 2.625%, 01/15/23............................. 871 857,783
Apple, Inc.
2.400%, 05/03/23............................. 4,231 4,249,549
3.450%, 05/06/24............................. 8,814 9,414,392
2.500%, 02/09/25............................. 1,763 1,752,595
Archer-Daniels-Midland Co.
2.500%, 08/11/26............................. 5,613 5,536,456
Arizona Public Service Co.
3.150%, 05/15/25............................. 3,349 3,523,764
Assurant, Inc.
4.000%, 03/15/23............................. 3,526 3,543,789
AstraZeneca P.L.C.
3.375%, 11/16/25............................. 1,300 1,358,107
AT&T, Inc.
3.950%, 01/15/25............................. 1,087 1,125,823
3.400%, 05/15/25............................. 8,182 8,142,178
Autodesk, Inc.
3.600%, 12/15/22............................. 705 722,887
4.375%, 06/15/25............................. 6,017 6,273,324
59
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
Automatic Data Processing, Inc.
3.375%, 09/15/25............................. $ 5,000 $ 5,373,195
Avnet, Inc.
4.625%, 04/15/26............................. 5,850 5,972,850
Bank of America Corp.
3.300%, 01/11/23............................. 2,468 2,539,380
4.000%, 04/01/24............................. 5,993 6,405,396
Bank of New York Mellon Corp. (The)
3.650%, 02/04/24............................. 6,797 7,302,044
3.000%, 02/24/25............................. 1,410 1,454,793
Bank of Tokyo-Mitsubishi UFJ, Ltd. (The)
# 3.250%, 09/08/24............................. 1,763 1,821,137
Barclays P.L.C.
3.650%, 03/16/25............................. 6,080 5,969,526
4.375%, 01/12/26............................. 2,700 2,778,519
BAT International Finance P.L.C.
3.950%, 06/15/25............................. 1,500 1,610,033
Bayer U.S. Finance LLC
## 3.375%, 10/08/24............................. 8,831 9,087,037
Beam Suntory, Inc.
3.250%, 06/15/23............................. 2,195 2,222,920
Becton Dickinson and Co.
# 3.734%, 12/15/24............................. 1,363 1,453,370
Bed Bath & Beyond, Inc.
# 3.749%, 08/01/24............................. 700 723,736
Berkshire Hathaway, Inc.
3.125%, 03/15/26............................. 17,240 17,899,396
Biogen, Inc.
# 4.050%, 09/15/25............................. 5,000 5,330,170
BMW U.S. Capital LLC
## 2.800%, 04/11/26............................. 5,500 5,549,901
BNP Paribas SA
3.250%, 03/03/23............................. 1,058 1,105,232
Boeing Co. (The)
2.500%, 03/01/25............................. 3,526 3,557,674
Boston Scientific Corp.
4.125%, 10/01/23............................. 811 870,273
BP Capital Markets P.L.C.
2.500%, 11/06/22............................. 1,234 1,244,823
3.535%, 11/04/24............................. 1,234 1,291,390
3.017%, 01/16/27............................. 4,000 4,012,924
BPCE SA
4.000%, 04/15/24............................. 7,164 7,783,177
British Columbia, Province of Canada
6.500%, 01/15/26............................. 4,363 5,798,266
Brown & Brown, Inc.
4.200%, 09/15/24............................. 5,261 5,405,083
Brown-Forman Corp.
2.250%, 01/15/23............................. 264 262,375
Buckeye Partners L.P.
4.150%, 07/01/23............................. 1,058 1,084,748
Burlington Northern Santa Fe LLC
3.000%, 04/01/25............................. 2,357 2,431,983
7.000%, 12/15/25............................. 472 627,864
FACE
AMOUNT VALUE+
------ ------
(000)
Campbell Soup Co.
3.300%, 03/19/25............................. $4,229 $4,419,660
Canadian Pacific Railway Co.
2.900%, 02/01/25............................. 1,666 1,695,936
3.700%, 02/01/26............................. 2,115 2,273,257
Capital One Financial Corp.
3.750%, 04/24/24............................. 1,939 2,033,476
CBS Corp.
3.500%, 01/15/25............................. 1,058 1,088,968
# 2.900%, 01/15/27............................. 4,600 4,487,263
Celgene Corp.
4.000%, 08/15/23............................. 2,627 2,798,278
3.625%, 05/15/24............................. 1,763 1,817,330
CF Industries, Inc.
# 3.450%, 06/01/23............................. 3,265 3,048,658
Charles Schwab Corp. (The)
3.000%, 03/10/25............................. 4,689 4,815,190
Chevron Corp.
3.191%, 06/24/23............................. 8,686 9,185,732
2.954%, 05/16/26............................. 9,000 9,172,620
Chubb INA Holdings, Inc.
2.700%, 03/13/23............................. 2,820 2,880,080
Chubb INA Holdings, Inc.
3.350%, 05/15/24............................. 2,820 2,979,544
Cigna Corp.
3.250%, 04/15/25............................. 3,000 3,033,348
Cisco Systems, Inc.
3.625%, 03/04/24............................. 1,058 1,146,608
Citigroup, Inc.
3.750%, 06/16/24............................. 1,410 1,484,341
3.300%, 04/27/25............................. 6,231 6,338,765
Clorox Co. (The)
3.500%, 12/15/24............................. 1,763 1,866,217
CME Group, Inc.
3.000%, 03/15/25............................. 471 489,670
CMS Energy Corp.
3.875%, 03/01/24............................. 705 756,670
3.600%, 11/15/25............................. 2,800 2,946,546
CNA Financial Corp.
4.500%, 03/01/26............................. 6,830 7,341,219
Coach, Inc.
4.250%, 04/01/25............................. 8,534 8,773,660
Coca-Cola Co. (The)
3.200%, 11/01/23............................. 7,115 7,564,077
2.250%, 09/01/26............................. 1,500 1,467,515
Comcast Corp.
3.375%, 08/15/25............................. 1,234 1,294,491
Commonwealth Bank of Australia
## 2.850%, 05/18/26............................. 9,873 9,840,488
Computer Sciences Corp.
4.450%, 09/15/22............................. 1,763 1,869,743
ConocoPhillips Co.
# 3.350%, 11/15/24............................. 2,468 2,508,525
# 4.950%, 03/15/26............................. 5,000 5,611,850
Consolidated Edison Co. of New York, Inc.
3.300%, 12/01/24............................. 705 746,472
60
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
Corning, Inc.
3.700%, 11/15/23............................. $1,493 $1,576,266
Cox Communications, Inc.
## 3.850%, 02/01/25............................. 5,741 5,817,240
CR Bard, Inc.
3.000%, 05/15/26............................. 1,000 1,001,679
Credit Agricole SA
3.875%, 04/15/24............................. 4,678 5,054,256
Credit Suisse New York
3.625%, 09/09/24............................. 6,299 6,537,008
CSX Corp.
3.400%, 08/01/24............................. 3,000 3,172,968
CVS Health Corp.
3.375%, 08/12/24............................. 5,243 5,456,547
3.875%, 07/20/25............................. 1,660 1,768,630
Cytec Industries, Inc.
3.500%, 04/01/23............................. 2,115 2,086,365
Daimler Finance North America LLC
## 3.250%, 08/01/24............................. 1,128 1,174,565
8.500%, 01/18/31............................. 5,588 8,944,477
Deutsche Bank AG
3.700%, 05/30/24............................. 5,781 5,538,181
Discovery Communications LLC
3.250%, 04/01/23............................. 353 354,131
3.450%, 03/15/25............................. 1,763 1,759,640
# 4.900%, 03/11/26............................. 4,000 4,349,832
Dollar General Corp.
3.250%, 04/15/23............................. 3,710 3,794,514
Dominion Gas Holdings LLC
3.600%, 12/15/24............................. 1,763 1,855,439
Dominion Resources, Inc.
3.625%, 12/01/24............................. 705 735,847
3.900%, 10/01/25............................. 4,000 4,266,180
Dover Corp.
3.150%, 11/15/25............................. 2,100 2,190,506
Dow Chemical Co. (The)
3.500%, 10/01/24............................. 4,106 4,297,988
DTE Energy Co.
3.850%, 12/01/23............................. 529 569,896
Duke Energy Corp.
3.750%, 04/15/24............................. 2,468 2,623,405
Eastman Chemical Co.
3.800%, 03/15/25............................. 4,000 4,162,204
EI du Pont de Nemours & Co.
2.800%, 02/15/23............................. 914 926,156
Electricite de France SA
3.625%, 10/13/25............................. 2,000 2,068,500
## 3.625%, 10/13/25............................. 5,797 5,995,547
Electronic Arts, Inc.
4.800%, 03/01/26............................. 2,200 2,406,833
Emerson Electric Co.
3.150%, 06/01/25............................. 2,926 3,045,542
Enbridge, Inc.
4.000%, 10/01/23............................. 2,068 2,119,208
3.500%, 06/10/24............................. 705 702,289
FACE
AMOUNT VALUE+
------ ------
(000)
Enterprise Products Operating LLC
3.900%, 02/15/24............................. $ 1,146 $ 1,199,225
3.750%, 02/15/25............................. 2,000 2,068,728
3.700%, 02/15/26............................. 6,000 6,121,836
EOG Resources, Inc.
3.150%, 04/01/25............................. 6,478 6,587,459
ERAC USA Finance LLC
## 3.850%, 11/15/24............................. 1,058 1,123,831
Eversource Energy
2.800%, 05/01/23............................. 3,454 3,493,832
Exelon Corp.
3.950%, 06/15/25............................. 795 848,780
# 3.400%, 04/15/26............................. 5,400 5,578,319
Exelon Generation Co. LLC
4.250%, 06/15/22............................. 1,763 1,876,980
Express Scripts Holding Co.
3.500%, 06/15/24............................. 4,596 4,746,262
3.400%, 03/01/27............................. 3,500 3,437,711
Exxon Mobil Corp.
3.176%, 03/15/24............................. 12,692 13,376,860
FedEx Corp.
4.000%, 01/15/24............................. 1,410 1,540,635
3.200%, 02/01/25............................. 2,062 2,142,371
Fidelity National Information Services, Inc.
5.000%, 10/15/25............................. 1,000 1,125,865
FMC Technologies, Inc.
3.450%, 10/01/22............................. 1,741 1,758,998
Ford Motor Credit Co. LLC
4.375%, 08/06/23............................. 4,583 4,869,855
3.664%, 09/08/24............................. 3,950 3,997,033
GATX Corp.
3.250%, 03/30/25............................. 2,820 2,798,565
3.250%, 09/15/26............................. 2,200 2,156,462
General Dynamics Corp.
2.125%, 08/15/26............................. 6,500 6,260,280
General Electric Co.
3.375%, 03/11/24............................. 1,763 1,883,145
Georgia Power Co.
3.250%, 04/01/26............................. 3,000 3,155,121
Georgia-Pacific LLC
7.750%, 11/15/29............................. 4,960 6,997,508
Gilead Sciences, Inc.
3.700%, 04/01/24............................. 6,998 7,403,702
GlaxoSmithKline Capital, Inc.
2.800%, 03/18/23............................. 3,684 3,802,076
Goldcorp, Inc.
3.625%, 06/09/21............................. 1,939 2,023,944
Goldman Sachs Group, Inc. (The)
4.000%, 03/03/24............................. 6,346 6,767,330
3.750%, 05/22/25............................. 2,000 2,081,352
Halliburton Co.
3.500%, 08/01/23............................. 3,526 3,604,168
3.800%, 11/15/25............................. 4,124 4,291,822
61
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
Harley-Davidson, Inc.
3.500%, 07/28/25............................. $5,980 $6,251,755
Harman International Industries, Inc.
4.150%, 05/15/25............................. 1,297 1,333,380
Hershey Co. (The)
2.625%, 05/01/23............................. 1,067 1,086,928
Historic TW, Inc.
6.625%, 05/15/29............................. 3,800 4,864,999
Home Depot, Inc. (The)
3.350%, 09/15/25............................. 1,403 1,494,415
HSBC Holdings P.L.C.
4.300%, 03/08/26............................. 4,000 4,261,272
HSBC USA, Inc.
3.500%, 06/23/24............................. 5,760 5,923,774
Humana, Inc.
3.850%, 10/01/24............................. 4,074 4,309,298
Hyatt Hotels Corp.
3.375%, 07/15/23............................. 1,066 1,082,311
Illinois Tool Works, Inc.
3.500%, 03/01/24............................. 3,526 3,802,393
Ingersoll-Rand Luxembourg Finance SA
3.550%, 11/01/24............................. 4,280 4,486,882
Inter-American Development Bank
7.000%, 06/15/25............................. 2,115 2,818,599
6.750%, 07/15/27............................. 1,058 1,460,814
Intercontinental Exchange, Inc.
4.000%, 10/15/23............................. 556 602,810
3.750%, 12/01/25............................. 4,500 4,801,005
International Business Machines Corp.
3.375%, 08/01/23............................. 2,401 2,561,519
# 3.625%, 02/12/24............................. 5,288 5,689,127
International Paper Co.
3.650%, 06/15/24............................. 1,058 1,100,407
3.800%, 01/15/26............................. 578 609,337
Interpublic Group of Cos., Inc. (The)
4.200%, 04/15/24............................. 2,151 2,295,123
Intesa Sanpaolo SpA
5.250%, 01/12/24............................. 3,526 3,803,313
ITC Holdings Corp.
3.650%, 06/15/24............................. 4,288 4,468,400
Janus Capital Group, Inc.
4.875%, 08/01/25............................. 2,000 2,139,704
JM Smucker Co. (The)
3.500%, 03/15/25............................. 5,000 5,261,125
John Deere Capital Corp.
3.350%, 06/12/24............................. 846 899,180
Johnson & Johnson
3.375%, 12/05/23............................. 3,526 3,835,206
2.450%, 03/01/26............................. 4,000 4,037,548
Johnson Controls, Inc.
3.625%, 07/02/24............................. 541 571,821
FACE
AMOUNT VALUE+
------ ------
(000)
JPMorgan Chase & Co.
3.625%, 05/13/24............................. $4,287 $4,508,299
3.900%, 07/15/25............................. 4,820 5,124,918
Juniper Networks, Inc.
4.500%, 03/15/24............................. 2,327 2,477,785
Kellogg Co.
3.250%, 04/01/26............................. 6,741 6,887,084
7.450%, 04/01/31............................. 300 409,758
KeyBank NA
3.300%, 06/01/25............................. 2,000 2,080,554
Kimberly-Clark Corp.
2.400%, 06/01/23............................. 1,058 1,076,336
KLA-Tencor Corp.
4.650%, 11/01/24............................. 1,545 1,686,191
Kohl's Corp.
# 3.250%, 02/01/23............................. 705 698,716
4.750%, 12/15/23............................. 3,526 3,799,639
4.250%, 07/17/25............................. 3,964 4,084,248
Kraft Heinz Foods Co.
3.950%, 07/15/25............................. 8,000 8,556,216
Kroger Co. (The)
3.850%, 08/01/23............................. 3,219 3,451,196
L-3 Communications Corp.
3.950%, 05/28/24............................. 1,361 1,426,186
Laboratory Corp. of America Holdings
4.000%, 11/01/23............................. 2,115 2,256,938
Legg Mason, Inc.
3.950%, 07/15/24............................. 2,609 2,673,523
4.750%, 03/15/26............................. 3,205 3,449,663
Lincoln National Corp.
3.350%, 03/09/25............................. 8,425 8,649,973
Lloyds Bank P.L.C.
3.500%, 05/14/25............................. 3,263 3,466,050
Lockheed Martin Corp.
2.900%, 03/01/25............................. 2,468 2,505,553
Loews Corp.
2.625%, 05/15/23............................. 1,010 1,010,998
3.750%, 04/01/26............................. 4,500 4,729,280
Lowe's Cos., Inc.
3.875%, 09/15/23............................. 287 316,134
3.375%, 09/15/25............................. 3,551 3,785,828
LyondellBasell Industries NV
5.750%, 04/15/24............................. 3,173 3,711,547
Macquarie Bank, Ltd.
## 3.900%, 01/15/26............................. 5,000 5,256,855
Macy's Retail Holdings, Inc.
3.875%, 01/15/22............................. 4,567 4,768,537
2.875%, 02/15/23............................. 2,292 2,205,576
# 3.625%, 06/01/24............................. 1,763 1,745,576
Manufacturers & Traders Trust Co.
2.900%, 02/06/25............................. 6,527 6,569,902
Marathon Petroleum Corp.
3.625%, 09/15/24............................. 4,513 4,513,505
Markel Corp.
3.625%, 03/30/23............................. 705 721,996
62
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
Marsh & McLennan Cos., Inc.
3.500%, 06/03/24............................. $4,583 $4,801,467
3.500%, 03/10/25............................. 1,500 1,569,171
MasterCard, Inc.
3.375%, 04/01/24............................. 984 1,046,390
McDonald's Corp.
3.700%, 01/30/26............................. 9,000 9,529,164
McKesson Corp.
3.796%, 03/15/24............................. 1,851 1,973,246
Mead Johnson Nutrition Co.
4.125%, 11/15/25............................. 4,200 4,483,105
Medtronic, Inc.
3.625%, 03/15/24............................. 212 226,410
3.500%, 03/15/25............................. 1,000 1,061,489
Merck & Co., Inc.
2.800%, 05/18/23............................. 2,820 2,912,476
2.750%, 02/10/25............................. 2,000 2,039,560
MetLife, Inc.
3.600%, 04/10/24............................. 7,166 7,593,703
Microsoft Corp.
3.625%, 12/15/23............................. 5,118 5,547,989
2.700%, 02/12/25............................. 1,058 1,075,990
Mitsubishi UFJ Financial Group, Inc.
3.850%, 03/01/26............................. 4,000 4,298,640
Mondelez International, Inc.
4.000%, 02/01/24............................. 5,593 6,205,859
Monsanto Co.
3.375%, 07/15/24............................. 897 921,919
5.500%, 08/15/25............................. 3,984 4,638,292
Morgan Stanley
3.875%, 04/29/24............................. 5,878 6,228,546
3.875%, 01/27/26............................. 3,000 3,162,357
Mosaic Co. (The)
4.250%, 11/15/23............................. 1,939 1,989,914
Motorola Solutions, Inc.
3.750%, 05/15/22............................. 1,763 1,812,831
3.500%, 03/01/23............................. 1,763 1,766,865
Mylan, Inc.
4.200%, 11/29/23............................. 2,468 2,570,254
Nasdaq, Inc.
4.250%, 06/01/24............................. 1,551 1,646,512
National Australia Bank, Ltd.
3.000%, 01/20/23............................. 3,526 3,621,322
National Oilwell Varco, Inc.
2.600%, 12/01/22............................. 5,354 5,049,341
Nationwide Building Society
## 3.900%, 07/21/25............................. 7,000 7,483,637
NetApp, Inc.
3.250%, 12/15/22............................. 599 610,394
NIKE, Inc.
2.375%, 11/01/26............................. 600 592,942
Noble Energy, Inc.
3.900%, 11/15/24............................. 1,426 1,466,654
Nordstrom, Inc.
6.950%, 03/15/28............................. 282 352,126
FACE
AMOUNT VALUE+
------ ------
(000)
Norfolk Southern Corp.
5.640%, 05/17/29............................. $2,048 $2,466,789
Novartis Capital Corp.
3.400%, 05/06/24............................. 3,349 3,611,528
Nucor Corp.
4.000%, 08/01/23............................. 1,234 1,326,634
Occidental Petroleum Corp.
2.700%, 02/15/23............................. 3,050 3,099,800
3.400%, 04/15/26............................. 4,000 4,167,116
Omnicom Group, Inc.
3.650%, 11/01/24............................. 705 739,171
Oracle Corp.
2.950%, 05/15/25............................. 8,617 8,803,946
3.250%, 05/15/30............................. 7,966 8,150,724
Pacific Gas & Electric Co.
3.850%, 11/15/23............................. 1,763 1,920,686
3.750%, 02/15/24............................. 3,582 3,877,361
3.500%, 06/15/25............................. 2,362 2,522,137
Packaging Corp. of America
4.500%, 11/01/23............................. 2,142 2,342,508
Parker-Hannifin Corp.
3.300%, 11/21/24............................. 3,356 3,540,593
PepsiCo, Inc.
3.500%, 07/17/25............................. 4,721 5,069,825
Pernod Ricard SA
## 3.250%, 06/08/26............................. 3,000 3,014,691
Perrigo Finance Unlimited Co.
3.500%, 12/15/21............................. 2,391 2,468,994
Perrigo Finance unlimited Co.
3.900%, 12/15/24............................. 6,115 6,187,114
Pfizer, Inc.
3.000%, 06/15/23............................. 1,058 1,110,011
# 3.400%, 05/15/24............................. 3,526 3,815,901
Philip Morris International, Inc.
3.250%, 11/10/24............................. 2,179 2,295,803
Phillips 66 Partners L.P.
3.550%, 10/01/26............................. 1,550 1,544,983
Pitney Bowes, Inc.
4.625%, 03/15/24............................. 3,330 3,426,963
PNC Bank NA
3.300%, 10/30/24............................. 1,763 1,848,486
2.950%, 02/23/25............................. 4,407 4,498,648
Potash Corp. of Saskatchewan, Inc.
3.000%, 04/01/25............................. 1,500 1,477,868
PPL Capital Funding, Inc.
3.400%, 06/01/23............................. 2,676 2,788,242
Precision Castparts Corp.
2.500%, 01/15/23............................. 2,820 2,861,028
Principal Financial Group, Inc.
3.125%, 05/15/23............................. 4,018 4,059,876
3.400%, 05/15/25............................. 1,177 1,206,937
Province of Quebec Canada
7.500%, 09/15/29............................. 2,000 2,958,184
Prudential Financial, Inc.
3.500%, 05/15/24............................. 6,738 7,065,170
63
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
PSEG Power LLC
# 4.300%, 11/15/23............................. $2,122 $2,275,667
QUALCOMM, Inc.
3.450%, 05/20/25............................. 5,026 5,270,113
Quest Diagnostics, Inc.
3.500%, 03/30/25............................. 212 218,899
Reinsurance Group of America, Inc.
4.700%, 09/15/23............................. 2,115 2,307,116
3.950%, 09/15/26............................. 4,358 4,501,757
Roche Holdings, Inc.
## 3.000%, 11/10/25............................. 4,000 4,142,064
Rockwell Automation, Inc.
2.875%, 03/01/25............................. 705 718,102
Rogers Communications, Inc.
4.100%, 10/01/23............................. 687 751,858
Rolls-Royce P.L.C.
## 3.625%, 10/14/25............................. 4,000 4,181,856
Santander Holdings USA, Inc.
4.500%, 07/17/25............................. 6,000 6,135,708
Santander UK P.L.C.
4.000%, 03/13/24............................. 3,779 4,074,718
SCANA Corp.
4.125%, 02/01/22............................. 1,070 1,111,568
Scripps Networks Interactive, Inc.
3.900%, 11/15/24............................. 5,961 6,180,377
Sempra Energy
4.050%, 12/01/23............................. 2,316 2,497,435
3.550%, 06/15/24............................. 3,596 3,781,176
3.750%, 11/15/25............................. 1,000 1,058,690
Shell International Finance BV
2.500%, 09/12/26............................. 3,700 3,594,639
Shell International Finance BV
3.400%, 08/12/23............................. 5,288 5,566,228
2.875%, 05/10/26............................. 7,000 7,016,100
Sherwin-Williams Co. (The)
3.450%, 08/01/25............................. 5,503 5,686,586
Siemens Financieringsmaatschappij NV
## 6.125%, 08/17/26............................. 2,080 2,661,551
Solvay Finance America LLC
## 4.450%, 12/03/25............................. 3,000 3,219,918
Southern California Edison Co.
6.650%, 04/01/29............................. 525 681,965
Southern Power Co.
4.150%, 12/01/25............................. 2,000 2,140,520
Spectra Energy Capital LLC
3.300%, 03/15/23............................. 3,623 3,554,946
Spectra Energy Partners L.P.
4.750%, 03/15/24............................. 1,063 1,162,011
St Jude Medical, Inc.
3.250%, 04/15/23............................. 1,763 1,809,489
StanCorp Financial Group, Inc.
5.000%, 08/15/22............................. 1,763 1,870,709
Staples, Inc.
# 4.375%, 01/12/23............................. 588 601,681
FACE
AMOUNT VALUE+
------ ------
(000)
State Street Corp.
3.300%, 12/16/24............................. $8,276 $8,733,712
Statoil ASA
2.450%, 01/17/23............................. 3,526 3,546,028
2.650%, 01/15/24............................. 3,829 3,868,186
Stryker Corp.
3.375%, 05/15/24............................. 282 293,517
3.375%, 11/01/25............................. 6,000 6,230,064
Sumitomo Mitsui Banking Corp.
3.950%, 07/19/23............................. 3,229 3,481,505
Sumitomo Mitsui Financial Group, Inc.
3.784%, 03/09/26............................. 4,000 4,263,148
Suncor Energy, Inc.
3.600%, 12/01/24............................. 4,007 4,163,533
Sunoco Logistics Partners Operations L.P.
4.650%, 02/15/22............................. 1,021 1,105,496
SunTrust Bank
2.750%, 05/01/23............................. 1,728 1,735,195
Sysco Corp.
3.750%, 10/01/25............................. 700 738,032
3.300%, 07/15/26............................. 2,000 2,039,984
Target Corp.
2.500%, 04/15/26............................. 5,730 5,703,080
TD Ameritrade Holding Corp.
3.625%, 04/01/25............................. 3,526 3,705,625
Telefonica Europe BV
8.250%, 09/15/30............................. 5,475 7,781,147
Thomson Reuters Corp.
4.300%, 11/23/23............................. 2,820 3,051,827
3.850%, 09/29/24............................. 365 385,508
TIAA Asset Management Finance Co. LLC
## 4.125%, 11/01/24............................. 5,360 5,561,879
Time Warner, Inc.
3.550%, 06/01/24............................. 2,468 2,557,433
7.625%, 04/15/31............................. 2,000 2,796,244
TJX Cos., Inc. (The)
2.500%, 05/15/23............................. 2,270 2,299,385
Total Capital International SA
3.750%, 04/10/24............................. 5,288 5,751,165
Total System Services, Inc.
4.800%, 04/01/26............................. 5,970 6,632,766
Toyota Motor Credit Corp.
2.625%, 01/10/23............................. 3,526 3,606,241
U.S. Bank NA
2.800%, 01/27/25............................. 7,000 7,141,715
UBS Group Funding Jersey, Ltd.
## 4.125%, 09/24/25............................. 9,500 9,901,964
Union Pacific Corp.
3.250%, 01/15/25............................. 8,761 9,245,623
United Technologies Corp.
7.500%, 09/15/29............................. 5,114 7,517,186
UnitedHealth Group, Inc.
3.750%, 07/15/25............................. 5,333 5,759,272
64
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
Unum Group
4.000%, 03/15/24............................. $ 705 $ 717,180
3.875%, 11/05/25............................. 9,000 9,065,385
US Bancorp
3.700%, 01/30/24............................. 2,000 2,158,702
Verizon Communications, Inc.
5.150%, 09/15/23............................. 4,936 5,637,346
Viacom, Inc.
4.250%, 09/01/23............................. 353 375,076
# 3.875%, 04/01/24............................. 1,987 2,050,177
Visa, Inc.
3.150%, 12/14/25............................. 2,250 2,348,084
Wal-Mart Stores, Inc.
3.300%, 04/22/24............................. 2,468 2,643,421
Walgreens Boots Alliance, Inc.
3.450%, 06/01/26............................. 9,000 9,177,696
Walt Disney Co. (The)
3.150%, 09/17/25............................. 3,526 3,706,937
WEC Energy Group, Inc.
3.550%, 06/15/25............................. 6,200 6,559,116
Wells Fargo & Co.
3.000%, 02/19/25............................. 3,526 3,532,379
3.000%, 04/22/26............................. 5,000 4,974,980
Westpac Banking Corp.
2.850%, 05/13/26............................. 1,500 1,499,367
2.700%, 08/19/26............................. 5,755 5,662,983
WestRock MWV LLC
8.200%, 01/15/30............................. 1,885 2,545,118
FACE
AMOUNT VALUE+
------ ------
(000)
Whirlpool Corp.
3.700%, 05/01/25............................. $ 2,468 $ 2,563,050
Wisconsin Electric Power Co.
3.100%, 06/01/25............................. 1,763 1,838,102
Wyndham Worldwide Corp.
3.900%, 03/01/23............................. 3,904 4,006,624
Xerox Corp.
4.500%, 05/15/21............................. 840 897,605
# 3.800%, 05/15/24............................. 2,276 2,246,858
Zimmer Biomet Holdings, Inc.
3.550%, 04/01/25............................. 3,000 3,053,382
Zoetis, Inc.
3.250%, 02/01/23............................. 2,468 2,523,044
--------------
TOTAL BONDS........................................ 1,304,192,084
--------------
U.S. TREASURY OBLIGATIONS -- (2.1%)
U.S. Treasury Bonds
6.250%, 05/15/30............................. 20,000 30,115,620
--------------
TOTAL INVESTMENT SECURITIES........................ 1,395,050,714
--------------
SHARES
------ -
SECURITIES LENDING COLLATERAL -- (2.4%)
(S)@ DFA Short Term Investment Fund............... 3,010,217 34,834,226
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,400,183,134)............................ $1,429,884,940
==============
Summary of the Portfolio's investments as of October 31, 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
------- -------------- ------- --------------
Agency Obligations............ -- $ 60,743,010 -- $ 60,743,010
Bonds......................... -- 1,304,192,084 -- 1,304,192,084
U.S. Treasury Obligations..... -- 30,115,620 -- 30,115,620
Securities Lending Collateral. -- 34,834,226 -- 34,834,226
-- -------------- -- --------------
TOTAL......................... -- $1,429,884,940 -- $1,429,884,940
== ============== == ==============
See accompanying Notes to Financial Statements.
65
DFA TARGETED CREDIT PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
FACE
AMOUNT^ VALUE+
------- ------
(000)
BONDS -- (98.8%)
AUSTRALIA -- (1.7%)
Commonwealth Bank of Australia
2.300%, 03/12/20............................. 500 $ 506,182
5.000%, 03/19/20............................. 1,000 1,098,417
Macquarie Group, Ltd.
## 6.000%, 01/14/20............................. 1,150 1,270,289
National Australia Bank, Ltd.
2.625%, 07/23/20............................. 500 512,319
Origin Energy Finance, Ltd.
## 3.500%, 10/09/18............................. 835 848,782
Westpac Banking Corp.
2.300%, 05/26/20............................. 750 760,078
2.600%, 11/23/20............................. 1,000 1,022,626
-------------
TOTAL AUSTRALIA.................................. 6,018,693
-------------
BELGIUM -- (0.8%)
Anheuser-Busch InBev Finance, Inc.
2.650%, 02/01/21............................. 1,700 1,742,852
Anheuser-Busch InBev Worldwide, Inc.
5.375%, 01/15/20............................. 500 555,507
Dexia Credit Local SA
1.875%, 01/29/20............................. 500 500,099
-------------
TOTAL BELGIUM.................................... 2,798,458
-------------
CANADA -- (2.5%)
Bank of Nova Scotia (The)
4.375%, 01/13/21............................. 1,300 1,422,310
Cenovus Energy, Inc.
5.700%, 10/15/19............................. 800 864,474
Goldcorp, Inc.
2.125%, 03/15/18............................. 800 802,958
3.625%, 06/09/21............................. 1,500 1,565,712
Husky Energy, Inc.
7.250%, 12/15/19............................. 925 1,070,546
Petro-Canada
6.050%, 05/15/18............................. 1,250 1,332,195
Royal Bank of Canada
2.150%, 03/06/20............................. 1,000 1,011,163
Thomson Reuters Corp.
6.500%, 07/15/18............................. 500 540,435
TransCanada PipeLines, Ltd.
7.125%, 01/15/19............................. 200 221,897
-------------
TOTAL CANADA..................................... 8,831,690
-------------
DENMARK -- (1.4%)
AP Moeller - Maersk A.S.
## 2.875%, 09/28/20............................. 1,000 1,014,805
Danske Bank A.S.
## 2.800%, 03/10/21............................. 700 720,794
FACE
AMOUNT^ VALUE+
------- ------
(000)
DENMARK -- (Continued)
Danske Bank A/S
## 2.750%, 09/17/20............................. 1,500 $ 1,543,884
Nordea Bank AB
4.875%, 01/27/20............................. 1,000 1,091,824
## 2.500%, 09/17/20............................. 500 509,606
-------------
TOTAL DENMARK..................................... 4,880,913
-------------
FRANCE -- (3.1%)
Airgas, Inc.
3.050%, 08/01/20............................. 700 729,622
BNP Paribas SA
2.450%, 03/17/19............................. 1,000 1,015,053
5.000%, 01/15/21............................. 1,031 1,145,955
BPCE SA
2.250%, 01/27/20............................. 1,000 1,010,597
2.650%, 02/03/21............................. 700 717,402
Electricite de France SA
## 2.350%, 10/13/20............................. 1,470 1,493,857
Orange SA
5.375%, 07/08/19............................. 500 548,756
Pernod Ricard SA
## 5.750%, 04/07/21............................. 2,000 2,285,066
Societe Generale SA
## 2.625%, 09/16/20............................. 1,000 1,021,095
### 2.500%, 04/08/21............................. 1,000 1,018,034
-------------
TOTAL FRANCE...................................... 10,985,437
-------------
GERMANY -- (3.0%)
Bayer U.S. Finance LLC
## 2.375%, 10/08/19............................. 1,000 1,014,023
BMW US Capital LLC
## 2.000%, 04/11/21............................. 2,000 2,002,096
Daimler AG
2.750%, 12/04/20............................. GBP 1,500 1,946,201
Deutsche Bank AG
6.000%, 09/01/17............................. 280 287,128
2.950%, 08/20/20............................. 1,000 977,766
3.125%, 01/13/21............................. 500 487,785
Deutsche Telekom International Finance BV
2.250%, 03/06/17............................. 800 802,848
## 1.950%, 09/19/21............................. 1,500 1,484,483
E.ON International Finance BV
## 5.800%, 04/30/18............................. 800 845,694
Volkswagen Group of America Finance LLC
## 2.125%, 05/23/19............................. 1,000 1,004,487
-------------
TOTAL GERMANY..................................... 10,852,511
-------------
66
DFA TARGETED CREDIT PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
IRELAND -- (0.7%)
Actavis Funding SCS
3.000%, 03/12/20............................. 500 $ 515,746
Perrigo Finance Unlimited Co.
3.500%, 03/15/21............................. 1,800 1,860,192
-------------
TOTAL IRELAND.................................... 2,375,938
-------------
ITALY -- (0.7%)
Enel Finance International NV
## 6.250%, 09/15/17............................. 1,200 1,248,552
Intesa Sanpaolo SpA
3.875%, 01/15/19............................. 1,075 1,106,013
-------------
TOTAL ITALY...................................... 2,354,565
-------------
JAPAN -- (3.3%)
American Honda Finance Corp.
2.450%, 09/24/20............................. 1,500 1,536,618
Bank of Tokyo-Mitsubishi UFJ, Ltd. (The)
## 2.300%, 03/05/20............................. 1,071 1,079,176
Beam Suntory, Inc.
1.750%, 06/15/18............................. 800 800,905
Mizuho Bank, Ltd.
## 2.450%, 04/16/19............................. 1,000 1,012,521
## 2.700%, 10/20/20............................. 500 508,425
Mizuho Financial Group, Inc.
## 2.632%, 04/12/21............................. 800 807,924
MUFG Union Bank NA
2.625%, 09/26/18............................. 1,000 1,015,756
Nissan Motor Acceptance Corp.
## 2.550%, 03/08/21............................. 1,500 1,526,733
Nomura Holdings, Inc.
6.700%, 03/04/20............................. 800 914,478
Sumitomo Mitsui Banking Corp.
2.450%, 01/16/20............................. 1,500 1,517,145
Sumitomo Mitsui Financial Group, Inc.
2.058%, 07/14/21............................. 1,000 985,760
-------------
TOTAL JAPAN...................................... 11,705,441
-------------
NETHERLANDS -- (2.2%)
ABN AMRO Bank NV
## 2.450%, 06/04/20............................. 1,375 1,394,583
Cooperatieve Rabobank UA
2.250%, 01/14/20............................. 1,000 1,012,757
2.500%, 01/19/21............................. 800 816,746
ING Bank NV
## 2.500%, 10/01/19............................. 250 254,359
## 2.750%, 03/22/21............................. 1,500 1,539,460
LyondellBasell Industries NV
5.000%, 04/15/19............................. 750 801,563
Mylan, Inc.
2.550%, 03/28/19............................. 860 871,116
Shell International Finance BV
2.125%, 05/11/20............................. 1,000 1,008,684
-------------
TOTAL NETHERLANDS................................ 7,699,268
-------------
FACE
AMOUNT^ VALUE+
------- ------
(000)
NORWAY -- (0.3%)
Statoil ASA
2.900%, 11/08/20............................. 1,000 $ 1,041,196
-------------
SPAIN -- (1.5%)
Iberdrola Finance Ireland, Ltd.
## 5.000%, 09/11/19............................. 974 1,057,202
Santander Bank NA
2.000%, 01/12/18............................. 500 499,824
Santander Holdings USA, Inc.
2.650%, 04/17/20............................. 800 799,487
Santander UK P.L.C.
2.375%, 03/16/20............................. 1,000 1,006,934
Telefonica Emisiones SAU
5.134%, 04/27/20............................. 1,000 1,096,511
5.462%, 02/16/21............................. 884 995,763
-------------
TOTAL SPAIN...................................... 5,455,721
-------------
SWEDEN -- (0.6%)
Svenska Handelsbanken AB
## 5.125%, 03/30/20............................. 500 552,056
2.400%, 10/01/20............................. 1,500 1,525,294
-------------
TOTAL SWEDEN..................................... 2,077,350
-------------
SWITZERLAND -- (1.1%)
Chubb INA Holdings, Inc.
2.300%, 11/03/20............................. 1,800 1,836,911
Credit Suisse AG
2.300%, 05/28/19............................. 1,000 1,010,264
UBS AG
2.375%, 08/14/19............................. 1,000 1,016,973
-------------
TOTAL SWITZERLAND................................ 3,864,148
-------------
UNITED KINGDOM -- (6.1%)
Aon P.L.C.
2.800%, 03/15/21............................. 1,500 1,532,055
AstraZeneca P.L.C.
2.375%, 11/16/20............................. 2,000 2,036,174
BAE Systems Holdings, Inc.
## 2.850%, 12/15/20............................. 1,650 1,676,879
Barclays P.L.C.
2.750%, 11/08/19............................. 1,000 1,008,018
2.875%, 06/08/20............................. 1,000 1,004,468
Baxalta, Inc.
2.875%, 06/23/20............................. 1,000 1,020,643
BP Capital Markets P.L.C.
2.315%, 02/13/20............................. 1,000 1,015,743
Coca-Cola European Partners US LLC
3.500%, 09/15/20............................. 1,665 1,753,308
4.500%, 09/01/21............................. 270 298,646
HSBC Holdings P.L.C.
3.400%, 03/08/21............................. 1,500 1,546,572
HSBC USA, Inc.
2.350%, 03/05/20............................. 500 501,560
2.750%, 08/07/20............................. 185 187,948
67
DFA TARGETED CREDIT PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED KINGDOM -- (Continued)
Imperial Brands Finance P.L.C.
## 2.950%, 07/21/20............................. 1,000 $ 1,026,939
Lloyds Bank P.L.C.
2.700%, 08/17/20............................. 1,300 1,329,686
Nationwide Building Society
## 2.350%, 01/21/20............................. 1,000 1,008,548
Sky P.L.C.
## 2.625%, 09/16/19............................. 750 760,234
2.875%, 11/24/20............................. GBP 900 1,168,192
Unilever Capital Corp.
4.250%, 02/10/21............................. 2,263 2,496,856
Vodafone Group P.L.C.
5.450%, 06/10/19............................. 400 437,307
-------------
TOTAL UNITED KINGDOM............................. 21,809,776
-------------
UNITED STATES -- (69.8%)
21st Century Fox America, Inc.
4.500%, 02/15/21............................. 1,000 1,102,361
Abbott Laboratories
4.125%, 05/27/20............................. 1,000 1,074,598
AbbVie, Inc.
2.500%, 05/14/20............................. 1,400 1,417,756
Advance Auto Parts, Inc.
5.750%, 05/01/20............................. 985 1,080,076
Agilent Technologies, Inc.
5.000%, 07/15/20............................. 1,000 1,105,464
Amazon.com, Inc.
2.600%, 12/05/19............................. 1,007 1,040,656
Ameren Corp.
2.700%, 11/15/20............................. 1,525 1,569,779
American Express Credit Corp.
2.250%, 08/15/19............................. 1,000 1,016,438
2.600%, 09/14/20............................. 1,000 1,023,126
American International Group, Inc.
2.300%, 07/16/19............................. 500 507,341
3.375%, 08/15/20............................. 1,000 1,050,856
3.300%, 03/01/21............................. 500 523,024
Ameriprise Financial, Inc.
5.300%, 03/15/20............................. 1,017 1,125,392
Amgen, Inc.
4.100%, 06/15/21............................. 2,000 2,158,924
Anthem, Inc.
2.250%, 08/15/19............................. 500 504,642
4.350%, 08/15/20............................. 1,000 1,077,822
Apple, Inc.
2.850%, 05/06/21............................. 1,000 1,044,210
Associated Banc-Corp
2.750%, 11/15/19............................. 1,294 1,314,650
Assurant, Inc.
2.500%, 03/15/18............................. 800 807,880
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
AT&T, Inc.
2.800%, 02/17/21............................. 500 $ 506,911
5.000%, 03/01/21............................. 1,200 1,319,280
3.875%, 08/15/21............................. 300 318,090
Autodesk, Inc.
1.950%, 12/15/17............................. 500 501,916
3.125%, 06/15/20............................. 750 763,786
AutoZone, Inc.
2.500%, 04/15/21............................. 1,295 1,311,211
Baker Hughes, Inc.
3.200%, 08/15/21............................. 309 323,759
Bank of America Corp.
2.650%, 04/01/19............................. 750 763,944
2.625%, 10/19/20............................. 900 915,171
Bank of New York Mellon Corp. (The)
2.150%, 02/24/20............................. 1,000 1,009,907
2.450%, 11/27/20............................. 301 306,361
Baxter International, Inc.
1.700%, 08/15/21............................. 1,500 1,491,579
BB&T Corp.
2.450%, 01/15/20............................. 1,000 1,020,224
Becton Dickinson and Co.
6.375%, 08/01/19............................. 1,000 1,121,267
Biogen, Inc.
2.900%, 09/15/20............................. 1,300 1,340,824
Boston Scientific Corp.
6.000%, 01/15/20............................. 500 559,656
2.850%, 05/15/20............................. 700 718,994
Buckeye Partners L.P.
6.050%, 01/15/18............................. 300 314,581
2.650%, 11/15/18............................. 500 505,542
Burlington Northern Santa Fe LLC
4.700%, 10/01/19............................. 500 546,851
3.450%, 09/15/21............................. 1,000 1,069,647
CA, Inc.
5.375%, 12/01/19............................. 700 769,813
Capital One Financial Corp.
2.450%, 04/24/19............................. 300 305,075
4.750%, 07/15/21............................. 1,500 1,654,806
Caterpillar, Inc.
3.900%, 05/27/21............................. 1,000 1,085,093
CBS Corp.
5.750%, 04/15/20............................. 1,125 1,260,866
Celgene Corp.
2.250%, 05/15/19............................. 800 809,020
CF Industries, Inc.
6.875%, 05/01/18............................. 750 791,437
Charles Schwab Corp. (The)
4.450%, 07/22/20............................. 1,000 1,094,071
Chevron Corp.
1.961%, 03/03/20............................. 500 505,536
2.419%, 11/17/20............................. 1,000 1,021,975
2.100%, 05/16/21............................. 657 661,755
Cisco Systems, Inc.
2.450%, 06/15/20............................. 465 477,280
68
DFA TARGETED CREDIT PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Citigroup, Inc.
2.400%, 02/18/20............................. 1,500 $ 1,515,084
2.700%, 03/30/21............................. 600 610,079
Citizens Bank NA
2.450%, 12/04/19............................. 994 1,007,973
Citizens Bank NA/Providence
2.550%, 05/13/21............................. 1,600 1,620,483
CMS Energy Corp.
8.750%, 06/15/19............................. 886 1,041,621
CNA Financial Corp.
5.875%, 08/15/20............................. 1,595 1,796,827
Comerica Bank
2.500%, 06/02/20............................. 1,000 1,015,984
ConocoPhillips
6.000%, 01/15/20............................. 260 291,891
ConocoPhillips Co.
# 4.200%, 03/15/21............................. 1,800 1,950,332
Consolidated Edison, Inc.
2.000%, 05/15/21............................. 1,860 1,863,618
Constellation Energy Group, Inc.
5.150%, 12/01/20............................. 600 663,695
Corning, Inc.
4.250%, 08/15/20............................. 1,000 1,073,322
Crane Co.
2.750%, 12/15/18............................. 433 441,573
CSX Corp.
3.700%, 10/30/20............................. 1,330 1,417,600
CVS Health Corp.
2.250%, 08/12/19............................. 1,250 1,271,354
4.125%, 05/15/21............................. 800 864,738
Discovery Communications LLC
5.625%, 08/15/19............................. 650 709,788
Dominion Gas Holdings LLC
2.800%, 11/15/20............................. 250 257,546
Dominion Resources, Inc.
2.500%, 12/01/19............................. 1,195 1,224,754
4.450%, 03/15/21............................. 850 931,541
Dow Chemical Co. (The)
4.250%, 11/15/20............................. 1,900 2,046,047
Dr. Pepper Snapple Group, Inc.
2.600%, 01/15/19............................. 410 419,090
2.000%, 01/15/20............................. 1,000 1,003,584
DTE Energy Co.
2.400%, 12/01/19............................. 700 712,131
Duke Energy Corp.
5.050%, 09/15/19............................. 750 819,950
Eastman Chemical Co.
4.500%, 01/15/21............................. 500 541,228
eBay, Inc.
2.200%, 08/01/19............................. 1,150 1,161,931
Edwards Lifesciences Corp.
2.875%, 10/15/18............................. 500 511,231
Electronic Arts, Inc.
3.700%, 03/01/21............................. 1,962 2,075,286
EMC Corp.
2.650%, 06/01/20............................. 1,000 972,905
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Enbridge Energy Partners L.P.
5.875%, 12/15/16............................. 295 $ 296,428
Enterprise Products Operating LLC
5.250%, 01/31/20............................. 400 439,548
2.850%, 04/15/21............................. 1,500 1,542,628
ERAC USA Finance LLC
## 2.350%, 10/15/19............................. 370 374,784
Eversource Energy
4.500%, 11/15/19............................. 536 579,666
2.500%, 03/15/21............................. 900 913,058
Exelon Generation Co. LLC
5.200%, 10/01/19............................. 500 546,847
2.950%, 01/15/20............................. 400 410,720
Express Scripts Holding Co.
2.250%, 06/15/19............................. 500 506,030
3.300%, 02/25/21............................. 1,500 1,570,609
FedEx Corp.
2.300%, 02/01/20............................. 905 920,303
Fifth Third Bancorp
2.300%, 03/01/19............................. 1,138 1,146,103
Fiserv, Inc.
2.700%, 06/01/20............................. 800 818,830
FMC Technologies, Inc.
2.000%, 10/01/17............................. 365 365,461
Ford Motor Credit Co. LLC
5.000%, 05/15/18............................. 1,000 1,046,791
3.157%, 08/04/20............................. 375 384,944
3.200%, 01/15/21............................. 800 817,420
Fortune Brands Home & Security, Inc.
3.000%, 06/15/20............................. 500 514,318
GATX Corp.
2.500%, 07/30/19............................. 500 506,648
Georgia Power Co.
4.250%, 12/01/19............................. 700 758,036
Gilead Sciences, Inc.
2.550%, 09/01/20............................. 1,000 1,026,569
Goldman Sachs Group, Inc. (The)
5.375%, 03/15/20............................. 500 551,857
6.000%, 06/15/20............................. 300 338,966
2.625%, 04/25/21............................. 1,000 1,012,210
Great Plains Energy, Inc.
4.850%, 06/01/21............................. 915 998,670
Halliburton Co.
6.150%, 09/15/19............................. 300 334,967
Harley-Davidson Financial Services, Inc.
## 2.150%, 02/26/20............................. 755 759,088
Harris Corp.
2.700%, 04/27/20............................. 1,570 1,590,520
Hartford Financial Services Group, Inc. (The)
5.500%, 03/30/20............................. 750 833,518
69
DFA TARGETED CREDIT PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Hasbro, Inc.
3.150%, 05/15/21............................. 1,384 $ 1,433,239
Hewlett Packard Enterprise Co.
## 3.850%, 10/15/20............................. 1,600 1,695,349
Home Depot, Inc. (The)
2.000%, 04/01/21............................. 1,444 1,461,319
HP, Inc.
4.300%, 06/01/21............................. 1,370 1,473,072
4.375%, 09/15/21............................. 800 861,270
Huntington National Bank (The)
2.400%, 04/01/20............................. 1,000 1,010,858
Indiana Michigan Power Co.
7.000%, 03/15/19............................. 1,000 1,114,261
Integrys Holding, Inc.
4.170%, 11/01/20............................. 1,180 1,265,034
Intercontinental Exchange, Inc.
2.750%, 12/01/20............................. 1,000 1,031,670
JB Hunt Transport Services, Inc.
2.400%, 03/15/19............................. 1,025 1,034,003
Jefferies Group LLC
5.125%, 04/13/18............................. 750 781,099
Jersey Central Power & Light Co.
7.350%, 02/01/19............................. 607 674,799
JM Smucker Co. (The)
2.500%, 03/15/20............................. 2,300 2,345,319
John Deere Capital Corp.
2.550%, 01/08/21............................. 1,496 1,539,733
JPMorgan Chase & Co.
2.250%, 01/23/20............................. 500 504,178
2.550%, 10/29/20............................. 1,400 1,424,004
4.625%, 05/10/21............................. 500 550,481
Kellogg Co.
4.000%, 12/15/20............................. 1,300 1,406,686
KeyBank NA
2.500%, 12/15/19............................. 700 715,595
KeyCorp
2.900%, 09/15/20............................. 700 720,816
KLA-Tencor Corp.
3.375%, 11/01/19............................. 190 196,000
Kraft Heinz Foods Co.
5.375%, 02/10/20............................. 200 220,799
2.800%, 07/02/20............................. 2,174 2,236,946
Kroger Co. (The)
2.300%, 01/15/19............................. 500 507,947
3.300%, 01/15/21............................. 1,167 1,223,693
L-3 Communications Corp.
4.750%, 07/15/20............................. 1,000 1,085,699
4.950%, 02/15/21............................. 164 179,533
Laboratory Corp. of America Holdings
2.625%, 02/01/20............................. 2,007 2,040,256
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Lam Research Corp.
2.750%, 03/15/20............................. 750 $ 761,646
Legg Mason, Inc.
2.700%, 07/15/19............................. 823 838,780
Liberty Mutual Group, Inc.
## 5.000%, 06/01/21............................. 2,000 2,231,494
Lincoln National Corp.
8.750%, 07/01/19............................. 700 816,088
6.250%, 02/15/20............................. 300 337,336
4.850%, 06/24/21............................. 880 965,110
Lockheed Martin Corp.
2.500%, 11/23/20............................. 500 513,008
Lowe's Cos., Inc.
3.750%, 04/15/21............................. 2,000 2,169,398
Macy's Retail Holdings, Inc.
# 3.450%, 01/15/21............................. 1,500 1,552,717
Manufacturers & Traders Trust Co.
2.100%, 02/06/20............................. 1,000 1,006,916
Marathon Petroleum Corp.
3.400%, 12/15/20............................. 2,100 2,179,422
Marriott International, Inc.
3.000%, 03/01/19............................. 750 769,623
2.875%, 03/01/21............................. 800 823,259
Marsh & McLennan Cos., Inc.
2.350%, 03/06/20............................. 500 505,835
Mattel, Inc.
2.350%, 05/06/19............................. 800 809,786
2.350%, 08/15/21............................. 1,000 1,000,242
Maxim Integrated Products, Inc.
2.500%, 11/15/18............................. 800 811,542
McDonald's Corp.
2.750%, 12/09/20............................. 2,070 2,131,369
Mead Johnson Nutrition Co.
3.000%, 11/15/20............................. 1,830 1,892,000
MetLife, Inc.
4.750%, 02/08/21............................. 2,441 2,715,717
Mondelez International, Inc.
5.375%, 02/10/20............................. 1,916 2,128,337
Monsanto Co.
2.125%, 07/15/19............................. 800 807,506
Morgan Stanley
7.300%, 05/13/19............................. 700 791,512
2.375%, 07/23/19............................. 300 304,120
2.500%, 04/21/21............................. 1,000 1,007,221
5.500%, 07/28/21............................. 200 227,054
NASDAQ OMX Group, Inc. (The)
5.550%, 01/15/20............................. 1,115 1,232,693
Newell Brands, Inc.
2.875%, 12/01/19............................. 850 871,049
NextEra Energy Capital Holdings, Inc.
2.400%, 09/15/19............................. 1,400 1,425,889
70
DFA TARGETED CREDIT PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
NiSource Finance Corp.
6.400%, 03/15/18............................. 750 $ 797,358
5.450%, 09/15/20............................. 995 1,110,227
Nordstrom, Inc.
4.750%, 05/01/20............................. 1,000 1,086,539
Norfolk Southern Corp.
5.900%, 06/15/19............................. 500 554,872
Occidental Petroleum Corp.
4.100%, 02/01/21............................. 460 497,127
Omnicom Group, Inc.
4.450%, 08/15/20............................. 1,000 1,087,299
ONEOK Partners L.P.
2.000%, 10/01/17............................. 856 858,803
Pacific Gas & Electric Co.
3.500%, 10/01/20............................. 500 529,701
4.250%, 05/15/21............................. 797 871,284
Penske Truck Leasing Co. L.P. / PTL Finance Corp.
## 3.050%, 01/09/20............................. 1,323 1,354,157
PepsiCo, Inc.
2.150%, 10/14/20............................. 2,000 2,035,830
PG&E Corp.
2.400%, 03/01/19............................. 500 508,117
Pioneer Natural Resources Co.
6.875%, 05/01/18............................. 715 766,466
Plains All American Pipeline L.P. / PAA Finance
Corp.
6.500%, 05/01/18............................. 800 852,816
PNC Financial Services Group, Inc. (The)
4.375%, 08/11/20............................. 2,000 2,176,108
Principal Financial Group, Inc.
8.875%, 05/15/19............................. 849 997,243
Progress Energy, Inc.
4.400%, 01/15/21............................. 1,100 1,197,603
Prudential Financial, Inc.
5.375%, 06/21/20............................. 400 445,515
4.500%, 11/15/20............................. 2,000 2,187,190
PSEG Power LLC
2.450%, 11/15/18............................. 1,163 1,179,654
Quest Diagnostics, Inc.
2.700%, 04/01/19............................. 200 204,535
4.750%, 01/30/20............................. 1,000 1,080,738
Regions Financial Corp.
3.200%, 02/08/21............................. 1,700 1,762,711
Republic Services, Inc.
5.500%, 09/15/19............................. 700 774,309
Reynolds American, Inc.
6.875%, 05/01/20............................. 500 581,213
Roper Technologies, Inc.
3.000%, 12/15/20............................. 1,200 1,242,676
Ryder System, Inc.
2.500%, 05/11/20............................. 1,250 1,259,029
SCANA Corp.
6.250%, 04/01/20............................. 550 607,037
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Scripps Networks Interactive, Inc.
2.750%, 11/15/19............................. 975 $ 997,118
2.800%, 06/15/20............................. 550 561,104
Sempra Energy
9.800%, 02/15/19............................. 700 824,712
Southern Co. (The)
2.750%, 06/15/20............................. 750 770,277
Southern Power Co.
2.375%, 06/01/20............................. 334 338,054
Southwest Airlines Co.
2.750%, 11/06/19............................. 1,400 1,441,542
Spectra Energy Capital LLC
6.200%, 04/15/18............................. 800 843,838
St Jude Medical, Inc.
2.800%, 09/15/20............................. 1,000 1,022,275
Starbucks Corp.
2.100%, 02/04/21............................. 1,449 1,469,790
Starwood Hotels & Resorts Worldwide, Inc.
6.750%, 05/15/18............................. 770 829,172
State Street Corp.
2.550%, 08/18/20............................. 1,900 1,957,114
Stryker Corp.
2.625%, 03/15/21............................. 2,086 2,125,630
SunTrust Banks, Inc.
2.500%, 05/01/19............................. 1,200 1,223,909
2.900%, 03/03/21............................. 900 929,159
Symantec Corp.
2.750%, 06/15/17............................. 800 805,905
4.200%, 09/15/20............................. 1,000 1,045,772
Sysco Corp.
2.600%, 10/01/20............................. 1,000 1,024,110
TD Ameritrade Holding Corp.
5.600%, 12/01/19............................. 286 317,679
Thermo Fisher Scientific, Inc.
2.400%, 02/01/19............................. 800 813,362
4.500%, 03/01/21............................. 1,000 1,101,494
TIAA Asset Management Finance Co. LLC
## 2.950%, 11/01/19............................. 1,050 1,079,951
Time Warner Cable, Inc.
5.000%, 02/01/20............................. 1,100 1,186,798
Time Warner, Inc.
2.100%, 06/01/19............................. 905 911,917
Total System Services, Inc.
2.375%, 06/01/18............................. 1,100 1,107,160
Travelers Cos., Inc. (The)
3.900%, 11/01/20............................. 1,000 1,083,709
Tyson Foods, Inc.
2.650%, 08/15/19............................. 1,050 1,073,377
U.S. Bancorp
2.350%, 01/29/21............................. 1,500 1,532,707
Union Pacific Corp.
1.800%, 02/01/20............................. 750 760,050
71
DFA TARGETED CREDIT PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
United Technologies Corp.
4.500%, 04/15/20............................. 800 $ 876,096
UnitedHealth Group, Inc.
2.300%, 12/15/19............................. 1,000 1,021,930
2.125%, 03/15/21............................. 1,200 1,211,275
Unum Group
3.000%, 05/15/21............................. 1,000 1,015,152
Valero Energy Corp.
6.125%, 02/01/20............................. 500 564,715
Verizon Communications, Inc.
3.450%, 03/15/21............................. 2,000 2,102,926
Viacom, Inc.
2.750%, 12/15/19............................. 1,400 1,424,626
Walgreens Boots Alliance, Inc.
2.700%, 11/18/19............................. 1,000 1,026,071
2.600%, 06/01/21............................. 1,000 1,012,409
Walt Disney Co. (The)
2.150%, 09/17/20............................. 1,000 1,021,966
Waste Management, Inc.
4.600%, 03/01/21............................. 1,288 1,419,437
Wells Fargo & Co.
2.150%, 01/30/20............................. 1,000 1,007,924
2.500%, 03/04/21............................. 1,000 1,012,730
Western Gas Partners L.P.
2.600%, 08/15/18............................. 700 701,119
Western Union Co. (The)
5.253%, 04/01/20............................. 1,000 1,095,448
Whirlpool Corp.
4.850%, 06/15/21............................. 436 486,197
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Wm Wrigley Jr Co.
## 2.900%, 10/21/19............................. 1,000 $ 1,029,671
Wyndham Worldwide Corp.
2.500%, 03/01/18............................. 750 756,894
Xcel Energy, Inc.
2.400%, 03/15/21............................. 1,000 1,018,704
Xerox Corp.
2.950%, 03/15/17............................. 800 804,654
Xilinx, Inc.
3.000%, 03/15/21............................. 989 1,020,419
Zimmer Biomet Holdings, Inc.
2.700%, 04/01/20............................. 2,000 2,033,788
-------------
TOTAL UNITED STATES................................ 247,258,266
-------------
TOTAL BONDS........................................ 350,009,371
-------------
TOTAL INVESTMENT SECURITIES........................ 350,009,371
-------------
SHARES
-------
SECURITIES LENDING COLLATERAL -- (1.2%)
(S)@ DFA Short Term Investment Fund............... 372,001 4,304,801
-------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $351,799,401) $ 354,314,172
=============
72
DFA TARGETED CREDIT PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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......................... -- $ 6,018,693 -- $ 6,018,693
Belgium........................... -- 2,798,458 -- 2,798,458
Canada............................ -- 8,831,690 -- 8,831,690
Denmark........................... -- 4,880,913 -- 4,880,913
France............................ -- 10,985,437 -- 10,985,437
Germany........................... -- 10,852,511 -- 10,852,511
Ireland........................... -- 2,375,938 -- 2,375,938
Italy............................. -- 2,354,565 -- 2,354,565
Japan............................. -- 11,705,441 -- 11,705,441
Netherlands....................... -- 7,699,268 -- 7,699,268
Norway............................ -- 1,041,196 -- 1,041,196
Spain............................. -- 5,455,721 -- 5,455,721
Sweden............................ -- 2,077,350 -- 2,077,350
Switzerland....................... -- 3,864,148 -- 3,864,148
United Kingdom.................... -- 21,809,776 -- 21,809,776
United States..................... -- 247,258,266 -- 247,258,266
Securities Lending Collateral...... -- 4,304,801 -- 4,304,801
Forward Currency Contracts**....... -- 12,070 -- 12,070
-- ------------ -- ------------
TOTAL.............................. -- $354,326,242 -- $354,326,242
== ============ == ============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note G)
See accompanying Notes to Financial Statements.
73
DFA INVESTMENT GRADE PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
FACE
AMOUNT^ VALUE+
------- ------
(000)
BONDS -- (57.4%)
AUSTRALIA -- (1.6%)
Australia & New Zealand Banking Group, Ltd.
1.450%, 05/15/18............................. 1,020 $ 1,019,500
2.250%, 06/13/19............................. 4,751 4,812,872
BHP Billiton Finance USA, Ltd.
1.625%, 02/24/17............................. 1,132 1,133,528
3.250%, 11/21/21............................. 971 1,025,783
Commonwealth Bank of Australia
2.500%, 09/20/18............................. 1,257 1,279,739
2.250%, 03/13/19............................. 529 536,047
2.300%, 09/06/19............................. 4,558 4,626,484
5.000%, 03/19/20............................. 793 871,045
2.400%, 11/02/20............................. 10,000 10,148,800
## 2.850%, 05/18/26............................. 2,800 2,790,780
Macquarie Bank, Ltd.
### 3.900%, 01/15/26............................. 25,000 26,284,275
Macquarie Group, Ltd.
## 3.000%, 12/03/18............................. 5,013 5,120,775
National Australia Bank, Ltd.
2.250%, 07/01/19............................. 1,849 1,873,673
3.000%, 01/20/23............................. 6,474 6,649,018
Westpac Banking Corp.
1.500%, 12/01/17............................. 2,000 2,003,210
2.250%, 07/30/18............................. 10,000 10,125,390
4.875%, 11/19/19............................. 18,087 19,660,460
-----------
TOTAL AUSTRALIA................................... 99,961,379
-----------
AUSTRIA -- (0.0%)
Oesterreichische Kontrollbank AG
1.125%, 05/29/18............................. 1,964 1,964,615
-----------
BELGIUM -- (0.3%)
Anheuser-Busch InBev Finance, Inc.
2.650%, 02/01/21............................. 5,000 5,126,035
2.625%, 01/17/23............................. 5,029 5,075,191
Anheuser-Busch InBev Worldwide, Inc.
1.375%, 07/15/17............................. 2,057 2,061,135
5.375%, 01/15/20............................. 317 352,192
4.375%, 02/15/21............................. 2,590 2,840,691
2.500%, 07/15/22............................. 5,180 5,238,285
-----------
TOTAL BELGIUM..................................... 20,693,529
-----------
CANADA -- (2.5%)
Alberta, Province of Canada
### 1.750%, 08/26/20............................. 10,000 10,083,320
Bank of Montreal
2.375%, 01/25/19............................. 32 32,514
1.900%, 08/27/21............................. 10,000 9,891,570
Bank of Nova Scotia (The)
2.050%, 10/30/18............................. 12,400 12,523,740
FACE
AMOUNT^ VALUE+
------- ------
(000)
CANADA -- (Continued)
2.050%, 06/05/19............................. 1,512 $ 1,525,451
4.375%, 01/13/21............................. 3,237 3,541,553
British Columbia, Province of Canada
6.500%, 01/15/26............................. 8,011 10,646,323
1.200%, 04/25/17............................. 982 983,169
Canada Government International Bond
0.875%, 02/14/17............................. 980 980,216
Canadian Pacific Railway Co.
2.900%, 02/01/25............................. 3,059 3,113,967
3.700%, 02/01/26............................. 3,885 4,175,699
Enbridge, Inc.
4.000%, 10/01/23............................. 2,932 3,004,602
# 3.500%, 06/10/24............................. 1,295 1,290,019
Goldcorp, Inc.
3.625%, 06/09/21............................. 4,021 4,197,152
Ontario, Province of Canada
1.200%, 02/14/18............................. 6,205 6,211,174
2.450%, 06/29/22............................. 1,101 1,134,042
Petro-Canada
6.050%, 05/15/18............................. 589 627,730
Potash Corp. of Saskatchewan, Inc.
3.250%, 12/01/17............................. 169 172,131
3.000%, 04/01/25............................. 3,500 3,448,357
Province of Manitoba Canada
2.050%, 11/30/20............................. 11,300 11,521,333
Province of Ontario Canada
1.650%, 09/27/19............................. 529 532,039
Quebec, Province of Canada
2.625%, 02/13/23............................. 4,532 4,693,507
Rogers Communications, Inc.
3.000%, 03/15/23............................. 1,786 1,838,648
# 4.100%, 10/01/23............................. 1,263 1,382,237
Royal Bank of Canada
2.200%, 07/27/18............................. 1,742 1,763,890
2.350%, 10/30/20............................. 5,000 5,079,325
Suncor Energy, Inc.
3.600%, 12/01/24............................. 7,493 7,785,714
Thomson Reuters Corp.
1.300%, 02/23/17............................. 796 796,310
4.300%, 11/23/23............................. 5,180 5,605,837
3.850%, 09/29/24............................. 670 707,644
Toronto-Dominion Bank (The)
1.400%, 04/30/18............................. 1,760 1,761,086
2.625%, 09/10/18............................. 12,260 12,524,767
2.125%, 07/02/19............................. 3,703 3,756,145
2.125%, 04/07/21............................. 20,000 20,142,500
TransCanada PipeLines, Ltd.
3.800%, 10/01/20............................. 1,295 1,378,581
2.500%, 08/01/22............................. 3,310 3,300,163
------------
TOTAL CANADA..................................... 162,152,455
------------
74
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
DENMARK -- (0.3%)
Danske Bank A.S.
### 2.800%, 03/10/21............................. 12,600 $12,974,296
Danske Bank A/S
## 2.750%, 09/17/20............................. 1,058 1,088,953
Kommunekredit
1.125%, 03/15/18............................. 982 982,422
Nordea Bank AB
1.625%, 05/15/18............................. 227 227,345
2.375%, 04/04/19............................. 1,775 1,803,002
-----------
TOTAL DENMARK..................................... 17,076,018
-----------
FINLAND -- (0.0%)
Municipality Finance P.L.C.
1.125%, 04/17/18............................. 2,456 2,456,248
-----------
FRANCE -- (1.2%)
Airgas, Inc.
3.050%, 08/01/20............................. 772 804,669
BNP Paribas SA
1.250%, 12/12/16............................. 1,964 1,964,864
2.375%, 09/14/17............................. 346 349,041
2.450%, 03/17/19............................. 6,164 6,256,787
3.250%, 03/03/23............................. 1,942 2,028,697
BPCE SA
2.500%, 07/15/19............................. 476 484,477
# 2.250%, 01/27/20............................. 2,166 2,188,953
2.650%, 02/03/21............................. 4,500 4,611,870
# 4.000%, 04/15/24............................. 7,769 8,440,467
Credit Agricole SA
## 2.750%, 06/10/20............................. 5,500 5,623,315
# 3.875%, 04/15/24............................. 8,591 9,281,983
Electricite de France SA
## 3.625%, 10/13/25............................. 3,500 3,619,875
Pernod Ricard SA
## 4.450%, 01/15/22............................. 6,474 7,095,154
Sanofi
1.250%, 04/10/18............................. 1,022 1,023,601
4.000%, 03/29/21............................. 1,263 1,379,575
Societe Generale SA
2.750%, 10/12/17............................. 786 796,131
## 2.500%, 04/08/21............................. 2,825 2,875,946
Total Capital International SA
2.125%, 01/10/19............................. 1,073 1,089,075
2.100%, 06/19/19............................. 3,252 3,306,682
3.750%, 04/10/24............................. 9,712 10,562,655
-----------
TOTAL FRANCE...................................... 73,783,817
-----------
GERMANY -- (1.5%)
Bayer U.S. Finance LLC
## 2.375%, 10/08/19............................. 13,364 13,551,403
## 3.375%, 10/08/24............................. 12,544 12,907,688
BMW U.S. Capital LLC
## 2.800%, 04/11/26............................. 9,944 10,034,222
FACE
AMOUNT^ VALUE+
------- ------
(000)
GERMANY -- (Continued)
Daimler Finance North America LLC
## 3.250%, 08/01/24............................. 2,072 $ 2,157,534
8.500%, 01/18/31............................. 5,000 8,003,290
Deutsche Bank AG
6.000%, 09/01/17............................. 1,184 1,214,142
2.500%, 02/13/19............................. 12,003 11,826,436
2.950%, 08/20/20............................. 138 134,932
3.125%, 01/13/21............................. 2,000 1,951,138
3.700%, 05/30/24............................. 9,754 9,344,303
Deutsche Telekom International Finance BV
6.000%, 07/08/19............................. 798 886,606
EMD Finance LLC
## 2.950%, 03/19/22............................. 5,180 5,309,485
FMS Wertmanagement AoeR
1.000%, 11/21/17............................. 2,456 2,455,241
KFW
4.875%, 01/17/17............................. 491 495,118
1.250%, 02/15/17............................. 1,375 1,376,704
0.875%, 09/05/17............................. 491 490,731
1.875%, 04/01/19............................. 741 752,783
Landwirtschaftliche Rentenbank
0.875%, 09/12/17............................. 1,238 1,237,549
NRW Bank
1.875%, 07/01/19............................. 2,116 2,141,637
Siemens Financieringsmaatschappij NV
## 6.125%, 08/17/26............................. 3,821 4,889,321
Volkswagen Group of America Finance LLC
## 2.125%, 05/23/19............................. 879 882,944
## 2.400%, 05/22/20............................. 699 705,259
-----------
TOTAL GERMANY.................................... 92,748,466
-----------
IRELAND -- (0.9%)
Actavis Funding SCS
3.000%, 03/12/20............................. 6,050 6,240,532
3.450%, 03/15/22............................. 13,031 13,548,461
Actavis, Inc.
1.875%, 10/01/17............................. 1,752 1,758,917
3.250%, 10/01/22............................. 7,650 7,858,600
Eaton Corp.
2.750%, 11/02/22............................. 5,769 5,879,817
Medtronic, Inc.
3.125%, 03/15/22............................. 3,156 3,316,950
3.625%, 03/15/24............................. 388 414,373
3.500%, 03/15/25............................. 2,000 2,122,978
Perrigo Finance Unlimited Co.
3.500%, 03/15/21............................. 2,000 2,066,880
3.500%, 12/15/21............................. 7,392 7,633,127
3.900%, 12/15/24............................. 3,885 3,930,816
-----------
TOTAL IRELAND.................................... 54,771,451
-----------
75
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
ITALY -- (0.1%)
Intesa Sanpaolo SpA
3.875%, 01/16/18............................. 213 $ 217,298
5.250%, 01/12/24............................. 7,664 8,266,758
------------
TOTAL ITALY 8,484,056
------------
JAPAN -- (1.6%)
American Honda Finance Corp.
1.550%, 12/11/17............................. 2,000 2,010,972
2.125%, 10/10/18............................. 3,016 3,062,362
2.300%, 09/09/26............................. 1,500 1,473,670
Bank of Tokyo-Mitsubishi UFJ, Ltd. (The)
## 2.350%, 09/08/19............................. 1,557 1,574,345
3.250%, 09/08/24............................. 3,237 3,343,743
Beam Suntory, Inc.
1.750%, 06/15/18............................. 1,964 1,966,221
3.250%, 06/15/23............................. 4,030 4,081,262
Japan Bank for International Cooperation
1.750%, 07/31/18............................. 491 493,793
Japan Finance Organization for Municipalities
2.500%, 09/12/18............................. 814 827,373
2.125%, 03/06/19............................. 528 532,273
Mizuho Bank, Ltd.
## 2.150%, 10/20/18............................. 5,000 5,037,310
## 2.450%, 04/16/19............................. 2,323 2,352,086
Mizuho Financial Group, Inc.
## 2.632%, 04/12/21............................. 8,200 8,281,221
MUFG Americas Holdings Corp.
3.500%, 06/18/22............................. 5,536 5,811,826
MUFG Union Bank NA
2.625%, 09/26/18............................. 4,418 4,487,610
Nippon Telegraph & Telephone Corp.
1.400%, 07/18/17............................. 140 140,151
Nissan Motor Acceptance Corp.
## 2.125%, 03/03/20............................. 1,700 1,708,242
## 2.550%, 03/08/21............................. 8,000 8,142,576
Nomura Holdings, Inc.
2.750%, 03/19/19............................. 2,116 2,156,617
6.700%, 03/04/20............................. 4,610 5,269,875
Sumitomo Mitsui Banking Corp.
2.450%, 01/10/19............................. 2,611 2,646,215
3.950%, 07/19/23............................. 5,931 6,394,798
Sumitomo Mitsui Financial Group, Inc.
2.934%, 03/09/21............................. 2,000 2,047,404
2.058%, 07/14/21............................. 5,000 4,928,800
3.784%, 03/09/26............................. 5,000 5,328,935
Toyota Motor Credit Corp.
2.100%, 01/17/19............................. 2,902 2,944,627
2.125%, 07/18/19............................. 1,900 1,931,232
3.300%, 01/12/22............................. 6,581 7,005,297
2.625%, 01/10/23............................. 6,474 6,621,329
------------
TOTAL JAPAN...................................... 102,602,165
------------
FACE
AMOUNT^ VALUE+
------- ------
(000)
NETHERLANDS -- (1.4%)
Ahold Finance USA LLC
6.875%, 05/01/29............................. 712 $ 927,575
Bank Nederlandse Gemeenten NV
1.375%, 09/27/17............................. 1,376 1,380,306
## 1.000%, 02/12/18............................. 2,500 2,496,963
1.375%, 03/19/18............................. 2,456 2,464,969
2.500%, 01/23/23............................. 6,474 6,706,766
Cooperatieve Rabobank UA
2.250%, 01/14/19............................. 4,608 4,668,554
3.875%, 02/08/22............................. 13,244 14,366,495
Heineken NV
## 2.750%, 04/01/23............................. 2,245 2,282,736
ING Bank NV
## 2.050%, 08/15/21............................. 5,000 4,984,910
Koninklijke Philips Electronics NV
3.750%, 03/15/22............................. 1,503 1,620,799
LyondellBasell Industries NV
5.000%, 04/15/19............................. 899 960,806
5.750%, 04/15/24............................. 5,827 6,816,005
Mylan, Inc.
2.550%, 03/28/19............................. 1,415 1,433,290
4.200%, 11/29/23............................. 4,532 4,719,770
Nederlandse Waterschapsbank NV
1.875%, 03/13/19............................. 6,348 6,432,498
Shell International Finance BV
2.500%, 09/12/26............................. 6,300 6,120,601
Shell International Finance BV
2.000%, 11/15/18............................. 2,447 2,477,869
4.300%, 09/22/19............................. 529 567,969
2.250%, 11/10/20............................. 5,100 5,167,595
3.400%, 08/12/23............................. 10,682 11,244,034
-----------
TOTAL NETHERLANDS................................ 87,840,510
-----------
NORWAY -- (0.4%)
Kommunalbanken A.S.
1.000%, 09/26/17............................. 392 391,812
1.000%, 03/15/18............................. 2,946 2,942,058
1.750%, 05/28/19............................. 2,116 2,138,142
Statoil ASA
1.200%, 01/17/18............................. 231 230,528
1.150%, 05/15/18............................. 1,382 1,377,851
1.950%, 11/08/18............................. 982 991,610
2.450%, 01/17/23............................. 8,794 8,843,950
2.650%, 01/15/24............................. 7,031 7,102,955
-----------
TOTAL NORWAY..................................... 24,018,906
-----------
SPAIN -- (0.4%)
Iberdrola Finance Ireland, Ltd.
## 5.000%, 09/11/19............................. 788 855,313
Santander Holdings USA, Inc.
4.500%, 07/17/25............................. 1,046 1,069,659
Santander UK P.L.C.
2.500%, 03/14/19............................. 1,375 1,394,062
76
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
SPAIN -- (Continued)
2.375%, 03/16/20............................. 334 $ 336,316
4.000%, 03/13/24............................. 7,891 8,508,494
Telefonica Emisiones SAU
5.462%, 02/16/21............................. 2,876 3,239,610
4.570%, 04/27/23............................. 7,532 8,247,841
-----------
TOTAL SPAIN...................................... 23,651,295
-----------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (0.3%)
African Development Bank
1.125%, 03/15/17............................. 688 688,643
Asian Development Bank
1.125%, 03/15/17............................. 491 491,287
1.750%, 09/11/18............................. 877 888,348
1.875%, 04/12/19............................. 2,116 2,152,793
European Investment Bank
4.875%, 01/17/17............................. 491 494,997
1.625%, 06/15/17............................. 393 394,706
1.125%, 09/15/17............................. 295 295,380
1.875%, 03/15/19............................. 529 537,221
3.250%, 01/29/24............................. 3,237 3,546,211
Inter-American Development Bank
1.125%, 03/15/17............................. 81 81,074
0.875%, 03/15/18............................. 982 980,976
7.000%, 06/15/25............................. 3,885 5,177,427
6.750%, 07/15/27............................. 1,942 2,681,381
International Bank for Reconstruction &
Development
0.875%, 04/17/17............................. 1,046 1,046,823
International Finance Corp.
0.875%, 06/15/18............................. 295 294,381
Nordic Investment Bank
0.750%, 01/17/18............................. 1,080 1,077,272
1.875%, 06/14/19............................. 529 538,382
-----------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 21,367,302
-----------
SWEDEN -- (0.1%)
Kommuninvest I Sverige AB
1.000%, 10/24/17............................. 2,438 2,436,805
2.000%, 11/12/19............................. 529 538,459
Svensk Exportkredit AB
1.875%, 06/17/19............................. 1,164 1,179,650
Svenska Handelsbanken AB
2.500%, 01/25/19............................. 3,273 3,338,876
2.250%, 06/17/19............................. 1,058 1,073,727
-----------
TOTAL SWEDEN..................................... 8,567,517
-----------
SWITZERLAND -- (0.9%)
ABB Finance USA, Inc.
1.625%, 05/08/17............................. 260 260,662
2.875%, 05/08/22............................. 5,429 5,622,500
Chubb INA Holdings, Inc.
2.700%, 03/13/23............................. 5,180 5,290,360
FACE
AMOUNT^ VALUE+
------- ------
(000)
SWITZERLAND -- (Continued)
Chubb INA Holdings, Inc.
2.875%, 11/03/22............................. 2,040 $ 2,121,066
3.350%, 05/15/24............................. 5,180 5,473,064
Credit Suisse AG
2.300%, 05/28/19............................. 2,618 2,644,871
5.300%, 08/13/19............................. 370 404,164
Credit Suisse New York
1.700%, 04/27/18............................. 2,200 2,198,821
3.000%, 10/29/21............................. 3,011 3,092,402
3.625%, 09/09/24............................. 12,896 13,383,275
Novartis Capital Corp.
3.400%, 05/06/24............................. 6,151 6,633,177
UBS AG
2.375%, 08/14/19............................. 1,638 1,665,802
UBS Group Funding Jersey, Ltd.
## 4.125%, 09/24/25............................. 8,500 8,859,652
-----------
TOTAL SWITZERLAND................................ 57,649,816
-----------
UNITED KINGDOM -- (2.4%)
Aon Corp.
5.000%, 09/30/20............................. 819 902,088
Aon P.L.C.
4.000%, 11/27/23............................. 4,047 4,334,143
3.500%, 06/14/24............................. 6,254 6,498,732
AstraZeneca P.L.C.
2.375%, 11/16/20............................. 8,380 8,531,569
Barclays P.L.C.
2.750%, 11/08/19............................. 6,126 6,175,118
3.650%, 03/16/25............................. 14,330 14,069,624
4.375%, 01/12/26............................. 2,000 2,058,162
Baxalta, Inc.
2.875%, 06/23/20............................. 476 485,826
BP Capital Markets P.L.C.
2.248%, 11/01/16............................. 894 894,000
1.846%, 05/05/17............................. 343 344,276
4.750%, 03/10/19............................. 106 113,782
2.315%, 02/13/20............................. 2,691 2,733,364
3.245%, 05/06/22............................. 6,000 6,261,126
2.500%, 11/06/22............................. 2,266 2,285,875
3.535%, 11/04/24............................. 2,266 2,371,385
3.017%, 01/16/27............................. 10,000 10,032,310
British Telecommunications P.L.C.
1.250%, 02/14/17............................. 373 373,175
2.350%, 02/14/19............................. 7,940 8,069,978
Diageo Capital P.L.C.
1.500%, 05/11/17............................. 1,010 1,012,910
Diageo Investment Corp.
2.875%, 05/11/22............................. 1,133 1,179,490
GlaxoSmithKline Capital P.L.C.
1.500%, 05/08/17............................. 1,559 1,562,983
GlaxoSmithKline Capital, Inc.
2.800%, 03/18/23............................. 6,766 6,982,857
HSBC Holdings P.L.C.
3.400%, 03/08/21............................. 7,000 7,217,336
4.000%, 03/30/22............................. 5,068 5,369,597
77
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED KINGDOM -- (Continued)
HSBC USA, Inc.
1.625%, 01/16/18............................. 6,077 $ 6,080,610
2.375%, 11/13/19............................. 317 319,835
2.350%, 03/05/20............................. 1,058 1,061,300
3.500%, 06/23/24............................. 12,740 13,102,236
Imperial Brands Finance P.L.C.
## 2.950%, 07/21/20............................. 423 434,395
Lloyds Bank P.L.C.
4.200%, 03/28/17............................. 1,071 1,084,028
1.750%, 03/16/18............................. 1,058 1,062,032
3.500%, 05/14/25............................. 3,237 3,438,432
Nationwide Building Society
## 3.900%, 07/21/25............................. 2,000 2,138,182
Rio Tinto Finance USA P.L.C.
2.875%, 08/21/22............................. 399 412,754
Rolls-Royce P.L.C.
## 3.625%, 10/14/25............................. 5,000 5,227,320
Unilever Capital Corp.
2.200%, 03/06/19............................. 138 140,618
4.250%, 02/10/21............................. 3,000 3,310,017
Vodafone Group P.L.C.
5.450%, 06/10/19............................. 158 172,736
4.375%, 03/16/21............................. 2,913 3,163,469
2.500%, 09/26/22............................. 9,769 9,734,877
------------
TOTAL UNITED KINGDOM............................. 150,742,547
------------
UNITED STATES -- (41.5%)
21st Century Fox America, Inc.
6.900%, 03/01/19............................. 4,075 4,551,531
3.700%, 09/15/24............................. 14,532 15,347,071
Abbott Laboratories
2.000%, 03/15/20............................. 8,296 8,365,587
2.550%, 03/15/22............................. 631 642,750
2.950%, 03/15/25............................. 12,615 12,685,770
AbbVie, Inc.
2.500%, 05/14/20............................. 15,532 15,728,992
2.900%, 11/06/22............................. 2,833 2,864,494
Adobe Systems, Inc.
3.250%, 02/01/25............................. 1,942 2,014,674
Advance Auto Parts, Inc.
4.500%, 01/15/22............................. 2,590 2,776,957
4.500%, 12/01/23............................. 1,200 1,286,510
Aetna, Inc.
2.200%, 03/15/19............................. 1,203 1,217,839
2.750%, 11/15/22............................. 8,417 8,582,571
3.500%, 11/15/24............................. 5,422 5,658,443
Affiliated Managers Group, Inc.
# 3.500%, 08/01/25............................. 2,590 2,550,642
Aflac, Inc.
2.650%, 02/15/17............................. 1,979 1,987,807
2.400%, 03/16/20............................. 1,500 1,534,536
3.625%, 06/15/23............................. 3,885 4,147,102
3.250%, 03/17/25............................. 11,136 11,516,283
Agilent Technologies, Inc.
6.500%, 11/01/17............................. 208 218,170
5.000%, 07/15/20............................. 339 374,752
FACE
AMOUNT^ VALUE+
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(000)
UNITED STATES -- (Continued)
Air Products & Chemicals, Inc.
2.750%, 02/03/23............................. 987 $1,017,531
Alabama Power Co.
2.800%, 04/01/25............................. 2,590 2,651,036
Albemarle Corp.
4.150%, 12/01/24............................. 7,451 7,917,991
Allstate Corp. (The)
3.150%, 06/15/23............................. 5,132 5,390,206
Altera Corp.
2.500%, 11/15/18............................. 2,832 2,902,234
4.100%, 11/15/23............................. 1,509 1,686,775
Altria Group, Inc.
2.625%, 01/14/20............................. 7,500 7,710,818
4.750%, 05/05/21............................. 3,710 4,139,573
2.850%, 08/09/22............................. 9,700 9,980,204
Amazon.com, Inc.
2.600%, 12/05/19............................. 1,385 1,431,289
3.800%, 12/05/24............................. 4,921 5,394,051
Ameren Corp.
2.700%, 11/15/20............................. 1,000 1,029,363
American Express Co.
7.000%, 03/19/18............................. 2,000 2,150,176
2.650%, 12/02/22............................. 1,097 1,115,661
American Express Credit Corp.
2.250%, 08/15/19............................. 635 645,438
2.250%, 05/05/21............................. 2,000 2,020,254
American International Group, Inc.
2.300%, 07/16/19............................. 1,176 1,193,266
3.300%, 03/01/21............................. 1,500 1,569,072
4.875%, 06/01/22............................. 1,942 2,169,132
4.125%, 02/15/24............................. 8,687 9,345,657
3.750%, 07/10/25............................. 8,240 8,605,370
3.900%, 04/01/26............................. 4,000 4,204,532
American Water Capital Corp.
3.850%, 03/01/24............................. 2,140 2,336,642
Ameriprise Financial, Inc.
5.300%, 03/15/20............................. 529 585,381
4.000%, 10/15/23............................. 1,765 1,911,131
2.875%, 09/15/26............................. 5,650 5,618,648
AmerisourceBergen Corp.
3.400%, 05/15/24............................. 1,237 1,276,728
Amgen, Inc.
2.200%, 05/22/19............................. 1,375 1,395,910
4.100%, 06/15/21............................. 7,075 7,637,194
3.625%, 05/22/24............................. 6,474 6,794,398
3.125%, 05/01/25............................. 3,237 3,289,938
Amphenol Corp.
2.550%, 01/30/19............................. 54 55,072
Anthem, Inc.
5.875%, 06/15/17............................. 161 165,513
2.250%, 08/15/19............................. 529 533,911
4.350%, 08/15/20............................. 1,100 1,185,604
3.125%, 05/15/22............................. 3,172 3,275,997
3.500%, 08/15/24............................. 2,739 2,830,765
Apache Corp.
3.250%, 04/15/22............................. 8,237 8,448,691
2.625%, 01/15/23............................. 1,599 1,574,735
78
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
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(000)
UNITED STATES -- (Continued)
Apple, Inc.
1.000%, 05/03/18............................. 82 $ 81,892
2.100%, 05/06/19............................. 4,761 4,853,659
2.000%, 05/06/20............................. 352 357,510
2.250%, 02/23/21............................. 5,000 5,092,320
2.400%, 05/03/23............................. 28,903 29,029,711
3.450%, 05/06/24............................. 19,686 21,026,971
2.500%, 02/09/25............................. 3,237 3,217,895
3.250%, 02/23/26............................. 2,750 2,877,938
Applied Materials, Inc.
4.300%, 06/15/21............................. 647 714,728
Archer-Daniels-Midland Co.
2.500%, 08/11/26............................. 5,000 4,931,815
Arizona Public Service Co.
# 8.750%, 03/01/19............................. 212 246,511
3.150%, 05/15/25............................. 6,151 6,471,984
Associated Banc-Corp
2.750%, 11/15/19............................. 53 53,846
Assurant, Inc.
2.500%, 03/15/18............................. 982 991,673
4.000%, 03/15/23............................. 6,474 6,506,661
AT&T, Inc.
1.600%, 02/15/17............................. 491 491,674
5.500%, 02/01/18............................. 698 730,743
5.800%, 02/15/19............................. 444 481,904
2.300%, 03/11/19............................. 11,000 11,110,682
3.000%, 02/15/22............................. 6,399 6,490,634
3.800%, 03/15/22............................. 5,115 5,385,128
3.950%, 01/15/25............................. 10,000 10,357,160
3.400%, 05/15/25............................. 7,130 7,095,298
Autodesk, Inc.
1.950%, 12/15/17............................. 421 422,613
3.125%, 06/15/20............................. 2,698 2,747,592
3.600%, 12/15/22............................. 2,355 2,414,749
4.375%, 06/15/25............................. 3,050 3,179,930
Automatic Data Processing, Inc.
3.375%, 09/15/25............................. 5,000 5,373,195
AutoZone, Inc.
2.875%, 01/15/23............................. 12,128 12,227,256
3.125%, 07/15/23............................. 1,285 1,314,839
Avnet, Inc.
4.625%, 04/15/26............................. 2,625 2,680,125
Baker Hughes, Inc.
3.200%, 08/15/21............................. 185 193,837
Baltimore Gas & Electric Co.
2.800%, 08/15/22............................. 3,256 3,370,325
Bank of America Corp.
2.000%, 01/11/18............................. 570 572,856
2.650%, 04/01/19............................. 635 646,806
5.625%, 07/01/20............................. 5,000 5,596,770
3.300%, 01/11/23............................. 4,532 4,663,075
4.000%, 04/01/24............................. 11,457 12,245,391
Bank of New York Mellon Corp. (The)
5.450%, 05/15/19............................. 391 428,426
2.150%, 02/24/20............................. 6,282 6,344,236
3.650%, 02/04/24............................. 10,647 11,438,115
FACE
AMOUNT^ VALUE+
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(000)
UNITED STATES -- (Continued)
3.000%, 02/24/25............................. 2,590 $ 2,672,279
Baxter International, Inc.
1.700%, 08/15/21............................. 2,000 1,988,772
BB&T Corp.
2.150%, 03/22/17............................. 565 566,655
1.450%, 01/12/18............................. 194 194,258
2.450%, 01/15/20............................. 1,572 1,603,792
2.050%, 05/10/21............................. 1,000 1,003,718
Becton Dickinson and Co.
1.750%, 11/08/16............................. 250 250,038
3.734%, 12/15/24............................. 2,502 2,667,888
Bemis Co., Inc.
4.500%, 10/15/21............................. 647 701,584
Berkshire Hathaway Energy Co.
2.400%, 02/01/20............................. 570 580,478
Berkshire Hathaway Finance Corp.
1.600%, 05/15/17............................. 30 30,132
1.300%, 05/15/18............................. 157 157,147
3.000%, 05/15/22............................. 3,237 3,398,863
Berkshire Hathaway, Inc.
1.550%, 02/09/18............................. 10,000 10,045,560
2.100%, 08/14/19............................. 2,909 2,964,742
# 2.200%, 03/15/21............................. 5,000 5,109,975
# 3.750%, 08/15/21............................. 2,590 2,822,605
3.400%, 01/31/22............................. 3,237 3,475,861
3.000%, 02/11/23............................. 4,532 4,744,913
3.125%, 03/15/26............................. 9,800 10,174,830
Biogen, Inc.
2.900%, 09/15/20............................. 23,280 24,011,062
3.625%, 09/15/22............................. 1,693 1,804,640
BlackRock, Inc.
5.000%, 12/10/19............................. 407 449,393
4.250%, 05/24/21............................. 2,000 2,208,268
Boeing Capital Corp.
2.900%, 08/15/18............................. 750 771,774
Boeing Co. (The)
8.750%, 08/15/21............................. 988 1,292,275
2.500%, 03/01/25............................. 6,474 6,532,156
Boston Scientific Corp.
6.000%, 01/15/20............................. 1,878 2,102,068
2.850%, 05/15/20............................. 269 276,299
4.125%, 10/01/23............................. 1,489 1,597,825
Branch Banking & Trust Co.
2.300%, 10/15/18............................. 1,473 1,495,553
Bristol-Myers Squibb Co.
1.750%, 03/01/19............................. 846 854,815
2.000%, 08/01/22............................. 7,643 7,680,374
Brown & Brown, Inc.
4.200%, 09/15/24............................. 4,714 4,843,102
Brown-Forman Corp.
1.000%, 01/15/18............................. 680 679,396
2.250%, 01/15/23............................. 486 483,008
Buckeye Partners L.P.
2.650%, 11/15/18............................. 359 362,979
4.150%, 07/01/23............................. 1,942 1,991,098
79
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
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(000)
UNITED STATES -- (Continued)
Burlington Northern Santa Fe LLC
4.700%, 10/01/19............................. 416 $ 454,980
3.000%, 04/01/25............................. 4,329 4,466,718
7.000%, 12/15/25............................. 868 1,154,632
Campbell Soup Co.
4.250%, 04/15/21............................. 1,036 1,136,363
2.500%, 08/02/22............................. 2,252 2,285,363
3.300%, 03/19/25............................. 4,092 4,276,484
Capital One Bank USA NA
2.300%, 06/05/19............................. 529 534,431
Capital One Financial Corp.
2.450%, 04/24/19............................. 1,406 1,429,784
4.750%, 07/15/21............................. 4,144 4,571,677
3.750%, 04/24/24............................. 3,561 3,734,506
Cardinal Health, Inc.
1.700%, 03/15/18............................. 1,155 1,158,596
4.625%, 12/15/20............................. 647 711,827
3.200%, 06/15/22............................. 3,885 4,053,737
Caterpillar Financial Services Corp.
1.000%, 11/25/16............................. 295 295,062
1.300%, 03/01/18............................. 5,000 4,999,510
2.450%, 09/06/18............................. 749 762,691
Caterpillar, Inc.
2.600%, 06/26/22............................. 3,561 3,640,802
3.400%, 05/15/24............................. 1,844 1,960,552
CBS Corp.
1.950%, 07/01/17............................. 853 856,200
2.300%, 08/15/19............................. 1,669 1,690,296
5.750%, 04/15/20............................. 159 178,202
3.375%, 03/01/22............................. 3,503 3,652,589
3.500%, 01/15/25............................. 2,392 2,462,014
2.900%, 01/15/27............................. 18,400 17,949,053
7.875%, 07/30/30............................. 1,150 1,616,288
Celgene Corp.
2.250%, 05/15/19............................. 317 320,574
4.000%, 08/15/23............................. 8,333 8,876,303
3.625%, 05/15/24............................. 3,237 3,336,755
CenterPoint Energy Resources Corp.
6.125%, 11/01/17............................. 54 56,345
4.500%, 01/15/21............................. 1,942 2,081,979
CF Industries, Inc.
6.875%, 05/01/18............................. 1,253 1,322,227
# 3.450%, 06/01/23............................. 5,995 5,597,765
Charles Schwab Corp. (The)
2.200%, 07/25/18............................. 511 518,336
3.000%, 03/10/25............................. 8,611 8,842,739
Chevron Corp.
1.718%, 06/24/18............................. 23,141 23,299,215
2.355%, 12/05/22............................. 6,474 6,518,561
# 3.191%, 06/24/23............................. 15,950 16,867,651
Cigna Corp.
4.000%, 02/15/22............................. 4,127 4,423,368
Cisco Systems, Inc.
1.400%, 02/28/18............................. 4,800 4,818,077
2.125%, 03/01/19............................. 2,856 2,904,483
FACE
AMOUNT^ VALUE+
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(000)
UNITED STATES -- (Continued)
2.450%, 06/15/20............................. 212 $ 217,599
3.625%, 03/04/24............................. 1,942 2,104,643
Citigroup, Inc.
2.500%, 09/26/18............................. 1,217 1,233,649
2.550%, 04/08/19............................. 1,058 1,077,109
4.500%, 01/14/22............................. 1,489 1,634,697
3.875%, 10/25/23............................. 470 500,010
3.750%, 06/16/24............................. 2,590 2,726,555
3.300%, 04/27/25............................. 7,769 7,903,365
Citizens Bank NA
2.450%, 12/04/19............................. 442 448,213
Clorox Co. (The)
3.500%, 12/15/24............................. 3,237 3,426,513
CME Group, Inc.
3.000%, 03/15/25............................. 2,866 2,979,608
CMS Energy Corp.
3.875%, 03/01/24............................. 1,745 1,872,893
3.600%, 11/15/25............................. 3,200 3,367,482
CNA Financial Corp.
7.350%, 11/15/19............................. 842 964,307
5.750%, 08/15/21............................. 5,233 5,990,079
# 4.500%, 03/01/26............................. 6,532 7,020,914
Coach, Inc.
4.250%, 04/01/25............................. 5,981 6,148,964
Coca-Cola Co. (The)
1.150%, 04/01/18............................. 1,372 1,373,797
1.875%, 10/27/20............................. 20,000 20,211,540
3.300%, 09/01/21............................. 1,716 1,837,515
3.200%, 11/01/23............................. 21,789 23,164,256
2.250%, 09/01/26............................. 4,000 3,913,372
Colgate-Palmolive Co.
1.750%, 03/15/19............................. 185 187,413
1.950%, 02/01/23............................. 7,007 6,987,997
Comcast Cable Communications Holdings, Inc.
9.455%, 11/15/22............................. 2,991 4,173,037
Comcast Corp.
6.500%, 01/15/17............................. 1,340 1,355,048
6.300%, 11/15/17............................. 393 413,464
5.700%, 05/15/18............................. 688 733,566
3.600%, 03/01/24............................. 4,375 4,688,548
3.375%, 08/15/25............................. 2,266 2,377,079
Comerica, Inc.
2.125%, 05/23/19............................. 1,243 1,251,266
Computer Sciences Corp.
4.450%, 09/15/22............................. 3,237 3,432,987
ConAgra Foods, Inc.
3.200%, 01/25/23............................. 4,697 4,804,735
ConocoPhillips
6.000%, 01/15/20............................. 159 178,502
ConocoPhillips Co.
1.050%, 12/15/17............................. 1,832 1,822,638
1.500%, 05/15/18............................. 1,212 1,212,937
2.400%, 12/15/22............................. 1,942 1,934,158
# 3.350%, 11/15/24............................. 4,532 4,606,415
80
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Consolidated Edison Co. of New York, Inc.
3.300%, 12/01/24............................. 1,295 $ 1,371,178
Corning, Inc.
# 3.700%, 11/15/23............................. 2,742 2,894,924
Costco Wholesale Corp.
1.125%, 12/15/17............................. 1,329 1,329,762
1.700%, 12/15/19............................. 499 503,168
1.750%, 02/15/20............................. 1,942 1,953,545
Cox Communications, Inc.
## 3.850%, 02/01/25............................. 6,869 6,960,220
CR Bard, Inc.
# 4.400%, 01/15/21............................. 518 565,033
Crane Co.
2.750%, 12/15/18............................. 1,545 1,575,589
CSX Corp.
4.250%, 06/01/21............................. 8,157 8,913,635
CVS Health Corp.
2.250%, 08/12/19............................. 635 645,848
2.800%, 07/20/20............................. 7,710 7,945,186
2.125%, 06/01/21............................. 1,300 1,301,373
3.375%, 08/12/24............................. 13,931 14,498,410
Cytec Industries, Inc.
3.500%, 04/01/23............................. 3,885 3,832,401
Danaher Corp.
1.650%, 09/15/18............................. 434 437,015
Deere & Co.
5.375%, 10/16/29............................. 472 593,271
Discovery Communications LLC
5.050%, 06/01/20............................. 3,775 4,120,443
3.300%, 05/15/22............................. 1,424 1,459,567
3.250%, 04/01/23............................. 647 649,074
3.450%, 03/15/25............................. 3,237 3,230,830
Dollar General Corp.
1.875%, 04/15/18............................. 1,265 1,270,357
3.250%, 04/15/23............................. 6,812 6,967,177
Dominion Gas Holdings LLC
2.800%, 11/15/20............................. 7,500 7,726,365
3.600%, 12/15/24............................. 3,237 3,406,726
Dominion Resources, Inc.
2.500%, 12/01/19............................. 932 955,206
4.450%, 03/15/21............................. 1,554 1,703,077
3.625%, 12/01/24............................. 1,295 1,351,661
Dow Chemical Co. (The)
3.000%, 11/15/22............................. 2,725 2,806,649
3.500%, 10/01/24............................. 7,539 7,891,509
Dr Pepper Snapple Group, Inc.
3.400%, 11/15/25............................. 1,750 1,835,608
2.600%, 01/15/19............................. 111 113,461
2.000%, 01/15/20............................. 88 88,315
DTE Energy Co.
2.400%, 12/01/19............................. 2,170 2,207,606
3.850%, 12/01/23............................. 971 1,046,066
Duke Energy Corp.
1.625%, 08/15/17............................. 1,090 1,093,018
5.050%, 09/15/19............................. 69 75,435
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
3.050%, 08/15/22............................. 11,375 $11,832,685
3.750%, 04/15/24............................. 5,772 6,135,451
Eastman Chemical Co.
2.400%, 06/01/17............................. 417 419,912
2.700%, 01/15/20............................. 444 452,068
4.500%, 01/15/21............................. 1,284 1,389,872
3.600%, 08/15/22............................. 615 647,152
3.800%, 03/15/25............................. 5,800 6,035,196
eBay, Inc.
1.350%, 07/15/17............................. 168 168,095
2.200%, 08/01/19............................. 582 588,038
3.800%, 03/09/22............................. 7,500 7,965,233
2.600%, 07/15/22............................. 2,719 2,717,371
Ecolab, Inc.
3.000%, 12/08/16............................. 63 63,127
4.350%, 12/08/21............................. 1,200 1,336,380
EI du Pont de Nemours & Co.
6.000%, 07/15/18............................. 972 1,045,846
4.625%, 01/15/20............................. 152 165,595
2.800%, 02/15/23............................. 1,678 1,700,317
Electronic Arts, Inc.
3.700%, 03/01/21............................. 3,000 3,173,220
Emerson Electric Co.
3.150%, 06/01/25............................. 5,374 5,593,555
Enterprise Products Operating LLC
5.250%, 01/31/20............................. 212 232,961
5.200%, 09/01/20............................. 3,000 3,342,879
3.900%, 02/15/24............................. 2,104 2,201,718
3.750%, 02/15/25............................. 2,000 2,068,728
3.700%, 02/15/26............................. 5,338 5,446,393
EOG Resources, Inc.
5.875%, 09/15/17............................. 967 1,004,284
4.100%, 02/01/21............................. 1,742 1,866,820
2.625%, 03/15/23............................. 3,800 3,789,615
3.150%, 04/01/25............................. 1,797 1,827,364
ERAC USA Finance LLC
## 2.350%, 10/15/19............................. 862 873,146
## 3.850%, 11/15/24............................. 1,942 2,062,835
Eversource Energy
2.500%, 03/15/21............................. 500 507,255
2.800%, 05/01/23............................. 6,344 6,417,159
Exelon Corp.
2.450%, 04/15/21............................. 3,000 3,031,554
3.400%, 04/15/26............................. 5,000 5,165,110
Exelon Generation Co. LLC
2.950%, 01/15/20............................. 836 858,406
# 4.250%, 06/15/22............................. 3,237 3,446,275
Express Scripts Holding Co.
2.250%, 06/15/19............................. 1,057 1,069,747
3.900%, 02/15/22............................. 4,823 5,152,122
3.500%, 06/15/24............................. 8,439 8,714,905
3.400%, 03/01/27............................. 1,500 1,473,305
Exxon Mobil Corp.
1.305%, 03/06/18............................. 1,693 1,697,852
81
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
1.819%, 03/15/19............................. 2,816 $ 2,847,404
3.176%, 03/15/24............................. 23,308 24,565,700
FedEx Corp.
2.625%, 08/01/22............................. 5,408 5,535,515
4.000%, 01/15/24............................. 8,590 9,385,855
3.200%, 02/01/25............................. 3,788 3,935,645
Fidelity National Information Services, Inc.
2.250%, 08/15/21............................. 3,000 2,998,098
5.000%, 10/15/25............................. 5,970 6,721,414
Fifth Third Bancorp
2.300%, 03/01/19............................. 1,161 1,169,266
3.500%, 03/15/22............................. 4,856 5,109,483
Fifth Third Bank
1.450%, 02/28/18............................. 317 316,892
FMC Technologies, Inc.
3.450%, 10/01/22............................. 4,284 4,328,288
Ford Motor Credit Co. LLC
5.000%, 05/15/18............................. 6,087 6,371,817
2.459%, 03/27/20............................. 635 637,040
3.200%, 01/15/21............................. 1,200 1,226,130
3.219%, 01/09/22............................. 8,750 8,924,965
4.375%, 08/06/23............................. 8,417 8,943,828
GATX Corp.
2.500%, 03/15/19............................. 547 554,970
3.250%, 03/30/25............................. 5,180 5,140,627
3.250%, 09/15/26............................. 2,800 2,744,588
General Dynamics Corp.
1.000%, 11/15/17............................. 439 438,752
2.250%, 11/15/22............................. 4,856 4,916,700
2.125%, 08/15/26............................. 3,500 3,370,920
General Electric Co.
# 3.375%, 03/11/24............................. 3,237 3,457,595
General Mills, Inc.
3.150%, 12/15/21............................. 1,942 2,045,332
Georgia Power Co.
2.850%, 05/15/22............................. 3,851 3,992,416
Gilead Sciences, Inc.
1.850%, 09/04/18............................. 233 234,956
2.050%, 04/01/19............................. 177 179,381
4.400%, 12/01/21............................. 6,200 6,866,556
3.700%, 04/01/24............................. 10,736 11,358,409
Goldman Sachs Group, Inc. (The)
6.000%, 06/15/20............................. 1,392 1,572,803
5.250%, 07/27/21............................. 2,266 2,544,954
4.000%, 03/03/24............................. 11,654 12,427,744
3.750%, 05/22/25............................. 5,000 5,203,380
Great Plains Energy, Inc.
4.850%, 06/01/21............................. 2,495 2,723,150
Halliburton Co.
3.500%, 08/01/23............................. 6,474 6,617,522
Harley Davidson, Inc.
3.500%, 07/28/25............................. 3,635 3,800,189
Harley-Davidson Financial Services, Inc.
## 2.150%, 02/26/20............................. 1,189 1,195,438
FACE
AMOUNT^ VALUE+
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(000)
UNITED STATES -- (Continued)
Harris Corp.
2.700%, 04/27/20............................. 503 $ 509,574
Hartford Financial Services Group, Inc. (The)
5.125%, 04/15/22............................. 7,880 8,917,749
Hershey Co. (The)
1.500%, 11/01/16............................. 491 491,000
1.600%, 08/21/18............................. 1,439 1,448,849
2.625%, 05/01/23............................. 1,960 1,996,607
Home Depot, Inc. (The)
2.000%, 06/15/19............................. 2,187 2,225,303
2.700%, 04/01/23............................. 1,295 1,332,335
3.350%, 09/15/25............................. 1,685 1,794,790
Hormel Foods Corp.
4.125%, 04/15/21............................. 1,496 1,640,838
HP, Inc.
4.375%, 09/15/21............................. 12,625 13,591,911
Humana, Inc.
2.625%, 10/01/19............................. 455 464,125
3.850%, 10/01/24............................. 7,916 8,373,197
Huntington Bancshares, Inc.
2.600%, 08/02/18............................. 2,720 2,758,700
3.150%, 03/14/21............................. 1,600 1,651,163
2.300%, 01/14/22............................. 3,330 3,301,535
Hyatt Hotels Corp.
3.375%, 07/15/23............................. 1,959 1,988,975
Illinois Tool Works, Inc.
1.950%, 03/01/19............................. 314 318,069
3.500%, 03/01/24............................. 6,474 6,981,477
Indiana Michigan Power Co.
7.000%, 03/15/19............................. 264 294,165
Intel Corp.
2.450%, 07/29/20............................. 1,209 1,245,823
2.700%, 12/15/22............................. 1,942 2,013,825
Intercontinental Exchange, Inc.
2.500%, 10/15/18............................. 1,682 1,716,313
4.000%, 10/15/23............................. 1,492 1,617,611
International Business Machines Corp.
# 1.950%, 02/12/19............................. 1,266 1,283,804
1.875%, 05/15/19............................. 984 996,504
2.250%, 02/19/21............................. 20,000 20,422,140
3.375%, 08/01/23............................. 4,409 4,703,764
# 3.625%, 02/12/24............................. 9,712 10,448,713
International Paper Co.
3.650%, 06/15/24............................. 7,942 8,260,331
3.800%, 01/15/26............................. 1,062 1,119,578
Interpublic Group of Cos., Inc. (The)
4.200%, 04/15/24............................. 3,949 4,213,595
ITC Holdings Corp.
3.650%, 06/15/24............................. 9,827 10,240,432
Jefferies Group LLC
5.125%, 04/13/18............................. 184 191,630
Jersey Central Power & Light Co.
7.350%, 02/01/19............................. 940 1,044,994
82
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
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(000)
UNITED STATES -- (Continued)
JM Smucker Co. (The)
3.500%, 03/15/25............................. 5,000 $ 5,261,125
John Deere Capital Corp.
2.000%, 01/13/17............................. 648 649,345
2.050%, 03/10/20............................. 3,491 3,524,552
2.550%, 01/08/21............................. 13,661 14,060,352
3.350%, 06/12/24............................. 6,267 6,660,944
Johnson & Johnson
1.650%, 03/01/21............................. 1,500 1,509,726
3.375%, 12/05/23............................. 6,474 7,041,724
2.450%, 03/01/26............................. 3,250 3,280,508
Johnson Controls, Inc.
2.600%, 12/01/16............................. 550 550,692
3.625%, 07/02/24............................. 994 1,050,628
JPMorgan Chase & Co.
2.000%, 08/15/17............................. 172 173,067
2.350%, 01/28/19............................. 2,126 2,160,690
6.300%, 04/23/19............................. 232 257,169
2.250%, 01/23/20............................. 796 802,651
4.350%, 08/15/21............................. 2,719 2,969,743
3.625%, 05/13/24............................. 12,273 12,906,545
3.900%, 07/15/25............................. 11,150 11,855,360
Juniper Networks, Inc.
3.300%, 06/15/20............................. 3,000 3,113,463
4.600%, 03/15/21............................. 2,590 2,791,046
4.500%, 03/15/24............................. 4,273 4,549,882
Kellogg Co.
1.875%, 11/17/16............................. 509 509,048
1.750%, 05/17/17............................. 431 432,664
3.250%, 04/01/26............................. 4,100 4,188,851
KeyBank NA
2.500%, 12/15/19............................. 528 539,763
KeyCorp
2.900%, 09/15/20............................. 5,241 5,396,852
5.100%, 03/24/21............................. 4,532 5,079,044
Kimberly-Clark Corp.
1.900%, 05/22/19............................. 497 503,852
2.400%, 06/01/23............................. 1,942 1,975,657
KLA-Tencor Corp.
3.375%, 11/01/19............................. 324 334,232
4.650%, 11/01/24............................. 2,850 3,110,450
Kohl's Corp.
3.250%, 02/01/23............................. 1,295 1,283,458
4.750%, 12/15/23............................. 6,474 6,976,421
# 4.250%, 07/17/25............................. 6,350 6,542,627
Kraft Heinz Foods Co.
3.500%, 06/06/22............................. 9,255 9,773,382
Kroger Co. (The)
2.300%, 01/15/19............................. 1,617 1,642,701
3.300%, 01/15/21............................. 2,000 2,097,160
3.850%, 08/01/23............................. 7,111 7,623,938
L-3 Communications Corp.
4.750%, 07/15/20............................. 550 597,134
3.950%, 05/28/24............................. 2,498 2,617,644
FACE
AMOUNT^ VALUE+
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(000)
UNITED STATES -- (Continued)
Laboratory Corp. of America Holdings
2.200%, 08/23/17............................. 2,242 $2,256,912
2.625%, 02/01/20............................. 2,193 2,229,338
4.000%, 11/01/23............................. 3,885 4,145,722
Lam Research Corp.
2.750%, 03/15/20............................. 1,058 1,074,429
Legg Mason, Inc.
2.700%, 07/15/19............................. 529 539,143
# 3.950%, 07/15/24............................. 4,791 4,909,486
Liberty Mutual Group, Inc.
## 5.000%, 06/01/21............................. 6,743 7,523,482
Lincoln National Corp.
6.250%, 02/15/20............................. 117 131,561
Lockheed Martin Corp.
4.250%, 11/15/19............................. 5,000 5,394,070
2.500%, 11/23/20............................. 9,600 9,849,754
2.900%, 03/01/25............................. 4,532 4,600,959
3.550%, 01/15/26............................. 4,856 5,143,038
Loews Corp.
2.625%, 05/15/23............................. 3,805 3,808,759
3.750%, 04/01/26............................. 2,000 2,101,902
Lowe's Cos., Inc.
3.120%, 04/15/22............................. 1,295 1,364,123
3.875%, 09/15/23............................. 2,287 2,519,158
3.375%, 09/15/25............................. 4,014 4,279,446
Macy's Retail Holdings, Inc.
3.875%, 01/15/22............................. 7,879 8,226,692
# 2.875%, 02/15/23............................. 5,674 5,460,050
# 3.625%, 06/01/24............................. 3,237 3,205,009
Magellan Midstream Partners L.P.
4.250%, 02/01/21............................. 1,534 1,653,397
Manufacturers & Traders Trust Co.
2.250%, 07/25/19............................. 477 484,918
2.100%, 02/06/20............................. 3,733 3,758,817
2.900%, 02/06/25............................. 8,028 8,080,768
Marathon Petroleum Corp.
3.625%, 09/15/24............................. 8,287 8,287,928
Markel Corp.
3.625%, 03/30/23............................. 1,295 1,326,220
Marriott International, Inc.
3.000%, 03/01/19............................. 575 590,044
2.875%, 03/01/21............................. 1,021 1,050,685
Marsh & McLennan Cos., Inc.
2.300%, 04/01/17............................. 892 895,181
2.350%, 09/10/19............................. 529 536,322
3.500%, 06/03/24............................. 8,417 8,818,230
MasterCard, Inc.
2.000%, 04/01/19............................. 5,853 5,948,989
3.375%, 04/01/24............................. 1,808 1,922,634
Mattel, Inc.
1.700%, 03/15/18............................. 578 579,117
2.350%, 05/06/19............................. 2,372 2,401,017
Maxim Integrated Products, Inc.
2.500%, 11/15/18............................. 646 655,321
83
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
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(000)
UNITED STATES -- (Continued)
McDonald's Corp.
5.350%, 03/01/18............................. 392 $ 412,835
2.100%, 12/07/18............................. 2,576 2,607,785
2.200%, 05/26/20............................. 1,891 1,919,819
3.500%, 07/15/20............................. 4,972 5,258,024
2.625%, 01/15/22............................. 1,878 1,928,312
McKesson Corp.
1.400%, 03/15/18............................. 1,068 1,065,896
2.284%, 03/15/19............................. 17,000 17,212,024
3.796%, 03/15/24............................. 3,399 3,623,480
Mead Johnson Nutrition Co.
4.125%, 11/15/25............................. 6,000 6,404,436
Merck & Co., Inc.
# 2.800%, 05/18/23............................. 5,180 5,349,868
2.750%, 02/10/25............................. 8,845 9,019,954
MetLife, Inc.
3.600%, 04/10/24............................. 13,609 14,421,253
Microsoft Corp.
1.625%, 12/06/18............................. 973 985,035
1.850%, 02/12/20............................. 2,560 2,589,332
3.000%, 10/01/20............................. 5,000 5,271,230
2.000%, 11/03/20............................. 13,700 13,897,253
3.625%, 12/15/23............................. 9,398 10,187,573
2.700%, 02/12/25............................. 1,942 1,975,022
Mobil Corp.
8.625%, 08/15/21............................. 1,303 1,700,612
Molson Coors Brewing Co.
2.000%, 05/01/17............................. 97 97,393
# 3.500%, 05/01/22............................. 5,180 5,518,472
Mondelez International, Inc.
2.250%, 02/01/19............................. 138 140,133
5.375%, 02/10/20............................. 169 187,729
4.000%, 02/01/24............................. 10,272 11,397,565
Monsanto Co.
1.850%, 11/15/18............................. 2,959 2,965,670
2.125%, 07/15/19............................. 264 266,477
5.500%, 08/15/25............................. 2,266 2,638,145
Morgan Stanley
4.750%, 03/22/17............................. 2,211 2,242,648
7.300%, 05/13/19............................. 635 718,015
2.500%, 04/21/21............................. 2,500 2,518,053
5.500%, 07/28/21............................. 5,387 6,115,710
3.875%, 04/29/24............................. 12,122 12,844,920
Mosaic Co. (The)
4.250%, 11/15/23............................. 4,011 4,116,321
Motorola Solutions, Inc.
3.750%, 05/15/22............................. 3,237 3,328,494
3.500%, 03/01/23............................. 3,237 3,244,096
Nasdaq, Inc.
4.250%, 06/01/24............................. 2,849 3,024,444
National Oilwell Varco, Inc.
2.600%, 12/01/22............................. 9,831 9,271,587
NetApp, Inc.
2.000%, 12/15/17............................. 982 986,938
3.250%, 12/15/22............................. 1,101 1,121,943
FACE
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(000)
UNITED STATES -- (Continued)
Newell Brands, Inc.
6.250%, 04/15/18............................. 1,277 $ 1,356,894
4.000%, 06/15/22............................. 6,559 6,972,381
NextEra Energy Capital Holdings, Inc.
2.400%, 09/15/19............................. 1,109 1,129,508
4.500%, 06/01/21............................. 838 922,233
NIKE, Inc.
2.375%, 11/01/26............................. 8,800 8,696,477
NiSource Finance Corp.
6.400%, 03/15/18............................. 117 124,388
5.450%, 09/15/20............................. 895 998,646
6.125%, 03/01/22............................. 4,544 5,375,207
3.850%, 02/15/23............................. 2,362 2,502,995
Noble Energy, Inc.
4.150%, 12/15/21............................. 1,737 1,842,858
3.900%, 11/15/24............................. 1,574 1,618,873
Nordstrom, Inc.
4.750%, 05/01/20............................. 1,353 1,470,087
4.000%, 10/15/21............................. 971 1,035,881
Norfolk Southern Corp.
2.903%, 02/15/23............................. 4,532 4,646,664
Northern Trust Corp.
3.375%, 08/23/21............................. 1,942 2,076,520
Northrop Grumman Corp.
1.750%, 06/01/18............................. 626 630,282
Nucor Corp.
5.750%, 12/01/17............................. 236 246,311
4.000%, 08/01/23............................. 2,466 2,651,118
O'Reilly Automotive, Inc.
3.800%, 09/01/22............................. 730 768,353
Occidental Petroleum Corp.
2.700%, 02/15/23............................. 5,600 5,691,437
Ohio Power Co.
5.375%, 10/01/21............................. 2,335 2,648,231
Omnicom Group, Inc.
4.450%, 08/15/20............................. 4,000 4,349,196
3.650%, 11/01/24............................. 1,295 1,357,767
ONE Gas, Inc.
2.070%, 02/01/19............................. 497 503,549
Oracle Corp.
1.200%, 10/15/17............................. 501 502,127
2.500%, 10/15/22............................. 1,942 1,974,447
2.950%, 05/15/25............................. 16,683 17,044,938
PACCAR Financial Corp.
1.600%, 03/15/17............................. 45 45,122
1.750%, 08/14/18............................. 1,185 1,195,467
Pacific Gas & Electric Co.
3.850%, 11/15/23............................. 3,237 3,526,524
3.750%, 02/15/24............................. 6,578 7,120,402
# 3.500%, 06/15/25............................. 4,338 4,632,103
Packaging Corp. of America
4.500%, 11/01/23............................. 3,933 4,301,160
Parker-Hannifin Corp.
3.300%, 11/21/24............................. 6,164 6,503,045
84
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
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(000)
UNITED STATES -- (Continued)
Penske Truck Leasing Co. L.P. / PTL Finance Corp.
## 3.050%, 01/09/20............................. 4,721 $ 4,832,180
PepsiCo, Inc.
5.000%, 06/01/18............................. 920 975,287
4.500%, 01/15/20............................. 206 225,369
2.150%, 10/14/20............................. 15,238 15,510,989
2.750%, 03/05/22............................. 5,343 5,575,976
2.750%, 03/01/23............................. 4,532 4,701,248
3.500%, 07/17/25............................. 6,474 6,952,351
Pfizer, Inc.
2.100%, 05/15/19............................. 1,058 1,076,172
3.000%, 06/15/23............................. 1,942 2,037,469
# 3.400%, 05/15/24............................. 6,474 7,006,279
PG&E Corp.
2.400%, 03/01/19............................. 173 175,808
Philip Morris International, Inc.
1.625%, 03/20/17............................. 219 219,596
5.650%, 05/16/18............................. 8,070 8,592,290
2.500%, 08/22/22............................. 1,974 2,009,210
3.250%, 11/10/24............................. 5,916 6,233,121
Phillips 66
4.300%, 04/01/22............................. 7,284 8,002,035
Phillips 66 Partners L.P.
3.550%, 10/01/26............................. 8,350 8,322,971
Pitney Bowes, Inc.
4.625%, 03/15/24............................. 6,114 6,292,027
PNC Bank NA
1.500%, 02/23/18............................. 1,767 1,770,990
2.400%, 10/18/19............................. 846 864,003
2.600%, 07/21/20............................. 635 650,524
3.300%, 10/30/24............................. 3,788 3,971,676
# 2.950%, 02/23/25............................. 8,093 8,261,302
PNC Financial Services Group, Inc. (The)
4.375%, 08/11/20............................. 3,800 4,134,605
3.300%, 03/08/22............................. 5,229 5,540,335
PPL Capital Funding, Inc.
3.400%, 06/01/23............................. 4,914 5,120,113
Praxair, Inc.
1.250%, 11/07/18............................. 1,219 1,218,656
2.200%, 08/15/22............................. 809 815,745
Precision Castparts Corp.
2.500%, 01/15/23............................. 5,180 5,255,364
Priceline Group, Inc. (The)
3.600%, 06/01/26............................. 2,650 2,755,096
Principal Financial Group, Inc.
3.125%, 05/15/23............................. 8,378 8,465,316
Private Export Funding Corp.
4.300%, 12/15/21............................. 911 1,027,148
Procter & Gamble Co. (The)
1.850%, 02/02/21............................. 1,533 1,548,430
Progress Energy, Inc.
4.875%, 12/01/19............................. 553 602,806
4.400%, 01/15/21............................. 2,300 2,504,079
FACE
AMOUNT^ VALUE+
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(000)
UNITED STATES -- (Continued)
Progressive Corp. (The)
# 3.750%, 08/23/21............................. 4,403 $ 4,770,021
Prudential Financial, Inc.
2.350%, 08/15/19............................. 1,587 1,615,899
5.375%, 06/21/20............................. 201 223,871
4.500%, 11/15/20............................. 1,361 1,488,383
3.500%, 05/15/24............................. 9,712 10,183,576
PSEG Power LLC
2.450%, 11/15/18............................. 529 536,575
5.125%, 04/15/20............................. 2,269 2,469,759
# 4.300%, 11/15/23............................. 5,883 6,309,023
Puget Energy, Inc.
6.000%, 09/01/21............................. 7,992 9,210,524
QUALCOMM, Inc.
1.400%, 05/18/18............................. 1,000 1,001,113
2.250%, 05/20/20............................. 543 551,976
3.000%, 05/20/22............................. 1,000 1,043,120
3.450%, 05/20/25............................. 6,474 6,788,442
Quest Diagnostics, Inc.
4.700%, 04/01/21............................. 3,885 4,271,748
3.500%, 03/30/25............................. 388 400,626
Raytheon Co.
6.750%, 03/15/18............................. 402 432,564
3.125%, 10/15/20............................. 4,050 4,267,542
2.500%, 12/15/22............................. 1,424 1,461,672
Reinsurance Group of America, Inc.
5.000%, 06/01/21............................. 971 1,057,114
4.700%, 09/15/23............................. 3,885 4,237,894
3.950%, 09/15/26............................. 9,600 9,916,675
Republic Services, Inc.
3.800%, 05/15/18............................. 533 552,065
5.500%, 09/15/19............................. 631 697,984
3.550%, 06/01/22............................. 4,540 4,848,221
Reynolds American, Inc.
2.300%, 08/21/17............................. 1,307 1,316,868
6.875%, 05/01/20............................. 4,095 4,760,130
Rockwell Automation, Inc.
2.875%, 03/01/25............................. 3,855 3,926,645
Roper Technologies, Inc.
2.050%, 10/01/18............................. 1,685 1,700,622
3.000%, 12/15/20............................. 1,300 1,346,232
Ryder System, Inc.
2.500%, 03/01/18............................. 343 347,412
2.450%, 09/03/19............................. 1,166 1,186,340
SCANA Corp.
4.125%, 02/01/22............................. 1,965 2,041,338
Scripps Networks Interactive, Inc.
2.750%, 11/15/19............................. 2,350 2,403,310
2.800%, 06/15/20............................. 550 561,104
3.500%, 06/15/22............................. 7,784 8,067,859
3.900%, 11/15/24............................. 5,439 5,639,166
Sempra Energy
2.850%, 11/15/20............................. 5,400 5,558,512
4.050%, 12/01/23............................. 4,254 4,587,258
3.550%, 06/15/24............................. 6,604 6,944,073
85
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
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(000)
UNITED STATES -- (Continued)
Sherwin Williams Co. (The)
3.450%, 08/01/25............................. 4,597 $ 4,750,361
Southern Co. (The)
2.750%, 06/15/20............................. 1,146 1,176,983
Southern Power Co.
4.150%, 12/01/25............................. 1,450 1,551,877
Southwest Airlines Co.
2.750%, 11/06/19............................. 7,120 7,331,272
2.650%, 11/05/20............................. 5,200 5,318,976
Spectra Energy Capital LLC
3.300%, 03/15/23............................. 5,652 5,545,833
Spectra Energy Partners L.P.
4.750%, 03/15/24............................. 1,937 2,117,418
St Jude Medical, Inc.
2.800%, 09/15/20............................. 132 134,940
3.250%, 04/15/23............................. 3,237 3,322,356
StanCorp Financial Group, Inc.
5.000%, 08/15/22............................. 3,237 3,434,761
Staples, Inc.
# 4.375%, 01/12/23............................. 1,079 1,104,105
Starbucks Corp.
2.000%, 12/05/18............................. 1,831 1,860,644
2.100%, 02/04/21............................. 1,289 1,307,495
3.850%, 10/01/23............................. 1,245 1,371,501
Starwood Hotels & Resorts Worldwide, Inc.
6.750%, 05/15/18............................. 504 542,731
State Street Corp.
2.550%, 08/18/20............................. 1,248 1,285,515
4.375%, 03/07/21............................. 2,120 2,331,606
1.950%, 05/19/21............................. 2,384 2,387,247
3.300%, 12/16/24............................. 10,883 11,484,895
3.550%, 08/18/25............................. 7,000 7,533,561
Stryker Corp.
2.625%, 03/15/21............................. 1,600 1,630,397
3.375%, 05/15/24............................. 518 539,156
3.375%, 11/01/25............................. 5,985 6,214,489
SunTrust Bank
2.750%, 05/01/23............................. 3,172 3,185,208
SunTrust Banks, Inc.
2.500%, 05/01/19............................. 952 970,968
2.900%, 03/03/21............................. 6,600 6,813,833
Symantec Corp.
2.750%, 06/15/17............................. 491 494,624
4.200%, 09/15/20............................. 3,000 3,137,316
Sysco Corp.
2.600%, 10/01/20............................. 3,000 3,072,330
Target Corp.
2.300%, 06/26/19............................. 1,006 1,030,652
2.900%, 01/15/22............................. 6,351 6,615,379
TD Ameritrade Holding Corp.
5.600%, 12/01/19............................. 212 235,482
2.950%, 04/01/22............................. 4,206 4,348,625
3.625%, 04/01/25............................. 7,444 7,823,220
Tech Data Corp.
3.750%, 09/21/17............................. 491 499,900
FACE
AMOUNT^ VALUE+
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(000)
UNITED STATES -- (Continued)
Texas Instruments, Inc.
2.250%, 05/01/23............................. 665 $ 658,998
Thermo Fisher Scientific, Inc.
1.850%, 01/15/18............................. 915 919,732
2.400%, 02/01/19............................. 1,000 1,016,702
TIAA Asset Management Finance Co. LLC
## 2.950%, 11/01/19............................. 1,132 1,164,290
## 4.125%, 11/01/24............................. 2,780 2,884,706
Time Warner, Inc.
4.750%, 03/29/21............................. 2,482 2,732,724
4.000%, 01/15/22............................. 1,165 1,247,216
3.550%, 06/01/24............................. 4,532 4,696,226
3.600%, 07/15/25............................. 8,500 8,836,592
TJX Cos., Inc. (The)
2.750%, 06/15/21............................. 3,480 3,620,804
2.500%, 05/15/23............................. 4,170 4,223,981
Total System Services, Inc.
2.375%, 06/01/18............................. 475 478,092
Travelers Cos., Inc. (The)
3.900%, 11/01/20............................. 6,000 6,502,254
Tyson Foods, Inc.
2.650%, 08/15/19............................. 2,153 2,200,934
4.500%, 06/15/22............................. 8,092 8,874,933
U.S. Bancorp
2.200%, 04/25/19............................. 1,587 1,617,715
2.350%, 01/29/21............................. 1,815 1,854,576
U.S. Bank NA
2.125%, 10/28/19............................. 5,708 5,804,220
2.800%, 01/27/25............................. 4,000 4,080,980
Union Pacific Corp.
2.250%, 02/15/19............................. 436 444,621
1.800%, 02/01/20............................. 846 857,336
2.750%, 04/15/23............................. 647 663,776
3.250%, 01/15/25............................. 9,626 10,158,472
United Technologies Corp.
1.800%, 06/01/17............................. 262 263,318
3.100%, 06/01/22............................. 1,900 2,002,372
7.500%, 09/15/29............................. 622 914,292
UnitedHealth Group, Inc.
6.000%, 06/15/17............................. 169 174,180
1.400%, 10/15/17............................. 609 610,504
1.625%, 03/15/19............................. 9,222 9,268,230
2.300%, 12/15/19............................. 969 990,250
2.750%, 02/15/23............................. 8,773 8,964,287
2.875%, 03/15/23............................. 5,827 6,010,405
3.750%, 07/15/25............................. 5,867 6,335,955
Unum Group
4.000%, 03/15/24............................. 5,110 5,198,285
3.875%, 11/05/25............................. 2,000 2,014,530
Valero Energy Corp.
9.375%, 03/15/19............................. 593 693,797
Verizon Communications, Inc.
3.650%, 09/14/18............................. 1,164 1,207,607
2.550%, 06/17/19............................. 317 324,546
4.500%, 09/15/20............................. 3,100 3,375,987
86
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
4.600%, 04/01/21............................. 2,622 $ 2,882,750
5.150%, 09/15/23............................. 13,026 14,876,838
Viacom, Inc.
2.500%, 12/15/16............................. 786 787,698
3.500%, 04/01/17............................. 2,000 2,018,166
2.200%, 04/01/19............................. 2,730 2,742,998
2.750%, 12/15/19............................. 2,193 2,231,575
4.500%, 03/01/21............................. 1,878 2,033,378
4.250%, 09/01/23............................. 647 687,462
3.875%, 04/01/24............................. 7,996 8,250,233
Visa, Inc.
3.150%, 12/14/25............................. 6,775 7,070,343
Wal-Mart Stores, Inc.
2.550%, 04/11/23............................. 6,827 6,993,729
3.300%, 04/22/24............................. 6,782 7,264,051
7.550%, 02/15/30............................. 2,180 3,257,038
Walgreen Co.
5.250%, 01/15/19............................. 72 77,445
3.100%, 09/15/22............................. 8,562 8,854,820
Walgreens Boots Alliance, Inc.
3.300%, 11/18/21............................. 12,978 13,591,094
3.450%, 06/01/26............................. 3,000 3,059,232
Walt Disney Co. (The)
1.125%, 02/15/17............................. 594 594,468
2.150%, 09/17/20............................. 1,058 1,081,240
# 3.150%, 09/17/25............................. 6,474 6,806,213
Waste Management, Inc.
# 4.600%, 03/01/21............................. 1,852 2,040,991
3.500%, 05/15/24............................. 5,000 5,301,715
3.125%, 03/01/25............................. 3,500 3,626,403
WEC Energy Group, Inc.
2.450%, 06/15/20............................. 1,677 1,710,991
Wells Fargo & Co.
2.100%, 05/08/17............................. 758 761,541
2.125%, 04/22/19............................. 1,587 1,604,686
2.600%, 07/22/20............................. 4,500 4,586,351
3.500%, 03/08/22............................. 8,870 9,326,725
3.000%, 02/19/25............................. 14,354 14,379,966
Western Union Co. (The)
5.253%, 04/01/20............................. 2,310 2,530,485
Whirlpool Corp.
4.700%, 06/01/22............................. 1,942 2,165,823
3.700%, 05/01/25............................. 12,588 13,072,802
Wisconsin Electric Power Co.
# 3.100%, 06/01/25............................. 3,237 3,374,893
Wm Wrigley Jr Co.
## 2.900%, 10/21/19............................. 176 181,222
Wyndham Worldwide Corp.
2.500%, 03/01/18............................. 1,021 1,030,385
3.900%, 03/01/23............................. 7,629 7,829,544
Xerox Corp.
2.750%, 03/15/19............................. 1,643 1,658,602
5.625%, 12/15/19............................. 635 692,140
4.500%, 05/15/21............................. 2,237 2,390,407
# 3.800%, 05/15/24............................. 4,340 4,284,431
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Xilinx, Inc.
2.125%, 03/15/19............................. 5,016 $ 5,069,521
3.000%, 03/15/21............................. 989 1,020,419
Zimmer Biomet Holdings, Inc.
2.700%, 04/01/20............................. 1,430 1,454,158
Zoetis, Inc.
3.250%, 02/01/23............................. 4,532 4,633,077
--------------
TOTAL UNITED STATES.............................. 2,634,816,366
--------------
TOTAL BONDS...................................... 3,645,348,458
--------------
AGENCY OBLIGATIONS -- (14.3%)
Federal Farm Credit Bank
5.100%, 09/03/19............................. 2,695 2,993,867
5.320%, 09/03/19............................. 6,379 7,129,885
5.150%, 11/15/19............................. 3,354 3,754,739
4.670%, 05/07/20............................. 1,677 1,871,453
5.350%, 08/07/20............................. 2,007 2,300,793
3.650%, 12/21/20............................. 13,178 14,385,988
5.250%, 03/02/21............................. 1,827 2,105,658
5.220%, 02/22/22............................. 1,497 1,776,881
5.210%, 12/19/22............................. 6,349 7,641,491
4.800%, 02/13/23............................. 583 685,772
5.250%, 03/06/23............................. 1,797 2,170,361
5.220%, 05/15/23............................. 14,406 17,405,545
2.630%, 08/03/26............................. 5,827 6,000,749
5.770%, 01/05/27............................. 1,942 2,557,655
Federal Home Loan Bank
4.875%, 05/17/17............................. 1,620 1,657,855
5.000%, 11/17/17............................. 9,620 10,048,042
0.750%, 12/08/17............................. 3,600 3,598,247
3.125%, 12/08/17............................. 5,990 6,143,188
1.375%, 03/09/18............................. 11,185 11,268,675
1.250%, 06/08/18............................. 9,375 9,427,631
4.750%, 06/08/18............................. 3,170 3,365,402
2.000%, 09/14/18............................. 14,660 14,928,688
1.750%, 12/14/18............................. 24,920 25,321,985
1.500%, 03/08/19............................. 11,350 11,481,456
1.875%, 03/08/19............................. 16,720 17,045,271
5.375%, 05/15/19............................. 16,985 18,828,433
1.625%, 06/14/19............................. 16,120 16,362,074
5.125%, 08/15/19............................. 1,585 1,758,358
1.375%, 09/13/19............................. 1,495 1,507,407
4.500%, 09/13/19............................. 11,070 12,129,133
4.125%, 12/13/19............................. 7,785 8,481,423
1.875%, 03/13/20............................. 37,695 38,557,537
# 4.125%, 03/13/20............................. 44,635 48,980,931
3.000%, 03/18/20............................. 5,415 5,726,162
3.375%, 06/12/20............................. 8,535 9,166,257
2.875%, 09/11/20............................. 4,405 4,668,349
4.625%, 09/11/20............................. 7,680 8,635,162
3.125%, 12/11/20............................. 1,795 1,918,702
5.250%, 12/11/20............................. 2,260 2,607,988
1.750%, 03/12/21............................. 12,110 12,278,583
5.000%, 03/12/21............................. 1,555 1,792,153
2.250%, 06/11/21............................. 20,965 21,705,777
87
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
3.625%, 06/11/21............................. 3,005 $ 3,303,421
5.625%, 06/11/21............................. 11,075 13,144,452
2.375%, 09/10/21............................. 11,785 12,296,764
3.000%, 09/10/21............................. 9,355 10,031,217
2.625%, 12/10/21............................. 32,225 34,015,131
5.000%, 12/10/21............................. 13,625 15,986,349
2.250%, 03/11/22............................. 2,995 3,106,345
2.500%, 03/11/22............................. 3,295 3,458,587
5.250%, 06/10/22............................. 2,470 2,953,811
5.750%, 06/10/22............................. 5,840 7,138,594
2.000%, 09/09/22............................. 4,860 4,968,077
5.375%, 09/30/22............................. 18,980 22,942,037
5.250%, 12/09/22............................. 4,490 5,390,303
4.750%, 03/10/23............................. 14,735 17,428,985
3.250%, 06/09/23............................. 10,480 11,448,824
5.375%, 08/15/24............................. 3,855 4,832,551
5.365%, 09/09/24............................. 600 749,977
4.375%, 03/13/26............................. 6,020 7,171,939
5.750%, 06/12/26............................. 11,915 15,629,466
Federal Home Loan Mortgage Corp.
1.000%, 07/28/17............................. 589 590,702
1.000%, 09/29/17............................. 90 90,247
1.750%, 05/30/19............................. 529 539,058
Federal Home Loan Mortgage Corporation
1.250%, 05/12/17............................. 491 492,741
6.750%, 09/15/29............................. 17,421 25,714,494
Federal National Mortgage Association
1.875%, 09/18/18............................. 1,499 1,525,828
1.875%, 02/19/19............................. 1,058 1,078,801
# 1.500%, 06/22/20............................. 4,549 4,601,832
1.250%, 05/06/21............................. 5,000 4,968,630
6.250%, 05/15/29............................. 33,322 47,146,098
7.125%, 01/15/30............................. 6,474 9,900,034
6.625%, 11/15/30............................. 19,500 29,061,240
Tennessee Valley Authority
6.250%, 12/15/17............................. 5,255 5,572,991
4.500%, 04/01/18............................. 14,469 15,194,939
1.750%, 10/15/18............................. 3,237 3,283,085
3.875%, 02/15/21............................. 31,741 34,967,155
# 1.875%, 08/15/22............................. 38,243 38,812,438
2.875%, 09/15/24............................. 51,425 54,837,974
6.750%, 11/01/25............................. 25,623 35,100,025
7.125%, 05/01/30............................. 500 754,108
------------
TOTAL AGENCY OBLIGATIONS......................... 912,400,956
------------
U.S. TREASURY OBLIGATIONS -- (24.6%)
U.S. Treasury Bonds
8.750%, 08/15/20............................. 25,517 32,696,129
8.125%, 05/15/21............................. 37,017 48,159,839
8.125%, 08/15/21............................. 35,789 47,060,006
# 7.250%, 08/15/22............................. 28,959 38,307,710
FACE
AMOUNT^ VALUE+
------- ------
(000)
6.250%, 08/15/23............................. 51,741 $ 67,370,274
# 7.500%, 11/15/24............................. 49,948 72,037,725
6.875%, 08/15/25............................. 27,371 38,890,689
6.000%, 02/15/26............................. 44,667 60,789,562
6.750%, 08/15/26............................. 39,317 56,756,541
6.625%, 02/15/27............................. 45,173 65,452,468
5.250%, 11/15/28............................. 36,868 49,896,942
5.250%, 02/15/29............................. 35,850 48,703,789
6.125%, 08/15/29............................. 45,884 67,432,741
# 6.250%, 05/15/30............................. 51,011 76,810,792
# 5.375%, 02/15/31............................. 71,000 100,892,136
U.S. Treasury Notes
3.125%, 05/15/19............................. 15,612 16,461,219
1.750%, 09/30/19............................. 12,210 12,473,272
3.625%, 02/15/20............................. 10,482 11,343,711
1.125%, 03/31/20............................. 11,081 11,092,891
1.125%, 04/30/20............................. 5,990 5,990,968
3.500%, 05/15/20............................. 4,492 4,860,391
1.875%, 06/30/20............................. 22,462 23,052,298
2.000%, 07/31/20............................. 23,360 24,076,620
2.000%, 09/30/20............................. 52,328 53,944,521
3.625%, 02/15/21............................. 39,500 43,402,166
3.125%, 05/15/21............................. 49,865 53,868,029
2.000%, 10/31/21............................. 54,757 56,446,952
1.500%, 02/28/23............................. 70,300 70,077,571
1.500%, 03/31/23............................. 58,000 57,784,762
1.750%, 05/15/23............................. 69,000 69,754,722
2.750%, 02/15/24............................. 86,412 93,044,597
2.250%, 11/15/24............................. 36,000 37,449,828
2.125%, 05/15/25............................. 45,000 46,288,485
--------------
TOTAL U.S. TREASURY OBLIGATIONS.................... 1,562,670,346
--------------
TOTAL INVESTMENT SECURITIES........................ 6,120,419,760
--------------
SHARES
------
SECURITIES LENDING COLLATERAL -- (3.7%)
(S)@ DFA Short Term Investment Fund............... 20,149,732 233,172,704
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $6,237,228,958)........................ $6,353,592,464
==============
88
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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.............................. -- $ 99,961,379 -- $ 99,961,379
Austria................................ -- 1,964,615 -- 1,964,615
Belgium................................ -- 20,693,529 -- 20,693,529
Canada................................. -- 162,152,455 -- 162,152,455
Denmark................................ -- 17,076,018 -- 17,076,018
Finland................................ -- 2,456,248 -- 2,456,248
France................................. -- 73,783,817 -- 73,783,817
Germany................................ -- 92,748,466 -- 92,748,466
Ireland................................ -- 54,771,451 -- 54,771,451
Italy.................................. -- 8,484,056 -- 8,484,056
Japan.................................. -- 102,602,165 -- 102,602,165
Netherlands............................ -- 87,840,510 -- 87,840,510
Norway................................. -- 24,018,906 -- 24,018,906
Spain.................................. -- 23,651,295 -- 23,651,295
Supranational Organization Obligations. -- 21,367,302 -- 21,367,302
Sweden................................. -- 8,567,517 -- 8,567,517
Switzerland............................ -- 57,649,816 -- 57,649,816
United Kingdom......................... -- 150,742,547 -- 150,742,547
United States.......................... -- 2,634,816,366 -- 2,634,816,366
Agency Obligations....................... -- 912,400,956 -- 912,400,956
U.S. Treasury Obligations................ -- 1,562,670,346 -- 1,562,670,346
Securities Lending Collateral............ -- 233,172,704 -- 233,172,704
-- -------------- -- --------------
TOTAL.................................... -- $6,353,592,464 -- $6,353,592,464
== ============== == ==============
See accompanying Notes to Financial Statements.
89
DFA DIVERSIFIED FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
FACE
AMOUNT^ VALUE+
--------- ------------
(000)
U.S. TREASURY OBLIGATIONS -- (19.5%)
Treasury Inflation Protected Security
1.625%, 01/15/18............................................ 2,627 $ 2,703,003
0.125%, 04/15/18............................................ 7,764 7,838,878
0.125%, 04/15/20............................................ 1,400 1,426,649
2.375%, 01/15/25............................................ 8,246 9,764,573
------------
TOTAL U.S. TREASURY OBLIGATIONS.............................. 21,733,103
------------
SHARES
---------
AFFILIATED INVESTMENT COMPANIES -- (78.6%)
Investment in DFA Intermediate Government Fixed Income
Portfolio of DFA Investment Dimensions Group Inc............ 4,257,052 54,745,686
Investment in DFA Two-Year Global Fixed Income Portfolio
of DFA Investment Dimensions Group Inc...................... 3,283,866 32,805,824
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES......... 87,551,510
------------
TOTAL INVESTMENT SECURITIES.................................. 109,284,613
------------
TEMPORARY CASH INVESTMENTS -- (1.9%)
State Street Institutional U.S. Government Money Market
Fund, 0.260%............................................. 2,103,106 2,103,106
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $111,875,698)............ $111,387,719
============
Summary of the Fund's investments as of October 31, 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
----------- ----------- ------- ------------
U.S. Treasury Obligations.......... -- $21,733,103 -- $ 21,733,103
Affiliated Investment Companies.... $87,551,510 -- -- 87,551,510
Temporary Cash Investments......... 2,103,106 -- -- 2,103,106
----------- ----------- -- ------------
TOTAL.............................. $89,654,616 $21,733,103 -- $111,387,719
=========== =========== == ============
See accompanying Notes to Financial Statements.
90
DFA LTIP PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
FACE
AMOUNT^^^ VALUE+
--------- -----------
(000)
U.S. TREASURY OBLIGATIONS -- (100.0%)
Treasury Inflation Protected Security
0.625%, 02/15/43........................................... $20,447 $20,993,590
1.375%, 02/15/44........................................... 11,218 13,451,721
0.750%, 02/15/45........................................... 12,771 13,149,895
1.000%, 02/15/46........................................... 11,830 12,980,478
-----------
TOTAL U.S. TREASURY OBLIGATIONS............................. 60,575,684
-----------
TOTAL INVESTMENTS -- (100.0%) (Cost $55,748,675)............ $60,575,684
===========
Summary of the Fund's investments as of October 31, 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
------- ----------- ------- -----------
U.S. Treasury Obligations.......... -- $60,575,684 -- $60,575,684
-- ----------- -- -----------
TOTAL.............................. -- $60,575,684 -- $60,575,684
== =========== == ===========
See accompanying Notes to Financial Statements.
91
DFA INFLATION-PROTECTED SECURITIES PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
FACE
AMOUNT^^^ VALUE+
---------- --------------
(000)
U.S. TREASURY OBLIGATIONS -- (99.8%)
Treasury Inflation Protected Security
0.625%, 07/15/21....................................... $ 210,000 $ 235,388,388
0.125%, 01/15/22....................................... 236,500 256,630,725
0.125%, 07/15/22....................................... 180,500 193,359,863
0.125%, 01/15/23....................................... 200,300 212,013,840
0.375%, 07/15/23....................................... 171,000 182,963,567
0.625%, 01/15/24....................................... 202,000 217,858,141
0.125%, 07/15/24....................................... 192,000 196,751,075
0.250%, 01/15/25....................................... 231,000 238,034,497
2.375%, 01/15/25....................................... 135,000 204,248,014
0.375%, 07/15/25....................................... 193,000 201,220,396
0.625%, 01/15/26....................................... 157,000 166,117,941
2.000%, 01/15/26....................................... 122,800 173,728,107
2.375%, 01/15/27....................................... 111,500 161,905,576
1.750%, 01/15/28....................................... 127,700 170,386,558
3.625%, 04/15/28....................................... 105,500 214,752,469
2.500%, 01/15/29....................................... 117,500 165,607,125
3.875%, 04/15/29....................................... 103,245 215,528,124
3.375%, 04/15/32....................................... 47,000 92,488,655
--------------
TOTAL U.S. TREASURY OBLIGATIONS......................... 3,498,983,061
--------------
TOTAL INVESTMENT SECURITIES............................. 3,498,983,061
--------------
SHARES
----------
TEMPORARY CASH INVESTMENTS -- (0.2%)
State Street Institutional U.S. Government Money Market
Fund, 0.260%........................................... 8,579,556 8,579,556
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,366,994,398).................................. $3,507,562,617
==============
Summary of the Portfolio's investments as of October 31, 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
---------- -------------- ------- --------------
U.S. Treasury Obligations..... -- $3,498,983,061 -- $3,498,983,061
Temporary Cash Investments.... $8,579,556 -- -- 8,579,556
---------- -------------- -- --------------
TOTAL......................... $8,579,556 $3,498,983,061 -- $3,507,562,617
========== ============== == ==============
See accompanying Notes to Financial Statements.
92
DFA SHORT-DURATION REAL RETURN PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
FACE
AMOUNT^ VALUE+
------- ------
(000)
BONDS -- (88.1%)
AUSTRALIA -- (2.6%)
Australia & New Zealand Banking Group, Ltd.
1.875%, 10/06/17............................. 358 $ 360,145
1.450%, 05/15/18............................. 358 357,825
BHP Billiton Finance USA, Ltd.
1.875%, 11/21/16............................. 1,300 1,300,481
1.625%, 02/24/17............................. 824 825,112
Commonwealth Bank of Australia
1.900%, 09/18/17............................. 787 791,116
2.500%, 09/20/18............................. 916 932,570
2.250%, 03/13/19............................. 5,000 5,066,605
Macquarie Group, Ltd.
## 3.000%, 12/03/18............................. 5,174 5,285,236
National Australia Bank, Ltd.
2.250%, 07/01/19............................. 3,500 3,546,704
Westpac Banking Corp.
2.000%, 08/14/17............................. 501 503,998
2.600%, 11/23/20............................. 6,000 6,135,756
-----------
TOTAL AUSTRALIA.................................. 25,105,548
-----------
BELGIUM -- (0.2%)
Anheuser-Busch InBev Worldwide, Inc.
5.375%, 01/15/20............................. 1,510 1,677,633
-----------
CANADA -- (8.0%)
Bank of Montreal
2.375%, 01/25/19............................. 24 24,385
Bank of Nova Scotia (The)
2.350%, 10/21/20............................. 9,655 9,797,431
Goldcorp, Inc.
2.125%, 03/15/18............................. 2,000 2,007,394
Ontario, Province of Canada
2.000%, 09/27/18............................. 5,000 5,073,085
2.000%, 01/30/19............................. 8,000 8,118,160
Petro-Canada
6.050%, 05/15/18............................. 429 457,209
Potash Corp. of Saskatchewan, Inc.
3.250%, 12/01/17............................. 123 125,279
Province of Ontario Canada
4.000%, 10/07/19............................. 9,000 9,655,830
1.875%, 05/21/20............................. 1,000 1,012,457
Royal Bank of Canada
1.800%, 07/30/18............................. 4,000 4,020,796
2.150%, 03/15/19............................. 1,700 1,722,362
1.500%, 07/29/19............................. 5,000 4,980,960
2.350%, 10/30/20............................. 6,000 6,095,190
Toronto-Dominion Bank (The)
2.625%, 09/10/18............................. 715 730,441
2.125%, 07/02/19............................. 7,600 7,709,075
FACE
AMOUNT^ VALUE+
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(000)
CANADA -- (Continued)
2.250%, 11/05/19............................. 4,979 $ 5,067,417
2.500%, 12/14/20............................. 10,000 10,233,180
-----------
TOTAL CANADA..................................... 76,830,651
-----------
DENMARK -- (0.3%)
Danske Bank A/S
## 2.750%, 09/17/20............................. 3,000 3,087,768
-----------
FINLAND -- (1.0%)
Municipality Finance P.L.C.
1.250%, 04/18/19............................. 10,000 9,977,500
-----------
FRANCE -- (2.1%)
Airgas, Inc.
2.375%, 02/15/20............................. 4,000 4,065,052
BNP Paribas SA
2.375%, 09/14/17............................. 252 254,215
2.375%, 05/21/20............................. 3,000 3,038,466
BPCE SA
2.500%, 07/15/19............................. 2,000 2,035,616
2.650%, 02/03/21............................. 1,300 1,332,318
Societe Generale SA
2.750%, 10/12/17............................. 1,772 1,794,841
Total Capital International SA
2.100%, 06/19/19............................. 7,000 7,117,705
-----------
TOTAL FRANCE..................................... 19,638,213
-----------
GERMANY -- (2.7%)
Bayer U.S. Finance LLC
## 2.375%, 10/08/19............................. 2,500 2,535,058
Daimler Finance North America LLC
## 2.700%, 08/03/20............................. 3,085 3,166,037
Deutsche Bank AG
6.000%, 09/01/17............................. 862 883,945
2.950%, 08/20/20............................. 1,900 1,857,755
Deutsche Telekom International Finance BV
6.000%, 07/08/19............................. 934 1,037,707
## 1.500%, 09/19/19............................. 5,570 5,551,396
KFW
4.875%, 01/17/17............................. 358 361,002
0.875%, 09/05/17............................. 358 357,804
1.875%, 06/30/20............................. 4,000 4,064,516
2.750%, 09/08/20............................. 2,000 2,101,166
Volkswagen Group of America Finance LLC
## 2.400%, 05/22/20............................. 4,000 4,035,816
-----------
TOTAL GERMANY.................................... 25,952,202
-----------
IRELAND -- (0.1%)
Actavis, Inc.
1.875%, 10/01/17............................. 1,276 1,281,038
-----------
93
DFA SHORT-DURATION REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
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(000)
ITALY -- (0.2%)
Intesa Sanpaolo SpA
3.875%, 01/16/18............................. 2,000 $ 2,040,358
-----------
JAPAN -- (4.6%)
American Honda Finance Corp.
2.450%, 09/24/20............................. 3,000 3,073,236
Bank of Tokyo-Mitsubishi UFJ, Ltd. (The)
## 2.300%, 03/05/20............................. 3,900 3,929,773
Beam Suntory, Inc.
1.750%, 06/15/18............................. 1,431 1,432,618
Development Bank of Japan, Inc.
1.875%, 10/03/18............................. 594 599,449
Japan Bank for International Cooperation
1.750%, 07/31/18............................. 358 360,036
Japan Finance Organization for Municipalities
1.375%, 02/05/18............................. 5,000 4,987,505
Mizuho Bank, Ltd.
## 2.700%, 10/20/20............................. 1,000 1,016,850
Nippon Telegraph & Telephone Corp.
1.400%, 07/18/17............................. 102 102,110
Nissan Motor Acceptance Corp.
## 2.125%, 03/03/20............................. 2,250 2,260,908
Nomura Holdings, Inc.
2.750%, 03/19/19............................. 1,500 1,528,793
Sumitomo Mitsui Banking Corp.
2.450%, 01/10/19............................. 2,673 2,709,051
2.450%, 01/16/20............................. 2,000 2,022,860
Sumitomo Mitsui Financial Group, Inc.
2.058%, 07/14/21............................. 400 394,304
Toyota Motor Credit Corp.
2.100%, 01/17/19............................. 8,526 8,651,238
4.500%, 06/17/20............................. 1,900 2,081,047
1.900%, 04/08/21............................. 9,000 9,035,118
-----------
TOTAL JAPAN...................................... 44,184,896
-----------
NETHERLANDS -- (4.3%)
Bank Nederlandse Gemeenten NV
1.875%, 06/11/19............................. 5,000 5,072,285
Cooperatieve Rabobank UA
2.250%, 01/14/19............................. 3,356 3,400,101
4.500%, 01/11/21............................. 3,000 3,299,880
Koninklijke Philips NV
5.750%, 03/11/18............................. 1,164 1,232,014
LyondellBasell Industries NV
5.000%, 04/15/19............................. 1,650 1,763,437
Mylan, Inc.
2.550%, 03/28/19............................. 1,097 1,111,180
Nederlandse Waterschapsbank NV
1.625%, 03/04/20............................. 3,000 3,013,848
FACE
AMOUNT^ VALUE+
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(000)
NETHERLANDS -- (Continued)
Shell International Finance BV
1.125%, 08/21/17............................. 358 $ 358,212
1.900%, 08/10/18............................. 3,000 3,029,871
2.000%, 11/15/18............................. 5,709 5,781,019
4.300%, 09/22/19............................. 1,202 1,290,545
2.125%, 05/11/20............................. 2,200 2,219,105
1.875%, 05/10/21............................. 10,000 9,935,190
-----------
TOTAL NETHERLANDS................................ 41,506,687
-----------
NORWAY -- (0.2%)
Kommunalbanken A.S.
1.000%, 09/26/17............................. 286 285,863
Statoil ASA
1.200%, 01/17/18............................. 168 167,656
1.150%, 05/15/18............................. 236 235,291
1.950%, 11/08/18............................. 715 721,997
-----------
TOTAL NORWAY..................................... 1,410,807
-----------
SPAIN -- (1.0%)
Santander UK P.L.C.
2.375%, 03/16/20............................. 4,600 4,631,896
Telefonica Emisiones SAU
5.134%, 04/27/20............................. 4,250 4,660,172
-----------
TOTAL SPAIN...................................... 9,292,068
-----------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (2.9%)
Asian Development Bank
1.125%, 03/15/17............................. 358 358,209
1.875%, 04/12/19............................. 5,000 5,086,940
European Bank for Reconstruction & Development
1.750%, 06/14/19............................. 5,000 5,070,640
European Investment Bank
# 4.875%, 01/17/17............................. 358 360,914
1.125%, 09/15/17............................. 215 215,277
2.875%, 09/15/20............................. 2,000 2,107,280
1.625%, 12/15/20............................. 3,000 3,021,396
2.000%, 03/15/21............................. 7,000 7,140,420
Inter-American Development Bank
1.125%, 03/15/17............................. 59 59,054
International Bank for Reconstruction &
Development
1.625%, 03/09/21............................. 4,000 4,028,400
International Finance Corp.
0.875%, 06/15/18............................. 215 214,549
-----------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 27,663,079
-----------
SWEDEN -- (2.5%)
Kommuninvest I Sverige AB
2.000%, 11/12/19............................. 9,720 9,893,794
94
DFA SHORT-DURATION REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
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(000)
SWEDEN -- (Continued)
Svensk Exportkredit AB
1.875%, 06/17/19............................. 10,000 $10,134,450
1.750%, 08/28/20............................. 3,000 3,025,149
Svenska Handelsbanken AB
2.875%, 04/04/17............................. 700 705,418
2.500%, 01/25/19............................. 358 365,205
-----------
TOTAL SWEDEN..................................... 24,124,016
-----------
SWITZERLAND -- (0.6%)
ABB Finance USA, Inc.
1.625%, 05/08/17............................. 189 189,481
Chubb INA Holdings, Inc.
2.300%, 11/03/20............................. 425 433,715
Credit Suisse AG
2.300%, 05/28/19............................. 625 631,415
Credit Suisse AG New York
1.375%, 05/26/17............................. 2,000 1,999,372
UBS AG
1.375%, 08/14/17............................. 2,000 1,999,110
2.375%, 08/14/19............................. 667 678,321
-----------
TOTAL SWITZERLAND................................ 5,931,414
-----------
UNITED KINGDOM -- (2.8%)
Aon Corp.
5.000%, 09/30/20............................. 2,710 2,984,932
AstraZeneca P.L.C.
2.375%, 11/16/20............................. 4,071 4,144,632
Barclays P.L.C.
2.750%, 11/08/19............................. 2,000 2,016,036
3.250%, 01/12/21............................. 1,500 1,518,075
BP Capital Markets P.L.C.
2.248%, 11/01/16............................. 21 21,000
1.846%, 05/05/17............................. 250 250,930
British Telecommunications P.L.C.
1.250%, 02/14/17............................. 272 272,128
2.350%, 02/14/19............................. 700 711,459
HSBC USA, Inc.
1.625%, 01/16/18............................. 1,130 1,130,671
2.375%, 11/13/19............................. 3,281 3,310,345
Lloyds Bank P.L.C.
4.200%, 03/28/17............................. 780 789,488
1.750%, 05/14/18............................. 2,790 2,802,148
Nationwide Building Society
## 2.350%, 01/21/20............................. 4,000 4,034,192
Unilever Capital Corp.
2.200%, 03/06/19............................. 1,000 1,018,974
4.250%, 02/10/21............................. 1,200 1,324,007
-----------
TOTAL UNITED KINGDOM............................. 26,329,017
-----------
UNITED STATES -- (52.0%)
Abbott Laboratories
4.125%, 05/27/20............................. 4,000 4,298,392
AbbVie, Inc.
2.500%, 05/14/20............................. 6,000 6,076,098
FACE
AMOUNT^ VALUE+
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(000)
UNITED STATES -- (Continued)
Aetna, Inc.
2.200%, 03/15/19............................. 3,340 $3,381,199
Aflac, Inc.
2.650%, 02/15/17............................. 1,515 1,521,742
2.400%, 03/16/20............................. 1,500 1,534,536
Agilent Technologies, Inc.
6.500%, 11/01/17............................. 153 160,481
Altera Corp.
2.500%, 11/15/18............................. 3,000 3,074,400
Altria Group, Inc.
4.750%, 05/05/21............................. 500 557,894
Amazon.com, Inc.
2.600%, 12/05/19............................. 2,700 2,790,239
American Express Credit Corp.
2.125%, 03/18/19............................. 2,000 2,025,370
2.375%, 05/26/20............................. 800 813,626
American International Group, Inc.
2.300%, 07/16/19............................. 2,062 2,092,274
3.375%, 08/15/20............................. 3,000 3,152,568
3.300%, 03/01/21............................. 500 523,024
Ameriprise Financial, Inc.
7.300%, 06/28/19............................. 1,360 1,553,943
5.300%, 03/15/20............................. 1,000 1,106,580
Amgen, Inc.
2.200%, 05/22/19............................. 4,311 4,376,557
Amphenol Corp.
2.550%, 01/30/19............................. 3,800 3,875,457
Anthem, Inc.
5.875%, 06/15/17............................. 117 120,280
1.875%, 01/15/18............................. 3,700 3,713,242
Apple, Inc.
1.700%, 02/22/19............................. 2,855 2,880,372
2.250%, 02/23/21............................. 2,000 2,036,928
Assurant, Inc.
2.500%, 03/15/18............................. 715 722,043
AT&T, Inc.
1.600%, 02/15/17............................. 358 358,492
5.800%, 02/15/19............................. 3,000 3,256,110
2.450%, 06/30/20............................. 1,331 1,338,991
Autodesk, Inc.
1.950%, 12/15/17............................. 75 75,287
Bank of America Corp.
2.000%, 01/11/18............................. 415 417,079
2.600%, 01/15/19............................. 2,000 2,033,218
2.625%, 10/19/20............................. 2,500 2,542,143
Bank of New York Mellon Corp. (The)
2.100%, 01/15/19............................. 1,000 1,013,376
2.200%, 05/15/19............................. 1,500 1,524,191
4.600%, 01/15/20............................. 1,200 1,303,615
2.150%, 02/24/20............................. 1,200 1,211,888
BB&T Corp.
1.450%, 01/12/18............................. 141 141,188
6.850%, 04/30/19............................. 2,000 2,252,990
2.050%, 05/10/21............................. 731 733,718
95
DFA SHORT-DURATION REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Berkshire Hathaway Finance Corp.
1.600%, 05/15/17............................. 72 $ 72,317
1.300%, 05/15/18............................. 4,264 4,268,004
Berkshire Hathaway, Inc.
2.100%, 08/14/19............................. 7,000 7,134,134
Biogen, Inc.
2.900%, 09/15/20............................. 1,500 1,547,105
BlackRock, Inc.
5.000%, 12/10/19............................. 2,000 2,208,320
Boeing Capital Corp.
2.900%, 08/15/18............................. 546 561,851
Boston Scientific Corp.
2.650%, 10/01/18............................. 2,000 2,038,630
6.000%, 01/15/20............................. 500 559,656
Branch Banking & Trust Co.
2.300%, 10/15/18............................. 1,073 1,089,429
Bristol-Myers Squibb Co.
1.750%, 03/01/19............................. 2,500 2,526,050
Buckeye Partners L.P.
6.050%, 01/15/18............................. 1,310 1,373,671
2.650%, 11/15/18............................. 261 263,893
Capital One Bank USA NA
2.300%, 06/05/19............................. 2,000 2,020,532
Capital One Financial Corp.
2.450%, 04/24/19............................. 900 915,224
Cardinal Health, Inc.
1.700%, 03/15/18............................. 1,919 1,924,974
Caterpillar Financial Services Corp.
2.450%, 09/06/18............................. 545 554,962
2.100%, 06/09/19............................. 1,900 1,928,283
CBS Corp.
1.950%, 07/01/17............................. 621 623,330
2.300%, 08/15/19............................. 2,000 2,025,520
Celgene Corp.
2.250%, 05/15/19............................. 2,000 2,022,550
CenterPoint Energy Resources Corp.
6.125%, 11/01/17............................. 39 40,693
CF Industries, Inc.
6.875%, 05/01/18............................. 2,413 2,546,316
Charles Schwab Corp. (The)
2.200%, 07/25/18............................. 372 377,340
Chevron Corp.
1.104%, 12/05/17............................. 383 382,640
1.718%, 06/24/18............................. 1,907 1,920,038
2.419%, 11/17/20............................. 14,000 14,307,650
2.100%, 05/16/21............................. 1,375 1,384,952
Cisco Systems, Inc.
1.650%, 06/15/18............................. 1,500 1,510,541
4.450%, 01/15/20............................. 4,940 5,375,352
2.450%, 06/15/20............................. 4,400 4,516,200
2.200%, 02/28/21............................. 3,000 3,051,612
Citigroup, Inc.
2.500%, 09/26/18............................. 501 507,854
2.050%, 06/07/19............................. 3,000 3,013,656
2.400%, 02/18/20............................. 3,000 3,030,168
FACE
AMOUNT^ VALUE+
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(000)
UNITED STATES -- (Continued)
Coca-Cola Co. (The)
2.450%, 11/01/20............................. 3,000 $ 3,101,415
Comcast Corp.
6.300%, 11/15/17............................. 286 300,892
5.700%, 05/15/18............................. 501 534,181
5.150%, 03/01/20............................. 1,900 2,113,742
Comerica, Inc.
2.125%, 05/23/19............................. 1,450 1,459,643
ConocoPhillips
6.000%, 01/15/20............................. 1,300 1,459,453
ConocoPhillips Co.
1.050%, 12/15/17............................. 1,334 1,327,183
# 4.200%, 03/15/21............................. 1,400 1,516,925
Costco Wholesale Corp.
1.750%, 02/15/20............................. 1,775 1,785,552
Crane Co.
2.750%, 12/15/18............................. 608 620,038
CVS Health Corp.
2.250%, 08/12/19............................. 2,500 2,542,707
Danaher Corp.
1.650%, 09/15/18............................. 990 996,878
Dollar General Corp.
1.875%, 04/15/18............................. 921 924,900
Dominion Resources, Inc.
2.500%, 12/01/19............................. 3,500 3,587,146
Dr. Pepper Snapple Group, Inc.
2.600%, 01/15/19............................. 1,000 1,022,170
DTE Energy Co.
2.400%, 12/01/19............................. 4,000 4,069,320
Duke Energy Corp.
2.100%, 06/15/18............................. 1,300 1,312,652
Eastman Chemical Co.
2.400%, 06/01/17............................. 304 306,123
eBay, Inc.
1.350%, 07/15/17............................. 123 123,070
2.200%, 08/01/19............................. 4,346 4,391,090
Edwards Lifesciences Corp.
2.875%, 10/15/18............................. 1,000 1,022,461
EI du Pont de Nemours & Co.
6.000%, 07/15/18............................. 708 761,789
Enterprise Products Operating LLC
6.650%, 04/15/18............................. 2,000 2,139,662
EOG Resources, Inc.
5.875%, 09/15/17............................. 705 732,182
Eversource Energy
1.450%, 05/01/18............................. 1,235 1,235,785
Exelon Generation Co. LLC
2.950%, 01/15/20............................. 2,600 2,669,683
4.000%, 10/01/20............................. 600 638,207
Express Scripts Holding Co.
2.250%, 06/15/19............................. 2,000 2,024,120
Exxon Mobil Corp.
1.708%, 03/01/19............................. 5,000 5,036,505
1.819%, 03/15/19............................. 10,427 10,543,282
1.912%, 03/06/20............................. 2,400 2,428,661
2.222%, 03/01/21............................. 4,924 4,997,023
96
DFA SHORT-DURATION REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Fifth Third Bank
2.375%, 04/25/19............................. 3,590 $ 3,647,602
Fiserv, Inc.
2.700%, 06/01/20............................. 2,000 2,047,076
FMC Technologies, Inc.
2.000%, 10/01/17............................. 1,120 1,121,415
Ford Motor Credit Co. LLC
5.000%, 05/15/18............................. 1,524 1,595,309
2.375%, 03/12/19............................. 1,300 1,311,153
3.157%, 08/04/20............................. 200 205,303
3.336%, 03/18/21............................. 1,500 1,542,578
GATX Corp.
1.250%, 03/04/17............................. 1,500 1,500,170
2.500%, 07/30/19............................. 200 202,659
GE Capital International Funding Co., Unlimited
Co.
2.342%, 11/15/20............................. 10,000 10,203,690
Georgia Power Co.
4.250%, 12/01/19............................. 2,130 2,306,596
Gilead Sciences, Inc.
2.550%, 09/01/20............................. 1,000 1,026,569
Goldman Sachs Group, Inc. (The)
2.550%, 10/23/19............................. 4,900 4,993,487
Halliburton Co.
2.000%, 08/01/18............................. 3,970 3,995,984
Harris Corp.
2.700%, 04/27/20............................. 4,500 4,558,815
Hershey Co. (The)
1.500%, 11/01/16............................. 358 358,000
Hewlett Packard Enterprise Co.
## 3.850%, 10/15/20............................. 3,800 4,026,453
Home Depot, Inc. (The)
2.000%, 06/15/19............................. 700 712,260
HP, Inc.
4.300%, 06/01/21............................. 1,567 1,684,893
Humana, Inc.
2.625%, 10/01/19............................. 3,000 3,060,168
Huntington Bancshares, Inc.
2.600%, 08/02/18............................. 1,043 1,057,840
Huntington National Bank (The)
2.400%, 04/01/20............................. 2,600 2,628,231
Indiana Michigan Power Co.
7.000%, 03/15/19............................. 2,000 2,228,522
Intel Corp.
2.450%, 07/29/20............................. 127 130,868
International Business Machines Corp.
1.250%, 02/08/18............................. 100 100,143
# 1.950%, 02/12/19............................. 4,557 4,621,085
Intuit, Inc.
5.750%, 03/15/17............................. 1,300 1,322,001
Jefferies Group LLC
5.125%, 04/13/18............................. 134 139,556
JM Smucker Co. (The)
2.500%, 03/15/20............................. 3,320 3,385,417
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
John Deere Capital Corp.
2.000%, 01/13/17............................. 472 $ 472,980
2.050%, 03/10/20............................. 2,000 2,019,222
Johnson Controls, Inc.
2.600%, 12/01/16............................. 401 401,505
JPMorgan Chase & Co.
2.350%, 01/28/19............................. 3,000 3,048,951
Kellogg Co.
1.875%, 11/17/16............................. 371 371,035
KeyBank NA
1.100%, 11/25/16............................. 859 859,051
KeyCorp
2.900%, 09/15/20............................. 2,000 2,059,474
Kimberly-Clark Corp.
1.900%, 05/22/19............................. 2,000 2,027,574
KLA-Tencor Corp.
3.375%, 11/01/19............................. 1,350 1,392,633
Kroger Co. (The)
6.400%, 08/15/17............................. 1,170 1,215,653
Laboratory Corp. of America Holdings
2.200%, 08/23/17............................. 1,633 1,643,861
Lam Research Corp.
2.750%, 03/15/20............................. 2,800 2,843,478
Legg Mason, Inc.
2.700%, 07/15/19............................. 3,000 3,057,522
Macy's Retail Holdings, Inc.
# 3.450%, 01/15/21............................. 2,970 3,074,381
Manufacturers & Traders Trust Co.
2.100%, 02/06/20............................. 4,225 4,254,220
Marriott International, Inc.
3.000%, 03/01/19............................. 2,960 3,037,445
Marsh & McLennan Cos., Inc.
2.300%, 04/01/17............................. 650 652,318
2.350%, 03/06/20............................. 2,000 2,023,340
MasterCard, Inc.
2.000%, 04/01/19............................. 2,995 3,044,118
Mattel, Inc.
2.350%, 05/06/19............................. 5,000 5,061,165
Maxim Integrated Products, Inc.
2.500%, 11/15/18............................. 2,000 2,028,856
McDonald's Corp.
5.350%, 03/01/18............................. 286 301,201
5.000%, 02/01/19............................. 4,506 4,860,766
McKesson Corp.
1.400%, 03/15/18............................. 2,740 2,734,602
Microsoft Corp.
1.300%, 11/03/18............................. 4,000 4,015,156
2.000%, 11/03/20............................. 3,500 3,550,393
Molson Coors Brewing Co.
2.000%, 05/01/17............................. 2,429 2,438,842
Mondelez International, Inc.
2.250%, 02/01/19............................. 4,000 4,061,840
Monsanto Co.
1.850%, 11/15/18............................. 2,155 2,159,857
2.125%, 07/15/19............................. 2,550 2,573,924
97
DFA SHORT-DURATION REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Morgan Stanley
2.375%, 07/23/19............................. 3,000 $3,041,199
NASDAQ OMX Group, Inc. (The)
5.550%, 01/15/20............................. 2,484 2,746,196
NetApp, Inc.
2.000%, 12/15/17............................. 715 718,596
Newell Brands, Inc.
6.250%, 04/15/18............................. 930 988,185
2.600%, 03/29/19............................. 3,045 3,106,363
NextEra Energy Capital Holdings, Inc.
2.400%, 09/15/19............................. 2,950 3,004,551
NiSource Finance Corp.
6.400%, 03/15/18............................. 86 91,430
6.800%, 01/15/19............................. 396 438,727
Nordstrom, Inc.
6.250%, 01/15/18............................. 3,094 3,268,254
4.750%, 05/01/20............................. 350 380,289
Northrop Grumman Corp.
1.750%, 06/01/18............................. 1,554 1,564,631
Nucor Corp.
5.750%, 12/01/17............................. 4,612 4,813,507
Oracle Corp.
# 2.250%, 10/08/19............................. 2,000 2,044,384
PepsiCo, Inc.
2.250%, 01/07/19............................. 1,000 1,019,567
2.150%, 10/14/20............................. 3,000 3,053,745
Pfizer, Inc.
2.100%, 05/15/19............................. 2,652 2,697,551
1.950%, 06/03/21............................. 5,000 5,023,400
PG&E Corp.
2.400%, 03/01/19............................. 2,074 2,107,667
PNC Bank NA
2.400%, 10/18/19............................. 4,000 4,085,120
Praxair, Inc.
1.250%, 11/07/18............................. 888 887,750
Procter & Gamble Co. (The)
1.850%, 02/02/21............................. 960 969,662
Progress Energy, Inc.
4.400%, 01/15/21............................. 2,150 2,340,770
Prudential Financial, Inc.
5.375%, 06/21/20............................. 3,000 3,341,364
PSEG Power LLC
2.450%, 11/15/18............................. 2,499 2,534,786
QUALCOMM, Inc.
2.250%, 05/20/20............................. 3,000 3,049,590
Quest Diagnostics, Inc.
2.700%, 04/01/19............................. 1,300 1,329,480
2.500%, 03/30/20............................. 3,630 3,693,079
Raytheon Co.
6.750%, 03/15/18............................. 293 315,277
Republic Services, Inc.
3.800%, 05/15/18............................. 388 401,878
Roper Technologies, Inc.
2.050%, 10/01/18............................. 135 136,252
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Ryder System, Inc.
2.500%, 03/01/18............................. 250 $ 253,216
2.350%, 02/26/19............................. 2,000 2,024,872
Scripps Networks Interactive, Inc.
2.750%, 11/15/19............................. 2,369 2,422,741
Southwest Airlines Co.
2.750%, 11/06/19............................. 426 438,641
St Jude Medical, Inc.
2.800%, 09/15/20............................. 3,500 3,577,962
Starbucks Corp.
2.000%, 12/05/18............................. 1,183 1,202,153
Starwood Hotels & Resorts Worldwide, Inc.
6.750%, 05/15/18............................. 367 395,203
State Street Corp.
4.375%, 03/07/21............................. 2,000 2,199,628
Stryker Corp.
1.300%, 04/01/18............................. 2,500 2,500,230
2.625%, 03/15/21............................. 2,378 2,423,177
SunTrust Banks, Inc.
2.900%, 03/03/21............................. 3,000 3,097,197
Symantec Corp.
2.750%, 06/15/17............................. 358 360,642
4.200%, 09/15/20............................. 2,000 2,091,544
Sysco Corp.
2.600%, 10/01/20............................. 3,970 4,065,717
Target Corp.
2.300%, 06/26/19............................. 3,000 3,073,515
Tech Data Corp.
3.750%, 09/21/17............................. 358 364,489
Thermo Fisher Scientific, Inc.
1.850%, 01/15/18............................. 2,166 2,177,203
TIAA Asset Management Finance Co. LLC
## 2.950%, 11/01/19............................. 3,890 4,000,962
Time Warner, Inc.
2.100%, 06/01/19............................. 2,000 2,015,286
Total System Services, Inc.
2.375%, 06/01/18............................. 3,000 3,019,527
Tyson Foods, Inc.
2.650%, 08/15/19............................. 2,000 2,044,528
U.S. Bancorp
2.200%, 04/25/19............................. 3,991 4,068,242
Union Pacific Corp.
2.250%, 02/15/19............................. 1,400 1,427,681
UnitedHealth Group, Inc.
6.000%, 06/15/17............................. 200 206,130
2.300%, 12/15/19............................. 1,400 1,430,702
2.700%, 07/15/20............................. 1,074 1,107,226
2.125%, 03/15/21............................. 2,000 2,018,792
US Bank NA
1.400%, 04/26/19............................. 3,900 3,892,836
Verizon Communications, Inc.
3.650%, 09/14/18............................. 690 715,849
2.550%, 06/17/19............................. 1,000 1,023,803
4.500%, 09/15/20............................. 2,250 2,450,313
98
DFA SHORT-DURATION REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Viacom, Inc.
2.500%, 12/15/16............................. 572 $ 573,236
2.200%, 04/01/19............................. 2,000 2,009,522
Walgreen Co.
5.250%, 01/15/19............................. 8 8,605
Walgreens Boots Alliance, Inc.
2.700%, 11/18/19............................. 2,000 2,052,142
2.600%, 06/01/21............................. 2,000 2,024,818
Wells Fargo & Co.
2.625%, 12/15/16............................. 762 763,625
2.100%, 05/08/17............................. 552 554,578
2.125%, 04/22/19............................. 2,170 2,194,182
2.150%, 01/30/20............................. 3,000 3,023,772
WestRock RKT Co.
# 4.450%, 03/01/19............................. 595 627,999
Wyndham Worldwide Corp.
2.500%, 03/01/18............................. 1,805 1,821,592
Xerox Corp.
2.950%, 03/15/17............................. 2,000 2,011,634
Xilinx, Inc.
2.125%, 03/15/19............................. 2,500 2,526,675
------------
TOTAL UNITED STATES.............................. 498,412,261
------------
TOTAL BONDS...................................... 844,445,156
------------
AGENCY OBLIGATIONS -- (5.3%)
Federal Home Loan Mortgage Corp.
1.000%, 09/29/17............................. 66 66,182
1.750%, 05/30/19............................. 4,000 4,076,052
Federal National Mortgage Association
# 1.625%, 01/21/20............................. 3,000 3,047,613
# 1.500%, 06/22/20............................. 21,300 21,547,378
# 1.875%, 12/28/20............................. 22,000 22,485,166
------------
TOTAL AGENCY OBLIGATIONS......................... 51,222,391
------------
FACE
AMOUNT^ VALUE+
------- ------
(000)
U.S. TREASURY OBLIGATIONS -- (0.9%)
Treasury Inflation Protected Security
^^^++ 0.125%, 04/15/20............................. 4,321 $ 4,528,867
^^^ 0.125%, 04/15/21............................. 4,000 4,145,856
------------
TOTAL U.S. TREASURY OBLIGATIONS..................... 8,674,723
------------
TOTAL INVESTMENT SECURITIES......................... 904,342,270
------------
SHARES
------
SECURITIES LENDING COLLATERAL -- (5.7%)
(S)@ DFA Short Term Investment Fund............... 4,699,422 54,381,710
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $953,168,465)............................... $958,723,980
============
99
DFA SHORT-DURATION REAL RETURN PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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.............................. -- $ 25,105,548 -- $ 25,105,548
Belgium................................ -- 1,677,633 -- 1,677,633
Canada................................. -- 76,830,651 -- 76,830,651
Denmark................................ -- 3,087,768 -- 3,087,768
Finland................................ -- 9,977,500 -- 9,977,500
France................................. -- 19,638,213 -- 19,638,213
Germany................................ -- 25,952,202 -- 25,952,202
Ireland................................ -- 1,281,038 -- 1,281,038
Italy.................................. -- 2,040,358 -- 2,040,358
Japan.................................. -- 44,184,896 -- 44,184,896
Netherlands............................ -- 41,506,687 -- 41,506,687
Norway................................. -- 1,410,807 -- 1,410,807
Spain.................................. -- 9,292,068 -- 9,292,068
Supranational Organization Obligations. -- 27,663,079 -- 27,663,079
Sweden................................. -- 24,124,016 -- 24,124,016
Switzerland............................ -- 5,931,414 -- 5,931,414
United Kingdom......................... -- 26,329,017 -- 26,329,017
United States.......................... -- 498,412,261 -- 498,412,261
Agency Obligations....................... -- 51,222,391 -- 51,222,391
U.S. Treasury Obligations................ -- 8,674,723 -- 8,674,723
Securities Lending Collateral............ -- 54,381,710 -- 54,381,710
Swap Agreements**........................ -- (2,558,078) -- (2,558,078)
-- ------------ -- ------------
TOTAL.................................... -- $956,165,902 -- $956,165,902
== ============ == ============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note G)
See accompanying Notes to Financial Statements.
100
DFA MUNICIPAL REAL RETURN PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
FACE
AMOUNT VALUE+
------ ------
(000)
MUNICIPAL BONDS -- (100.0%)
ALABAMA -- (1.2%)
Alabama State (GO) Series A
5.000%, 08/01/20.............................. $ 2,250 $ 2,571,885
5.000%, 08/01/23.............................. 2,200 2,701,622
-------------
TOTAL ALABAMA...................................... 5,273,507
-------------
ALASKA -- (1.2%)
Borough of North Slope (GO) Series C
3.000%, 06/30/18.............................. 500 514,895
City of Anchorage (GO) Series A
5.000%, 09/01/21.............................. 900 1,052,559
5.000%, 09/01/23.............................. 600 730,572
City of Anchorage (GO) Series D
5.000%, 09/01/23.............................. 2,585 3,147,548
-------------
TOTAL ALASKA....................................... 5,445,574
-------------
ARIZONA -- (1.1%)
City of Phoenix (GO)
4.000%, 07/01/20.............................. 1,500 1,655,655
City of Tempe (GO) Series C
4.000%, 07/01/22.............................. 1,400 1,599,066
Maricopa County High School District
No. 210-Phoenix (GO)
3.000%, 07/01/23.............................. 650 705,985
Scottsdale Municipal Property Corp. (RB) Series A
3.000%, 07/01/21.............................. 805 870,865
-------------
TOTAL ARIZONA...................................... 4,831,571
-------------
ARKANSAS -- (0.7%)
Arkansas State (GO)
5.000%, 04/01/21.............................. 2,600 3,022,006
-------------
CALIFORNIA -- (0.9%)
California State (GO) Series B
5.000%, 09/01/25.............................. 3,140 3,942,082
-------------
COLORADO -- (1.0%)
Boulder County (RB)
5.000%, 07/15/18.............................. 100 106,900
City & County of Denver (GO) Series A
5.000%, 08/01/17.............................. 200 206,402
Denver City & County School District No. 1 (GO)
Series B (ETM) (ST AID WITHHLDG)
4.000%, 12/01/18.............................. 35 37,221
Denver City & County School District No. 1 (GO)
Series B (ST AID WITHHLDG)
4.000%, 12/01/18.............................. 265 281,759
FACE
AMOUNT VALUE+
------ ------
(000)
COLORADO -- (Continued)
5.000%, 12/01/24............................. $ 900 $ 1,124,811
El Paso County School District No. 20 Academy
(GO) (ST AID WITHHLDG)
5.000%, 12/15/21............................. 1,240 1,467,738
Jefferson County School District R-1 (GO) (ST
AID WITHHLDG)
5.250%, 12/15/24............................. 1,000 1,265,470
-------------
TOTAL COLORADO................................... 4,490,301
-------------
CONNECTICUT -- (0.6%)
Connecticut State (GO) Series A
5.000%, 10/15/18............................. 600 645,504
5.000%, 10/15/19............................. 300 331,929
Connecticut State (GO) Series C
5.000%, 06/01/18............................. 1,000 1,061,800
Connecticut State (GO) Series E
4.000%, 08/15/17............................. 700 717,563
-------------
TOTAL CONNECTICUT................................ 2,756,796
-------------
DELAWARE -- (1.0%)
New Castle County (GO)
5.000%, 10/01/23............................. 2,275 2,810,990
New Castle County (GO) Series B
5.000%, 07/15/22............................. 1,450 1,748,222
-------------
TOTAL DELAWARE................................... 4,559,212
-------------
DISTRICT OF COLUMBIA -- (0.5%)
District of Columbia (GO) Series A
5.000%, 06/01/20............................. 1,900 2,157,811
-------------
FLORIDA -- (3.9%)
Florida State (GO) Series A
5.000%, 07/01/21............................. 2,000 2,339,520
Florida State Board of Education (GO) Series B
5.000%, 06/01/20............................. 3,300 3,754,014
5.000%, 06/01/23............................. 650 790,621
5.000%, 06/01/25............................. 3,000 3,754,440
Florida's Turnpike Enterprise (RB) Series A
5.000%, 07/01/17............................. 750 771,428
Miami-Dade County (GO) Series A
5.000%, 07/01/26............................. 1,810 2,288,455
Miami-Dade County (GO) Series D
5.000%, 07/01/20............................. 3,520 4,004,422
-------------
TOTAL FLORIDA.................................... 17,702,900
-------------
GEORGIA -- (2.6%)
DeKalb County (GO) (TAN)
2.000%, 12/16/16............................. 2,000 2,003,420
101
DFA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
GEORGIA -- (Continued)
Georgia State (GO) Series C
5.000%, 07/01/17.............................. $ 1,800 $ 1,851,318
5.000%, 10/01/21.............................. 2,490 2,946,467
Georgia State (GO) Series I
5.000%, 07/01/20.............................. 2,345 2,676,794
Georgia State Road & Tollway Authority (RB) (GTD)
5.000%, 10/01/23.............................. 2,000 2,469,720
-------------
TOTAL GEORGIA...................................... 11,947,719
-------------
HAWAII -- (1.6%)
City & County of Honolulu (GO) Series B
5.000%, 10/01/23.............................. 2,150 2,639,061
5.000%, 10/01/25.............................. 450 566,793
Hawaii State (GO) Series DK
5.000%, 05/01/17.............................. 700 714,973
Hawaii State (GO) Series EF
5.000%, 11/01/22.............................. 300 362,658
Hawaii State (GO) Series EH
5.000%, 08/01/23.............................. 1,275 1,562,959
Hawaii State (GO) Series EH (ETM)
5.000%, 08/01/23.............................. 1,225 1,505,194
-------------
TOTAL HAWAII....................................... 7,351,638
-------------
IOWA -- (0.2%)
City of Ankeny (GO) Series G
5.000%, 06/01/19.............................. 910 1,001,910
-------------
KANSAS -- (2.2%)
City of Lenexa (GO) Series A
5.000%, 09/01/21.............................. 600 707,244
City of Lenexa (GO) Series B
5.000%, 09/01/20.............................. 1,610 1,846,010
City of Wichita (GO) Series A
5.000%, 12/01/20.............................. 3,000 3,462,690
Johnson County (GO) Series B
5.000%, 09/01/22.............................. 1,405 1,698,462
Kansas State Department of Transportation (RB)
Series B
5.000%, 09/01/20.............................. 1,975 2,265,305
Kansas State Department of Transportation (RB)
Series C
5.000%, 09/01/19.............................. 125 139,054
-------------
TOTAL KANSAS....................................... 10,118,765
-------------
KENTUCKY -- (1.4%)
Louisville Water Co. (RB)
4.000%, 11/15/17.............................. 1,605 1,657,403
Louisville/Jefferson County Metropolitan
Government (GO) Series A
5.000%, 12/01/25.............................. 3,800 4,814,144
-------------
TOTAL KENTUCKY..................................... 6,471,547
-------------
FACE
AMOUNT VALUE+
------ ------
(000)
LOUISIANA -- (1.4%)
Louisiana State (GO) Series A (ETM)
5.000%, 08/01/18............................. $ 4,000 $ 4,277,400
Louisiana State (GO) Series C
5.000%, 07/15/22............................. 250 295,825
5.000%, 08/01/23............................. 1,100 1,324,917
Louisiana State (GO) Series D-2
5.000%, 12/01/21............................. 600 702,300
-------------
TOTAL LOUISIANA.................................. 6,600,442
-------------
MARYLAND -- (5.3%)
Anne Arundel County (GO)
5.000%, 04/01/23............................. 4,000 4,890,960
Baltimore County (GO)
5.000%, 08/01/18............................. 1,000 1,072,060
5.000%, 08/01/21............................. 500 587,615
City of Baltimore (GO) Series B
5.000%, 10/15/22............................. 645 778,341
City of Frederick (GO) Series C
5.000%, 03/01/27............................. 3,100 4,014,097
Harford County (GO) Series A
5.000%, 09/15/20............................. 900 1,034,352
Maryland State (GO) Series B
5.000%, 03/01/19............................. 1,000 1,093,980
4.000%, 08/01/23............................. 985 1,149,948
Prince George's County (GO) Series B
5.000%, 09/15/18............................. 650 699,972
Washington Suburban Sanitary Commission (GO)
5.000%, 06/01/18............................. 650 692,503
5.000%, 06/01/24............................. 4,325 5,405,428
Worcester County (GO) Series B
4.000%, 08/01/21............................. 2,255 2,544,204
-------------
TOTAL MARYLAND................................... 23,963,460
-------------
MASSACHUSETTS -- (4.0%)
City of Boston (GO) Series A
5.000%, 03/01/20............................. 1,200 1,355,436
5.000%, 04/01/20............................. 1,250 1,415,900
City of Boston (GO) Series B
5.000%, 04/01/24............................. 3,500 4,358,900
Commonwealth of Massachusetts (GO) Series A
5.000%, 03/01/18............................. 1,500 1,583,025
Commonwealth of Massachusetts (GO) Series B
5.250%, 08/01/21............................. 500 591,840
Commonwealth of Massachusetts (GO) Series C
5.000%, 08/01/20............................. 3,255 3,712,946
Massachusetts Clean Water Trust (The) (RB)
5.000%, 08/01/20............................. 400 457,540
102
DFA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
MASSACHUSETTS -- (Continued)
Massachusetts School Building Authority (RB)
Series A
5.000%, 11/15/25.............................. $ 3,240 $ 4,100,803
Town of Medfield (GO)
3.000%, 09/15/19.............................. 510 539,641
-------------
TOTAL MASSACHUSETTS................................ 18,116,031
-------------
MICHIGAN -- (0.2%)
Michigan State (GO)
5.000%, 11/01/19.............................. 700 781,956
-------------
MINNESOTA -- (3.6%)
City of Edina (GO) Series B
3.000%, 02/01/19.............................. 1,000 1,046,320
City of Rochester (GO) Series A
5.000%, 02/01/18.............................. 650 683,566
Hennepin County (GO) Series C
5.000%, 12/01/28.............................. 1,150 1,498,404
Minnesota State (GO) Series A
5.000%, 08/01/21.............................. 1,330 1,565,077
5.000%, 08/01/25.............................. 7,000 8,882,440
Minnesota State (GO) Series D
5.000%, 08/01/18.............................. 650 696,248
Minnesota State (GO) Series E
2.000%, 08/01/19.............................. 1,000 1,028,370
Saint Paul Public Library Agency (GO) Series C
5.000%, 03/01/20.............................. 900 1,015,947
-------------
TOTAL MINNESOTA.................................... 16,416,372
-------------
MISSISSIPPI -- (0.6%)
Madison County School District (GO)
3.500%, 12/01/19.............................. 350 374,360
Mississippi State (GO) Series B
5.000%, 11/01/20.............................. 600 691,452
Mississippi State (GO) Series C
5.000%, 10/01/20.............................. 1,565 1,798,655
-------------
TOTAL MISSISSIPPI.................................. 2,864,467
-------------
MISSOURI -- (0.4%)
Missouri Highway & Transportation Commission (RB)
5.000%, 02/01/19.............................. 1,525 1,663,241
-------------
NEVADA -- (5.1%)
City of Henderson NV (GO)
5.000%, 06/01/21.............................. 600 698,058
Clark County (GO) Series B
5.000%, 11/01/24.............................. 8,665 10,757,424
Nevada State (GO) Series D
5.000%, 04/01/25.............................. 6,630 8,273,179
Nevada State (GO) Series D-1
5.000%, 03/01/22.............................. 2,000 2,372,880
FACE
AMOUNT VALUE+
------ ------
(000)
NEVADA -- (Continued)
Washoe County School District (GO) Series F
5.000%, 06/01/21............................. $ 900 $ 1,037,988
-------------
TOTAL NEVADA..................................... 23,139,529
-------------
NEW HAMPSHIRE -- (0.7%)
City of Dover (GO) Series C
5.000%, 07/01/20............................. 220 250,362
City of Nashua (GO)
4.000%, 07/15/24............................. 2,000 2,332,220
New Hampshire State (GO) Series B
5.000%, 06/01/19............................. 540 594,972
-------------
TOTAL NEW HAMPSHIRE.............................. 3,177,554
-------------
NEW MEXICO -- (1.3%)
New Mexico State (GO)
5.000%, 03/01/19............................. 3,500 3,820,425
New Mexico State Severance Tax Permanent Fund
(RB) Series B
4.000%, 07/01/20............................. 2,000 2,193,940
-------------
TOTAL NEW MEXICO................................. 6,014,365
-------------
NEW YORK -- (3.6%)
City of New York (GO) Series B
5.000%, 08/01/17............................. 4,890 5,046,529
City of New York (GO) Series G
5.000%, 08/01/18............................. 1,600 1,712,976
City of New York (GO) Series J
5.000%, 08/01/22............................. 650 776,334
New York State Dormitory Authority (RB) Series B
5.000%, 02/15/22............................. 2,500 2,960,950
5.000%, 02/15/24............................. 700 859,215
New York State Urban Development Corp. (RB)
Series A
5.000%, 03/15/26............................. 2,500 3,142,525
New York State Urban Development Corp. (RB)
Series C
5.000%, 12/15/18............................. 1,000 1,084,660
Riverhead Central School District (GO) (ST AID
WITHHLDG)
2.000%, 10/15/22............................. 700 721,462
-------------
TOTAL NEW YORK................................... 16,304,651
-------------
NORTH CAROLINA -- (5.1%)
City of Charlotte Water & Sewer System Revenue
(RB)
5.000%, 07/01/21............................. 1,800 2,115,396
Forsyth County (GO)
4.000%, 12/01/21............................. 1,500 1,708,665
Gaston County (GO)
5.000%, 02/01/26............................. 2,500 3,178,425
103
DFA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
NORTH CAROLINA -- (Continued)
Iredell County (GO) Series B
2.500%, 02/01/24............................. $ 2,285 $ 2,413,874
North Carolina State (GO) Series A
5.000%, 03/01/17............................. 1,400 1,420,076
5.000%, 06/01/22............................. 6,000 7,219,320
North Carolina State (GO) Series C
3.750%, 05/01/19............................. 1,500 1,604,835
Wake County (GO)
5.000%, 03/01/19............................. 1,000 1,093,980
5.000%, 09/01/21............................. 2,250 2,654,483
-------------
TOTAL NORTH CAROLINA............................. 23,409,054
-------------
NORTH DAKOTA -- (0.1%)
North Dakota State University of Agriculture &
Applied Science (RB) Series A
5.000%, 04/01/21............................. 545 628,134
-------------
OHIO -- (5.1%)
Beavercreek City School District (GO) (AGM)
5.000%, 12/01/18............................. 525 567,504
City of Columbus (GO) Series 1
5.000%, 07/01/21............................. 2,775 3,261,235
City of Columbus (GO) Series A
5.000%, 02/15/20............................. 650 733,766
4.000%, 08/15/25............................. 3,500 4,129,125
Cleveland Department of Public Utilities
Division of Water (RB) Series T
5.000%, 01/01/19............................. 4,335 4,705,729
Ohio State (GO) Series A
4.000%, 03/01/21............................. 1,475 1,650,628
5.000%, 09/15/24............................. 2,000 2,494,020
5.000%, 09/15/25............................. 1,950 2,464,702
Ohio State (GO) Series B
5.000%, 08/01/20............................. 650 742,476
Ohio Water Development Authority (RB) Series C
5.000%, 06/01/19............................. 2,225 2,453,908
-------------
TOTAL OHIO....................................... 23,203,093
-------------
OKLAHOMA -- (0.4%)
Tulsa County Independent School District No. 1
Tulsa (GO) Series B
2.000%, 01/01/19............................. 1,800 1,833,336
-------------
OREGON -- (1.4%)
City of Portland Sewer System Revenue (RB)
Series A
5.000%, 10/01/23............................. 3,570 4,387,352
Multnomah County School District No. 1 Portland
(GO) Series B (SCH BD GTY)
5.000%, 06/15/23............................. 1,005 1,227,175
FACE
AMOUNT VALUE+
------ ------
(000)
OREGON -- (Continued)
Oregon State (GO) Series A
5.000%, 05/01/21............................. $ 800 $ 934,152
-------------
TOTAL OREGON..................................... 6,548,679
-------------
PENNSYLVANIA -- (0.9%)
Pennsylvania Economic Development Financing
Authority (RB) Series A
5.000%, 01/01/18............................. 650 681,018
5.000%, 07/01/19............................. 3,145 3,475,382
-------------
TOTAL PENNSYLVANIA............................... 4,156,400
-------------
RHODE ISLAND -- (0.6%)
Rhode Island State (GO) Series A
5.000%, 08/01/20............................. 1,900 2,165,050
Rhode Island State (GO) Series D
5.000%, 08/01/22............................. 600 715,884
-------------
TOTAL RHODE ISLAND............................... 2,880,934
-------------
SOUTH CAROLINA -- (4.8%)
Beaufort County (GO) Series A (ST AID WITHHLDG)
4.000%, 03/01/22............................. 640 729,370
Beaufort County School District (GO) Series A
(SCSDE)
5.000%, 03/01/23............................. 6,000 7,283,280
Charleston County (GO)
5.000%, 11/01/23............................. 1,000 1,239,820
Charleston County School District (GO) Series A
(SCSDE)
5.000%, 02/01/21............................. 800 927,936
Clemson University (RB) Series B
5.000%, 05/01/25............................. 750 945,667
Lexington & Richland School District No. 5 (GO)
(SCSDE)
5.000%, 03/01/24............................. 2,750 3,396,167
Richland County (GO) Series A (ST AID WITHHLDG)
5.000%, 03/01/26............................. 1,870 2,383,521
South Carolina State (GO) Series A (ST AID
WITHHLDG)
5.000%, 10/01/23............................. 3,000 3,713,490
Spartanburg County (GO) (ST AID WITHHLDG)
5.000%, 04/01/19............................. 1,210 1,324,708
-------------
TOTAL SOUTH CAROLINA............................. 21,943,959
-------------
TENNESSEE -- (3.8%)
City of Kingsport (GO) Series A
5.000%, 09/01/21............................. 510 601,417
Hamilton County (GO) Series B
5.000%, 03/01/22............................. 2,000 2,385,360
Maury County (GO) Series B
5.000%, 04/01/20............................. 1,205 1,364,928
104
DFA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
TENNESSEE -- (Continued)
Metropolitan Government of Nashville & Davidson County
(GO)
5.000%, 07/01/17............................. $ 1,610 $ 1,655,676
(currency) 5.000%, 01/01/27
(Pre-refunded
@ $100, 1/1/18).............................. 290 304,149
Shelby County (GO)
5.000%, 04/01/25............................. 5,000 6,274,650
Shelby County (GO) Series A
5.000%, 04/01/20............................. 1,500 1,698,000
Sullivan County (GO) Series A
5.000%, 04/01/21............................. 1,000 1,160,440
Sumner County (GO)
5.000%, 06/01/21............................. 650 757,484
5.000%, 12/01/21............................. 900 1,061,649
-------------
TOTAL TENNESSEE.......................................... 17,263,753
-------------
TEXAS -- (12.7%)
City of Dallas (GO)
5.000%, 02/15/19............................. 1,600 1,741,824
City of Frisco (GO) Series A
5.000%, 02/15/25............................. 2,000 2,493,900
City of Garland (GO) Series A
5.000%, 02/15/24............................. 400 494,380
City of Houston (GO) Series A
5.000%, 03/01/18............................. 300 316,194
City of Houston (RN)
3.000%, 06/30/17............................. 2,200 2,234,078
City of Lubbock (GO)
5.000%, 02/15/23............................. 4,000 4,820,440
City of San Antonio (GO)
5.000%, 02/01/20............................. 2,500 2,810,725
5.000%, 02/01/21............................. 2,200 2,546,874
City of San Antonio Electric & Gas (RB) Series D
5.000%, 02/01/19............................. 310 337,522
City of Sugar Land (GO)
5.000%, 02/15/21............................. 1,050 1,215,134
Dallas County Community College District (GO)
5.000%, 02/15/23............................. 7,965 9,683,767
El Paso Independent School District (GO) (PSF-GTD)
5.000%, 08/15/24............................. 3,035 3,764,705
Frisco Independent School District (GO) (PSF-GTD)
5.000%, 08/15/20............................. 2,460 2,805,679
Highland Park Independent School District (GO)
5.000%, 02/15/23............................. 3,120 3,782,813
Humble Independent School District (GO) Series A
(PSF-GTD)
2.000%, 02/15/19............................. 660 674,256
Pflugerville Independent School District (GO) (PSF-GTD)
4.000%, 08/15/20............................. 2,000 2,208,840
FACE
AMOUNT VALUE+
------ ------
(000)
TEXAS -- (Continued)
Plano Independent School District (GO) (PSF-GTD)
5.000%, 02/15/17............................. $ 100 $ 101,225
San Antonio Independent School District (GO)
(PSF-GTD)
5.000%, 02/15/20............................. 1,790 2,016,345
Texas State (GO)
5.000%, 04/01/17............................. 3,150 3,206,290
5.000%, 04/01/19............................. 1,150 1,259,595
5.000%, 10/01/23............................. 4,200 5,152,308
Texas Transportation Commission State Highway
Fund (RB)
5.000%, 10/01/26............................. 2,225 2,850,025
Texas Transportation Commission State Highway
Fund (RB) Series A
4.750%, 04/01/17............................. 1,000 1,016,550
University of Texas System (The) (RB) Series C
5.000%, 08/15/19............................. 100 110,864
Ysleta Independent School District (GO) Series A
(PSF-GTD)
5.000%, 08/15/20............................. 460 524,092
-------------
TOTAL TEXAS...................................... 58,168,425
-------------
UTAH -- (2.4%)
City of American Fork (GO)
5.000%, 05/01/26............................. 1,165 1,470,463
Jordan School District (GO) (SCH BD GTY)
5.000%, 06/15/22............................. 3,050 3,668,479
Tooele County School District (GO) Series B (SCH
BD GTY)
5.000%, 06/01/22............................. 650 774,741
Utah State (GO)
5.000%, 07/01/22............................. 1,500 1,807,395
Utah State (GO) Series C
5.000%, 07/01/18............................. 1,400 1,495,620
5.000%, 07/01/19............................. 900 996,300
Weber School District (GO) (SCH BD GTY)
5.000%, 06/15/21............................. 650 760,598
-------------
TOTAL UTAH....................................... 10,973,596
-------------
VERMONT -- (0.3%)
Vermont State (GO) Series C
4.000%, 08/15/23............................. 1,300 1,526,252
-------------
VIRGINIA -- (5.3%)
City of Manassas (GO) Series C (ST AID WITHHLDG)
5.000%, 07/01/21............................. 1,040 1,221,199
City of Richmond (GO) Series A (ST AID WITHHLDG)
5.000%, 03/01/21............................. 900 1,045,035
105
DFA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
VIRGINIA -- (Continued)
City of Virginia Beach (GO) Series A
4.000%, 08/01/17............................. $ 650 $ 665,990
City of Virginia Beach (GO) Series B (ST AID
WITHHLDG)
5.000%, 09/15/24............................. 3,000 3,761,160
Fairfax County (GO) Series A (ST AID WITHHLDG)
5.000%, 10/01/19............................. 4,000 4,461,560
5.000%, 10/01/23............................. 4,775 5,907,105
Fairfax County (GO) Series B (ST AID WITHHLDG)
5.000%, 10/01/18............................. 400 431,160
Loudoun County (GO) Series A
5.000%, 12/01/21............................. 5,000 5,944,050
Virginia Public Building Authority (RB) Series C
5.000%, 08/01/23............................. 600 735,078
Virginia Resources Authority (RB) Series D
5.000%, 11/01/20............................. 200 230,230
-------------
TOTAL VIRGINIA................................... 24,402,567
-------------
WASHINGTON -- (6.2%)
City of Marysville Water & Sewer Revenue (RB)
5.000%, 04/01/20............................. 175 197,348
City of Seattle Water System Revenue (RB)
5.000%, 09/01/19............................. 190 211,136
Clark County School District No. 119
Battleground (GO) (SCH BD GTY)
4.000%, 12/01/21............................. 510 579,059
King & Snohomish Counties School District
No. 417 Northshore (GO) (SCH BD GTY)
5.000%, 12/01/19............................. 2,825 3,158,406
King County (GO) Series A
5.000%, 07/01/20............................. 700 797,958
5.000%, 12/01/25............................. 1,830 2,313,138
King County School District No. 405 Bellevue
(GO) (SCH BD GTY)
5.000%, 12/01/24............................. 2,265 2,838,543
King County Sewer Revenue (RB) Series B
5.000%, 07/01/22............................. 5,640 6,758,243
North Thurston Public Schools (GO) (SCH BD GTY)
5.000%, 12/01/22............................. 2,080 2,490,675
FACE
AMOUNT VALUE+
------ ------
(000)
WASHINGTON -- (Continued)
Washington State (GO)
5.000%, 07/01/17............................. $ 1,000 $ 1,028,570
Washington State (GO) Series A
5.000%, 07/01/19............................. 1,585 1,749,301
5.000%, 08/01/21............................. 500 585,600
Washington State (GO) Series R-2012C
4.000%, 07/01/21............................. 150 168,546
Washington State (GO) Series R-2013A
5.000%, 07/01/20............................. 2,775 3,155,841
Washington State (GO) Series R-2015
5.000%, 07/01/18............................. 650 694,506
Washington State (GO) Series R-2015A
5.000%, 07/01/20............................. 1,560 1,774,094
-------------
TOTAL WASHINGTON................................. 28,500,964
-------------
WISCONSIN -- (4.6%)
City of Janesville (GO)
3.000%, 03/01/24............................. 1,245 1,361,445
City of Milwaukee (GO)
5.000%, 05/01/20............................. 2,370 2,683,385
City of Milwaukee (GO) Series N1
5.000%, 02/01/19............................. 100 108,878
City of Milwaukee (GO) Series N2
4.000%, 03/01/24............................. 6,500 7,550,075
City of Oshkosh (GO) Series B
3.000%, 12/01/23............................. 650 709,748
Howard-Suamico School District (GO)
2.000%, 03/01/17............................. 500 502,090
Oregon School District (GO)
3.000%, 03/01/21............................. 1,900 2,037,978
Wisconsin State (GO) Series 1
5.000%, 11/01/24............................. 3,700 4,618,488
Wisconsin State (GO) Series 2
5.000%, 11/01/20............................. 800 920,584
5.000%, 11/01/22............................. 600 725,700
-------------
TOTAL WISCONSIN.................................. 21,218,371
-------------
TOTAL MUNICIPAL BONDS............................ 456,772,924
-------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $454,098,160)............................ $ 456,772,924
=============
106
DFA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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
------- ------------ ------- ------------
Municipal Bonds... -- $456,772,924 -- $456,772,924
Swap Agreements**. -- 5,173,203 -- 5,173,203
-- ------------ -- ------------
TOTAL............. -- $461,946,127 -- $461,946,127
== ============ == ============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note G)
See accompanying Notes to Financial Statements.
107
DFA MUNICIPAL BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
FACE
AMOUNT VALUE+
------ ------
(000)
MUNICIPAL BONDS -- (100.0%)
ALABAMA -- (1.1%)
Alabama State (GO) Series A
5.000%, 08/01/20.............................. $ 200 $ 228,612
5.000%, 08/01/21.............................. 1,000 1,175,230
5.000%, 08/01/23.............................. 300 368,403
Baldwin County (GO)
4.000%, 05/01/20.............................. 610 668,938
-------------
TOTAL ALABAMA...................................... 2,441,183
-------------
ALASKA -- (0.8%)
Alaska State (GO) Series B
5.000%, 08/01/20.............................. 290 330,226
Borough of Fairbanks North Star (GO) Series S
4.000%, 10/01/21.............................. 560 629,714
City of Anchorage (GO) Series A
3.000%, 09/01/22.............................. 765 831,471
-------------
TOTAL ALASKA....................................... 1,791,411
-------------
ARIZONA -- (0.6%)
City of Chandler (GO)
3.000%, 07/01/20.............................. 550 588,418
Maricopa County School District No. 3 Tempe
Elementary (GO)
3.000%, 07/01/21.............................. 550 590,342
-------------
TOTAL ARIZONA...................................... 1,178,760
-------------
ARKANSAS -- (1.5%)
Arkansas State (GO)
5.000%, 04/01/21.............................. 400 464,924
5.000%, 06/15/21.............................. 1,250 1,460,850
5.000%, 04/01/22.............................. 1,110 1,323,919
-------------
TOTAL ARKANSAS..................................... 3,249,693
-------------
COLORADO -- (0.8%)
Arapahoe County School District No. 5 (GO)
(ST AID WITHHLDG)
3.000%, 12/15/16.............................. 300 300,834
City & County of Denver (GO) Series A
5.000%, 08/01/17.............................. 125 129,001
Denver City & County School District No. 1 (GO)
Series B (ST AID WITHHLDG)
5.000%, 12/01/24.............................. 550 687,384
Pueblo City Schools (GO) (ST AID WITHHLDG)
5.000%, 12/15/20.............................. 550 632,737
-------------
TOTAL COLORADO..................................... 1,749,956
-------------
FACE
AMOUNT VALUE+
------ ------
(000)
CONNECTICUT -- (0.6%)
Connecticut State (GO) Series E
4.000%, 09/15/20............................. $ 550 $ 602,327
Hartford County Metropolitan District (GO)
5.000%, 03/01/19............................. 600 655,512
-------------
TOTAL CONNECTICUT........................................ 1,257,839
-------------
DELAWARE -- (1.1%)
Kent County (GO)
4.000%, 09/01/24............................. 415 482,031
New Castle County (GO)
5.000%, 10/01/23............................. 1,600 1,976,960
-------------
TOTAL DELAWARE........................................... 2,458,991
-------------
DISTRICT OF COLUMBIA -- (0.9%)
District of Columbia (GO) Series B (AGM)
5.250%, 06/01/18............................. 1,300 1,389,453
Washington Metropolitan Area Transit Authority (RB)
Series A
4.000%, 07/01/17............................. 450 459,684
-------------
TOTAL DISTRICT OF COLUMBIA............................... 1,849,137
-------------
FLORIDA -- (5.1%)
City of Port State Lucie (GO)
5.000%, 07/01/20............................. 420 476,507
Flagler County (GO) (BAM)
5.000%, 07/01/22............................. 465 551,341
Florida State Board of Education (GO) Series A
5.000%, 06/01/17............................. 365 374,205
5.000%, 06/01/18............................. 725 772,052
5.000%, 06/01/19............................. 100 110,207
5.000%, 06/01/24............................. 350 432,632
Florida State Board of Education (GO) Series B
5.000%, 06/01/17............................. 1,200 1,230,264
Florida State Board of Education (GO) Series C
5.000%, 06/01/17............................. 1,090 1,117,490
Miami-Dade County (GO) Series D
5.000%, 07/01/20............................. 2,000 2,275,240
Palm Beach County (RB)
5.000%, 11/01/23............................. 810 993,360
School Board of Miami-Dade County (The) (CP) Series A
(NATL-RE)
(currency) 5.000%, 05/01/18
(Pre-refunded
@ $100, 5/1/17).............................. 2,690 2,747,001
-------------
TOTAL FLORIDA............................................ 11,080,299
-------------
108
DFA MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
GEORGIA -- (3.8%)
DeKalb County (GO) (TAN)
2.000%, 12/16/16.............................. $ 5,300 $ 5,309,063
Georgia State (GO) Series A
5.000%, 07/01/19.............................. 500 553,220
Georgia State Road & Tollway Authority (RB) (GTD)
5.000%, 10/01/23.............................. 2,000 2,469,720
-------------
TOTAL GEORGIA...................................... 8,332,003
-------------
HAWAII -- (2.3%)
City & County of Honolulu (GO) Series B
5.000%, 10/01/23.............................. 150 184,121
5.000%, 10/01/25.............................. 725 913,166
Hawaii County (GO) Series B
5.000%, 09/01/18.............................. 420 451,063
Hawaii State (GO) Series DQ
5.000%, 06/01/19.............................. 300 330,459
Hawaii State (GO) Series EE
5.000%, 11/01/20.............................. 1,300 1,494,857
Maui County (GO)
5.000%, 06/01/18.............................. 1,560 1,660,480
-------------
TOTAL HAWAII....................................... 5,034,146
-------------
IOWA -- (1.0%)
State of Iowa (RB) Series A (ETM)
5.000%, 06/01/18.............................. 1,115 1,187,910
Urbandale Community School District (GO)
1.200%, 06/01/17.............................. 1,035 1,037,919
-------------
TOTAL IOWA......................................... 2,225,829
-------------
KANSAS -- (2.6%)
City of Wichita (GO) Series 811
5.000%, 06/01/22.............................. 550 660,127
Johnson County (GO) Series B
5.000%, 09/01/22.............................. 650 785,765
Johnson County Unified School District No. 229
Blue Valley (GO) Series B
5.000%, 10/01/23.............................. 750 921,157
Kansas State Department of Transportation (RB)
Series A
5.000%, 09/01/17.............................. 1,000 1,035,420
Saline County Unified School District No. 305
Salina (GO)
5.000%, 09/01/20.............................. 1,900 2,169,287
-------------
TOTAL KANSAS....................................... 5,571,756
-------------
KENTUCKY -- (2.0%)
Louisville & Jefferson County (GO) Series E
5.000%, 12/01/17.............................. 1,065 1,112,424
FACE
AMOUNT VALUE+
------ ------
(000)
KENTUCKY -- (Continued)
Louisville & Jefferson County Metropolitan Sewer
District (RB) Series C
5.000%, 05/15/23.............................. $ 1,850 $ 2,252,801
Louisville Water Co. (RB) Series A
4.000%, 11/15/21.............................. 800 906,576
-------------
TOTAL KENTUCKY..................................... 4,271,801
-------------
LOUISIANA -- (0.3%)
Louisiana State (GO) Series C
5.000%, 08/01/23 500 602,235
-------------
MARYLAND -- (4.0%)
Baltimore County (GO)
5.000%, 08/01/20.............................. 750 857,295
5.000%, 08/01/22.............................. 600 723,222
Carroll County (GO)
5.000%, 11/01/21.............................. 550 651,024
Harford County (GO)
5.000%, 09/15/17.............................. 1,205 1,249,790
Harford County (GO) Series A
5.000%, 09/15/20.............................. 570 655,090
Maryland State (GO) Series B
4.000%, 08/01/23.............................. 850 992,341
Maryland State (GO) Series C-2
5.000%, 08/01/22.............................. 1,000 1,205,990
Montgomery County (GO) Series B
5.000%, 12/01/21.............................. 350 415,705
Washington Suburban Sanitary Commission (GO)
5.000%, 06/01/24.............................. 655 818,625
Worcester County (GO) Series B
4.000%, 08/01/21.............................. 1,000 1,128,250
-------------
TOTAL MARYLAND..................................... 8,697,332
-------------
MASSACHUSETTS -- (4.2%)
City of Everett (GO)
4.000%, 02/15/18.............................. 1,895 1,972,259
City of Lowell (GO) (ST AID WITHHLDG)
4.000%, 09/01/23.............................. 250 288,483
City of Springfield (GO) Series C (ST AID
WITHHLDG)
4.000%, 08/01/23.............................. 285 327,773
Commonwealth of Massachusetts (GO) Series A
5.000%, 03/01/18.............................. 2,500 2,638,375
Commonwealth of Massachusetts (GO) Series B (AGM)
5.250%, 09/01/24.............................. 400 506,000
Commonwealth of Massachusetts (GO) Series C
5.000%, 08/01/20.............................. 100 114,069
109
DFA MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
MASSACHUSETTS -- (Continued)
Commonwealth of Massachusetts (RAN) Series C
2.000%, 06/26/17.............................. $ 350 $ 353,066
Tantasqua Regional School District (GO)
5.000%, 10/01/19.............................. 1,360 1,515,271
Town of Holbrook (GO)
5.000%, 12/01/21.............................. 755 891,013
Town of Pembroke (GO)
3.000%, 08/01/17.............................. 530 539,031
-------------
TOTAL MASSACHUSETTS................................ 9,145,340
-------------
MICHIGAN -- (0.5%)
Michigan State Trunk Line Revenue (RB)
5.000%, 11/15/17.............................. 1,055 1,101,177
-------------
MINNESOTA -- (2.5%)
Lakeville Independent School District No.194
(GO) Series D (SD CRED PROG)
5.000%, 02/01/18.............................. 1,780 1,871,456
Minnesota State (GO) Series B
5.000%, 10/01/19.............................. 600 669,420
Minnesota State (GO) Series D
5.000%, 08/01/18.............................. 250 267,788
Minnesota State (GO) Series E
5.000%, 08/01/22.............................. 760 916,552
State Paul Independent School District No. 625
(GO) Series B (SD CRED PROG)
5.000%, 02/01/21.............................. 1,425 1,649,680
-------------
TOTAL MINNESOTA.................................... 5,374,896
-------------
MISSISSIPPI -- (0.7%)
Mississippi State (GO) Series C
5.000%, 10/01/18.............................. 825 887,956
5.000%, 10/01/20.............................. 500 574,650
-------------
TOTAL MISSISSIPPI.................................. 1,462,606
-------------
MISSOURI -- (1.9%)
City of O'Fallon (GO)
5.000%, 03/01/18.............................. 965 1,017,621
Missouri State (GO) Series A
4.000%, 10/01/17.............................. 2,900 2,986,739
-------------
TOTAL MISSOURI..................................... 4,004,360
-------------
NEBRASKA -- (0.2%)
Southern Public Power District (RB)
5.000%, 12/15/21.............................. 400 470,640
-------------
NEVADA -- (1.9%)
Nevada State (GO) Series C
5.000%, 11/01/24.............................. 450 559,427
FACE
AMOUNT VALUE+
------ ------
(000)
NEVADA -- (Continued)
Nevada State (GO) Series D-1
5.000%, 03/01/22............................. $ 250 $ 296,610
Nevada State (RB)
5.000%, 12/01/17............................. 1,550 1,620,060
Nevada State Highway Improvement Revenue (RB)
4.000%, 12/01/17............................. 1,000 1,034,270
Washoe County School District (GO) Series A
3.000%, 06/01/19............................. 550 575,910
-------------
TOTAL NEVADA............................................. 4,086,277
-------------
NEW HAMPSHIRE -- (0.8%)
City of Dover (GO)
3.000%, 06/15/20............................. 610 648,076
City of Nashua (GO)
4.000%, 07/15/24............................. 770 897,905
New Hampshire State (GO) Series B
5.000%, 06/01/19............................. 250 275,450
-------------
TOTAL NEW HAMPSHIRE...................................... 1,821,431
-------------
NEW MEXICO -- (0.4%)
Santa Fe County (GO)
5.000%, 07/01/22............................. 710 851,198
-------------
NEW YORK -- (6.9%)
City of New York (GO) Series 1
3.000%, 08/01/17............................. 1,950 1,983,520
City of New York (GO) Series A
5.000%, 08/01/24............................. 100 123,114
City of New York (GO) Series B
5.000%, 08/01/17............................. 300 309,603
5.000%, 08/01/19............................. 100 110,599
City of New York (GO) Series E
5.000%, 08/01/17............................. 350 361,204
5.000%, 08/01/21............................. 265 309,435
City of New York (GO) Series F
5.000%, 08/01/17............................. 300 309,603
City of New York (GO) Series F-1
3.000%, 06/01/17............................. 1,400 1,418,858
Metropolitan Transportation Authority (RB) Series B
(currency) 5.000%, 11/15/20 (Pre-refunded
@ $100, 11/15/17)............................ 370 386,195
Metropolitan Transportation Authority (RB) Series C
4.000%, 11/15/17............................. 1,450 1,497,038
New York City Transitional Finance Authority Future Tax
Secured Revenue (RB) Series G (ETM)
5.000%, 11/01/17............................. 800 833,296
110
DFA MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
NEW YORK -- (Continued)
New York State Dormitory Authority (RB)
(currency) 5.000%, 07/01/27
(Pre-refunded @ $100, 7/1/17)................ $ 330 $ 339,362
New York State Dormitory Authority (RB) Series A
5.000%, 03/15/17............................. 355 360,669
5.000%, 02/15/18............................. 150 158,066
5.000%, 03/15/23............................. 600 731,118
New York State Dormitory Authority (RB) Series B
5.000%, 02/15/22............................. 800 947,504
5.000%, 02/15/24............................. 300 368,235
New York State Environmental Facilities Corp. (RB)
Series A
5.000%, 12/15/17............................. 170 178,038
New York State Thruway Authority (RB) Series A
5.000%, 03/15/18............................. 350 369,838
New York State Urban Dev. Corp. (RB) Series A-1
5.000%, 12/15/16............................. 300 301,572
New York State Urban Development Corp. (RB) Series B-1
5.000%, 03/15/17............................. 180 182,867
North Shore Central School District (GO) (ST AID
WITHHLDG)
2.000%, 12/15/23............................. 315 325,808
Oneida County (GO)
4.000%, 04/01/17............................. 300 303,993
Riverhead Central School District (GO) (ST AID WITHHLDG)
2.000%, 10/15/22............................. 540 556,556
Town of Brookhaven (GO) Series A
3.000%, 02/01/18............................. 650 667,667
Town of Hempstead (GO) Series A
4.000%, 04/15/18............................. 650 679,731
Triborough Bridge & Tunnel Authority (RB) Series B
3.000%, 11/15/16............................. 900 900,729
-------------
TOTAL NEW YORK........................................... 15,014,218
-------------
NORTH CAROLINA -- (5.3%)
City of Charlotte (RB)
5.000%, 07/01/19............................. 3,000 3,318,480
City of Charlotte Water & Sewer System Revenue (RB)
5.000%, 07/01/17............................. 2,250 2,314,282
Mecklenburg County (GO) Series A
4.000%, 12/01/16............................. 1,870 1,874,937
New Hanover County (GO)
5.000%, 02/01/23............................. 1,550 1,890,783
North Carolina State (GO) Series D
4.000%, 06/01/23............................. 350 408,429
FACE
AMOUNT VALUE+
------ ------
(000)
NORTH CAROLINA -- (Continued)
Wake County (GO)
5.000%, 03/01/19.............................. $ 160 $ 175,037
5.000%, 09/01/21.............................. 1,300 1,533,701
-------------
TOTAL NORTH CAROLINA............................... 11,515,649
-------------
NORTH DAKOTA -- (0.9%)
City of West Fargo (GO) Series A
5.000%, 05/01/24.............................. 1,150 1,398,826
North Dakota State University of Agriculture &
Applied Science (RB) Series A
5.000%, 04/01/21.............................. 500 576,270
-------------
TOTAL NORTH DAKOTA................................. 1,975,096
-------------
OHIO -- (3.6%)
City of Columbus (GO) Series A
3.000%, 07/01/22.............................. 835 913,181
City of Columbus (GO) Series B
5.000%, 02/15/23.............................. 475 578,460
Hamilton County Sewer System Revenue (RB) Series
A
5.000%, 12/01/21.............................. 500 589,805
Ohio State (GO) Series A
5.000%, 09/15/21.............................. 800 942,448
5.000%, 09/15/22.............................. 750 905,775
Ohio State (GO) Series B
5.000%, 06/15/22.............................. 450 539,897
Ohio State (GO) Series C
2.000%, 11/01/17.............................. 1,500 1,519,290
Ohio State Water Development Authority (RB)
Series A
5.000%, 06/01/21.............................. 1,550 1,810,074
-------------
TOTAL OHIO......................................... 7,798,930
-------------
OKLAHOMA -- (0.7%)
City of Tulsa (GO)
4.000%, 03/01/18.............................. 1,500 1,562,640
-------------
OREGON -- (1.1%)
City of McMinnville (GO)
5.000%, 02/01/22.............................. 290 342,928
Clackamas County School District No. 12 North
Clackamas (GO) Series A (AGM) (SCH BD GTY)
5.000%, 06/15/17.............................. 500 513,140
Lane County School District No. 4J Eugene (GO)
(SCH BD GTY)
3.000%, 06/15/25.............................. 940 1,028,078
Oregon State (GO) Series E
5.000%, 08/01/21.............................. 410 482,053
-------------
TOTAL OREGON....................................... 2,366,199
-------------
111
DFA MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
PENNSYLVANIA -- (0.6%)
Berks County (GO)
5.000%, 11/15/22............................. $ 445 $ 537,658
Commonwealth of Pennsylvania (GO) Series 1
5.000%, 07/01/21............................. 550 635,800
-------------
TOTAL PENNSYLVANIA............................... 1,173,458
-------------
RHODE ISLAND -- (2.2%)
Rhode Island State (GO) Series A
5.000%, 08/01/19............................. 1,800 1,992,852
Rhode Island State (GO) Series C
5.000%, 08/01/17............................. 2,780 2,868,154
-------------
TOTAL RHODE ISLAND............................... 4,861,006
-------------
SOUTH CAROLINA -- (2.0%)
Anderson County School District No. 4 (GO)
Series A (SCSDE)
5.000%, 03/01/21............................. 500 580,575
City of North Charleston (GO) (ST AID WITHHLDG)
5.000%, 06/01/21............................. 500 583,895
Clemson University (RB) Series B
5.000%, 05/01/25............................. 750 945,667
Lexington & Richland School District No. 5 (GO)
(SCSDE)
5.000%, 03/01/19............................. 1,440 1,572,538
Richland County School District No. 2 (GO)
Series A (SCSDE)
5.000%, 02/01/20............................. 600 674,574
-------------
TOTAL SOUTH CAROLINA............................. 4,357,249
-------------
TENNESSEE -- (5.2%)
City of Clarksville Water Sewer & Gas Revenue
(RB)
5.000%, 02/01/20............................. 565 634,648
City of Knoxville Wastewater System Revenue (RB)
Series A
5.000%, 04/01/19............................. 1,825 2,000,291
City of Knoxville Wastewater System Revenue (RB)
Series B
4.000%, 04/01/22............................. 310 352,033
City of Memphis (GO) Series A
5.000%, 04/01/25............................. 1,250 1,563,113
City of Memphis (GO) Series B
5.000%, 04/01/17............................. 1,090 1,109,380
Hamilton County (GO) Series B
5.000%, 03/01/22............................. 1,735 2,069,300
Metropolitan Government of Nashville & Davidson
County (GO)
5.000%, 07/01/22............................. 650 780,052
Sullivan County (GO) Series A
5.000%, 04/01/21............................. 450 522,198
Sumner County (GO)
5.000%, 12/01/21............................. 230 271,310
5.000%, 12/01/22............................. 640 771,712
FACE
AMOUNT VALUE+
------ ------
(000)
TENNESSEE -- (Continued)
Town of Collierville (GO) Series A
5.000%, 01/01/21............................. $ 1,095 $ 1,265,316
-------------
TOTAL TENNESSEE.................................. 11,339,353
-------------
TEXAS -- (9.4%)
Bexar County (GO)
5.000%, 06/15/20............................. 500 567,425
5.000%, 06/15/21............................. 1,275 1,486,943
City of Dallas (GO) Series A
5.000%, 02/15/21............................. 500 578,405
City of Fort Worth Water & Sewer System (RB)
5.000%, 02/15/19............................. 180 196,083
City of Garland (GO) Series A
5.000%, 02/15/24............................. 200 247,190
City of Houston (RN)
3.000%, 06/30/17............................. 1,500 1,523,235
El Paso Independent School District (GO)
(PSF-GTD)
5.000%, 08/15/24............................. 500 620,215
Fort Worth Independent School District (GO)
(PSF-GTD)
5.000%, 02/15/26............................. 445 561,884
Galveston County (GO) (NATL-RE)
4.000%, 02/01/17............................. 550 554,526
Grapevine-Colleyville Independent School
District (GO) (PSF-GTD)
2.000%, 08/15/19............................. 1,500 1,537,725
Highland Park Independent School District (GO)
5.000%, 02/15/23............................. 2,000 2,424,880
Highland Park Independent School District (GO)
(PSF-GTD)
5.000%, 02/15/20............................. 1,500 1,688,115
Katy Independent School District (GO) Series A
(PSF-GTD)
5.000%, 02/15/21............................. 400 463,632
Northwest Independent School District (GO)
Series A (PSF-GTD)
5.000%, 02/15/24............................. 1,000 1,231,300
San Antonio Independent School District (GO)
(PSF-GTD)
5.000%, 02/15/20............................. 400 450,580
Texas State (GO)
5.000%, 04/01/17............................. 800 814,296
5.000%, 04/01/19............................. 250 273,825
5.000%, 10/01/23............................. 375 460,028
Texas State (GO) Series A
5.000%, 10/01/21............................. 800 942,880
5.000%, 10/01/25............................. 845 1,066,694
Texas Transportation Commission State Highway
Fund (RB) Series A
4.750%, 04/01/17............................. 200 203,310
Travis County (GO) Series A
3.000%, 03/01/17............................. 600 604,662
112
DFA MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
TEXAS -- (Continued)
University of Texas System (The) (RB) Series A
5.250%, 08/15/18............................. $ 800 $ 862,160
Wylie Independent School District (GO) Series C
(PSF-GTD)
6.750%, 08/15/18............................. 1,000 1,103,240
-------------
TOTAL TEXAS...................................... 20,463,233
-------------
UTAH -- (2.5%)
Alpine School District (GO) (SCH BD GTY)
5.000%, 03/15/21............................. 550 641,712
Central Utah Water Conservancy District (RB)
Series A
5.000%, 10/01/20............................. 450 515,327
Snyderville Basin Special Recreation District
(GO) Series B
4.000%, 12/15/20............................. 540 601,468
Utah State (GO)
5.000%, 07/01/22............................. 800 963,944
Utah State (GO) Series C
5.000%, 07/01/17............................. 420 431,974
5.000%, 07/01/18............................. 1,650 1,762,695
5.000%, 07/01/19............................. 500 553,500
-------------
TOTAL UTAH....................................... 5,470,620
-------------
VERMONT -- (0.6%)
Vermont State (GO) Series B
5.000%, 08/15/23............................. 1,000 1,235,810
-------------
VIRGINIA -- (2.8%)
City of Hampton (GO) Series B (ST AID WITHHLDG)
5.000%, 09/01/21............................. 840 987,983
5.000%, 09/01/22............................. 475 572,731
City of Richmond (GO) Series A (ST AID WITHHLDG)
5.000%, 03/01/20............................. 1,635 1,843,920
Loudoun County (GO) Series B (ST AID WITHHLDG)
5.000%, 12/01/20............................. 550 636,257
Pittsylvania County (GO) (ST AID WITHHLDG)
5.000%, 02/01/21............................. 1,830 2,114,437
-------------
TOTAL VIRGINIA................................... 6,155,328
-------------
WASHINGTON -- (8.6%)
City of Marysville Water & Sewer Revenue (RB)
5.000%, 04/01/20............................. 755 851,413
City of Seattle Drainage & Wastewater Revenue
(RB)
5.000%, 09/01/20............................. 1,500 1,718,670
FACE
AMOUNT VALUE+
------ ------
(000)
WASHINGTON -- (Continued)
City of Seattle Municipal Light & Power Revenue
(RB)
5.000%, 09/01/20............................. $ 650 $ 744,231
County of Kitsap WA (GO)
5.000%, 06/01/21............................. 1,455 1,690,666
King County (GO) Series A
5.000%, 07/01/20............................. 265 302,084
King County (GO) Series E
5.000%, 12/01/17............................. 1,000 1,045,640
King County School District No. 405 Bellevue
(GO) Series A (SCH BD GTY)
5.000%, 12/01/18............................. 500 541,995
King County School District No. 411 Issaquah
(GO) (SCH BD GTY)
5.000%, 12/01/23............................. 1,440 1,788,149
King County Sewer Revenue (RB)
5.000%, 01/01/18............................. 550 576,703
Pierce County School District No.10 Tacoma (GO)
(SCH BD GTY)
5.000%, 12/01/18............................. 500 541,775
Snohomish County Public Utility District No. 1
(RB)
5.000%, 12/01/18............................. 895 969,204
Snohomish County School District No. 6 Mukilteo
(GO) (SCH BD GTY)
5.000%, 12/01/25............................. 2,000 2,524,200
Spokane County (GO)
5.000%, 12/01/20............................. 450 515,912
Tacoma Metropolitan Park District (GO) Series B
5.000%, 12/01/21............................. 350 412,489
Washington State (GO) Series 2013A
5.000%, 08/01/21............................. 200 234,240
Washington State (GO) Series A-1
5.000%, 08/01/21............................. 800 936,960
Washington State (GO) Series B
4.000%, 07/01/18............................. 1,000 1,052,010
Washington State (GO) Series C
5.000%, 07/01/17............................. 500 514,285
Washington State (GO) Series R-2012C
4.000%, 07/01/21............................. 100 112,364
Washington State (GO) Series R-2013A
5.000%, 07/01/20............................. 400 454,896
Washington State (GO) Series R-2015E
5.000%, 07/01/18............................. 1,005 1,073,812
-------------
TOTAL WASHINGTON................................. 18,601,698
-------------
113
DFA MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
WEST VIRGINIA -- (0.4%)
Jefferson County Board of Education (GO) (WV BD
COMM)
4.000%, 05/01/20............................. $ 250 $ 271,825
West Virginia State (GO) Series A
5.000%, 06/01/19............................. 550 605,402
-------------
TOTAL WEST VIRGINIA.............................. 877,227
-------------
WISCONSIN -- (5.6%)
City of Janesville (GO)
1.500%, 02/01/17............................. 2,140 2,144,644
3.000%, 03/01/24............................. 2,000 2,187,060
City of Milwaukee (GO)
5.000%, 05/01/17............................. 1,500 1,531,935
City of Milwaukee (GO) Series N3
5.000%, 05/15/20............................. 1,000 1,133,670
Howard-Suamico School District (GO)
2.000%, 03/01/17............................. 845 848,532
FACE
AMOUNT VALUE+
------ ------
(000)
WISCONSIN -- (Continued)
Oak Creek Franklin Joint School District (GO)
Series B
3.000%, 04/01/20............................. $ 630 $ 668,222
Wisconsin State (GO) Series 1 (AMBAC)
5.000%, 05/01/19............................. 1,310 1,439,114
Wisconsin State (GO) Series 2
5.000%, 11/01/20............................. 600 690,438
5.000%, 11/01/22............................. 900 1,088,550
Wisconsin State (GO) Series B
5.000%, 05/01/21............................. 400 465,740
-------------
TOTAL WISCONSIN.................................. 12,197,905
-------------
TOTAL MUNICIPAL BONDS............................ 217,075,915
-------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $215,174,316)............................ $ 217,075,915
=============
Summary of the Portfolio's investments as of October 31, 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
------- ------------ ------- ------------
Municipal Bonds....................... -- $217,075,915 -- $217,075,915
-- ------------ -- ------------
TOTAL................................. -- $217,075,915 -- $217,075,915
== ============ == ============
See accompanying Notes to Financial Statements.
114
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
FACE
AMOUNT VALUE+
------ ------
(000)
MUNICIPAL BONDS -- (100.0%)
ALABAMA -- (1.0%)
Alabama State (GO) Series A
5.000%, 08/01/19............................. $4,500 $ 4,991,175
5.000%, 08/01/20............................. 5,495 6,281,115
5.000%, 08/01/21............................. 1,450 1,704,083
5.000%, 08/01/21............................. 6,030 7,086,637
-----------
TOTAL ALABAMA.................................... 20,063,010
-----------
ALASKA -- (0.2%)
Alaska State (GO) Series B
5.000%, 08/01/20............................. 3,920 4,463,743
-----------
ARIZONA -- (1.1%)
Arizona State Transportation Board (RB)
5.000%, 07/01/17............................. 2,105 2,164,866
5.000%, 07/01/18............................. 5,050 5,391,431
City of Phoenix (GO)
4.000%, 07/01/20............................. 1,085 1,197,590
4.000%, 07/01/21............................. 1,470 1,653,882
Madison Elementary School District No. 38 (GO)
Series A
2.000%, 07/01/20............................. 1,400 1,442,532
Maricopa County Community College District (GO)
4.000%, 07/01/18............................. 2,210 2,323,439
3.000%, 07/01/20............................. 6,505 6,944,868
Maricopa County School District No. 3 Tempe
Elementary (GO)
3.000%, 07/01/21............................. 1,410 1,513,424
-----------
TOTAL ARIZONA.................................... 22,632,032
-----------
ARKANSAS -- (1.5%)
Arkansas State (GO)
5.000%, 04/01/18............................. 6,890 7,287,140
5.000%, 04/01/19............................. 7,240 7,926,352
5.000%, 04/01/21............................. 4,300 4,997,933
5.000%, 06/15/21............................. 8,730 10,202,576
-----------
TOTAL ARKANSAS................................... 30,414,001
-----------
CALIFORNIA -- (0.4%)
California State (GO) Series B
5.000%, 09/01/18............................. 7,000 7,531,020
-----------
COLORADO -- (0.9%)
City & County of Denver (GO) Series A
5.000%, 08/01/17............................. 3,110 3,209,551
5.000%, 08/01/18............................. 7,745 8,296,057
5.000%, 08/01/20............................. 4,920 5,618,000
Denver City & County School District No. 1 (GO)
Series B (ETM) (ST AID WITHHLDG)
4.000%, 12/01/18............................. 140 148,883
FACE
AMOUNT VALUE+
------ ------
(000)
COLORADO -- (Continued)
Denver City & County School District No. 1 (GO)
Series B (ST AID WITHHLDG)
4.000%, 12/01/18............................. $ 1,045 $ 1,111,086
-----------
TOTAL COLORADO................................... 18,383,577
-----------
CONNECTICUT -- (2.6%)
City of Middletown (GO)
5.000%, 04/01/21............................. 1,905 2,215,096
Connecticut State (GO) Series A
5.000%, 10/15/19............................. 5,350 5,919,401
Connecticut State (GO) Series B (AMBAC)
5.250%, 06/01/18............................. 15,310 16,315,867
Connecticut State (GO) Series C
5.000%, 06/01/18............................. 9,980 10,596,764
Connecticut State (GO) Series F
4.000%, 11/15/17............................. 6,065 6,263,022
Connecticut State Special Tax Revenue (RB)
5.000%, 01/01/19............................. 11,000 11,915,970
-----------
TOTAL CONNECTICUT................................ 53,226,120
-----------
DELAWARE -- (1.2%)
Delaware State (GO)
5.000%, 07/01/19............................. 5,000 5,533,600
Delaware State (GO) Series 2009C
5.000%, 10/01/17............................. 1,535 1,594,834
Delaware State (GO) Series A
4.000%, 08/01/17............................. 5,100 5,225,460
5.000%, 08/01/19............................. 5,745 6,377,065
Delaware State (GO) Series C
5.000%, 03/01/18............................. 5,265 5,555,681
-----------
TOTAL DELAWARE................................... 24,286,640
-----------
DISTRICT OF COLUMBIA -- (0.3%)
District of Columbia (GO) Series B (AGM)
5.250%, 06/01/18............................. 2,265 2,420,855
Washington Metropolitan Area Transit Authority
(RB) Series A
4.000%, 07/01/17............................. 4,000 4,086,080
-----------
TOTAL DISTRICT OF COLUMBIA....................... 6,506,935
-----------
FLORIDA -- (2.7%)
Florida State Board of Education (GO) Series A
5.000%, 06/01/17............................. 555 568,997
5.000%, 06/01/18............................. 4,000 4,259,600
5.000%, 06/01/19............................. 19,310 21,280,971
5.000%, 06/01/19............................. 10,100 11,130,907
5.000%, 06/01/20............................. 2,850 3,242,103
115
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
FLORIDA -- (Continued)
5.000%, 01/01/21............................. $ 2,340 $ 2,706,023
Florida State Board of Education (GO) Series B
5.000%, 06/01/17............................. 9,700 9,944,634
5.000%, 06/01/20............................. 1,000 1,137,580
Florida's Turnpike Enterprise (RB) Series A
5.000%, 07/01/17............................. 1,275 1,311,427
------------
TOTAL FLORIDA.................................... 55,582,242
------------
GEORGIA -- (5.2%)
Athens-Clarke County Unified Government Water &
Sewerage Revenue (RB) (ETM)
5.000%, 01/01/17............................. 1,100 1,107,678
City of Albany (GO)
3.000%, 06/01/17............................. 2,220 2,249,260
De Kalb County School District (GO) (ST AID
WITHHLDG)
4.000%, 11/01/17............................. 10,775 11,123,463
DeKalb County (GO) (TAN)
2.000%, 12/16/16............................. 28,860 28,909,351
Georgia State (GO) Series A
5.000%, 07/01/19............................. 7,350 8,132,334
Georgia State (GO) Series A-1
5.000%, 02/01/20............................. 4,210 4,744,754
Georgia State (GO) Series D
5.000%, 07/01/17............................. 4,000 4,114,040
5.000%, 02/01/19............................. 7,970 8,692,480
Georgia State (GO) Series E-1
4.500%, 07/01/19............................. 6,890 7,533,044
Georgia State (GO) Series I
5.000%, 07/01/19............................. 20,475 22,654,359
Georgia State Road & Tollway Authority (RB)
Series A
5.000%, 06/01/17............................. 1,000 1,024,450
Georgia State Road & Tollway Authority (RB)
Series B (ST GTD)
5.000%, 10/01/17............................. 8,510 8,844,103
------------
TOTAL GEORGIA.................................... 109,129,316
------------
HAWAII -- (2.0%)
City & County of Honolulu (GO) Series B
5.000%, 11/01/19............................. 8,000 8,926,640
City & County of Honolulu (GO) Series B (AGM)
5.250%, 07/01/17............................. 1,175 1,210,344
Hawaii State (GO) Series DR
5.000%, 06/01/19............................. 9,725 10,712,379
Hawaii State (GO) Series EE
5.000%, 11/01/18............................. 11,495 12,422,072
Hawaii State (GO) Series EO
5.000%, 08/01/22............................. 6,000 7,206,480
FACE
AMOUNT VALUE+
------ ------
(000)
HAWAII -- (Continued)
Maui County (GO)
5.000%, 06/01/18............................. $ 500 $ 532,205
-----------
TOTAL HAWAII..................................... 41,010,120
-----------
ILLINOIS -- (0.4%)
Central Lake County Joint Action Water Agency
(RB)
4.000%, 05/01/18............................. 6,195 6,473,775
City of Peoria (GO) Series D
4.000%, 01/01/17............................. 1,620 1,628,440
-----------
TOTAL ILLINOIS................................... 8,102,215
-----------
IOWA -- (0.2%)
State of Iowa (RB) Series A (ETM)
5.000%, 06/01/18............................. 4,785 5,097,891
-----------
KANSAS -- (1.0%)
City of Wichita (GO) Series A
5.000%, 12/01/19............................. 3,960 4,433,775
Johnson County Unified School District No. 229
Blue Valley (GO) Series A
5.000%, 10/01/17............................. 5,635 5,848,848
Kansas State Department of Transportation (RB)
Series A
5.000%, 09/01/17............................. 4,000 4,141,680
Kansas State Department of Transportation (RB)
Series C
5.000%, 09/01/19............................. 4,975 5,534,339
Sedgwick County Unified School District No. 266
Maize (GO) Series A
2.000%, 09/01/18............................. 1,000 1,018,240
-----------
TOTAL KANSAS..................................... 20,976,882
-----------
LOUISIANA -- (0.4%)
Louisiana State (GO) Series A
5.000%, 02/01/18............................. 2,000 2,100,460
Louisiana State (GO) Series C
5.000%, 08/01/21............................. 5,000 5,800,900
-----------
TOTAL LOUISIANA.................................. 7,901,360
-----------
MARYLAND -- (7.2%)
Anne Arundel County (GO)
5.000%, 04/01/21............................. 12,740 14,843,629
Baltimore County (GO)
5.000%, 08/01/18............................. 2,450 2,626,547
Baltimore County (GO) Series B
5.000%, 08/01/17............................. 6,550 6,759,666
5.000%, 08/01/18............................. 5,000 5,360,300
Charles County (GO)
5.000%, 03/01/19............................. 2,450 2,679,051
116
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
MARYLAND -- (Continued)
Maryland State (GO) Series A
5.000%, 08/01/19............................. $20,000 $ 22,194,600
Maryland State (GO) Series B
5.000%, 03/01/19............................. 6,300 6,892,074
5.000%, 08/01/19............................. 11,500 12,761,895
Maryland State (GO) Series C
5.000%, 11/01/18............................. 9,305 10,065,125
5.000%, 08/01/19............................. 2,000 2,219,460
Montgomery County (GO) Series B
5.000%, 12/01/21............................. 4,000 4,750,920
Prince George's County (GO) Series B
5.000%, 09/15/18............................. 16,190 17,434,687
4.000%, 03/01/19............................. 9,575 10,252,527
4.000%, 03/01/20............................. 9,780 10,727,682
Prince George's County (GO) Series C
5.000%, 08/01/18............................. 10,075 10,801,004
Talbot County (GO)
2.000%, 12/15/21............................. 1,330 1,375,938
Washington Suburban Sanitary Commission (GO)
5.000%, 06/01/18............................. 2,350 2,503,667
Washington Suburban Sanitary Commission (GO)
Series A
4.000%, 06/01/18............................. 5,000 5,248,700
------------
TOTAL MARYLAND................................... 149,497,472
------------
MASSACHUSETTS -- (4.3%)
City of Boston (GO) Series A
5.000%, 03/01/18............................. 3,960 4,179,740
Commonwealth of Massachusetts (GO) Series A
5.000%, 04/01/17............................. 5,000 5,089,100
5.000%, 05/01/21............................. 10,000 11,643,500
Commonwealth of Massachusetts (GO) Series B
5.000%, 08/01/18............................. 3,750 4,019,550
Commonwealth of Massachusetts (GO) Series C
5.000%, 08/01/20............................. 8,500 9,695,865
Commonwealth of Massachusetts (GO) Series D
(AMBAC)
5.500%, 10/01/19............................. 4,220 4,762,186
Commonwealth of Massachusetts (GO) Series E
5.000%, 12/01/17............................. 15,000 15,684,600
Commonwealth of Massachusetts (RAN) Series C
2.000%, 06/26/17............................. 5,000 5,043,800
Massachusetts Bay Transportation Authority (RB)
Series A
5.250%, 07/01/19............................. 3,115 3,462,634
Massachusetts Clean Water Trust (The) (RB)
5.000%, 08/01/20............................. 5,830 6,668,645
FACE
AMOUNT VALUE+
------ ------
(000)
MASSACHUSETTS -- (Continued)
Massachusetts Water Resources Authority (RB)
Series J (AGM) (GO OF AUTH)
5.250%, 08/01/18.............................. $18,000 $19,371,600
-----------
TOTAL MASSACHUSETTS................................ 89,621,220
-----------
MICHIGAN -- (2.1%)
Chippewa Valley Schools (GO) (Q-SBLF)
5.000%, 05/01/17.............................. 1,000 1,020,940
Michigan Finance Authority (RB) Series A
5.000%, 07/01/18.............................. 25,260 26,989,552
Michigan State (GO)
5.000%, 11/01/19.............................. 13,000 14,522,040
Michigan State Trunk Line Revenue (RB)
5.000%, 11/15/18.............................. 1,530 1,653,196
-----------
TOTAL MICHIGAN..................................... 44,185,728
-----------
MINNESOTA -- (3.7%)
City of Minneapolis (GO)
1.000%, 12/01/16.............................. 5,200 5,201,612
2.000%, 12/01/18.............................. 5,085 5,197,734
City of Rochester (GO) Series A
5.000%, 02/01/18.............................. 2,590 2,723,748
Lakeville Independent School District No. 194
(GO) Series D (SD CRED PROG)
5.000%, 02/01/19.............................. 4,425 4,813,692
Minnesota State (GO) Series A
5.000%, 08/01/17.............................. 13,665 14,102,417
Minnesota State (GO) Series B
5.000%, 08/01/19.............................. 4,000 4,437,760
4.000%, 08/01/20.............................. 8,800 9,747,232
Minnesota State (GO) Series D
5.000%, 08/01/21.............................. 7,230 8,507,903
Minnesota State (GO) Series E
2.000%, 08/01/19.............................. 725 745,568
Minnesota State (GO) Series F
5.000%, 10/01/17.............................. 12,000 12,467,760
Owatonna Independent School District No. 761
(GO) Series A (SD CRED PROG)
2.000%, 02/01/18.............................. 2,855 2,895,912
University of Minnesota (RB) Series A (GO OF
UNIV)
5.000%, 12/01/17.............................. 6,040 6,315,001
-----------
TOTAL MINNESOTA.................................... 77,156,339
-----------
MISSISSIPPI -- (0.1%)
Mississippi State (GO) Series C
5.000%, 10/01/18.............................. 2,800 3,013,668
-----------
117
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
MISSOURI -- (1.0%)
Jackson County Reorganized School District No. 7 (GO)
3.000%, 03/01/21............................. $ 2,375 $ 2,555,785
Missouri State (GO) Series A
4.000%, 10/01/17............................. 11,850 12,204,433
5.000%, 12/01/20............................. 4,515 5,225,029
-----------
TOTAL MISSOURI........................................... 19,985,247
-----------
NEVADA -- (1.3%)
City of Henderson NV (GO)
5.000%, 06/01/19............................. 5,295 5,821,217
Clark County (GO)
5.000%, 11/01/16............................. 7,425 7,425,000
Clark County School District (GO) Series B (AMBAC)
4.500%, 06/15/17............................. 5,770 5,903,575
Clark County School District (GO) Series C
(currency) 5.000%, 06/15/26
(Pre-refunded
@ $100, 12/15/17)............................ 4,750 4,972,395
Nevada State (RB)
5.000%, 12/01/17............................. 2,600 2,717,520
Washoe County School District (GO) Series A
3.000%, 06/01/19............................. 1,125 1,177,999
-----------
TOTAL NEVADA............................................. 28,017,706
-----------
NEW HAMPSHIRE -- (0.2%)
City of Dover (GO)
3.000%, 06/15/17............................. 1,000 1,014,060
City of Nashua (GO)
5.000%, 03/15/17............................. 1,400 1,422,358
4.000%, 07/15/21............................. 1,720 1,934,398
-----------
TOTAL NEW HAMPSHIRE...................................... 4,370,816
-----------
NEW JERSEY -- (0.5%)
Livingston Township (GO)
3.000%, 01/15/17............................. 1,810 1,818,507
Monmouth County (GO)
5.000%, 07/15/20............................. 4,540 5,181,956
5.000%, 07/15/21............................. 3,770 4,426,508
-----------
TOTAL NEW JERSEY......................................... 11,426,971
-----------
NEW MEXICO -- (1.6%)
City of Albuquerque (GO) Series A
5.000%, 07/01/17............................. 3,300 3,393,852
5.000%, 07/01/18............................. 4,775 5,101,944
New Mexico State (GO)
5.000%, 03/01/17............................. 4,745 4,812,759
5.000%, 03/01/19............................. 1,500 1,637,325
New Mexico State Severance Tax Permanent Fund (RB)
Series A
5.000%, 07/01/19............................. 6,500 7,152,080
FACE
AMOUNT VALUE+
------ ------
(000)
NEW MEXICO -- (Continued)
New Mexico State Severance Tax Permanent Fund (RB)
Series A-2
5.000%, 07/01/18............................. $10,000 $10,683,000
-----------
TOTAL NEW MEXICO......................................... 32,780,960
-----------
NEW YORK -- (6.7%)
Albany County (BAN)
2.000%, 05/25/17............................. 550 554,268
Brewster Central School District (GO) (ST AID WITHHLDG)
2.000%, 10/01/19............................. 1,160 1,190,833
Churchville-Chili Central School District (GO) (ST AID
WITHHLDG)
3.000%, 06/15/17............................. 695 704,772
City of New York (GO) Series A-1
5.000%, 08/01/17............................. 875 903,009
City of New York (GO) Series B
5.000%, 08/01/17............................. 4,360 4,499,564
5.000%, 08/01/17............................. 1,100 1,135,211
City of New York (GO) Series C
5.000%, 08/01/18............................. 6,265 6,707,372
City of New York (GO) Series G
5.000%, 08/01/17............................. 1,250 1,290,012
5.000%, 08/01/18............................. 8,000 8,564,880
5.000%, 08/01/19............................. 15,310 16,932,707
5.000%, 08/01/21............................. 5,915 6,906,827
City of New York (GO) Series H-A
5.000%, 03/01/19............................. 10,105 11,022,837
County of Columbia (GO) Series A (AGM)
2.000%, 02/01/19............................. 500 510,395
New York State (GO) Series A
4.000%, 03/01/18............................. 400 416,868
New York State Dormitory Authority (RB) Series A
5.000%, 02/15/18............................. 11,440 12,050,553
New York State Dormitory Authority (RB) Series B
5.000%, 02/15/20............................. 15,000 16,865,550
5.000%, 02/15/22............................. 4,000 4,737,520
New York State Dormitory Authority (RB) Series C
5.000%, 03/15/19............................. 700 765,149
New York State Thruway Authority (RB) Series B
(currency) 5.000%, 04/01/27
(Pre-refunded
@ $100, 10/1/17)............................. 1,000 1,038,790
New York State Thruway Authority Highway & Bridge Trust
Fund (RB) Series A
(currency) 5.000%, 04/01/25
(Pre-refunded
@ $100, 4/1/17).............................. 900 916,002
118
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
NEW YORK -- (Continued)
New York State Urban Development Corp. (RB)
Series A
5.000%, 03/15/17.............................. $ 2,195 $ 2,229,966
New York State Urban Development Corp. (RB)
Series C
5.000%, 12/15/17.............................. 5,765 6,036,877
5.000%, 12/15/18.............................. 250 271,165
Town of Brookhaven (GO) Series A
3.000%, 02/01/19.............................. 5,080 5,318,760
Town of Hempstead (GO) Series B
5.000%, 02/01/17.............................. 5,165 5,220,111
5.000%, 02/01/18.............................. 9,915 10,429,489
Triborough Bridge & Tunnel Authority (RB)
Series B
4.000%, 11/15/18.............................. 11,860 12,596,625
Union Free School District Of The Tarrytowns
(GO) Series A (ST AID WITHHLDG)
5.000%, 01/15/18.............................. 150 157,525
------------
TOTAL NEW YORK..................................... 139,973,637
------------
NORTH CAROLINA -- (3.9%)
City of Charlotte (RB)
5.000%, 07/01/19.............................. 10,555 11,675,519
City of Charlotte Water & Sewer System Revenue
(RB)
5.000%, 07/01/17.............................. 2,000 2,057,140
Davie County (GO)
5.000%, 05/01/20.............................. 1,595 1,803,562
North Carolina State (GO) Series A
5.000%, 03/01/17.............................. 11,245 11,406,253
5.000%, 03/01/19.............................. 5,000 5,471,100
North Carolina State (GO) Series B
5.000%, 06/01/18.............................. 29,730 31,674,045
Onslow County (GO)
4.000%, 12/01/17.............................. 525 543,280
Wake County (GO)
5.000%, 03/01/19.............................. 7,225 7,904,005
Wake County (GO) Series A
5.000%, 05/01/17.............................. 2,675 2,732,486
Wake County (GO) Series B
5.000%, 05/01/18.............................. 4,625 4,912,259
------------
TOTAL NORTH CAROLINA............................... 80,179,649
------------
OHIO -- (5.2%)
City of Columbus (GO) Series 1
5.000%, 07/01/20.............................. 10,000 11,418,800
City of Columbus (GO) Series A
5.000%, 02/15/17.............................. 8,550 8,656,789
5.000%, 02/15/19.............................. 10,000 10,922,000
3.000%, 07/01/21.............................. 12,830 13,885,909
FACE
AMOUNT VALUE+
------ ------
(000)
OHIO -- (Continued)
Greater Cleveland Regional Transit Authority
(GO) Series B
5.000%, 12/01/16.............................. $ 2,725 $ 2,734,347
Ohio State (GO) Series A
3.000%, 05/01/20.............................. 5,000 5,326,550
5.000%, 05/01/20.............................. 7,000 7,935,970
5.000%, 09/15/21.............................. 2,335 2,750,770
Ohio State (GO) Series B
5.000%, 08/01/19.............................. 7,270 8,057,268
5.000%, 09/01/19.............................. 4,215 4,683,877
5.000%, 08/01/20.............................. 10,000 11,422,700
5.000%, 06/15/21.............................. 9,500 11,111,770
Ohio State (GO) Series C
5.000%, 08/01/17.............................. 2,475 2,554,621
5.000%, 09/15/18.............................. 1,300 1,398,423
Ohio State (GO) Series T
5.000%, 04/01/21.............................. 2,040 2,373,030
Ohio State Water Development Authority (RB)
Series A
5.000%, 06/01/21.............................. 1,825 2,131,217
------------
TOTAL OHIO......................................... 107,364,041
------------
OKLAHOMA -- (0.8%)
Cleveland County Independent School District
No. 29 (GO)
1.500%, 03/01/17.............................. 1,465 1,468,589
Payne County Independent School District No. 16
Stillwater (GO)
1.500%, 06/01/17.............................. 3,355 3,368,689
Tulsa County Independent School District No. 1
Tulsa (GO) Series B
2.000%, 08/01/17.............................. 5,800 5,852,374
Tulsa County Independent School District No. 1
Tulsa (GO) Series C
1.500%, 07/01/18.............................. 6,970 7,021,508
------------
TOTAL OKLAHOMA 17,711,160
------------
OREGON -- (0.8%)
Clackamas County School District No. 12 North
Clackamas (GO) Series A (AGM) (SCH BD GTY)
5.000%, 06/15/17.............................. 3,000 3,078,840
Multnomah County (GO)
5.000%, 08/01/19.............................. 4,580 5,073,358
Oregon State (GO) Series I
5.000%, 05/01/17.............................. 7,565 7,726,815
------------
TOTAL OREGON 15,879,013
------------
PENNSYLVANIA -- (4.5%)
Commonwealth of Pennsylvania (GO)
5.000%, 07/01/18.............................. 3,755 3,996,634
119
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
PENNSYLVANIA -- (Continued)
Commonwealth of Pennsylvania (GO) Series 1
5.000%, 04/01/17.............................. $ 8,000 $ 8,141,600
5.000%, 11/15/18.............................. 10,645 11,470,733
5.000%, 07/01/19.............................. 7,655 8,403,889
5.000%, 04/01/20.............................. 8,500 9,515,665
Commonwealth of Pennsylvania (GO) Series 2
5.000%, 10/15/19.............................. 2,250 2,492,910
Commonwealth of Pennsylvania (GO) Series A
5.000%, 02/15/19.............................. 5,010 5,435,098
Conestoga Valley School District (GO) (ST AID
WITHHLDG)
4.000%, 01/15/17.............................. 2,680 2,697,500
Council Rock School District (GO) Series C (ST
AID WITHHLDG)
5.000%, 11/15/17.............................. 5,285 5,507,340
Pennsylvania Economic Development Financing
Authority (RB) Series A
5.000%, 07/01/17.............................. 19,555 20,112,513
5.000%, 07/01/19.............................. 14,735 16,282,912
-----------
TOTAL PENNSYLVANIA 94,056,794
-----------
RHODE ISLAND -- (0.4%)
Rhode Island State (GO) Series A
4.000%, 08/01/17.............................. 2,065 2,115,180
5.000%, 08/01/19.............................. 4,700 5,203,558
-----------
TOTAL RHODE ISLAND 7,318,738
-----------
SOUTH CAROLINA -- (3.5%)
Beaufort County School District (GO) Series D
(SCSDE)
5.000%, 03/01/17.............................. 6,425 6,516,749
Charleston County School District (GO) Series A
(SCSDE)
5.000%, 02/01/19.............................. 7,595 8,274,601
Darlington County School District (GO) (SCSDE)
3.000%, 03/01/19.............................. 3,000 3,138,390
Dorchester County School District No. 2 (GO)
Series A (SCSDE)
5.000%, 03/01/21.............................. 1,885 2,188,768
Florence County (GO) (ST AID WITHHLDG)
4.000%, 06/01/19.............................. 15,000 16,134,300
Florence School District One (GO) (SCSDE)
5.000%, 03/01/19.............................. 3,730 4,074,204
Lexington & Richland School District No. 5 (GO)
Series B (SCSDE)
5.000%, 03/01/21.............................. 1,660 1,925,982
FACE
AMOUNT VALUE+
------ ------
(000)
SOUTH CAROLINA -- (Continued)
Richland County School District No. 2 (GO) Series A
(SCSDE)
5.000%, 02/01/20............................. $ 5,520 $ 6,206,081
5.000%, 02/01/21............................. 7,000 8,106,840
Richland County School District No. 2 (GO) Series C
(SCSDE)
5.000%, 02/01/19............................. 5,740 6,249,597
South Carolina State (GO) Series A
5.000%, 06/01/20............................. 8,945 10,189,160
-----------
TOTAL SOUTH CAROLINA 73,004,672
-----------
TENNESSEE -- (4.5%)
City of Chattanooga (GO) Series A
4.000%, 09/01/18............................. 9,160 9,680,380
City of Kingsport (GO) Series B
3.000%, 04/01/17............................. 2,005 2,024,228
City of Memphis (GO) (NATL-RE)
5.250%, 10/01/18............................. 4,000 4,330,520
City of Memphis (GO) Series A
5.000%, 04/01/17............................. 1,230 1,251,869
5.000%, 04/01/21............................. 4,550 5,277,863
City of Memphis (GO) Series D
5.000%, 07/01/19............................. 4,180 4,613,299
Hamilton County (GO) Series A
5.000%, 05/01/21............................. 3,895 4,546,283
Metropolitan Government of Nashville & Davidson County
(GO)
5.000%, 07/01/21............................. 9,055 10,601,141
(currency) 5.000%, 01/01/27
(Pre-refunded
@ $100, 1/1/18).............................. 4,300 4,509,797
Metropolitan Government of Nashville & Davidson County
(RB) Series E (ETM)
4.000%, 10/01/17............................. 1,500 1,544,175
Shelby County (GO) Series A
5.000%, 04/01/17............................. 17,400 17,710,068
5.000%, 04/01/20............................. 18,135 20,528,820
5.000%, 03/01/21............................. 2,550 2,958,587
Tennessee State (GO) Series B REF
5.000%, 11/01/16............................. 4,450 4,450,000
-----------
TOTAL TENNESSEE.......................................... 94,027,030
-----------
TEXAS -- (8.8%)
City of Allen (GO)
5.000%, 08/15/21............................. 1,840 2,155,634
City of Dallas (GO)
5.000%, 02/15/19............................. 8,400 9,144,576
City of El Paso (GO)
3.000%, 08/15/17............................. 500 508,965
City of Fort Worth Water & Sewer System (RB)
5.000%, 02/15/18............................. 10,690 11,260,525
5.000%, 02/15/19............................. 830 904,161
120
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
TEXAS -- (Continued)
City of Frisco (GO) Series A
5.000%, 02/15/21.............................. $ 4,825 $ 5,570,704
City of Houston (GO) Series A
4.000%, 03/01/18.............................. 2,000 2,080,820
City of Houston (RN)
3.000%, 06/30/17.............................. 30,300 30,769,347
City of San Antonio (GO)
5.000%, 02/01/20.............................. 7,350 8,263,531
City of San Antonio Electric & Gas (RB) Series D
5.000%, 02/01/19.............................. 700 762,146
Comal Independent School District (GO) Series A
(PSF-GTD)
5.000%, 02/01/18.............................. 3,990 4,194,488
Dallas Area Rapid Transit (RB) Series A
5.000%, 12/01/16.............................. 8,000 8,027,120
Dallas Independent School District (GO) (PSF-GTD)
5.250%, 02/15/18.............................. 2,000 2,112,060
Mesquite Independent School District (GO) Series
B (PSF-GTD)
5.000%, 08/15/17.............................. 1,000 1,033,280
Northside Independent School District (GO)
(PSF-GTD)
5.000%, 02/15/17.............................. 6,910 6,994,647
5.000%, 02/15/18.............................. 1,250 1,316,050
Permanent University Fund (RB)
5.000%, 07/01/18.............................. 12,585 13,444,555
Plano Independent School District (GO) (PSF-GTD)
5.000%, 02/15/17.............................. 900 911,025
San Antonio Independent School District (GO)
(PSF-GTD)
5.000%, 02/15/20.............................. 2,500 2,816,125
San Jacinto College District (GO)
5.000%, 02/15/17.............................. 5,000 5,059,950
Texas State (GO)
5.000%, 04/01/17.............................. 15,000 15,268,050
5.000%, 04/01/19.............................. 4,350 4,764,555
5.000%, 10/01/23.............................. 1,425 1,748,105
Texas State (GO) Series A
5.000%, 10/01/21.............................. 2,200 2,592,920
Texas Tech University (RB) Series A
5.000%, 08/15/19.............................. 3,025 3,348,342
Texas Transportation Commission State Highway
Fund (RB) Series A
4.750%, 04/01/17.............................. 16,750 17,027,212
5.000%, 04/01/18.............................. 5,000 5,287,500
5.000%, 04/01/19.............................. 5,110 5,595,706
University of Texas System (The) (RB) Series A
5.250%, 08/15/18.............................. 750 808,275
FACE
AMOUNT VALUE+
------ ------
(000)
TEXAS -- (Continued)
University of Texas System (The) (RB) Series C
5.000%, 08/15/19.............................. $ 7,975 $ 8,841,404
------------
TOTAL TEXAS........................................ 182,611,778
------------
UTAH -- (2.2%)
Alpine School District (GO) (SCH BD GTY)
4.500%, 03/15/17.............................. 4,000 4,056,560
5.000%, 03/15/21.............................. 940 1,096,745
Jordan School District (GO) (SCH BD GTY)
5.000%, 06/15/19.............................. 16,420 18,143,443
Utah State (GO)
5.000%, 07/01/22.............................. 9,690 11,675,772
Utah State (GO) Series C
5.000%, 07/01/17.............................. 250 257,127
5.000%, 07/01/18.............................. 3,150 3,365,145
4.500%, 07/01/19.............................. 6,675 7,301,716
------------
TOTAL UTAH......................................... 45,896,508
------------
VERMONT -- (--%)
Vermont State (GO) Series F
5.000%, 08/15/17.............................. 625 645,900
------------
VIRGINIA -- (8.0%)
Arlington County (GO) (ST AID WITHHLDG)
4.000%, 08/15/21.............................. 2,125 2,404,990
Chesterfield County (GO) Series A
5.000%, 01/01/19.............................. 3,575 3,887,169
City of Hampton (GO) Series B (ST AID WITHHLDG)
5.000%, 09/01/21.............................. 2,700 3,175,659
City of Norfolk (GO) Series C (ST AID WITHHLDG)
5.000%, 10/01/19.............................. 2,500 2,785,425
City of Richmond (GO) Series A (ST AID WITHHLDG)
5.000%, 03/01/20.............................. 1,000 1,127,780
City of Virginia Beach (GO) Series A
4.000%, 08/01/17.............................. 145 148,567
Commonwealth of Virginia (GO) Series B
5.000%, 06/01/17.............................. 10,460 10,721,291
5.000%, 06/01/19.............................. 5,705 6,295,011
5.000%, 06/01/19.............................. 10,250 11,310,055
Fairfax County (GO) Series A (ST AID WITHHLDG)
4.000%, 10/01/18.............................. 5,380 5,697,366
4.000%, 10/01/19.............................. 12,300 13,367,148
4.000%, 10/01/20.............................. 15,530 17,268,273
Fairfax County (GO) Series B (ST AID WITHHLDG)
5.000%, 10/01/18.............................. 10,000 10,779,000
4.000%, 04/01/19.............................. 7,000 7,509,390
121
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
VIRGINIA -- (Continued)
Henrico County (GO)
5.000%, 07/15/19............................. $ 5,460 $ 6,043,346
Loudoun County (GO) Series A
4.000%, 12/01/17............................. 3,555 3,678,394
University of Virginia (RB) Series B
5.000%, 08/01/21............................. 15,000 17,681,550
Virginia Public Building Authority (RB) Series A
5.000%, 08/01/18............................. 8,370 8,965,526
Virginia Public School Authority (RB) Series A
(ST AID WITHHLDG)
4.000%, 08/01/17............................. 6,465 6,623,586
Virginia Public School Authority (RB) Series B
(ST AID WITHHLDG)
5.000%, 08/01/19............................. 15,580 17,244,723
Virginia Resources Authority (RB) Series B
4.000%, 10/01/19............................. 4,875 5,290,594
Virginia State Public School Authority (RB) (ST
AID WITHHLDG)
5.000%, 07/15/19............................. 4,080 4,521,701
------------
TOTAL VIRGINIA................................... 166,526,544
------------
WASHINGTON -- (4.3%)
Central Puget Sound Regional Transit Authority
(RB) Series P-1
5.000%, 02/01/18............................. 3,000 3,156,060
City of Seattle (GO)
5.000%, 12/01/17............................. 4,050 4,236,178
City of Seattle Water System Revenue (RB)
5.000%, 09/01/19............................. 3,890 4,322,724
King County School District No. 405 Bellevue
(GO) (SCH BD GTY)
5.000%, 12/01/18............................. 1,240 1,344,148
King County School District No. 405 Bellevue
(GO) Series A (SCH BD GTY)
5.000%, 12/01/18............................. 400 433,596
King County Sewer Revenue (RB)
5.000%, 01/01/18............................. 4,670 4,896,728
Snohomish County Public Utility District No. 1
(RB)
5.000%, 12/01/18............................. 3,190 3,454,483
5.000%, 12/01/19............................. 5,810 6,495,696
Snohomish County School District No. 6 Mukilteo
(GO) (SCH BD GTY)
5.000%, 12/01/18............................. 500 541,455
Washington State (GO)
5.000%, 07/01/17............................. 4,000 4,114,280
5.000%, 07/01/18............................. 3,000 3,205,410
5.000%, 07/01/20............................. 3,650 4,150,926
FACE
AMOUNT VALUE+
------ ------
(000)
WASHINGTON -- (Continued)
Washington State (GO) Series 2010A
5.000%, 08/01/18............................. $ 4,500 $ 4,823,460
Washington State (GO) Series 2013A
5.000%, 08/01/21............................. 4,245 4,971,744
Washington State (GO) Series A
5.000%, 08/01/18............................. 2,735 2,931,592
Washington State (GO) Series A-1
5.000%, 08/01/21............................. 1,500 1,756,800
Washington State (GO) Series B
4.000%, 07/01/18............................. 9,000 9,468,090
Washington State (GO) Series C
5.000%, 07/01/17............................. 4,975 5,117,136
Washington State (GO) Series D
5.000%, 02/01/19............................. 1,710 1,861,010
Washington State (GO) Series E
5.000%, 02/01/19............................. 4,080 4,440,305
Washington State (GO) Series R-2010A
5.000%, 01/01/17............................. 1,215 1,223,602
Washington State (GO) Series R-2014A
5.000%, 07/01/18............................. 7,065 7,548,741
Washington State (GO) Series R-2015
5.000%, 07/01/18............................. 4,160 4,444,835
--------------
TOTAL WASHINGTON................................. 88,938,999
--------------
WEST VIRGINIA -- (0.5%)
West Virginia State (GO) Series A
5.000%, 06/01/21............................. 9,620 11,229,426
--------------
WISCONSIN -- (2.8%)
City of Milwaukee (GO) Series N2
5.000%, 04/01/17............................. 5,000 5,088,700
5.000%, 05/01/19............................. 10,010 10,993,983
5.000%, 04/01/20............................. 5,860 6,618,811
Wisconsin State (GO) Series 1 (AMBAC)
5.000%, 05/01/17............................. 9,000 9,192,960
5.000%, 05/01/19............................. 3,475 3,817,496
Wisconsin State (GO) Series 2
5.000%, 11/01/19............................. 4,000 4,467,080
5.000%, 11/01/21............................. 5,475 6,463,183
Wisconsin State (GO) Series B
5.000%, 05/01/21............................. 9,655 11,241,799
--------------
TOTAL WISCONSIN.................................. 57,884,012
--------------
TOTAL MUNICIPAL BONDS............................ 2,078,611,132
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,066,199,344).......................... $2,078,611,132
==============
122
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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
------- -------------- ------- --------------
Municipal Bonds. -- $2,078,611,132 -- $2,078,611,132
-- -------------- -- --------------
TOTAL........... -- $2,078,611,132 -- $2,078,611,132
== ============== == ==============
See accompanying Notes to Financial Statements.
123
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
FACE
AMOUNT VALUE+
------ ------
(000)
MUNICIPAL BONDS -- (100.0%)
ALABAMA -- (0.5%)
Alabama State (GO) Series A
5.000%, 08/01/19............................. $3,995 $ 4,431,054
5.000%, 08/01/21............................. 250 293,808
Alabama State (GO) Series B
5.000%, 11/01/19............................. 1,000 1,118,340
-----------
TOTAL ALABAMA.................................... 5,843,202
-----------
ALASKA -- (0.7%)
Borough of North Slope (GO) Series A
4.000%, 06/30/18............................. 400 419,140
City of Anchorage (GO) Series A
5.000%, 09/01/21............................. 3,845 4,496,766
5.000%, 09/01/23............................. 200 243,524
City of Anchorage (GO) Series C
5.000%, 09/01/24............................. 2,765 3,417,346
-----------
TOTAL ALASKA..................................... 8,576,776
-----------
ARIZONA -- (0.5%)
Maricopa County Community College District (GO)
4.000%, 07/01/18............................. 4,000 4,205,320
Maricopa County High School District
No. 210-Phoenix (GO)
3.000%, 07/01/23............................. 1,810 1,965,895
-----------
TOTAL ARIZONA.................................... 6,171,215
-----------
ARKANSAS -- (0.9%)
Arkansas State (GO)
5.000%, 04/01/18............................. 2,500 2,644,100
5.000%, 04/01/21............................. 1,000 1,162,310
5.000%, 06/15/21............................. 3,750 4,382,550
5.000%, 04/01/22............................. 2,800 3,339,616
-----------
TOTAL ARKANSAS................................... 11,528,576
-----------
CALIFORNIA -- (0.9%)
California State (GO) Series B
5.000%, 09/01/25............................. 9,000 11,298,960
-----------
COLORADO -- (1.5%)
Adams & Arapahoe Joint School District 28J (GO)
(ST AID WITHHLDG)
5.000%, 12/01/21............................. 425 500,880
Arapahoe County School District No. 5 (GO) (ST
AID WITHHLDG)
3.000%, 12/15/16............................. 750 752,085
5.000%, 12/15/19............................. 5,705 6,401,580
5.000%, 12/15/19............................. 3,115 3,495,342
Boulder County (RB)
5.000%, 07/15/18............................. 540 577,260
FACE
AMOUNT VALUE+
------ ------
(000)
COLORADO -- (Continued)
City & County of Denver (GO) Series A
5.000%, 08/01/19............................. $2,085 $ 2,308,387
Denver City & County School District No. 1 (GO)
Series A (NATL-RE) (ST AID WITHHLDG)
5.250%, 12/01/21............................. 2,490 2,973,110
Denver City & County School District No. 1 (GO)
Series C (ST AID WITHHLDG)
3.000%, 12/01/23............................. 1,540 1,694,554
-----------
TOTAL COLORADO................................... 18,703,198
-----------
CONNECTICUT -- (1.3%)
City of Middletown (GO)
4.000%, 04/01/22............................. 1,350 1,537,583
Connecticut State (GO) Series A
5.000%, 10/15/18............................. 3,300 3,550,272
5.000%, 10/15/19............................. 600 663,858
Connecticut State (GO) Series B (AMBAC)
5.250%, 06/01/18............................. 6,800 7,246,760
Connecticut State (GO) Series E
5.000%, 08/15/19............................. 2,775 3,054,720
-----------
TOTAL CONNECTICUT................................ 16,053,193
-----------
DELAWARE -- (1.3%)
Delaware State (GO) Series 2009C
5.000%, 10/01/17............................. 3,080 3,200,058
Delaware State (GO) Series A
5.000%, 08/01/23............................. 2,225 2,746,807
Delaware State (GO) Series B
5.000%, 07/01/18............................. 2,395 2,558,579
5.000%, 07/01/19............................. 4,680 5,179,450
New Castle County (GO)
5.000%, 10/01/23............................. 1,000 1,235,600
New Castle County (GO) Series B
5.000%, 07/15/22............................. 700 843,969
-----------
TOTAL DELAWARE................................... 15,764,463
-----------
DISTRICT OF COLUMBIA -- (1.7%)
District of Columbia (GO) Series A
5.000%, 06/01/20............................. 3,445 3,912,452
5.000%, 06/01/20............................. 6,000 6,814,140
5.000%, 06/01/23............................. 2,000 2,439,680
5.000%, 06/01/25............................. 1,500 1,879,920
District of Columbia (GO) Series B
5.000%, 06/01/25............................. 4,500 5,639,760
-----------
TOTAL DISTRICT OF COLUMBIA....................... 20,685,952
-----------
124
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
FLORIDA -- (3.7%)
Board of Governors State University System of
Florida (RB) Series A
3.000%, 07/01/24............................. $2,580 $ 2,789,057
City of Jacksonville (RB)
5.000%, 10/01/18............................. 315 338,726
City of Tallahassee Energy System Revenue (RB)
5.000%, 10/01/20............................. 250 285,468
Florida State (GO) Series A
5.000%, 07/01/21............................. 7,000 8,188,320
Florida State Board of Education (GO) Series A
5.000%, 06/01/17............................. 150 153,783
5.000%, 06/01/18............................. 5,000 5,324,500
5.000%, 06/01/19............................. 2,860 3,151,920
5.000%, 06/01/20............................. 4,000 4,550,320
5.000%, 06/01/24............................. 1,400 1,730,526
Florida State Board of Education (GO) Series B
5.000%, 06/01/17............................. 300 307,566
5.000%, 06/01/20............................. 6,400 7,280,512
5.000%, 06/01/23............................. 350 425,719
Florida State Board of Education (GO) Series C
5.000%, 06/01/20............................. 3,000 3,412,740
Florida State Board of Education (GO) Series D
5.000%, 06/01/22............................. 1,000 1,194,870
Pasco County Water & Sewer (RB) Series A
4.000%, 10/01/17............................. 320 329,485
Peace River/Manasota Regional Water Supply
Authority (RB)
5.000%, 10/01/25............................. 2,030 2,521,037
Tampa Bay Water (RB)
5.000%, 10/01/19............................. 450 501,511
Tampa Bay Water (RB) Series A
5.000%, 10/01/25............................. 2,850 3,600,405
-----------
TOTAL FLORIDA.................................... 46,086,465
-----------
GEORGIA -- (2.7%)
City of Atlanta (GO)
5.000%, 12/01/19............................. 5,875 6,577,885
City of Atlanta Water & Wastewater Revenue (RB)
Series B
5.000%, 11/01/19............................. 1,700 1,896,367
Columbia County School District (GO) (ST AID
WITHHLDG)
5.000%, 04/01/20............................. 1,700 1,921,969
DeKalb County Water & Sewerage Revenue (RB)
Series B
5.250%, 10/01/24............................. 2,830 3,551,622
Georgia State (GO) Series A-1
5.000%, 02/01/22............................. 2,730 3,255,716
FACE
AMOUNT VALUE+
------ ------
(000)
GEORGIA -- (Continued)
Georgia State (GO) Series F
5.000%, 12/01/19............................. $6,000 $ 6,731,400
Georgia State (GO) Series I
5.000%, 07/01/19............................. 4,490 4,967,916
5.000%, 07/01/20............................. 900 1,027,341
Gordon County School District (GO) (ST AID
WITHHLDG)
3.000%, 09/01/17............................. 250 254,547
Gwinnett County School District (GO)
5.000%, 02/01/20............................. 1,585 1,785,249
5.000%, 02/01/20............................. 1,700 1,914,778
Gwinnett County Water & Sewerage Authority (RB)
(CNTY GTD)
3.000%, 08/01/17............................. 375 381,446
-----------
TOTAL GEORGIA.................................... 34,266,236
-----------
HAWAII -- (2.4%)
City & County of Honolulu (GO) Series B
5.000%, 08/01/20............................. 1,470 1,676,814
5.000%, 10/01/23............................. 200 245,494
5.000%, 10/01/24............................. 6,870 8,541,402
5.000%, 10/01/25............................. 4,925 6,203,235
City & County of Honolulu (GO) Series B (AGM)
5.250%, 07/01/17............................. 545 561,394
City & County of Honolulu (GO) Series C
2.000%, 11/01/16............................. 1,230 1,230,000
Hawaii State (GO) Series EA
5.000%, 12/01/21............................. 850 1,005,423
Hawaii State (GO) Series EE
5.000%, 11/01/20............................. 515 592,193
Hawaii State (GO) Series EF
5.000%, 11/01/22............................. 2,240 2,707,846
Hawaii State (GO) Series EH
4.000%, 08/01/19............................. 1,110 1,199,599
Hawaii State (GO) Series ET
3.000%, 10/01/23............................. 3,710 4,076,585
Maui County (GO)
5.000%, 06/01/18............................. 1,750 1,862,718
-----------
TOTAL HAWAII..................................... 29,902,703
-----------
ILLINOIS -- (--%)
University of Illinois (RB) Series A
5.000%, 04/01/20............................. 500 557,090
-----------
IOWA -- (0.2%)
City of Ankeny (GO) Series D
4.000%, 06/01/18............................. 700 733,579
County of Black Hawk IA (GO) Series A
5.000%, 06/01/19............................. 1,200 1,319,580
State of Iowa (RB) Series A (ETM)
5.000%, 06/01/18............................. 275 292,982
-----------
TOTAL IOWA....................................... 2,346,141
-----------
125
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
KANSAS -- (2.1%)
City of Lenexa (GO) Series A
5.000%, 09/01/21.............................. $ 525 $ 618,839
City of Wichita (GO) Series A
5.000%, 12/01/19.............................. 3,000 3,358,920
Johnson County (GO) Series B
3.000%, 09/01/22.............................. 2,260 2,478,926
Johnson County Unified School District No. 229
Blue Valley (GO) Series B
5.000%, 10/01/23.............................. 445 546,553
Johnson County Unified School District No. 232
(GO) Series A
5.000%, 09/01/17.............................. 400 413,692
5.000%, 09/01/20.............................. 2,550 2,906,286
Kansas State Department of Transportation (RB)
Series A
5.000%, 09/01/17.............................. 4,075 4,219,336
5.000%, 09/01/21.............................. 2,500 2,949,425
Kansas State Department of Transportation (RB)
Series B
5.000%, 09/01/20.............................. 3,000 3,440,970
Saline County Unified School District No. 305
Salina (GO)
5.000%, 09/01/20.............................. 1,860 2,123,618
Sedgwick County (GO) Series B
3.000%, 08/01/17.............................. 500 508,595
Sedgwick County Unified School District No. 260
(GO)
5.000%, 10/01/21.............................. 1,325 1,554,742
Wyandotte County Unified Government (GO) Series A
3.000%, 08/01/18.............................. 580 600,004
-----------
TOTAL KANSAS....................................... 25,719,906
-----------
KENTUCKY -- (0.7%)
Louisville Water Co. (RB) Series A
4.000%, 11/15/21.............................. 1,215 1,376,862
Louisville/Jefferson County Metropolitan
Government (GO)
5.000%, 12/01/19.............................. 1,250 1,399,138
Louisville/Jefferson County Metropolitan
Government (GO) Series A
5.000%, 12/01/20.............................. 5,155 5,943,354
-----------
TOTAL KENTUCKY..................................... 8,719,354
-----------
LOUISIANA -- (2.4%)
Bossier Parish School Board (GO)
4.000%, 03/01/17.............................. 755 763,260
Bossier Parish School Board (GO) (ETM)
4.000%, 03/01/17.............................. 265 267,838
Lafayette Consolidated Government (RB) Series
ST-A
4.000%, 03/01/17.............................. 1,330 1,344,470
FACE
AMOUNT VALUE+
------ ------
(000)
LOUISIANA -- (Continued)
Louisiana State (GO) Series A
5.000%, 11/15/19............................. $ 4,500 $ 5,012,145
5.000%, 02/01/24............................. 2,000 2,423,740
Louisiana State (GO) Series C
5.000%, 07/15/22............................. 12,765 15,104,825
Louisiana State (GO) Series D-1
5.000%, 12/01/20............................. 4,065 4,653,449
-----------
TOTAL LOUISIANA.................................. 29,569,727
-----------
MAINE -- (0.3%)
Maine State (GO) Series B
5.000%, 06/01/20............................. 3,000 3,411,600
-----------
MARYLAND -- (6.9%)
Anne Arundel County (GO)
5.000%, 04/01/22............................. 2,475 2,959,110
Baltimore County (GO)
5.000%, 08/01/22............................. 400 482,148
Baltimore County (GO) Series B
5.000%, 08/01/24............................. 5,800 7,259,628
Baltimore County (GO) Series C
4.000%, 09/01/18............................. 2,410 2,547,828
Carroll County (GO)
4.000%, 11/01/18............................. 2,890 3,067,273
5.000%, 11/01/19............................. 2,300 2,571,469
5.000%, 11/01/20............................. 5,450 6,283,032
Charles County (GO)
5.000%, 03/01/19............................. 2,000 2,186,980
City of Baltimore (GO) Series B
5.000%, 10/15/19............................. 7,330 8,171,117
5.000%, 10/15/22............................. 8,060 9,726,244
Harford County (GO)
5.000%, 09/15/19............................. 1,545 1,721,516
Howard County (GO) Series A
5.000%, 02/15/18............................. 2,000 2,107,540
Maryland State (GO) Series B
5.000%, 03/01/19............................. 4,680 5,119,826
5.000%, 08/01/19............................. 2,500 2,774,325
Maryland State (GO) Series C
5.000%, 11/01/18............................. 5,000 5,408,450
5.000%, 08/01/19............................. 3,000 3,329,190
Prince George's County (GO) Series B
5.000%, 09/15/18............................. 2,000 2,153,760
4.000%, 03/01/22............................. 2,480 2,833,177
Prince George's County (GO) Series C
5.000%, 08/01/20............................. 3,450 3,947,663
Queen Anne's County (GO)
5.000%, 11/15/19............................. 1,805 2,020,174
Town of Ocean City (GO)
3.000%, 10/01/18............................. 825 858,388
University System of Maryland (RB) Series B
5.000%, 04/01/20............................. 4,355 4,925,200
126
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
MARYLAND -- (Continued)
Washington Suburban Sanitary Commission (GO)
Series A
4.000%, 06/01/18.............................. $1,550 $ 1,627,097
Worcester County (GO) Series B
4.000%, 08/01/21.............................. 2,000 2,256,500
-----------
TOTAL MARYLAND..................................... 86,337,635
-----------
MASSACHUSETTS -- (4.2%)
City of Boston (GO) Series A
5.000%, 03/01/20.............................. 3,270 3,693,563
City of Boston (GO) Series B
5.000%, 04/01/19.............................. 4,700 5,156,182
4.000%, 01/01/23.............................. 1,795 2,079,885
5.000%, 04/01/24.............................. 3,000 3,736,200
City of Cambridge (GO)
3.000%, 02/15/20.............................. 2,070 2,202,687
City of Springfield (GO) Series C (ST AID
WITHHLDG)
4.000%, 08/01/23.............................. 150 172,512
City of Woburn (GO)
4.000%, 09/01/22.............................. 350 400,750
Commonwealth of Massachusetts (GO) Series B
5.000%, 08/01/18.............................. 2,500 2,679,700
5.250%, 08/01/21.............................. 5,000 5,918,400
Commonwealth of Massachusetts (GO) Series B (AGM)
5.250%, 09/01/24.............................. 3,700 4,680,500
Commonwealth of Massachusetts (GO) Series C
5.000%, 08/01/20.............................. 2,500 2,851,725
Commonwealth of Massachusetts (GO) Series C
(AMBAC)
5.500%, 12/01/23.............................. 3,500 4,439,435
Massachusetts Bay Transportation Authority (RB)
Series B (NATL- RE)
5.500%, 07/01/24.............................. 3,020 3,860,949
Massachusetts Water Resources Authority (RB)
Series A
5.000%, 08/01/22.............................. 3,000 3,606,900
Massachusetts Water Resources Authority (RB)
Series J (AGM) (GO OF AUTH)
5.250%, 08/01/18.............................. 2,000 2,152,400
Town of Auburn (GO)
2.000%, 03/15/19.............................. 750 766,965
Town of Nantucket (GO)
3.000%, 10/01/22.............................. 1,115 1,223,835
Town of Reading (GO)
5.000%, 02/01/18.............................. 1,065 1,120,540
Town of Wilmington (GO)
5.000%, 03/15/20.............................. 1,665 1,881,383
-----------
TOTAL MASSACHUSETTS................................ 52,624,511
-----------
FACE
AMOUNT VALUE+
------ ------
(000)
MICHIGAN -- (1.0%)
Kentwood Public Schools (GO)
4.000%, 05/01/22............................. $ 500 $ 560,360
Michigan State (GO)
5.000%, 11/01/19............................. 4,400 4,915,152
Michigan State Trunk Line Revenue (RB)
5.000%, 11/15/18............................. 5,000 5,402,600
University of Michigan (RB) Series A
4.000%, 04/01/23............................. 1,000 1,156,890
-----------
TOTAL MICHIGAN................................... 12,035,002
-----------
MINNESOTA -- (3.2%)
Bloomington Independent School District No. 271
(GO) Series A (SD CRED PROG)
5.000%, 02/01/20............................. 1,150 1,294,509
City of Edina (GO) Series B
3.000%, 02/01/19............................. 305 319,128
City of State Cloud (GO) Series B
5.000%, 02/01/21............................. 1,275 1,477,177
Lakeville Minnesota Independent School District
No. 194 (GO) Series D (SD CRED PROG)
5.000%, 02/01/22............................. 4,000 4,732,280
Minnesota Public Facilities Authority (RB)
Series A
5.000%, 03/01/18............................. 620 654,063
Minnesota State (GO) Series A
5.000%, 10/01/20............................. 2,885 3,318,125
5.000%, 08/01/22............................. 3,000 3,617,970
Minnesota State (GO) Series B
5.000%, 08/01/20............................. 5,460 6,247,605
5.000%, 10/01/21............................. 4,660 5,511,801
Minnesota State (GO) Series D
5.000%, 08/01/17............................. 2,700 2,786,427
5.000%, 08/01/18............................. 485 519,508
Minnesota State (GO) Series E
2.000%, 08/01/19............................. 1,810 1,861,350
Minnesota State (GO) Series K
5.000%, 11/01/19............................. 3,680 4,116,669
Rochester Independent School District No. 535
(GO) Series A (SD CRED PROG)
3.000%, 02/01/22............................. 1,240 1,345,201
Saint Paul Public Library Agency (GO) Series C
5.000%, 03/01/20............................. 250 282,207
University of Minnesota (RB) Series A (GO OF
UNIV)
5.000%, 12/01/17............................. 1,760 1,840,133
-----------
TOTAL MINNESOTA.................................. 39,924,153
-----------
MISSISSIPPI -- (0.7%)
Mississippi State (GO) Series F
5.000%, 11/01/21............................. 7,750 9,177,628
-----------
127
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
MISSOURI -- (0.7%)
City of Kansas City (GO) Series A
4.000%, 02/01/22............................. $1,150 $ 1,303,157
5.000%, 02/01/23............................. 3,955 4,777,126
St. Charles Community College (GO)
3.000%, 02/15/20............................. 2,245 2,388,141
-----------
TOTAL MISSOURI................................... 8,468,424
-----------
NEBRASKA -- (0.2%)
Omaha Public Power District (RB) Series B
5.000%, 02/01/18............................. 2,965 3,116,185
-----------
NEVADA -- (0.8%)
City of Henderson NV (GO)
5.000%, 06/01/21............................. 490 570,081
Clark County (GO) Series A
5.000%, 07/01/19............................. 1,725 1,904,762
5.000%, 07/01/25............................. 2,700 3,367,899
Clark County School District (GO) Series A
5.000%, 06/15/19............................. 1,500 1,648,425
Clark County School District (GO) Series A
(NATL-RE FGIC)
4.500%, 06/15/17............................. 400 409,260
Nevada State (GO) Series A
5.000%, 08/01/19............................. 1,825 2,017,921
Nevada State (GO) Series D
5.000%, 06/01/17............................. 425 435,540
-----------
TOTAL NEVADA..................................... 10,353,888
-----------
NEW HAMPSHIRE -- (1.4%)
City of Dover (GO)
3.000%, 06/15/19............................. 600 628,842
City of Nashua (GO)
5.000%, 03/15/17............................. 330 335,270
4.000%, 07/15/19............................. 5,350 5,783,885
4.000%, 07/15/20............................. 2,720 3,004,158
New Hampshire State (GO) Series A
5.000%, 03/01/23............................. 5,910 7,206,004
-----------
TOTAL NEW HAMPSHIRE.............................. 16,958,159
-----------
NEW JERSEY -- (1.0%)
Essex County (GO) Series A
5.000%, 08/01/20............................. 1,000 1,137,140
Livingston Township (GO)
3.000%, 01/15/21............................. 350 374,685
Morris County (GO)
4.000%, 10/15/20............................. 2,390 2,655,218
New Jersey Educational Facilities Authority (RB)
Series B
5.000%, 07/01/19............................. 2,330 2,582,572
FACE
AMOUNT VALUE+
------ ------
(000)
NEW JERSEY -- (Continued)
Princeton Regional School District (GO) (ST AID
WITHHLDG)
1.750%, 02/01/22............................. $1,095 $ 1,121,017
South Orange & Maplewood School District (GO)
(SCH BD RES FD)
3.000%, 03/01/22............................. 350 378,651
Township of North Brunswick (GO)
2.000%, 08/01/18............................. 1,075 1,095,608
Union County (GO) Series B
3.000%, 03/01/22............................. 2,315 2,509,460
Union County (GO) Series B (ETM)
3.000%, 03/01/22............................. 45 48,684
-----------
TOTAL NEW JERSEY................................. 11,903,035
-----------
NEW MEXICO -- (1.0%)
Farmington Municipal School District No. 5 (GO)
(ST AID WITHHLDG)
4.000%, 09/01/20............................. 945 1,043,318
Las Cruces School District No. 2 (GO) Series A
(ST AID WITHHLDG)
4.000%, 08/01/19............................. 1,000 1,079,020
4.000%, 08/01/20............................. 125 137,825
New Mexico State Severance Tax Permanent Fund
(RB) Series A
5.000%, 07/01/19............................. 2,000 2,200,640
New Mexico State Severance Tax Permanent Fund
(RB) Series B
4.000%, 07/01/20............................. 4,100 4,497,577
Santa Fe County (GO)
5.000%, 07/01/22............................. 1,000 1,198,870
Santa Fe Public School District (GO) (ST AID
WITHHLDG)
5.000%, 08/01/24............................. 2,000 2,485,160
-----------
TOTAL NEW MEXICO................................. 12,642,410
-----------
NEW YORK -- (4.6%)
Albany County (GO) Series B
4.000%, 11/01/18............................. 2,470 2,616,965
Brewster Central School District (GO) (ST AID
WITHHLDG)
2.000%, 10/01/19............................. 1,000 1,026,580
City of New York (GO) Series A
5.000%, 08/01/24............................. 860 1,058,780
City of New York (GO) Series A-1
5.000%, 08/01/17............................. 1,000 1,032,010
City of New York (GO) Series B
5.000%, 08/01/19............................. 600 663,594
5.000%, 08/01/21............................. 450 525,456
5.000%, 08/01/22............................. 600 716,616
City of New York (GO) Series B- Subseries B-7
(AMBAC)
5.000%, 08/15/18............................. 1,620 1,738,714
128
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
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FACE
AMOUNT VALUE+
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(000)
NEW YORK -- (Continued)
City of New York (GO) Series C
5.250%, 08/01/18............................. $ 430 $ 462,220
5.000%, 08/01/20............................. 5,625 6,403,050
City of New York (GO) Series E
5.000%, 08/01/23............................. 6,000 7,290,600
City of New York (GO) Series G
5.000%, 08/01/19............................. 3,500 3,870,965
Malverne Union Free School District (GO) (ST AID
WITHHLDG)
2.125%, 08/01/17............................. 605 611,250
New York State Dormitory Authority (RB) Series A
3.000%, 07/01/20............................. 1,615 1,724,804
5.000%, 03/15/23............................. 200 243,706
New York State Dormitory Authority (RB) Series B
5.000%, 02/15/22............................. 10,200 12,080,676
5.000%, 02/15/24............................. 4,900 6,014,505
New York State Dormitory Authority (RB) Series C
5.000%, 03/15/19............................. 825 901,783
New York State Urban Development Corp. (RB)
Series A
5.000%, 03/15/19............................. 1,630 1,781,704
New York State Urban Development Corp. (RB)
Series C
5.000%, 12/15/18............................. 4,225 4,582,688
Penfield Central School District (GO) (ASSURED
GTY) (ST AID WITHHLDG)
3.750%, 06/15/19............................. 150 160,585
Sachem Central School District (GO) (ST AID
WITHHLDG)
5.000%, 10/15/19............................. 1,300 1,448,772
Town of Cheektowaga (GO)
5.000%, 07/15/23............................. 300 366,687
Town of Huntington (GO)
2.000%, 12/01/23............................. 100 103,823
-----------
TOTAL NEW YORK................................... 57,426,533
-----------
NORTH CAROLINA -- (4.9%)
City of Charlotte (GO) Series A
5.000%, 07/01/18............................. 4,380 4,680,643
City of Charlotte (RB)
5.000%, 07/01/19............................. 2,000 2,212,320
City of High Point (GO)
5.000%, 03/01/18............................. 700 738,745
Forsyth County (GO)
4.000%, 12/01/21............................. 3,500 3,986,885
Johnston County (GO)
4.000%, 02/01/20............................. 3,735 4,082,990
Johnston County (GO) Series A
5.000%, 02/01/21............................. 2,995 3,471,265
Lincoln County (GO) Series A
2.000%, 06/01/17............................. 500 503,740
FACE
AMOUNT VALUE+
------ ------
(000)
NORTH CAROLINA -- (Continued)
New Hanover County (GO)
4.000%, 08/01/19.............................. $2,280 $ 2,468,556
5.000%, 02/01/23.............................. 250 304,965
North Carolina State (GO) Series B
5.000%, 06/01/18.............................. 2,000 2,130,780
North Carolina State (GO) Series C
5.000%, 05/01/20.............................. 3,270 3,716,878
5.000%, 05/01/21.............................. 4,625 5,411,620
North Carolina State (GO) Series D
4.000%, 06/01/21.............................. 5,000 5,640,800
4.000%, 06/01/23.............................. 8,700 10,152,378
North Carolina State (GO) Series E
5.000%, 05/01/19.............................. 5,000 5,503,250
Onslow County (GO)
5.000%, 04/01/17.............................. 600 610,692
Wake County (GO)
5.000%, 09/01/21.............................. 1,450 1,710,667
Wake County (GO) Series C
5.000%, 03/01/24.............................. 3,000 3,740,160
-----------
TOTAL NORTH CAROLINA............................... 61,067,334
-----------
OHIO -- (3.3%)
City of Cincinnati (GO) Series C
5.000%, 12/01/19.............................. 2,955 3,301,828
City of Columbus (GO) Series 1
5.000%, 07/01/22.............................. 4,100 4,937,712
City of Columbus (GO) Series A
3.000%, 07/01/21.............................. 470 508,681
3.000%, 07/01/22.............................. 700 765,541
4.000%, 07/01/23.............................. 4,995 5,821,623
Hamilton County Sewer System Revenue (RB) Series
A
5.000%, 12/01/21.............................. 200 235,922
Oakwood City School District (GO)
2.000%, 12/01/17.............................. 280 283,718
Ohio State (GO)
5.000%, 09/01/19.............................. 6,000 6,667,440
Ohio State (GO) Series A
5.000%, 09/01/19.............................. 550 611,182
5.000%, 05/01/20.............................. 1,555 1,762,919
3.000%, 02/01/22.............................. 500 543,745
5.000%, 09/15/22.............................. 500 603,850
5.000%, 09/15/22.............................. 250 301,925
Ohio State (GO) Series B
5.000%, 08/01/17.............................. 400 412,868
5.000%, 08/01/19.............................. 200 221,658
5.000%, 09/15/19.............................. 2,065 2,297,829
5.000%, 08/01/20.............................. 3,020 3,449,655
5.000%, 06/15/21.............................. 1,500 1,754,490
5.000%, 06/15/22.............................. 4,000 4,799,080
Ohio State (GO) Series C
5.000%, 09/15/21.............................. 1,000 1,178,060
129
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
OHIO -- (Continued)
Ohio State (RB) Series 1-GARVEE
5.000%, 12/15/17.............................. $ 1,250 $ 1,308,950
-----------
TOTAL OHIO......................................... 41,768,676
-----------
OKLAHOMA -- (0.1%)
City of Oklahoma City (GO)
5.000%, 03/01/19.............................. 1,310 1,431,843
City of Tulsa (GO)
5.000%, 12/01/17.............................. 400 418,124
-----------
TOTAL OKLAHOMA..................................... 1,849,967
-----------
OREGON -- (0.7%)
City of Portland (GO) Series B
4.000%, 06/01/20.............................. 935 1,031,941
Lane County School District No. 4J Eugene (GO)
Series A (SCH BD GTY)
5.000%, 06/15/23.............................. 3,355 4,080,183
Oregon State (GO) Series A
5.000%, 05/01/21.............................. 200 233,538
Portland Community College District (GO)
5.000%, 06/15/18.............................. 2,760 2,944,423
Washington County School District No. 1 (GO)
(NATL-RE FGIC)
5.250%, 06/15/17.............................. 400 411,124
-----------
TOTAL OREGON....................................... 8,701,209
-----------
PENNSYLVANIA -- (2.0%)
Commonwealth of Pennsylvania (GO)
5.000%, 07/01/18.............................. 1,500 1,596,525
Commonwealth of Pennsylvania (GO) Series 1
5.000%, 07/01/17.............................. 1,035 1,064,228
5.000%, 04/01/22.............................. 11,260 13,179,380
Monroe County (GO)
4.000%, 12/15/18.............................. 400 422,556
Montgomery County (GO)
5.000%, 05/01/23.............................. 5,255 6,371,004
Pennsylvania Economic Development Financing
Authority (RB) Series A
5.000%, 07/01/19.............................. 1,300 1,436,565
West View Municipal Authority Water Revenue (RB)
4.000%, 11/15/20.............................. 1,100 1,212,222
-----------
TOTAL PENNSYLVANIA................................. 25,282,480
-----------
RHODE ISLAND -- (2.2%)
Rhode Island State (GO) Series A
5.000%, 08/01/19.............................. 8,000 8,857,120
5.000%, 08/01/22.............................. 1,605 1,914,990
FACE
AMOUNT VALUE+
------ ------
(000)
RHODE ISLAND -- (Continued)
Rhode Island State (GO) Series C
5.000%, 08/01/19.............................. $9,185 $10,169,081
5.000%, 08/01/20.............................. 4,870 5,549,365
Rhode Island State (GO) Series D
5.000%, 08/01/22.............................. 685 817,301
-----------
TOTAL RHODE ISLAND................................. 27,307,857
-----------
SOUTH CAROLINA -- (3.8%)
Beaufort County (GO) Series C (ST AID WITHHLDG)
5.000%, 03/01/22.............................. 3,485 4,150,565
Berkeley County School District (GO) Series B
(SCSDE)
5.000%, 03/01/22.............................. 4,120 4,892,788
Charleston County (GO) Series A
5.000%, 11/01/22.............................. 4,780 5,805,979
Charleston County School District (GO) Series A
(SCSDE)
5.000%, 02/01/21.............................. 2,020 2,343,038
City of Charleston SC Waterworks & Sewer System
Revenue (RB)
5.000%, 01/01/20.............................. 1,805 2,030,896
City of North Charleston (GO) (ST AID WITHHLDG)
5.000%, 06/01/21.............................. 385 449,599
Clemson University (RB)
3.000%, 05/01/21.............................. 350 373,839
Dorchester County School District No. 2 (GO)
Series B (SCSDE)
5.000%, 03/01/25.............................. 1,430 1,798,754
Florence School District One (GO) (SCSDE)
5.000%, 03/01/20.............................. 3,335 3,758,812
Lexington & Richland School District No. 5 (GO)
(SCSDE)
5.000%, 03/01/19.............................. 945 1,031,978
Richland County School District No. 1 (GO)
Series A (SCSDE)
5.000%, 03/01/20.............................. 5,480 6,174,481
Richland County School District No. 2 (GO)
Series A (SCSDE)
5.000%, 02/01/21.............................. 2,085 2,414,680
South Carolina State (GO) Series A
5.000%, 06/01/19.............................. 2,500 2,758,550
South Carolina State (GO) Series A (ST AID
WITHHLDG)
5.000%, 10/01/23.............................. 5,500 6,808,065
York County (GO) (ST AID WITHHLDG)
5.000%, 04/01/20.............................. 1,900 2,150,800
-----------
TOTAL SOUTH CAROLINA............................... 46,942,824
-----------
130
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
TENNESSEE -- (4.6%)
City of Clarksville Water Sewer & Gas Revenue
(RB)
5.000%, 02/01/20.............................. $3,150 $ 3,538,300
City of Johnson City (GO)
2.000%, 06/01/18.............................. 1,000 1,017,820
3.000%, 06/01/19.............................. 875 917,823
City of Memphis (GO) Series A
5.000%, 11/01/22.............................. 9,695 11,701,283
5.000%, 04/01/25.............................. 1,945 2,432,203
City of Pigeon Forge (GO)
4.000%, 06/01/21.............................. 670 748,872
Hamilton County (GO) Series B
3.000%, 03/01/22.............................. 4,550 4,951,765
Maury County (GO)
5.000%, 04/01/21.............................. 5,105 5,947,938
Maury County (GO) Series B
5.000%, 04/01/19.............................. 1,000 1,096,050
Metropolitan Government of Nashville & Davidson
County (GO)
5.000%, 01/01/18.............................. 2,700 2,830,437
5.000%, 07/01/22.............................. 1,000 1,200,080
Metropolitan Government of Nashville & Davidson
County (GO) Series A
5.000%, 01/01/20.............................. 1,100 1,235,102
Metropolitan Government of Nashville & Davidson
County (RB) Series E (ETM)
4.000%, 10/01/17.............................. 2,000 2,058,900
Putnam County (GO)
4.000%, 04/01/23.............................. 975 1,126,027
Shelby County (GO) Series A
5.000%, 04/01/20.............................. 7,000 7,924,000
Sumner County (GO)
5.000%, 06/01/21.............................. 110 128,190
Tennessee State (GO) Series A
4.000%, 09/01/18.............................. 3,325 3,513,893
Tennessee State (GO) Series B
5.000%, 08/01/20.............................. 1,945 2,227,881
Williamson County (GO)
4.000%, 03/01/18.............................. 1,445 1,505,748
Williamson County (GO) Series A
4.000%, 05/01/22.............................. 300 342,648
Wilson County (GO) Series B
4.000%, 04/01/20.............................. 1,040 1,140,329
-----------
TOTAL TENNESSEE.................................... 57,585,289
-----------
TEXAS -- (11.7%)
Austin Independent School District (GO) (PSF-GTD)
5.000%, 08/01/20.............................. 350 399,378
City of Arlington (GO) Series A
3.000%, 08/15/20.............................. 1,700 1,813,475
FACE
AMOUNT VALUE+
------ ------
(000)
TEXAS -- (Continued)
City of Austin (GO)
5.000%, 09/01/20............................. $1,655 $1,896,266
City of Dallas (GO)
5.000%, 02/15/21............................. 4,905 5,674,153
City of Denton (GO)
4.000%, 02/15/22............................. 2,510 2,852,163
City of El Paso (GO)
5.000%, 08/15/19............................. 3,505 3,873,551
City of Fort Worth Water & Sewer System (RB)
5.000%, 02/15/19............................. 400 435,740
City of Houston (GO) Series A
5.000%, 03/01/18............................. 750 790,485
5.000%, 03/01/21............................. 3,100 3,566,984
5.000%, 03/01/22............................. 5,890 6,928,466
City of Houston Combined Utility System Revenue (RB)
(ASSURED GTY)
(currency) 5.375%, 11/15/38
(Pre-refunded @ $100, 5/15/19)............... 4,735 5,255,708
City of Lubbock (GO)
5.000%, 02/15/19............................. 3,000 3,267,330
5.000%, 02/15/23............................. 1,000 1,205,110
City of Richardson (GO)
4.250%, 02/15/18............................. 400 417,580
City of San Antonio (GO)
5.000%, 02/01/20............................. 1,000 1,124,290
City of San Antonio Electric & Gas (RB) Series D
5.000%, 02/01/19............................. 400 435,512
City of Southlake (GO)
3.000%, 02/15/23............................. 1,510 1,655,775
City Public Service Board of San Antonio (RB)
5.000%, 02/01/21............................. 3,000 3,464,940
Clear Creek Independent School District (GO) Series A
(PSF- GTD)
5.000%, 02/15/25............................. 2,175 2,723,513
Dallas Independent School District (GO) (PSF-GTD)
5.000%, 02/15/19............................. 3,480 3,792,574
El Paso Independent School District (GO) (PSF-GTD)
5.000%, 08/15/24............................. 500 620,215
Fort Bend Independent School District (GO) (PSF-GTD)
3.000%, 08/15/17............................. 1,500 1,526,535
Galveston County (GO)
5.000%, 02/01/22............................. 1,000 1,183,070
Grayson County (GO)
5.000%, 01/01/21............................. 1,990 2,291,624
Harris County (GO) Series A
4.000%, 10/01/18............................. 880 932,263
5.000%, 10/01/19............................. 4,345 4,835,768
131
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
TEXAS -- (Continued)
5.000%, 10/01/19.............................. $3,500 $3,895,325
Harris County Metropolitan Transit Authority
(RB) Series B
4.000%, 11/01/18.............................. 400 424,128
Hays Consolidated Independent School District
(GO) (PSF-GTD)
5.000%, 08/15/23.............................. 1,355 1,657,802
Hidalgo County Drain District No. 1 (GO)
5.000%, 09/01/22.............................. 1,000 1,195,830
Highland Park Independent School District (GO)
(PSF-GTD)
5.000%, 02/15/20.............................. 1,790 2,014,484
Houston Community College System (GO)
5.000%, 02/15/17.............................. 1,000 1,012,370
Humble Independent School District (GO) Series A
(PSF- GTD)
2.000%, 02/15/19.............................. 100 102,160
5.500%, 02/15/25.............................. 7,000 8,997,030
La Porte Independent School District (GO)
5.000%, 02/15/21.............................. 1,700 1,963,500
Lake Travis Independent School District (GO)
(PSF-GTD)
5.000%, 02/15/20.............................. 3,480 3,914,026
Mansfield Independent School District (GO)
5.000%, 02/15/20.............................. 1,000 1,120,250
Mansfield Independent School District (GO)
Series A (PSF-GTD)
5.000%, 02/15/22.............................. 895 1,058,517
Mesquite Independent School District (GO) Series
B (PSF-GTD)
5.000%, 08/15/17.............................. 2,270 2,345,546
Northside Independent School District (GO)
(PSF-GTD)
5.000%, 02/15/23.............................. 4,535 5,477,237
Northwest Independent School District (GO)
Series A (PSF- GTD)
5.000%, 02/15/24.............................. 1,695 2,087,053
San Antonio Independent School District (GO)
(PSF-GTD)
5.000%, 02/15/20.............................. 4,100 4,618,445
Spring Independent School District (GO) (PSF-GTD)
5.000%, 08/15/19.............................. 5,000 5,538,800
Tarrant Regional Water District (RB)
6.000%, 09/01/24.............................. 3,450 4,515,187
Texas A&M University (RB) Series B
5.000%, 05/15/21.............................. 4,000 4,662,920
Texas A&M University Fund (RB)
5.000%, 07/01/23.............................. 3,500 4,281,165
FACE
AMOUNT VALUE+
------ ------
(000)
TEXAS -- (Continued)
Texas State (GO)
5.000%, 04/01/19.............................. $ 4,500 $ 4,928,850
5.000%, 10/01/23.............................. 5,315 6,520,123
Texas State (GO) Series A
5.000%, 10/01/19.............................. 1,900 2,116,334
Texas Transportation Commission State Highway
Fund (RB)
5.250%, 04/01/26.............................. 300 388,326
Texas Transportation Commission State Highway
Fund (RB) Series A
5.000%, 04/01/19.............................. 5,000 5,475,250
5.000%, 04/01/20.............................. 2,770 3,129,684
------------
TOTAL TEXAS........................................ 146,402,810
------------
UTAH -- (1.8%)
Davis County (GO)
4.000%, 02/01/18.............................. 350 363,748
Jordan School District (GO) (SCH BD GTY)
5.000%, 06/15/17.............................. 1,070 1,098,526
North Davis County Sewer District (RB)
3.000%, 03/01/21.............................. 2,135 2,289,104
Utah State (GO)
5.000%, 07/01/22.............................. 11,285 13,597,635
Utah State (GO) Series C
5.000%, 07/01/19.............................. 1,100 1,217,700
Washington County School District Board of
Education (GO) (SCH BD GTY)
5.000%, 03/01/18.............................. 1,500 1,582,815
5.000%, 03/01/20.............................. 2,135 2,405,569
------------
TOTAL UTAH......................................... 22,555,097
------------
VERMONT -- (0.4%)
Vermont State (GO) Series B
5.000%, 08/15/23.............................. 1,270 1,569,479
Vermont State (GO) Series C
4.000%, 08/15/23.............................. 225 264,159
Vermont State (GO) Series F
5.000%, 08/15/17.............................. 1,500 1,550,160
5.000%, 08/15/20.............................. 1,100 1,261,172
------------
TOTAL VERMONT...................................... 4,644,970
------------
VIRGINIA -- (4.4%)
City of Hampton (GO) Series B (ST AID WITHHLDG)
5.000%, 09/01/21.............................. 3,000 3,528,510
5.000%, 09/01/22.............................. 2,050 2,471,787
City of Lynchburg (GO)
5.000%, 02/01/20.............................. 1,390 1,566,558
City of Newport News (GO) Series A
2.000%, 07/15/18.............................. 515 524,708
132
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
VIRGINIA -- (Continued)
City of Norfolk (GO) Series C (ST AID WITHHLDG)
5.000%, 10/01/19............................. $2,505 $ 2,790,996
City of Richmond (GO) Series A (ST AID WITHHLDG)
5.000%, 03/01/21............................. 1,370 1,590,776
City of Richmond (GO) Series B (ST AID WITHHLDG)
5.000%, 07/15/26............................. 3,635 4,651,055
City of Roanoke (GO) (ST AID WITHHLDG)
4.000%, 04/01/20............................. 1,000 1,095,060
Commonwealth of Virginia (GO) Series B
4.000%, 06/01/23............................. 2,500 2,919,050
Fairfax County (GO) Series A (ST AID WITHHLDG)
5.000%, 10/01/19............................. 3,880 4,327,713
5.000%, 10/01/19............................. 2,500 2,788,475
Fairfax County (GO) Series C (ST AID WITHHLDG)
5.000%, 10/01/19............................. 6,925 7,724,076
Loudoun County (GO) Series A (ST AID WITHHLDG)
5.000%, 12/01/22............................. 4,000 4,872,600
Pittsylvania County (GO) (ST AID WITHHLDG)
5.000%, 02/01/21............................. 250 288,858
Spotsylvania County Water & Sewer System Revenue
(RB)
5.000%, 06/01/19............................. 2,885 3,168,624
University of Virginia (RB) Series B
5.000%, 08/01/21............................. 6,250 7,367,312
Virginia Public School Authority (RB) Series D
(ST AID WITHHLDG)
5.250%, 08/01/18............................. 500 537,735
Virginia Resources Authority (RB) Series B
4.000%, 10/01/19............................. 2,000 2,170,500
Virginia Resources Authority (RB) Series D
5.000%, 11/01/20............................. 745 857,607
-----------
TOTAL VIRGINIA................................... 55,242,000
-----------
WASHINGTON -- (8.0%)
Benton County School District No. 400 Richland
(GO) (SCH BD GTY)
5.000%, 12/01/22............................. 4,705 5,670,278
Central Puget Sound Regional Transit Authority
(RB) Series P-1
5.000%, 02/01/18............................. 250 263,005
FACE
AMOUNT VALUE+
------ ------
(000)
WASHINGTON -- (Continued)
City of Seattle (GO)
5.000%, 12/01/19............................. $1,500 $1,681,875
5.000%, 12/01/20............................. 2,745 3,173,110
City of Seattle Drainage & Wastewater Revenue
(RB)
5.000%, 09/01/20............................. 3,665 4,199,284
City of Seattle Municipal Light & Power Revenue
(RB)
5.000%, 09/01/20............................. 350 400,740
City of Seattle Municipal Light & Power Revenue
(RB) Series A
5.000%, 06/01/19............................. 1,525 1,680,245
5.000%, 06/01/22............................. 310 371,148
City of Seattle Water System Revenue (RB)
5.000%, 09/01/22............................. 6,000 7,238,220
Clark County School District No. 119
Battleground (GO) (SCH BD GTY)
4.000%, 12/01/21............................. 1,000 1,135,410
4.000%, 12/01/22............................. 2,630 3,032,022
County of Kitsap WA (GO)
5.000%, 06/01/21............................. 200 232,394
King County (GO)
5.000%, 01/01/21............................. 425 491,853
King County (GO) Series A
5.000%, 07/01/19............................. 1,110 1,226,916
5.000%, 07/01/20............................. 2,650 3,020,841
King County (GO) Series E
5.000%, 12/01/19............................. 1,300 1,456,793
King County School District No. 210 (GO) (SCH BD
GTY)
2.000%, 12/01/18............................. 1,200 1,226,604
King County School District No. 403 Renton (GO)
(SCH BD GTY)
5.000%, 12/01/19............................. 1,150 1,283,872
King County School District No. 405 Bellevue
(GO) (SCH BD GTY)
5.000%, 12/01/18............................. 1,500 1,625,985
King County School District No. 411 Issaquah
(GO) (SCH BD GTY)
5.000%, 12/01/23............................. 3,500 4,346,195
King County School District No. 412 (GO) (SCH BD
GTY)
4.000%, 12/01/21............................. 1,000 1,130,670
North Thurston Public Schools (GO) (SCH BD GTY)
5.000%, 12/01/20............................. 2,880 3,293,222
Skagit County School District No. 103 (GO) (SCH
BD GTY)
5.000%, 12/01/19............................. 1,925 2,150,937
5.000%, 12/01/20............................. 2,245 2,584,466
133
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
WASHINGTON -- (Continued)
Snohomish County Public Utility District No. 1
(RB)
5.000%, 12/01/19............................. $1,655 $1,850,323
Snohomish County School District No. 15 Edmonds
(GO) (SCH BD GTY)
5.000%, 12/01/20............................. 2,555 2,936,921
Snohomish County School District No. 6 Mukilteo
(GO) (SCH BD GTY)
5.000%, 12/01/18............................. 2,000 2,165,820
Spokane County (GO)
5.000%, 12/01/22............................. 1,025 1,231,978
Tacoma Metropolitan Park District (GO) Series B
5.000%, 12/01/21............................. 150 176,781
Thurston County School District No. 111 (GO)
(SCH BD GTY)
5.000%, 12/01/21............................. 425 502,482
University of Washington (RB) Series A
5.000%, 07/01/22............................. 6,505 7,814,391
Washington State (GO) Series 2010A
5.000%, 08/01/18............................. 500 535,940
Washington State (GO) Series A
5.000%, 08/01/23............................. 750 916,688
Washington State (GO) Series B-1
5.000%, 08/01/21............................. 1,300 1,522,560
Washington State (GO) Series C
5.000%, 07/01/17............................. 300 308,571
Washington State (GO) Series D
5.000%, 02/01/19............................. 900 979,479
Washington State (GO) Series E
5.000%, 02/01/19............................. 2,000 2,176,620
Washington State (GO) Series R-2012C
4.000%, 07/01/21............................. 1,610 1,809,060
Washington State (GO) Series R-2012D
5.000%, 07/01/20............................. 5,000 5,686,200
Washington State (GO) Series R-2015
5.000%, 07/01/18............................. 1,000 1,068,470
Washington State (GO) Series R-2015C
5.000%, 07/01/20............................. 2,000 2,274,480
Washington State (GO) Series R-2015E
5.000%, 07/01/21............................. 5,000 5,843,850
Washington State (GO) Series R-C
5.000%, 07/01/19............................. 1,750 1,931,405
FACE
AMOUNT VALUE+
------ ------
(000)
WASHINGTON -- (Continued)
Washington State (GO) Series R-D
5.000%, 07/01/23............................. $3,800 $ 4,637,330
--------------
TOTAL WASHINGTON................................. 99,285,434
--------------
WEST VIRGINIA -- (0.9%)
Jefferson County Board of Education (GO) (WV BD
COMM)
4.000%, 05/01/20............................. 130 141,349
West Virginia State (GO) Series A
5.000%, 06/01/19............................. 9,525 10,484,453
--------------
TOTAL WEST VIRGINIA.............................. 10,625,802
--------------
WISCONSIN -- (1.7%)
City of Milwaukee (GO) Series N1
5.000%, 02/01/19............................. 6,220 6,772,212
City of Oshkosh (GO) Series B
3.000%, 12/01/23............................. 445 485,904
Oregon School District (GO)
3.000%, 03/01/21............................. 430 461,227
Sun Prairie Area School District (GO)
4.000%, 03/01/20............................. 570 620,542
Wisconsin State (GO) Series 1 (AMBAC)
5.000%, 05/01/19............................. 2,150 2,361,904
Wisconsin State (GO) Series 2
5.000%, 11/01/20............................. 5,610 6,455,595
Wisconsin State (GO) Series C
5.000%, 05/01/20............................. 3,295 3,734,355
--------------
TOTAL WISCONSIN.................................. 20,891,739
--------------
TOTAL MUNICIPAL BONDS............................ 1,246,325,808
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,223,557,848).......................... $1,246,325,808
==============
134
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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
------- -------------- ------- --------------
Municipal Bonds. -- $1,246,325,808 -- $1,246,325,808
-- -------------- -- --------------
TOTAL........... -- $1,246,325,808 -- $1,246,325,808
== ============== == ==============
See accompanying Notes to Financial Statements.
135
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
FACE
AMOUNT VALUE+
------ ------
(000)
MUNICIPAL BONDS -- (100.0%)
CALIFORNIA -- (100.0%)
Alameda County Transportation Authority (RB)
3.000%, 03/01/17............................. $ 4,500 $ 4,535,730
5.000%, 03/01/20............................. 4,500 5,092,380
Anaheim Union High School District (GO)
5.000%, 08/01/17............................. 1,650 1,703,080
5.000%, 08/01/19............................. 400 442,972
Bay Area Toll Authority (RB)
4.000%, 04/01/18............................. 4,430 4,629,793
5.000%, 04/01/19............................. 775 850,811
Bay Area Toll Authority (RB) Series F-1
(currency) 5.000%, 04/01/34
(Pre-refunded
@ $100, 4/1/19).............................. 1,000 1,098,320
(currency) 5.000%, 04/01/34
(Pre-refunded
@ $100, 4/1/18).............................. 9,585 10,155,691
(currency) 5.125%, 04/01/39
(Pre-refunded
@ $100, 4/1/19).............................. 8,125 8,948,062
(currency) 5.625%, 04/01/44
(Pre-refunded
@ $100, 4/1/19).............................. 11,500 12,801,800
Bay Area Toll Authority (RB) Series F-2
4.000%, 04/01/21............................. 500 562,265
Berkeley Unified School District (GO) Series A
4.000%, 08/01/19............................. 500 541,070
Berkeley Unified School District (GO) Series D
5.000%, 08/01/23............................. 295 362,051
Berryessa Union School District (GO) (AMBAC)
5.375%, 08/01/18............................. 380 410,123
California Educational Facilities Authority (RB) Series A
5.000%, 01/01/18............................. 1,020 1,070,378
4.000%, 11/01/19............................. 850 920,839
California Health Facilities Financing Authority (RB)
(currency) 6.500%, 10/01/38
(Pre-refunded
@ $100, 10/1/18)............................. 13,705 15,172,394
California Health Facilities Financing Authority (RB)
Series C
(currency) 6.500%, 10/01/33
(Pre-refunded
@ $100, 10/1/18)............................. 9,650 10,692,972
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
California State (GO)
5.000%, 03/01/17............................. $ 7,500 $ 7,608,075
California State (GO)
5.000%, 11/01/16............................. 3,410 3,410,000
4.000%, 08/01/17............................. 1,750 1,793,452
5.000%, 08/01/17............................. 700 722,568
4.000%, 09/01/17............................. 425 436,696
5.000%, 09/01/17............................. 3,500 3,625,160
5.000%, 09/01/17............................. 3,850 3,987,676
5.000%, 11/01/17............................. 800 834,112
5.000%, 02/01/18............................. 5,220 5,494,207
5.000%, 02/01/18............................. 1,000 1,052,530
5.500%, 04/01/18............................. 10,945 11,670,106
5.000%, 08/01/18............................. 5,000 5,363,000
5.000%, 08/01/18............................. 2,200 2,359,720
5.000%, 09/01/18............................. 250 268,965
5.000%, 09/01/18............................. 4,500 4,841,370
5.000%, 02/01/19............................. 5,840 6,367,994
5.000%, 04/01/19............................. 4,750 5,209,847
5.500%, 04/01/19............................. 10,495 11,635,806
5.000%, 09/01/19............................. 1,000 1,112,430
5.000%, 10/01/19............................. 1,500 1,673,550
5.000%, 10/01/19............................. 5,000 5,578,500
5.000%, 10/01/19............................. 5,340 5,957,838
5.000%, 11/01/19............................. 2,955 3,305,640
5.000%, 02/01/20............................. 12,870 14,491,620
5.000%, 04/01/20............................. 3,705 4,194,060
5.000%, 04/01/20............................. 325 367,900
5.000%, 08/01/20............................. 2,415 2,761,456
5.000%, 09/01/20............................. 700 802,326
5.000%, 10/01/20............................. 1,580 1,815,894
5.000%, 10/01/20............................. 3,410 3,919,113
5.000%, 10/01/20............................. 1,610 1,850,373
5.000%, 11/01/20............................. 8,000 9,219,360
5.000%, 02/01/21............................. 1,575 1,824,039
5.000%, 02/01/21............................. 650 752,778
5.000%, 04/01/21............................. 795 924,410
5.000%, 09/01/21............................. 6,200 7,292,254
5.000%, 03/01/22............................. 1,075 1,276,638
5.000%, 04/01/22............................. 1,800 2,142,738
5.250%, 10/01/22............................. 500 609,790
California State (GO) (AMBAC)
6.000%, 02/01/17............................. 1,000 1,013,210
6.000%, 04/01/17............................. 4,000 4,088,360
California State (GO) Series A (ETM)
5.000%, 07/01/19............................. 6,955 7,705,027
California State (GO) Series B
5.000%, 09/01/17............................. 1,200 1,242,912
5.000%, 09/01/18............................. 3,000 3,227,580
5.000%, 09/01/20............................. 3,600 4,126,248
California State Department of Water Resources
(RB) Series AI
5.000%, 12/01/16............................. 1,535 1,540,280
136
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
California State Department of Water Resources (RB)
Series AI (ETM)
5.000%, 12/01/16............................. $ 170 $ 170,571
California State Department of Water Resources (RB)
Series AS
5.000%, 12/01/22............................. 3,355 4,084,712
California State Department of Water Resources (RB)
Series AS (ETM)
5.000%, 12/01/22............................. 35 42,476
California State Department of Water Resources Power
Supply Revenue (RB) Series L
5.000%, 05/01/17............................. 10,905 11,138,803
5.000%, 05/01/18............................. 2,680 2,846,455
5.000%, 05/01/20............................. 2,575 2,925,947
California State Department of Water Resources Power
Supply Revenue (RB) Series M
5.000%, 05/01/18............................. 500 531,055
4.000%, 05/01/19............................. 1,515 1,629,807
California State Department of Water Resources Power
Supply Revenue (RB) Series O
5.000%, 05/01/21............................. 11,505 13,450,841
California State Public Works Board (RB) Series B (ETM)
(NATL-RE FGIC)
5.000%, 06/01/17............................. 1,275 1,307,156
California State University (RB) Series A
1.500%, 11/01/16............................. 2,840 2,840,000
5.000%, 11/01/16............................. 1,030 1,030,000
5.000%, 11/01/17............................. 1,700 1,772,828
5.000%, 11/01/17............................. 2,000 2,085,680
5.000%, 11/01/17............................. 1,000 1,042,840
5.000%, 11/01/18............................. 150 162,285
5.000%, 11/01/18............................. 1,000 1,081,900
5.000%, 11/01/19............................. 3,660 4,095,430
5.000%, 11/01/19............................. 1,000 1,118,970
California Statewide Communities Dev. Authority (RB)
(currency) 5.250%, 12/01/27
(Pre-refunded
@ $100, 12/1/17)............................. 3,605 3,779,194
(currency) 6.000%, 05/15/40
(Pre-refunded
@ $100, 5/15/18)............................. 9,090 9,807,474
California Statewide Communities Dev. Authority (RB) (CA
MTG INS)
(currency) 5.750%, 08/15/38
(Pre-refunded
@ $100, 8/15/18)............................. 3,000 3,260,700
Central Marin Sanitation Agency (RB)
3.000%, 09/01/19............................. 1,160 1,225,853
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
Chabot-Las Positas Community College District (GO)
4.000%, 08/01/22............................. $ 3,050 $ 3,515,308
Chino Basin Regional Financing Authority (RB) Series A
4.000%, 08/01/17............................. 1,000 1,024,980
Chino Valley Unified School District (GO) Series A
4.000%, 08/01/17............................. 500 512,490
Chula Vista Elementary School District (GO)
4.000%, 08/01/17............................. 500 512,300
City & County of San Francisco (GO) Series A
5.000%, 06/15/17............................. 1,000 1,026,970
4.000%, 06/15/18............................. 620 651,800
4.750%, 06/15/19............................. 650 714,032
5.000%, 06/15/20............................. 750 855,428
City & County of San Francisco (GO) Series C
5.000%, 06/15/17............................. 270 277,282
City & County of San Francisco (GO) Series R1
5.000%, 06/15/17............................. 7,600 7,804,972
5.000%, 06/15/20............................. 865 986,593
5.000%, 06/15/21............................. 250 293,893
City of Berkeley (GO)
2.000%, 07/27/17............................. 11,750 11,861,977
City of Long Beach Harbor Revenue (RB) Series B
5.000%, 05/15/19............................. 815 897,421
City of Long Beach Harbor Revenue (RB) Series C
5.000%, 11/15/18............................. 8,360 9,052,542
City of Los Angeles (GO) Series A
5.000%, 09/01/20............................. 9,400 10,800,788
City of Los Angeles (GO) Series B
5.000%, 09/01/18............................. 7,000 7,533,680
5.000%, 09/01/21............................. 1,250 1,477,937
City of Los Angeles (RAN) Series A
2.000%, 03/30/17............................. 6,000 6,036,360
City of Los Angeles CA Solid Waste Resources Revenue
(RB) Series B
5.000%, 02/01/17............................. 3,425 3,462,058
City of Los Angeles Department of Airports (RB) (BHAC-CR)
(currency) 5.250%, 05/15/38
(Pre-refunded
@ $100, 5/15/18)............................. 28,500 30,424,320
City of Los Angeles Solid Waste Resources Revenue (RB)
Series B
5.000%, 02/01/18............................. 1,015 1,068,582
City of Los Angeles Wastewater System Revenue (RB)
Series 2013-B
5.000%, 06/01/21............................. 1,400 1,640,366
137
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
City of Sacramento Unified School District (GO)
5.000%, 07/01/24............................. $ 1,375 $ 1,702,951
City of San Francisco Public Utilities Commission
Wastewater Revenue (RB) Series A
5.000%, 10/01/18............................. 800 862,320
City of San Francisco Public Utilities Commission Water
Revenue (RB)
4.000%, 11/01/22............................. 3,000 3,465,660
5.000%, 11/01/23............................. 1,835 2,266,812
City of Torrance (GO) (TRANS)
2.000%, 07/06/17............................. 25,450 25,680,322
City of Tulare Sewer Revenue (RB) (AGM)
3.000%, 11/15/19............................. 200 210,692
Colton Joint Unified School District (GO) (AGM)
4.000%, 08/01/20............................. 1,000 1,097,580
Conejo Valley Unified School District (GO)
4.000%, 08/01/18............................. 700 736,967
Contra Costa Water District (RB) Series Q
5.000%, 10/01/18............................. 705 761,181
5.000%, 10/01/19............................. 1,345 1,503,091
Desert Community College District (GO)
5.000%, 08/01/21............................. 665 782,200
Desert Sands Unified School District (GO)
4.000%, 08/01/18............................. 1,375 1,450,323
Downey Unified School District (GO) Series A
3.000%, 08/01/17............................. 1,785 1,816,362
Dublin Unified School District (GO)
5.000%, 02/01/19............................. 11,775 12,858,889
East Bay Municipal Utility District Wastewater System
Revenue (RB) Series A (AMBAC)
(currency) 5.000%, 06/01/33
(Pre-refunded
@ $100, 6/1/17).............................. 2,520 2,583,554
East Bay Municipal Utility District Water System Revenue
(RB) Series A (NATL-RE)
(currency) 5.000%, 06/01/32
(Pre-refunded
@ $100, 6/1/17).............................. 4,000 4,100,880
East Bay Regional Park District (GO) Series A
4.000%, 09/01/21............................. 210 238,661
East Side Union High School District (GO)
2.000%, 08/01/18............................. 1,215 1,240,418
2.000%, 08/01/20............................. 1,055 1,088,939
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
El Rancho Unified School District (GO) (AGM)
4.000%, 08/01/20............................. $ 780 $ 857,618
Folsom Cordova Unified School District School Facilities
Improvement Dist No. 2 (GO)
5.000%, 10/01/17............................. 845 878,099
Fontana Unified School District (GO)
5.000%, 08/01/18............................. 3,140 3,366,834
5.000%, 08/01/19............................. 1,285 1,423,420
4.000%, 08/01/20............................. 3,620 3,998,399
4.000%, 08/01/21............................. 530 596,669
Foothill-De Anza Community College District (GO)
4.000%, 08/01/19............................. 550 596,112
Fremont Unified School District/ Alameda County (GO)
5.000%, 08/01/18............................. 750 804,585
Fremont Union High School District (GO)
5.000%, 08/01/20............................. 1,000 1,147,430
Fresno Unified School District (GO) Series A (AGM)
4.000%, 08/01/17............................. 1,820 1,865,045
Gilroy Unified School District (GO) (AGM)
4.000%, 08/01/23............................. 1,900 2,204,893
Glendora Unified School District (GO)
4.000%, 08/01/18............................. 890 938,594
Grossmont Union High School District (GO)
4.000%, 08/01/20............................. 2,420 2,686,127
Kern County (RAN)
2.000%, 03/15/17............................. 3,000 3,015,210
3.000%, 05/15/17............................. 6,250 6,328,687
Livermore Valley Joint Unified School District (GO)
5.000%, 08/01/20............................. 800 913,816
Los Altos Elementary School District (GO)
5.000%, 08/01/19............................. 975 1,084,239
4.000%, 08/01/21............................. 1,550 1,757,979
Los Angeles Community College District (GO)
5.000%, 08/01/21............................. 2,890 3,399,334
Los Angeles Community College District (GO) Series A
5.000%, 08/01/20............................. 10,000 11,450,400
5.000%, 08/01/21............................. 1,875 2,205,450
Los Angeles Community College District (GO) Series C
5.000%, 08/01/20............................. 1,025 1,173,666
Los Angeles Community College District (GO) Series F-1
(currency) 5.000%, 08/01/33
(Pre-refunded
@ $100, 8/1/18).............................. 3,375 3,618,202
138
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
Los Angeles Community College District (GO)
Series G
5.000%, 08/01/23.............................. $ 3,350 $ 4,123,515
Los Angeles Convention & Exhibit Center
Authority (RB) Series A (ETM)
5.000%, 08/15/17.............................. 1,125 1,162,800
Los Angeles County (GO) (TRANS)
3.000%, 06/30/17.............................. 16,500 16,763,505
Los Angeles County Metropolitan Transportation
Authority (RB) Series A
5.000%, 07/01/17.............................. 5,450 5,607,559
5.000%, 07/01/18.............................. 4,650 4,973,965
5.000%, 07/01/19.............................. 4,000 4,430,240
5.000%, 07/01/20.............................. 3,085 3,525,075
Los Angeles County Metropolitan Transportation
Authority (RB) Series C
5.000%, 07/01/21.............................. 1,400 1,646,008
Los Angeles Department of Water (RB) Series A
4.000%, 07/01/17.............................. 1,100 1,124,486
Los Angeles Department of Water (RB) Series B
5.000%, 07/01/19.............................. 1,000 1,106,440
Los Angeles Department of Water & Power (RB)
Series A
4.000%, 07/01/17.............................. 840 858,698
5.000%, 07/01/18.............................. 2,375 2,537,212
5.000%, 07/01/18.............................. 125 133,538
5.000%, 07/01/19.............................. 2,990 3,308,256
5.000%, 07/01/21.............................. 2,000 2,349,440
Los Angeles Municipal Improvement Corp. (RB)
Series A
4.000%, 11/01/16.............................. 1,795 1,795,000
5.000%, 03/01/17.............................. 4,300 4,361,533
Los Angeles Unified School District (GO) Series A
4.000%, 07/01/17.............................. 5,500 5,622,045
5.000%, 07/01/17.............................. 6,145 6,321,853
4.000%, 07/01/18.............................. 1,000 1,052,350
5.000%, 07/01/18.............................. 1,000 1,068,810
Los Angeles Unified School District (GO)
Series A-1
5.000%, 07/01/18.............................. 500 534,405
Los Angeles Unified School District (GO)
Series A-1 (FGIC)
5.500%, 07/01/18.............................. 2,745 2,956,475
Los Angeles Unified School District (GO)
Series A-2
5.000%, 07/01/21.............................. 2,200 2,584,384
Los Angeles Unified School District (GO) Series B
5.000%, 07/01/17.............................. 1,750 1,800,365
5.000%, 07/01/22.............................. 1,350 1,627,479
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
Los Angeles Unified School District (GO) Series C
2.000%, 07/01/17............................. $ 2,800 $ 2,825,256
5.000%, 07/01/20............................. 500 571,135
5.000%, 07/01/23............................. 2,000 2,463,500
Los Angeles Unified School District (GO) Series KRY
5.000%, 07/01/19............................. 3,390 3,753,679
Manhattan Beach Unified School District (GO) Series F
4.000%, 09/01/21............................. 500 566,980
Metropolitan Water District of Southern California (RB)
Series C
5.000%, 07/01/17............................. 1,220 1,255,112
Mount Diablo Unified School District (GO)
5.000%, 02/01/19............................. 500 544,975
New Haven Unified School District (GO) (AGM)
12.000%, 08/01/17............................ 2,965 3,214,208
4.000%, 08/01/19............................. 1,430 1,545,029
New Haven Unified School District (GO) Series B (BAM)
5.000%, 08/01/21............................. 3,100 3,638,532
Newhall School District (GO)
--%, 08/01/18................................ 6,995 6,867,201
Northern California Power Agency (RB) Series A
5.000%, 07/01/17............................. 1,000 1,028,370
Oakland-Alameda County Coliseum Authority (RB) Series A
5.000%, 02/01/17............................. 3,700 3,739,775
Orange County Sanitation District (CP) Series B (AGM)
(currency) 5.000%, 02/01/25
(Pre-refunded @ $100, 2/1/17)................ 1,200 1,212,804
Orange County Sanitation District (RB) Series A
5.000%, 02/01/24............................. 5,295 6,579,037
Palm Springs Unified School District (GO) Series D
2.000%, 08/01/18............................. 3,360 3,429,115
Palomar Community College District (GO)
5.000%, 05/01/23............................. 715 872,271
Pasadena Area Community College District (GO) Series D
5.000%, 08/01/17............................. 250 258,100
Pasadena Unified School District (GO)
5.000%, 05/01/20............................. 550 624,756
Peralta Community College District (GO)
5.000%, 08/01/17............................. 1,000 1,032,170
5.000%, 08/01/18............................. 1,000 1,072,420
5.000%, 08/01/19............................. 2,220 2,459,760
139
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
Peralta Community College District (GO) Series B
5.000%, 08/01/17............................. $ 1,260 $ 1,300,534
5.000%, 08/01/22............................. 1,845 2,220,513
Poway Unified School District (GO)
3.250%, 08/01/18............................. 1,350 1,406,687
Riverside County Transportation Commission (RB) Series A
5.000%, 06/01/18............................. 500 533,100
Sacramento Municipal Utility District (RB) Series B
5.000%, 08/15/17............................. 1,000 1,033,840
Sacramento Municipal Utility District (RB) Series U (AGM)
5.000%, 08/15/17............................. 620 640,981
Sacramento Municipal Utility District (RB) Series X
5.000%, 08/15/21............................. 750 883,238
San Diego County Regional Transportation Commission (RB)
Series A
4.000%, 04/01/18............................. 425 444,350
5.000%, 04/01/18............................. 1,285 1,361,509
San Diego County Water Authority Financing Corp. (CP)
Series 2008 A-COPS (AGM)
(currency) 5.000%, 05/01/28
(Pre-refunded
@ $100, 5/1/18).............................. 5,810 6,170,859
San Diego County Water Authority Financing Corp. (RB)
5.000%, 05/01/20............................. 1,385 1,574,787
5.000%, 05/01/21............................. 550 643,280
San Diego Public Facilities Financing Authority Sewer
Revenue (RB)
5.000%, 05/15/22............................. 4,425 5,312,080
San Diego Public Facilities Financing Authority Sewer
Revenue (RB) Series A
5.000%, 05/15/18............................. 350 372,302
San Diego Public Facilities Financing Authority Sewer
Revenue (RB) Series B
5.000%, 05/15/18............................. 3,650 3,882,578
San Diego Public Facilities Financing Authority Water
Revenue (RB) Series A (ETM)
5.000%, 08/01/18............................. 1,260 1,350,796
San Diego Unified School District (GO) Series R-3
5.000%, 07/01/17............................. 2,200 2,262,722
5.000%, 07/01/23............................. 2,000 2,470,680
San Francisco Bay Area Rapid Transit District (GO)
Series B
(currency) 5.000%, 08/01/27
(Pre-refunded @ $100, 8/1/17)................ 5,085 5,247,415
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
San Francisco Bay Area Rapid Transit District
(GO) Series C
4.000%, 08/01/19.............................. $ 300 $ 325,065
San Francisco Bay Area Rapid Transit District
(RB)
4.000%, 07/01/18.............................. 1,000 1,052,350
San Francisco Community College District (GO)
5.000%, 06/15/18.............................. 5,000 5,336,600
San Francisco Community College District (GO)
Series C
4.000%, 06/15/18.............................. 485 509,876
San Francisco Unified School District (GO)
5.000%, 06/15/18.............................. 1,720 1,836,375
5.000%, 06/15/21.............................. 2,200 2,582,998
San Francisco Unified School District (GO)
Series E
5.000%, 06/15/18.............................. 1,500 1,601,490
San Francisco Unified School District (GO)
Series F&C
2.000%, 06/15/22.............................. 1,750 1,821,942
San Jose Evergreen Community College District
(GO)
5.000%, 09/01/21.............................. 250 295,330
San Juan Unified School District (GO) Series B
2.000%, 08/01/17.............................. 1,000 1,010,160
San Leandro Unified School District (GO) Series B
4.000%, 08/01/21.............................. 265 297,293
San Mateo County Community College District (GO)
4.000%, 09/01/18.............................. 775 820,051
4.000%, 09/01/21.............................. 1,310 1,488,789
San Ramon Valley Unified School District (GO)
4.000%, 08/01/21.............................. 4,225 4,781,475
Santa Clara County (GO) Series B
5.000%, 08/01/18.............................. 5,000 5,362,100
Santa Clara County Financing Authority (RB)
Series A
5.000%, 02/01/19.............................. 3,610 3,935,550
Santa Clara Unified School District (GO)
5.000%, 07/01/17.............................. 10,480 10,780,881
Santa Clara Valley Transportation Authority (RB)
Series B
5.000%, 04/01/18.............................. 8,215 8,696,892
Santa Margarita-Dana Point Authority (RB) Series
B (GO OF DIST)
4.000%, 08/01/17.............................. 1,000 1,024,830
Santa Monica Community College District (GO)
Series A
5.000%, 08/01/19.............................. 315 349,748
140
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
Saugus Union School District School Facilities
Improvement District No. 2014-1 (GO) Series A
5.000%, 08/01/17............................. $ 1,580 $ 1,631,192
Solano County Community College District (GO) Series A
5.000%, 08/01/17............................. 615 634,785
Sonoma County (RB) Series C
5.000%, 09/01/19............................. 6,035 6,717,076
South San Francisco Unified School District (GO) Series
G (ETM)
3.500%, 07/01/18............................. 27,075 28,264,946
Southern California Public Power Authority (RB)
5.000%, 07/01/18............................. 1,135 1,212,713
5.000%, 07/01/18............................. 1,475 1,575,993
5.000%, 07/01/20............................. 1,175 1,338,983
Southwestern Community College District (GO)
5.000%, 08/01/19............................. 2,230 2,481,143
Southwestern Community College District (GO) Series A
5.500%, 08/01/17............................. 275 284,928
Sweetwater Union High School District (GO) (ETM)
5.000%, 01/01/18............................. 1,750 1,835,382
Tamalpais Union High School District (GO)
4.000%, 02/01/17............................. 500 504,190
Union Elementary School District (GO) Series A
3.000%, 09/01/18............................. 1,130 1,175,008
University of California (RB) Series Q
(currency) 5.250%, 05/15/23
(Pre-refunded @ $101, 5/15/17)............... 1,000 1,034,630
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
Ventura County (GO) (TRANS)
2.000%, 07/01/17.............................. $ 31,095 $ 31,383,251
West Contra Costa Unified School District (GO)
(AGM)
5.000%, 08/01/17.............................. 1,585 1,635,989
5.000%, 08/01/18.............................. 1,415 1,517,220
5.000%, 08/01/20.............................. 820 936,989
5.000%, 08/01/21.............................. 2,350 2,757,043
West Contra Costa Unified School District (GO)
(ASSURED GTY)
5.000%, 08/01/17.............................. 550 567,694
West Contra Costa Unified School District (GO)
Series A
4.000%, 08/01/18.............................. 2,135 2,252,340
West Contra Costa Unified School District (GO)
Series B
6.000%, 08/01/21.............................. 1,000 1,219,160
Westlands Water District (RB) Series A (AGM)
4.000%, 09/01/20.............................. 1,045 1,155,791
Whittier Union High School District (GO) Series C
2.000%, 08/01/18.............................. 1,480 1,510,962
Yolo County Washington Unified School District
(GO)
4.000%, 08/01/20.............................. 1,000 1,106,080
Yosemite Community College District (GO)
1.000%, 08/01/17.............................. 1,850 1,855,069
-------------
TOTAL MUNICIPAL BONDS.............................. 868,650,229
-------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $862,797,398).............................. $ 868,650,229
=============
Summary of the Portfolio's investments as of October 31, 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
------- ------------ ------- ------------
Municipal Bonds.................... -- $868,650,229 -- $868,650,229
-- ------------ -- ------------
TOTAL.............................. -- $868,650,229 -- $868,650,229
== ============ == ============
See accompanying Notes to Financial Statements.
141
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
FACE
AMOUNT VALUE+
------ ------
(000)
MUNICIPAL BONDS -- (100.0%)
CALIFORNIA -- (100.0%)
Albany Unified School District (GO)
4.000%, 08/01/21............................. $ 240 $ 270,190
Alhambra Unified School District (GO) Series A (ASSURED
GTY)
5.250%, 08/01/18............................. 375 403,913
Alum Rock Union Elementary School District (GO) Series A
5.000%, 09/01/21............................. 730 855,983
Amador County Unified School District (GO)
4.000%, 08/01/19............................. 385 415,207
Anaheim Public Financing Authority (RB)
5.000%, 08/01/17............................. 500 516,085
Anaheim Union High School District (GO)
5.000%, 08/01/19............................. 855 946,853
Antelope Valley Community College District (GO) Series A
5.000%, 08/01/24............................. 850 1,056,193
Antelope Valley Union High School District (GO)
4.000%, 08/01/21............................. 500 565,605
5.000%, 08/01/22............................. 1,650 1,992,936
Azusa Unified School District (GO)
5.000%, 07/01/21............................. 425 497,148
Baldwin Park Unified School District (GO) (AGM)
5.000%, 08/01/17............................. 100 103,224
Bay Area Toll Authority (RB)
4.000%, 04/01/18............................. 500 522,550
Bay Area Toll Authority (RB) Series F-1
(currency) 5.000%, 04/01/34
(Pre-refunded @ $100, 4/1/18)................ 1,600 1,695,264
(currency) 5.125%, 04/01/39
(Pre-refunded @ $100, 4/1/19)................ 3,450 3,799,485
Berkeley Unified School District (GO)
5.000%, 08/01/19............................. 325 360,474
Berkeley Unified School District (GO) Series D
5.000%, 08/01/23............................. 600 736,374
Berryessa Union School District (GO) (AMBAC)
5.375%, 08/01/18............................. 200 215,854
Buena Park School District (GO) (AGM)
2.500%, 08/01/21............................. 75 79,234
Butte-Glenn Community College District (GO)
2.500%, 08/01/20............................. 550 577,544
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
California Health Facilities Financing Authority (RB)
Series C
(currency) 6.500%, 10/01/33
(Pre-refunded
@ $100, 10/1/18)............................. $ 1,000 $ 1,108,080
California State (GO)
5.000%, 11/01/16............................. 150 150,000
5.000%, 02/01/18............................. 1,150 1,210,409
5.000%, 09/01/18............................. 1,325 1,425,514
5.000%, 10/01/18............................. 250 269,823
5.000%, 04/01/19............................. 2,000 2,193,620
5.500%, 04/01/19............................. 2,605 2,888,163
5.000%, 09/01/19............................. 1,795 1,996,812
3.125%, 10/01/19............................. 100 106,200
5.000%, 10/01/19............................. 500 557,850
5.000%, 10/01/19............................. 1,000 1,115,700
4.000%, 11/01/19............................. 135 147,043
5.000%, 11/01/19............................. 835 934,081
5.000%, 02/01/20............................. 1,200 1,351,200
5.250%, 02/01/20............................. 500 566,975
5.000%, 04/01/20............................. 900 1,018,800
5.000%, 09/01/20............................. 1,000 1,146,180
5.000%, 10/01/20............................. 1,375 1,580,287
5.000%, 10/01/20............................. 4,040 4,643,172
5.000%, 11/01/20............................. 750 864,315
5.000%, 12/01/20............................. 1,240 1,432,857
5.000%, 02/01/21............................. 700 810,684
5.000%, 04/01/21............................. 475 552,320
5.000%, 08/01/21............................. 750 879,907
5.000%, 09/01/21............................. 3,705 4,357,710
5.000%, 02/01/22............................. 2,195 2,601,733
5.000%, 04/01/22............................. 500 595,205
4.000%, 09/01/22............................. 525 602,075
5.250%, 09/01/22............................. 2,135 2,597,420
5.250%, 10/01/22............................. 2,380 2,902,600
5.000%, 12/01/22............................. 1,245 1,506,064
5.000%, 02/01/23............................. 1,150 1,392,098
5.000%, 10/01/23............................. 100 122,674
5.000%, 11/01/23............................. 875 1,075,025
California State (GO) Series A (ETM)
4.400%, 07/01/18............................. 410 434,444
5.000%, 07/01/19............................. 1,400 1,550,976
California State (GO) Series B
5.000%, 09/01/23............................. 2,285 2,798,805
California State Department of Water Resources (RB)
Series AR
5.000%, 12/01/22............................. 3,210 3,908,175
5.000%, 12/01/23............................. 900 1,117,593
California State Department of Water Resources (RB)
Series AS
5.000%, 12/01/19............................. 530 594,607
5.000%, 12/01/22............................. 1,485 1,807,987
142
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
California State Department of Water Resources (RB)
Series AS (ETM)
5.000%, 12/01/19............................. $ 15 $ 16,809
5.000%, 12/01/22............................. 15 18,204
California State Department of Water Resources Power
Supply Revenue (RB) Series L
5.000%, 05/01/17............................. 450 459,648
5.000%, 05/01/18............................. 745 791,272
5.000%, 05/01/19............................. 925 1,017,861
5.000%, 05/01/20............................. 3,250 3,692,942
California State Department of Water Resources Power
Supply Revenue (RB) Series M
4.000%, 05/01/19............................. 455 489,480
California State Department of Water Resources Power
Supply Revenue (RB) Series O
5.000%, 05/01/21............................. 1,500 1,753,695
California State Public Works Board (RB) Series F (ETM)
5.000%, 10/01/20............................. 500 575,275
California State University (RB) Series A
2.500%, 11/01/18............................. 1,500 1,549,140
5.000%, 11/01/18............................. 2,500 2,704,750
5.000%, 11/01/19............................. 3,000 3,356,910
5.000%, 11/01/19............................. 450 503,537
5.000%, 11/01/20............................. 685 790,572
California State University (RB) Series C (AGM)
5.000%, 11/01/22............................. 100 121,593
California Statewide Communities Dev. Authority (RB)
(currency) 6.000%, 06/01/33
(Pre-refunded @ $100, 6/1/21)................ 1,295 1,574,280
Capistrano Unified School District School Facilities
Improvement District No. 1 (GO)
4.000%, 08/01/22............................. 170 193,506
Central Marin Sanitation Agency (RB)
3.000%, 09/01/18............................. 1,180 1,227,224
4.000%, 09/01/21............................. 1,425 1,612,302
Chabot-Las Positas Community College District (GO)
5.000%, 08/01/22............................. 900 1,087,056
4.000%, 08/01/23............................. 1,970 2,301,275
Chaffey Community College District (GO) Series E
4.000%, 06/01/22............................. 335 383,511
Chino Hills Financing Authority (RB)
4.000%, 06/01/18............................. 500 525,195
Chino Valley Unified School District (GO) Series A
4.000%, 08/01/21............................. 200 225,354
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
Chula Vista Elementary School District (GO)
5.000%, 08/01/22............................. $ 1,835 $ 2,195,009
City & County of San Francisco (GO) Series A
4.750%, 06/15/19............................. 545 598,688
5.000%, 06/15/20............................. 1,715 1,956,078
5.000%, 06/15/22............................. 2,200 2,655,400
City & County of San Francisco (GO) Series B
4.000%, 06/15/20............................. 800 884,128
City & County of San Francisco (GO) Series D
5.000%, 06/15/20............................. 2,000 2,281,140
City & County of San Francisco (GO) Series R1
5.000%, 06/15/21............................. 470 552,518
City of Long Beach Harbor Revenue (RB) Series B
5.000%, 05/15/19............................. 250 275,283
City of Long Beach Harbor Revenue (RB) Series C
5.000%, 11/15/18............................. 500 541,420
City of Los Angeles (GO) Series A
4.000%, 09/01/18............................. 780 825,341
5.000%, 09/01/20............................. 445 511,314
City of Los Angeles (GO) Series B
5.000%, 09/01/19............................. 600 668,166
City of Riverside Water Revenue (RB) Series A
5.000%, 10/01/18............................. 300 323,907
City of Sacramento Unified School District (GO)
5.000%, 07/01/18............................. 300 320,025
5.000%, 07/01/24............................. 1,800 2,229,318
City of San Francisco Public Utilities Commission Water
Revenue (RB) Series B
5.000%, 11/01/19............................. 420 469,837
Coachella Valley Unified School District (GO) (BAM)
4.000%, 08/01/22............................. 825 937,612
Colton Joint Unified School District (GO)
5.000%, 08/01/21............................. 900 1,050,462
Conejo Valley Unified School District (GO)
2.000%, 08/01/18............................. 2,350 2,392,981
4.000%, 08/01/18............................. 115 121,073
Contra Costa CA Transportation Authority (RB) Series B
(currency) 5.000%, 03/01/23
(Pre-refunded
@ $100, 3/1/20).............................. 500 564,940
143
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
Contra Costa County Walnut Creek Elementary
School District (GO)
1.500%, 09/01/17............................. $ 500 $ 503,460
Contra Costa Water District (RB) Series Q
5.000%, 10/01/18............................. 220 237,532
Culver City School Facilities Financing
Authority (RB) (AGM)
5.500%, 08/01/26............................. 855 1,131,174
Cupertino Union School District (GO) Series A
4.000%, 08/01/17............................. 275 281,870
Cupertino Union School District (GO) Series B
4.000%, 08/01/21............................. 400 453,276
Davis Joint Unified School District (GO)
5.000%, 08/01/18............................. 420 450,190
Davis Joint Unified School District Community
Facilities District (ST) (AGM)
3.000%, 08/15/22............................. 1,000 1,076,450
Davis Joint Unified School District Community
Facilities District No. 2 (ST) (AGM)
3.000%, 08/15/19............................. 500 524,275
Dublin Unified School District (GO)
5.000%, 02/01/19............................. 425 464,121
5.000%, 08/01/22............................. 875 1,058,479
5.000%, 08/01/23............................. 1,665 2,055,476
East Side Union High School District (GO)
4.000%, 08/01/21............................. 600 676,062
East Side Union High School District (GO) Series
D
3.000%, 08/01/19............................. 825 869,781
El Rancho Unified School District (GO) (AGM)
4.000%, 08/01/21............................. 1,285 1,438,455
Enterprise Elementary School District (GO)
4.000%, 09/01/19............................. 500 541,420
Fallbrook Union Elementary School District (GO)
Series A
5.000%, 08/01/20............................. 200 228,534
Fontana Unified School District (GO)
5.000%, 08/01/19............................. 600 664,632
4.000%, 08/01/21............................. 1,585 1,784,377
4.000%, 08/01/22............................. 875 1,001,691
Fountain Valley Public Finance Authority (RB)
Series A
5.000%, 07/01/24............................. 250 309,628
Franklin-Mckinley School District (GO) (ASSURED
GTY)
5.000%, 08/01/17............................. 275 283,866
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
Fresno Unified School District (GO) Series A
(AGM)
4.500%, 08/01/20.............................. $ 480 $ 539,136
Gilroy Unified School District (GO) (AGM)
4.000%, 08/01/24.............................. 2,615 3,057,929
Gilroy Unified School District (GO) Series A
(ASSURED GTY)
5.000%, 08/01/18.............................. 500 536,120
Grossmont Union High School District (GO) Series
A
5.000%, 08/01/18.............................. 200 214,448
Hacienda La Puente Unified School District (GO)
(NATL-RE)
5.000%, 08/01/23.............................. 225 275,168
Huntington Beach Public Financing Authority (RB)
4.000%, 09/01/18.............................. 200 211,626
Jurupa Unified School District (GO) (AGM)
4.000%, 08/01/18.............................. 235 247,958
5.000%, 08/01/20.............................. 725 824,999
Kern High School District (GO) (AGM)
5.000%, 08/01/19.............................. 250 277,650
Kern High School District (GO) Series E
2.000%, 08/01/19.............................. 1,350 1,389,784
2.000%, 08/01/20.............................. 2,435 2,521,516
Lancaster Financing Authority (NATL) (ETM)
5.250%, 02/01/20.............................. 540 612,706
Liberty Union High School District (GO)
5.000%, 08/01/20.............................. 380 435,419
4.000%, 08/01/21.............................. 500 565,605
Lompoc Unified School District (GO) (ASSURED GTY)
5.250%, 08/01/20.............................. 540 621,119
Long Beach Unified School District (GO)
5.000%, 08/01/20.............................. 1,500 1,719,360
Los Altos Elementary School District (GO)
4.000%, 08/01/21.............................. 250 283,545
Los Angeles Community College District (GO)
Series C
5.000%, 08/01/19.............................. 950 1,056,162
5.000%, 08/01/25.............................. 1,240 1,573,461
5.000%, 06/01/26.............................. 2,500 3,208,500
Los Angeles Community College District (GO)
Series G
5.000%, 08/01/23.............................. 650 800,085
Los Angeles Convention & Exhibit Center
Authority (RB) Series A (ETM)
4.500%, 08/15/18.............................. 300 319,446
144
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
Los Angeles County Metropolitan Transportation
Authority (RB) Series A
5.000%, 07/01/17.............................. $ 525 $ 540,178
5.000%, 07/01/17.............................. 300 308,652
5.000%, 07/01/18.............................. 665 711,217
5.000%, 07/01/19.............................. 1,000 1,107,840
5.000%, 07/01/20.............................. 580 662,737
5.000%, 07/01/21.............................. 520 610,854
Los Angeles County Metropolitan Transportation
Authority (RB) Series B
5.000%, 06/01/19.............................. 370 408,665
5.000%, 06/01/20.............................. 500 569,925
5.000%, 07/01/20.............................. 525 599,891
Los Angeles County Metropolitan Transportation
Authority (RB) Series C
5.000%, 07/01/20.............................. 525 599,891
Los Angeles Department of Water (RB) Series B
5.000%, 07/01/20.............................. 500 570,940
5.000%, 07/01/22.............................. 435 524,410
Los Angeles Department of Water & Power (RB)
Series A
5.000%, 07/01/19.............................. 370 409,383
5.000%, 07/01/19.............................. 1,195 1,322,196
5.000%, 07/01/20.............................. 600 685,128
5.000%, 07/01/21.............................. 1,650 1,938,288
Los Angeles Department of Water & Power (RB)
Series D
4.000%, 07/01/19.............................. 1,000 1,080,220
Los Angeles Unified School District (GO) Series A
3.000%, 07/01/19.............................. 725 764,744
3.000%, 07/01/20.............................. 790 845,766
5.000%, 07/01/20.............................. 900 1,028,043
5.000%, 07/01/20.............................. 150 171,341
2.000%, 07/01/22.............................. 630 656,447
Los Angeles Unified School District (GO)
Series A-2
5.000%, 07/01/21.............................. 315 370,037
Los Angeles Unified School District (GO) Series C
5.000%, 07/01/23.............................. 3,050 3,756,837
Los Angeles Unified School District (GO) Series D
4.000%, 07/01/17.............................. 200 204,438
Los Angeles Unified School District (GO) Series I
5.000%, 07/01/19.............................. 750 830,460
Los Angeles Unified School District (GO) Series
KRY
5.000%, 07/01/18.............................. 750 801,607
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
Los Rios Community College District (GO)
5.000%, 08/01/19.............................. $ 2,965 $ 3,286,940
Los Rios Community College District (GO) Series B
5.000%, 08/01/23.............................. 510 625,918
Lynwood Unified School District (GO) (AGM)
5.000%, 08/01/21.............................. 450 524,102
5.000%, 08/01/22.............................. 485 578,377
Manhattan Beach Unified School District (GO)
Series C
3.500%, 09/01/21.............................. 1,185 1,315,990
Manhattan Beach Unified School District (GO)
Series E
3.000%, 09/01/22.............................. 560 614,908
Mendocino-Lake Community College District (GO)
Series A (NATL-RE)
5.000%, 08/01/17.............................. 100 103,125
Merced Union High School District (GO) Series A
(ASSURED GTY)
4.000%, 08/01/18.............................. 250 263,785
Metropolitan Water District of Southern
California (RB) Series A
5.000%, 07/01/19.............................. 1,090 1,207,240
Montebello Unified School District (GO)
5.000%, 08/01/20.............................. 415 471,747
Moreland School District (GO) Series B
5.000%, 08/01/21.............................. 500 587,870
Moreno Valley Public Financing Authority (RB)
5.000%, 11/01/20.............................. 1,470 1,681,665
Morongo Unified School District (GO)
3.000%, 08/01/22.............................. 480 522,240
Mount Diablo Unified School District (GO)
3.250%, 08/01/19.............................. 500 530,795
New Haven Unified School District (GO) (ASSURED
GTY)
5.000%, 08/01/19.............................. 95 105,206
New Haven Unified School District (GO) (ETM)
(ASSURED GTY)
5.000%, 08/01/19
Prerefunded................................... 55 61,035
Oakland Joint Powers Financing Authority (RB)
Series B (ASSURED GTY)
4.500%, 08/01/18.............................. 500 531,890
Oakland Unified School District/ Alameda County
(GO)
5.000%, 08/01/20.............................. 1,005 1,150,765
Oceanside Unified School District (GO)
4.000%, 08/01/17.............................. 300 307,425
145
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
Oxnard Union High School District (GO)
4.000%, 08/01/21............................. $ 320 $ 359,779
4.000%, 08/01/22............................. 500 571,800
Palm Springs Unified School District (GO)
5.000%, 08/01/19............................. 500 553,425
Peralta Community College District (GO)
5.000%, 08/01/17............................. 100 103,201
Piedmont unified School District (GO)
3.000%, 08/01/20............................. 845 907,276
Placentia-Yorba Linda Unified School District (GO)
Series A
5.000%, 08/01/18............................. 275 294,866
Plumas Unified School District (GO) (AGM)
5.250%, 08/01/21............................. 800 936,472
Porterville Unified School District Facilities
Improvement District (GO) Series B (AGM)
5.000%, 08/01/18............................. 450 482,589
5.000%, 08/01/19............................. 325 359,541
Poway Unified School District (GO)
5.000%, 08/01/19............................. 200 221,370
Rancho Santiago Community College District (GO) (AGM)
5.250%, 09/01/20............................. 500 578,580
Redlands Financing Authority (RB) Series A
5.000%, 09/01/22............................. 1,290 1,546,607
Roseville City School District (GO)
5.000%, 08/01/17............................. 400 412,960
Sacramento Municipal Utility District (RB) Series U (AGM)
5.000%, 08/15/17............................. 125 129,230
Saddleback Valley Unified School District (GO)
5.000%, 08/01/22............................. 465 563,654
San Diego County Regional Transportation Commission (RB)
Series A
5.000%, 04/01/18............................. 265 280,778
San Diego County Water Authority Financing Corp (RB)
Series A
(currency) 5.250%, 05/01/23
(Pre-refunded
@ $100, 11/1/19)............................. 1,395 1,573,448
San Diego County Water Authority Financing Corp. (RB)
5.000%, 05/01/21............................. 310 362,576
San Diego County Water Authority Financing Corp. (RB)
Series A
4.000%, 05/01/17............................. 450 457,542
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
San Diego Public Facilities Financing Authority Sewer
Revenue (RB)
5.000%, 05/15/22............................. $ 700 $ 840,329
San Diego Public Facilities Financing Authority Sewer
Revenue (RB) Series A
(currency) 5.250%, 05/15/24
(Pre-refunded
@ $100, 5/15/20)............................. 1,975 2,263,449
(currency) 5.375%, 05/15/34
(Pre-refunded
@ $100, 5/15/19)............................. 650 722,345
San Diego Public Facilities Financing Authority Sewer
Revenue (RB) Series B
(currency) 5.500%, 05/15/23
(Pre-refunded
@ $100, 5/15/19)............................. 500 557,210
San Diego Unified School District (GO) Series C-2 (AGM)
5.500%, 07/01/21............................. 600 720,228
5.500%, 07/01/25............................. 2,550 3,351,286
San Diego Unified School District (GO) Series R-3
5.000%, 07/01/20............................. 200 228,998
5.000%, 07/01/21............................. 1,705 2,009,701
San Dieguito Union High School District (GO) Series A-2
5.000%, 08/01/23............................. 490 606,341
San Francisco Bay Area Rapid Transit District (GO)
Series C
4.000%, 08/01/19............................. 325 352,154
San Francisco City & County Airport Comm-San Francisco
International Airport (RB) Series D
(currency) 5.000%, 05/01/23
(Pre-refunded................................
@ $100, 5/3/21).............................. 675 790,594
San Francisco Community College District (GO)
5.000%, 06/15/20............................. 1,500 1,705,695
San Francisco Community College District (GO) Series D
5.000%, 06/15/20............................. 600 682,278
San Francisco Municipal Transportation Agency
(RB) Series A
5.000%, 03/01/20............................. 860 972,608
San Francisco Unified School District (GO)
5.000%, 06/15/20............................. 725 827,196
5.000%, 06/15/21............................. 230 270,041
San Francisco Unified School District (GO) Series F&C
2.000%, 06/15/22............................. 1,580 1,644,954
146
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
San Jose Evergreen Community College District
(GO)
5.000%, 09/01/21.............................. $ 1,750 $ 2,067,310
San Juan Unified School District (GO)
5.000%, 08/01/22.............................. 800 962,824
San Mateo County Community College District (GO)
4.000%, 09/01/18.............................. 700 740,691
San Ramon Valley Unified School District (GO)
4.000%, 08/01/21.............................. 1,500 1,697,565
Santa Ana Unified School District (GO) Series A
5.000%, 08/01/18.............................. 275 294,866
Santa Cruz City High School District (GO)
4.000%, 08/01/22.............................. 715 820,656
Santa Monica Community College District (GO)
Series A
5.000%, 08/01/22.............................. 225 271,485
Santa Monica Public Financing Authority (RB)
Series B
4.000%, 12/01/19.............................. 175 191,263
Saugus Union School District (GO) (NATL-RE FGIC)
5.250%, 08/01/17.............................. 500 517,125
South San Francisco Unified School District (GO)
Series G (ETM)
3.500%, 07/01/18.............................. 5,600 5,846,120
Southern California Public Power Authority (RB)
5.000%, 07/01/18.............................. 150 160,271
5.000%, 07/01/18.............................. 250 267,118
4.000%, 07/01/19.............................. 575 620,655
Standard Elementary School District (GO) Series A
4.000%, 08/01/24.............................. 240 279,134
Stockton Unified School District (GO) (AGM)
5.000%, 07/01/20.............................. 150 170,240
Sweetwater Union High School District (GO) (ETM)
5.000%, 01/01/18.............................. 1,200 1,258,548
Tahoe Forest Hospital District (GO)
4.000%, 08/01/20.............................. 295 324,695
Val Verde Unified School District (GO) Series B
(AGM)
3.000%, 08/01/17.............................. 200 203,484
Vista Unified School District (GO)
5.000%, 08/01/19.............................. 200 221,716
West Contra Costa Unified School District (GO)
5.000%, 08/01/21.............................. 430 504,480
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
West Contra Costa Unified School District (GO)
(AGM)
5.000%, 08/01/17.............................. $ 195 $ 201,273
5.000%, 08/01/18.............................. 1,145 1,227,715
West Contra Costa Unified School District (GO)
(ASSURED GTY)
5.000%, 08/01/17.............................. 175 180,630
West Contra Costa Unified School District (GO)
Series B
6.000%, 08/01/20.............................. 1,475 1,738,199
West Covina Unified School District (GO) (AGM)
5.000%, 08/01/21.............................. 385 450,523
Western Riverside County Regional Wastewater
Authority (RB) (ASSURED GTY)
5.000%, 09/01/19.............................. 250 276,333
Westside Union School District (GO) Series A
3.000%, 08/01/21.............................. 300 324,972
4.000%, 08/01/23.............................. 700 811,846
Whittier Union High School District (GO) Series C
2.000%, 08/01/19.............................. 645 664,898
Wright Elementary School District (GO) Series A
3.000%, 08/01/20.............................. 165 175,841
Yolo County Washington Unified School District
(GO)
4.000%, 08/01/19.............................. 450 486,707
Yosemite Union High School District (GO) (AGM)
4.000%, 08/01/19.............................. 395 425,320
Yuba Community College District (GO) Series B
4.000%, 08/01/21.............................. 355 401,580
Yuba Community College District (GO) Series C
5.000%, 08/01/17.............................. 240 247,776
-------------
TOTAL MUNICIPAL BONDS.............................. 252,003,939
-------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $246,305,436).............................. $ 252,003,939
=============
147
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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
------- ------------ ------- ------------
Municipal Bonds..... -- $252,003,939 -- $252,003,939
-- ------------ -- ------------
TOTAL............... -- $252,003,939 -- $252,003,939
== ============ == ============
See accompanying Notes to Financial Statements.
148
DFA NY MUNICIPAL BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
FACE
AMOUNT VALUE+
------ ------
(000)
MUNICIPAL BONDS -- (100.0%)
NEW YORK -- (100.0%)
Albany County (BAN)
2.000%, 05/25/17............................. $ 400 $ 403,104
Albany County (GO) Series B
4.000%, 11/01/17............................. 500 516,020
Albany Industrial Development Agency (RB) Series E
(currency) 5.250%, 11/15/22
(Pre-Refunded
@ $100, 11/15/17)............................ 860 899,852
Ardsley Union Free School District (GO) (ST AID WITHHLDG)
3.000%, 11/01/18............................. 200 208,122
2.250%, 08/15/23............................. 290 303,021
Arlington Central School District (GO) (ST AID WITHHLDG)
4.000%, 12/15/16............................. 100 100,393
Arlington Central School District (GO) Series B (ST AID
WITHHLDG)
4.000%, 12/15/17............................. 300 310,821
Babylon Union Free School District (GO) (ST AID WITHHLDG)
2.000%, 06/15/17............................. 500 503,960
2.000%, 06/15/20............................. 290 297,769
Bethpage Union Free School District (GO) (ST AID
WITHHLDG)
4.000%, 02/01/18............................. 275 285,874
Brewster Central School District (BAN) (ST AID WITHHLDG)
1.500%, 07/14/17............................. 400 402,144
Brewster Central School District (GO) (ST AID WITHHLDG)
2.000%, 10/01/19............................. 100 102,658
Cheektowaga Central School District (GO) (ST AID
WITHHLDG)
3.000%, 12/01/16............................. 250 250,455
Churchville-Chili Central School District (GO) (ST AID
WITHHLDG)
3.000%, 06/15/17............................. 350 354,921
City of New York (GO) Series 1
3.000%, 08/01/17............................. 350 356,016
City of New York (GO) Series A
5.000%, 08/01/23............................. 1,200 1,458,120
5.000%, 08/01/24............................. 620 763,307
5.000%, 08/01/25............................. 220 273,900
City of New York (GO) Series B
5.000%, 08/01/17............................. 100 103,201
5.000%, 08/01/17............................. 930 959,769
5.000%, 08/01/18............................. 185 198,063
5.000%, 08/01/18............................. 115 123,120
5.000%, 08/01/21............................. 1,000 1,167,680
City of New York (GO) Series E
5.000%, 08/01/17............................. 150 154,802
FACE
AMOUNT VALUE+
------ ------
(000)
NEW YORK -- (Continued)
City of New York (GO) Series F
5.000%, 08/01/17............................. $500 $516,005
City of New York (GO) Series F-1
3.000%, 06/01/17............................. 775 785,439
City of New York (GO) Series G
5.000%, 08/01/17............................. 750 774,007
City of New York (GO) Series I-Subseries 1-I
5.000%, 03/01/22............................. 265 313,360
City of Rochester (GO) Series I
5.000%, 08/15/17............................. 160 165,338
County Of Cattaraugus (GO) (ASSURED GTY)
4.000%, 09/15/17............................. 250 257,048
County of Columbia (GO) Series A (AGM)
2.000%, 02/01/19............................. 275 280,717
County of Onondaga (GO)
5.000%, 05/15/19............................. 115 126,661
East Islip Union Free School District (GO) (ST AID
WITHHLDG)
5.000%, 06/15/17............................. 100 102,653
4.000%, 07/01/19............................. 240 258,660
Erie County Industrial Dev. Agency/ The (RB) Series A
(AGM) (ST AID WITHHLDG)
(currency) 5.750%, 05/01/18
(Pre-refunded
@ $100, 5/1/17).............................. 500 512,515
Haverstraw-Stony Point Central School District (GO) (ST
AID WITHHLDG)
3.000%, 08/15/22............................. 200 217,948
3.000%, 08/15/23............................. 360 393,725
Herricks Union Free School District (GO) (ST AID
WITHHLDG)
4.000%, 06/15/21............................. 150 168,807
Homer Central School District (GO) (ST AID WITHHLDG)
2.000%, 03/15/17............................. 210 211,021
Lindenhurst Union Free School District (GO) (ST AID
WITHHLDG)
2.250%, 09/01/23............................. 195 202,012
Liverpool Central School District (GO) (ST AID WITHHLDG)
4.000%, 06/15/18............................. 150 157,520
Long Beach City School District (GO) (ST AID WITHHLDG)
3.000%, 05/01/17............................. 125 126,435
Metropolitan Transportation Authority (RB) Series B
(currency) 5.000%, 11/15/20
(Pre-refunded
@ $100, 11/15/17)............................ 750 782,827
149
DFA NY MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
NEW YORK -- (Continued)
Metropolitan Transportation Authority (RB) Series B-2
5.000%, 11/01/16............................. $ 750 $ 750,000
Metropolitan Transportation Authority (RB) Series C
4.000%, 11/15/17............................. 730 753,681
Middletown City School District (GO) (ST AID WITHHLDG)
5.000%, 09/15/24............................. 130 160,922
New Rochelle City School District (GO) (ST AID WITHHLDG)
4.000%, 06/01/18............................. 475 498,246
4.000%, 06/01/20............................. 300 329,883
New York City Transitional Finance Authority Future Tax
Secured Revenue (RB) Series F-1
(currency) 5.000%, 05/01/24
(Pre-refunded
@ $100, 5/1/18).............................. 750 796,357
New York City Transitional Finance Authority Future Tax
Secured Revenue (RB) Series G (ETM)
5.000%, 11/01/17............................. 250 260,405
New York City Water & Sewer System (RB) Series AA
(currency) 5.000%, 06/15/20
(Pre-refunded
@ $100, 6/15/18)............................. 750 799,987
New York State (GO) Series A
4.000%, 03/01/17............................. 320 323,533
4.000%, 03/01/18............................. 100 104,217
New York State (GO) Series C
5.000%, 04/15/22............................. 600 719,232
New York State Dormitory Authority (RB)
(currency) 5.000%, 07/01/27
(Pre-refunded
@ $100, 7/1/17).............................. 700 719,859
New York State Dormitory Authority (RB) Series A
3.000%, 03/15/17............................. 250 252,165
5.000%, 03/15/17............................. 250 253,983
5.000%, 03/15/17............................. 800 812,776
5.000%, 02/15/18............................. 525 553,229
5.000%, 03/15/18............................. 100 105,668
5.000%, 07/01/20............................. 395 449,514
5.000%, 10/01/22............................. 475 577,092
4.000%, 12/15/22............................. 100 114,999
5.000%, 03/15/23............................. 650 792,044
5.000%, 03/15/23............................. 200 243,706
New York State Dormitory Authority (RB) Series B
5.000%, 03/15/17............................. 400 406,372
5.000%, 02/15/20............................. 2,075 2,333,068
5.000%, 02/15/22............................. 1,000 1,184,380
5.000%, 02/15/24............................. 455 558,490
5.000%, 02/15/25............................. 550 683,903
FACE
AMOUNT VALUE+
------ ------
(000)
NEW YORK -- (Continued)
New York State Dormitory Authority (RB) Series C
4.000%, 03/15/18............................. $ 200 $ 208,624
New York State Dormitory Authority (RB) Series C (ST AID
WITHHLDG)
(currency) 7.250%, 10/01/28
(Pre-refunded
@ $100, 10/1/18)............................. 815 913,493
New York State Environmental Facilities Corp. (RB)
Series A
5.000%, 12/15/17............................. 250 261,820
5.250%, 12/15/18............................. 260 283,371
New York State Housing Finance Agency (RB) Series A
(currency) 4.000%, 09/15/18
(Pre-refunded
@ $100, 9/15/17)............................. 300 308,511
New York State Thruway Authority (RB) Series A
5.000%, 03/15/18............................. 475 501,923
5.000%, 03/15/18............................. 350 369,838
New York State Thruway Authority (RB) Series B
(currency) 5.000%, 04/01/27
(Pre-refunded
@ $100, 10/1/17)............................. 1,500 1,558,185
New York State Thruway Authority Highway & Bridge Trust
Fund (RB) Series A
(currency) 5.000%, 04/01/25
(Pre-refunded
@ $100, 4/1/17).............................. 735 748,068
New York State Thruway Authority Highway & Bridge Trust
Fund (RB) Series B
(currency) 5.000%, 04/01/22
(Pre-Refunded
@ $100, 10/1/18)............................. 415 447,494
New York State Urban Dev. Corp. (RB) Series A-1
5.000%, 12/15/16............................. 550 552,882
New York State Urban Development Corp. (RB)
(currency) 5.000%, 12/15/19
(Pre-refunded
@ $100, 12/15/17)............................ 295 308,912
(currency) 5.000%, 12/15/25
(Pre-refunded
@ $100, 12/15/17)............................ 130 136,131
New York State Urban Development Corp. (RB) Series A
5.000%, 03/15/19............................. 300 327,921
New York State Urban Development Corp. (RB) Series A-1
5.000%, 12/15/17............................. 115 120,423
150
DFA NY MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
NEW YORK -- (Continued)
New York State Urban Development Corp. (RB)
Series B-1
5.000%, 03/15/17............................. $150 $152,390
New York State Urban Development Corp. (RB)
Series C
5.000%, 12/15/16............................. 210 211,100
Niagara County (GO) Series B
2.000%, 12/15/17............................. 415 420,615
North Shore Central School District (GO) (ST AID
WITHHLDG)
2.000%, 12/15/22............................. 285 296,010
2.000%, 12/15/23............................. 550 568,870
North Tonawanda City School District (GO) (ST
AID WITHHLDG)
4.000%, 09/15/21............................. 650 729,553
Oceanside Union Free School District (GO) (ST
AID WITHHLDG)
2.500%, 07/01/23............................. 520 547,430
Oneida County (GO)
4.000%, 04/01/17............................. 200 202,662
Penfield Central School District (GO) (ASSURED
GTY) (ST AID WITHHLDG)
3.750%, 06/15/19............................. 350 374,699
Pittsford Central School District (GO) Series B
(ST AID WITHHLDG)
4.000%, 12/15/17............................. 100 103,618
Port Authority of New York & New Jersey (RB)
5.000%, 12/01/17............................. 750 783,562
Port Authority of New York & New Jersey (RB)
(AGM)
5.000%, 08/15/17............................. 260 268,570
Port Washington Union Free School District (GO)
(ST AID WITHHLDG)
4.000%, 07/01/17............................. 250 255,448
Ramapo Central School District (GO) (ST AID
WITHHLDG)
4.000%, 10/15/17............................. 140 144,339
Riverhead Central School District (GO) (ST AID
WITHHLDG)
3.000%, 03/15/22............................. 120 129,956
2.000%, 10/15/22............................. 280 288,585
Sachem Central School District (GO) (ST AID
WITHHLDG)
5.000%, 10/15/19............................. 200 222,888
Saratoga Springs City School District (GO) (ST
AID WITHLDG)
5.000%, 06/15/17............................. 275 282,312
Schenectady County (GO)
5.000%, 06/15/25............................. 140 176,883
Sewanhaka Central High School District of Elmont
(GO) (ST AID WITHHLDG)
3.000%, 07/15/23............................. 590 644,628
FACE
AMOUNT VALUE+
------ ------
(000)
NEW YORK -- (Continued)
South Huntington Union Free School District (GO)
(ST AID WITHHLDG)
4.000%, 09/01/17............................. $150 $154,077
South Orangetown Central School District (GO)
(ST AID WITHHLDG)
5.000%, 12/01/16............................. 535 536,814
5.000%, 12/01/17............................. 595 622,090
Spencerport Central School District (GO) (ST AID
WITHHLDG)
2.000%, 06/15/21............................. 500 516,085
Sullivan County (GO)
4.000%, 07/15/17............................. 485 496,116
Taconic Hills Central School District at
Craryville (GO) (ST AID WITHHLDG)
5.000%, 06/15/20............................. 100 113,675
4.000%, 06/15/22............................. 250 285,280
Town of Babylon (GO)
3.000%, 07/01/25............................. 375 411,251
Town of Brookhaven (GO)
4.000%, 11/15/17............................. 100 103,360
Town of Brookhaven (GO) Series A
3.000%, 02/01/18............................. 180 184,892
3.000%, 03/15/22............................. 650 712,049
Town of Cheektowaga (GO)
5.000%, 07/15/23............................. 265 323,907
Town of Clarence (GO)
2.000%, 08/01/18............................. 325 331,513
2.250%, 08/01/24............................. 210 220,059
Town of Hempstead (GO) Series A
4.000%, 04/15/18............................. 350 366,009
Town of Huntington (GO)
2.000%, 12/01/23............................. 220 228,411
Town of LaGrange (GO)
4.000%, 03/01/18............................. 270 281,351
4.000%, 03/01/19............................. 280 299,477
4.000%, 03/01/20............................. 220 240,788
Town of Orangetown (GO) Series A
2.000%, 02/01/18............................. 180 182,668
Triborough Bridge & Tunnel Authority (RB)
Series A
3.000%, 11/15/17............................. 50 51,156
5.000%, 11/15/18............................. 140 151,509
Triborough Bridge & Tunnel Authority (RB)
Series B
3.000%, 11/15/16............................. 500 500,405
4.000%, 11/15/17............................. 270 279,015
5.000%, 11/15/18............................. 315 340,896
5.000%, 11/15/22............................. 190 229,685
Triborough Bridge & Tunnel Authority (RB)
Series C
3.000%, 11/15/16............................. 100 100,081
4.000%, 11/15/18............................. 100 106,211
Tuckahoe Union Free School District (GO) (ST AID
WITHHLDG)
5.000%, 07/15/19............................. 145 160,002
5.000%, 07/15/21............................. 230 267,987
151
DFA NY MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
NEW YORK -- (Continued)
Ulster County (GO)
2.000%, 11/15/22............................. $240 $248,021
Union Free School District Of The Tarrytowns
(GO) Series A (ST AID WITHHLDG)
5.000%, 01/15/18............................. 250 262,543
Vestal Central School District (GO) (AGM) (ST
AID WITHHLDG)
3.750%, 06/15/19............................. 150 160,586
Village of Hastings-on-Hudson (GO)
4.000%, 11/01/17............................. 125 129,005
Wantagh Union Free School District (GO) (ST AID
WITHHLDG)
2.000%, 11/15/22............................. 250 259,533
FACE
AMOUNT VALUE+
------ ------
(000)
NEW YORK -- (Continued)
West Irondequoit Central School District (GO)
(ST AID WITHHLDG)
4.500%, 06/15/18............................. $125 $ 132,268
White Plains City School District (GO) Series B
(ST AID WITHHLDG)
3.750%, 05/15/18............................. 100 104,440
Yorktown Central School District (GO) (ST AID
WITHHLDG)
2.000%, 07/01/21............................. 400 414,276
-----------
TOTAL MUNICIPAL BONDS............................ 56,746,706
-----------
TOTAL INVESTMENTS -- (100.0%)
(Cost $56,139,183)............................. $56,746,706
===========
Summary of the Portfolio's investments as of October 31, 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
------- ----------- ------- -----------
Municipal Bonds............... -- $56,746,706 -- $56,746,706
-- ----------- -- -----------
TOTAL......................... -- $56,746,706 -- $56,746,706
== =========== == ===========
See accompanying Notes to Financial Statements.
152
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA
DFA TWO-YEAR SELECTIVELY DFA FIVE-YEAR
DFA ONE-YEAR GLOBAL FIXED HEDGED GLOBAL GLOBAL FIXED
FIXED INCOME INCOME FIXED INCOME INCOME
PORTFOLIO* PORTFOLIO PORTFOLIO PORTFOLIO*
-------------- -------------- ------------- --------------
ASSETS:
Investments at Value (including $67,262, $84,207,
$7,299 and $71,913 of securities on loan,
respectively)........................................... $ 6,936,108 $ 4,701,476 $ 977,443 $ 12,482,538
Temporary Cash Investments at Value & Cost............... 72,578 -- -- --
Collateral from Securities on Loan Invested in Affiliate
at Value (including cost of $59,728, $85,945,
$7,480 and $59,256)..................................... 59,734 85,955 7,480 59,265
Foreign Currencies at Value.............................. -- 2 -- 96
Cash..................................................... 1 40,733 21,712 36,875
Receivables:
Investment Securities Sold............................. 10,005 38,547 1,842 61,404
Interest............................................... 24,829 18,684 6,672 72,131
Securities Lending Income.............................. 12 18 2 46
Fund Shares Sold....................................... 12,794 2,118 161 9,233
Unrealized Gain on Forward Currency Contracts............ -- 1,688 15 1,522
Prepaid Expenses and Other Assets........................ 94 37 7 121
-------------- -------------- ------------ --------------
Total Assets........................................ 7,116,155 4,889,258 1,015,334 12,723,231
-------------- -------------- ------------ --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned....................... 59,724 85,941 7,479 59,242
Investment Securities Purchased........................ 62,805 73,489 15,048 52,999
Fund Shares Redeemed................................... 6,295 3,903 2,163 10,115
Due to Advisor......................................... 883 596 126 2,655
Unrealized Loss on Forward Currency Contracts............ -- 91 1,699 22
Accrued Expenses and Other Liabilities................... 659 481 68 823
-------------- -------------- ------------ --------------
Total Liabilities................................... 130,366 164,501 26,583 125,856
-------------- -------------- ------------ --------------
NET ASSETS............................................... $ 6,985,789 $ 4,724,757 $ 988,751 $ 12,597,375
============== ============== ============ ==============
Institutional Class Shares -- based on net assets of
$6,985,789; $4,724,757; $988,751 and
$12,597,375 and shares outstanding of
677,650,581; 473,165,461; 101,671,044 and
1,128,868,826, respectively............................. $ 10.31 $ 9.99 $ 9.72 $ 11.16
============== ============== ============ ==============
NUMBER OF SHARES AUTHORIZED.............................. 2,000,000,000 2,000,000,000 300,000,000 3,300,000,000
============== ============== ============ ==============
Investments at Cost...................................... $ 6,934,857 $ 4,705,424 $ 971,264 $ 12,371,442
============== ============== ============ ==============
Foreign Currencies at Cost............................... $ -- $ 2 $ -- $ 103
============== ============== ============ ==============
NET ASSETS CONSIST OF:
Paid-In Capital.......................................... $ 6,984,436 $ 4,714,606 $ 1,045,547 $ 12,359,036
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................ (306) 13,495 13,093 77,932
Accumulated Net Realized Gain (Loss)..................... 402 (995) (74,384) 47,820
Net Unrealized Foreign Exchange Gain (Loss).............. -- 1,589 (1,684) 1,489
Net Unrealized Appreciation (Depreciation)............... 1,257 (3,938) 6,179 111,098
-------------- -------------- ------------ --------------
NET ASSETS $ 6,985,789 $ 4,724,757 $ 988,751 $ 12,597,375
============== ============== ============ ==============
----------
* See Note I in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
153
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA WORLD EX DFA
U.S. DFA SHORT- INTERMEDIATE DFA SHORT-
GOVERNMENT TERM GOVERNMENT TERM EXTENDED
FIXED INCOME GOVERNMENT FIXED INCOME QUALITY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------ --------------
ASSETS:
Investments at Value (including $0, $0, $0 and $93,099 of
securities on loan, respectively).......................... $ 750,949 $ 2,082,010 $ 3,762,165 $ 4,673,719
Temporary Cash Investments at Value & Cost.................. -- 4,943 9,385 --
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $0, $0, $0 and $95,073)........... -- -- -- 95,087
Foreign Currencies at Value................................. 1,477 -- -- --
Cash........................................................ 12,682 -- -- 48,530
Receivables:
Investment Securities Sold................................ -- 20,354 -- 1,014
Interest.................................................. 7,753 10,909 41,077 29,893
Securities Lending Income................................. -- -- -- 38
Fund Shares Sold.......................................... 573 2,212 2,542 2,768
Unrealized Gain on Forward Currency Contracts............... 6,323 -- -- --
Unrealized Gain on Foreign Currency Contracts............... 13 -- -- --
Prepaid Expenses and Other Assets........................... 32 28 31 83
------------ ------------ ------------ --------------
Total Assets........................................... 779,802 2,120,456 3,815,200 4,851,132
------------ ------------ ------------ --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......................... -- -- -- 95,071
Investment Securities Purchased........................... 4,920 22,129 -- 28,579
Fund Shares Redeemed...................................... 371 3,364 2,945 2,968
Due to Advisor............................................ 54 301 322 744
Unrealized Loss on Forward Currency Contracts............... 1,717 -- -- --
Unrealized Loss on Foreign Currency Contracts............... 1 -- -- --
Accrued Expenses and Other Liabilities...................... 75 152 297 300
------------ ------------ ------------ --------------
Total Liabilities...................................... 7,138 25,946 3,564 127,662
------------ ------------ ------------ --------------
NET ASSETS.................................................. $ 772,664 $ 2,094,510 $ 3,811,636 $ 4,723,470
============ ============ ============ ==============
Institutional Class Shares -- based on net assets of
$772,664; $2,094,510; $3,811,636 and $4,723,470 and
shares outstanding of 74,515,140; 194,807,547;
296,450,351 and 433,447,231, respectively.................. $ 10.37 $ 10.75 $ 12.86 $ 10.90
============ ============ ============ ==============
NUMBER OF SHARES AUTHORIZED................................. 100,000,000 500,000,000 700,000,000 1,500,000,000
============ ============ ============ ==============
Investments at Cost......................................... $ 765,760 $ 2,072,621 $ 3,655,357 $ 4,634,284
============ ============ ============ ==============
Foreign Currencies at Cost.................................. $ 1,463 $ -- $ -- $ --
============ ============ ============ ==============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 768,151 $ 2,077,443 $ 3,685,696 $ 4,683,514
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... 13,677 2,278 9,702 1,116
Accumulated Net Realized Gain (Loss)........................ 1,297 5,400 9,430 (609)
Net Unrealized Foreign Exchange Gain (Loss)................. 4,336 -- -- --
Net Unrealized Appreciation (Depreciation).................. (14,797) 9,389 106,808 39,449
------------ ------------ ------------ --------------
NET ASSETS.................................................. $ 772,664 $ 2,094,510 $ 3,811,636 $ 4,723,470
============ ============ ============ ==============
See accompanying Notes to Financial Statements.
154
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA
INTERMEDIATE- DFA
TERM EXTENDED DFA TARGETED DFA DIVERSIFIED
QUALITY CREDIT INVESTMENT FIXED INCOME
PORTFOLIO PORTFOLIO GRADE PORTFOLIO PORTFOLIO
-------------- ------------ --------------- ------------
ASSETS:
Investments in Affiliated Investment Companies at
Value...................................................... -- -- -- $ 87,552
Investments at Value (including $34,016, $4,213,
$228,029 and $0 of securities on loan, respectively)....... $ 1,395,051 $ 350,009 $ 6,120,420 $ 21,733
Temporary Cash Investments at Value & Cost.................. -- -- -- 2,103
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $34,829, $4,304, $233,138
and $0).................................................... 34,834 4,305 233,173 --
Cash........................................................ 8,718 4,438 34,432 --
Receivables:
Investment Securities Sold................................ -- -- 2,214 --
Interest.................................................. 13,265 3,011 53,752 72
Securities Lending Income................................. 19 2 97 --
Fund Shares Sold.......................................... 1,421 464 5,982 3,483
From Advisor.............................................. -- -- -- 18
Unrealized Gain on Forward Currency Contracts............... -- 12 -- --
Deferred Offering Costs..................................... -- -- -- 49
Prepaid Expenses and Other Assets........................... 20 9 85 38
-------------- ------------ -------------- ------------
Total Assets........................................... 1,453,328 362,250 6,450,155 115,048
-------------- ------------ -------------- ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......................... 34,829 4,304 233,130 --
Investment Securities Purchased........................... 3,519 1,247 18,820 1,868
Fund Shares Redeemed...................................... 609 46 3,171 605
Due to Advisor............................................ 228 41 815 --
Accrued Expenses and Other Liabilities...................... 102 33 430 14
-------------- ------------ -------------- ------------
Total Liabilities...................................... 39,287 5,671 256,366 2,487
-------------- ------------ -------------- ------------
NET ASSETS.................................................. $ 1,414,041 $ 356,579 $ 6,193,789 $ 112,561
============== ============ ============== ============
Institutional Class Shares -- based on net assets of
$1,414,041; $356,579; $6,193,789 and $112,561 and
shares outstanding of 128,847,610; 35,359,954;
560,886,049 and 11,342,469, respectively................... $ 10.97 $ 10.08 $ 11.04 $ 9.92
============== ============ ============== ============
NUMBER OF SHARES AUTHORIZED................................. 1,000,000,000 100,000,000 1,000,000,000 100,000,000
============== ============ ============== ============
Investments in Affiliated Investment Companies at
Cost....................................................... $ -- $ -- $ -- $ 88,073
-------------- ------------ -------------- ------------
Investments at Cost......................................... $ 1,365,354 $ 347,495 $ 6,004,091 $ 21,700
============== ============ ============== ============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 1,381,643 $ 353,534 $ 6,067,367 $ 113,032
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... 339 647 17,273 17
Accumulated Net Realized Gain (Loss)........................ 2,357 (119) (7,215) --
Net Unrealized Foreign Exchange Gain (Loss)................. -- 2 -- --
Net Unrealized Appreciation (Depreciation).................. 29,702 2,515 116,364 (488)
-------------- ------------ -------------- ------------
NET ASSETS.................................................. $ 1,414,041 $ 356,579 $ 6,193,789 $ 112,561
============== ============ ============== ============
See accompanying Notes to Financial Statements.
155
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA INFLATION- DFA SHORT-
PROTECTED DURATION REAL DFA MUNICIPAL
DFA LTIP SECURITIES RETURN REAL RETURN
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ -------------- ------------- -------------
ASSETS:
Investments at Value (including $0, $0, $53,250 and $0 of
securities on loan, respectively).......................... $ 60,576 $ 3,498,983 $ 904,342 $ 456,773
Temporary Cash Investments at Value & Cost.................. -- 8,580 -- --
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $0, $0, $54,373 and $0)........... -- -- 54,382 --
Cash........................................................ 283 -- 7,044 7,079
Receivables:
Investment Securities Sold................................ -- -- 2,835 --
Interest.................................................. 108 7,409 5,775 4,647
Securities Lending Income................................. -- -- 21 --
Fund Shares Sold.......................................... 2,309 4,720 967 578
Unrealized Gain on Swap Contracts........................... -- -- 5,163 5,885
Prepaid Expenses and Other Assets........................... 4 34 20 20
------------ ------------ ------------ ------------
Total Assets........................................... 63,280 3,519,726 980,549 474,982
------------ ------------ ------------ ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......................... -- -- 54,372 --
Investment Securities Purchased........................... -- -- 3,021 --
Fund Shares Redeemed...................................... -- 5,121 254 123
Due to Advisor............................................ 4 298 154 80
Due to Broker............................................. -- -- -- 24
Unrealized Loss on Swap Contracts........................... -- -- 7,721 712
Accrued Expenses and Other Liabilities...................... 9 240 71 58
------------ ------------ ------------ ------------
Total Liabilities...................................... 13 5,659 65,593 997
------------ ------------ ------------ ------------
NET ASSETS.................................................. $ 63,267 $ 3,514,067 $ 914,956 $ 473,985
============ ============ ============ ============
Institutional Class Shares -- based on net assets of
$63,267; $3,514,067; $914,956 and $473,985 and shares
outstanding of 6,450,541; 290,706,576; 91,356,967 and
47,719,094, respectively................................... $ 9.81 $ 12.09 $ 10.02 $ 9.93
============ ============ ============ ============
NUMBER OF SHARES AUTHORIZED................................. 100,000,000 500,000,000 500,000,000 100,000,000
============ ============ ============ ============
Investments at Cost......................................... $ 55,749 $ 3,358,414 $ 898,796 $ 454,098
============ ============ ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 58,609 $ 3,360,465 $ 914,381 $ 467,656
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... 187 5,799 10,452 97
Accumulated Net Realized Gain (Loss)........................ (356) 7,234 (12,874) (1,616)
Net Unrealized Appreciation (Depreciation).................. 4,827 140,569 2,997 7,848
------------ ------------ ------------ ------------
NET ASSETS.................................................. $ 63,267 $ 3,514,067 $ 914,956 $ 473,985
============ ============ ============ ============
See accompanying Notes to Financial Statements.
156
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA
DFA SHORT- INTERMEDIATE- DFA CALIFORNIA
TERM TERM SHORT-TERM
DFA MUNICIPAL MUNICIPAL MUNICIPAL MUNICIPAL
BOND PORTFOLIO BOND PORTFOLIO BOND PORTFOLIO BOND PORTFOLIO
-------------- -------------- -------------- --------------
ASSETS:
Investments at Value.................................. $ 217,076 $ 2,078,611 $ 1,246,326 $ 868,650
Cash.................................................. 819 463 4,478 1,102
Receivables:
Interest............................................ 2,424 25,591 14,274 10,044
Fund Shares Sold.................................... 487 1,407 801 931
Prepaid Expenses and Other Assets..................... 10 45 19 7
------------ ------------ ------------ ------------
Total Assets..................................... 220,816 2,106,117 1,265,898 880,734
------------ ------------ ------------ ------------
LIABILITIES:
Payables:
Fund Shares Redeemed................................ 44 1,636 965 324
Due to Advisor...................................... 28 356 201 149
Accrued Expenses and Other Liabilities................ 23 144 85 52
------------ ------------ ------------ ------------
Total Liabilities................................ 95 2,136 1,251 525
------------ ------------ ------------ ------------
NET ASSETS............................................ $ 220,721 $ 2,103,981 $ 1,264,647 $ 880,209
============ ============ ============ ============
Institutional Class Shares -- based on net assets of
$220,721; $2,103,981; $1,264,647 and $880,209 and
shares outstanding of 21,595,169; 206,015,942;
123,388,118 and 85,202,824, respectively............. $ 10.22 $ 10.21 $ 10.25 $ 10.33
============ ============ ============ ============
NUMBER OF SHARES AUTHORIZED........................... 100,000,000 500,000,000 500,000,000 300,000,000
============ ============ ============ ============
Investments at Cost................................... $ 215,174 $ 2,066,199 $ 1,223,558 $ 862,797
============ ============ ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital....................................... $ 218,785 $ 2,091,384 $ 1,241,644 $ 874,259
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)..................... 38 289 332 110
Accumulated Net Realized Gain (Loss).................. (4) (104) (97) (13)
Net Unrealized Appreciation (Depreciation)............ 1,902 12,412 22,768 5,853
------------ ------------ ------------ ------------
NET ASSETS............................................ $ 220,721 $ 2,103,981 $ 1,264,647 $ 880,209
============ ============ ============ ============
See accompanying Notes to Financial Statements.
157
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA CALIFORNIA
INTERMEDIATE-
TERM DFA NY
MUNICIPAL MUNICIPAL
BOND PORTFOLIO BOND PORTFOLIO
-------------- --------------
ASSETS:
Investments at Value................................................................... $ 252,004 $ 56,747
Cash................................................................................... 1,029 335
Receivables:
Interest............................................................................. 2,913 630
Fund Shares Sold..................................................................... 46 --
Prepaid Expenses and Other Assets...................................................... 12 6
------------ ------------
Total Assets...................................................................... 256,004 57,718
------------ ------------
LIABILITIES:
Payables:
Investment Securities Purchased...................................................... -- 102
Fund Shares Redeemed................................................................. 53 21
Due to Advisor....................................................................... 41 7
Accrued Expenses and Other Liabilities................................................. 17 7
------------ ------------
Total Liabilities................................................................. 111 137
------------ ------------
NET ASSETS............................................................................. $ 255,893 $ 57,581
============ ============
Institutional Class Shares -- based on net assets of $255,893 and $57,581 and shares
outstanding of 24,100,720 and 5,618,613, respectively................................. $ 10.62 $ 10.25
============ ============
NUMBER OF SHARES AUTHORIZED............................................................ 100,000,000 100,000,000
============ ============
Investments at Cost.................................................................... $ 246,305 $ 56,139
============ ============
NET ASSETS CONSIST OF:
Paid-In Capital........................................................................ $ 250,151 $ 56,963
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). 55 10
Accumulated Net Realized Gain (Loss)................................................... (12) --
Net Unrealized Appreciation (Depreciation)............................................. 5,699 608
------------ ------------
NET ASSETS............................................................................. $ 255,893 $ 57,581
============ ============
See accompanying Notes to Financial Statements.
158
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS)
DFA
SELECTIVELY
DFA ONE- DFA TWO- HEDGED DFA FIVE-
YEAR FIXED YEAR GLOBAL GLOBAL FIXED YEAR GLOBAL
INCOME FIXED INCOME INCOME FIXED INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------- ------------ ------------ ------------
INVESTMENT INCOME
Dividends............................................... $ 202 -- -- --
Interest................................................ 62,005 $47,066 $18,328 $221,281
Income from Securities Lending.......................... 132 134 25 655
------- ------- ------- --------
Total Investment Income.............................. 62,339 47,200 18,353 221,936
------- ------- ------- --------
EXPENSES
Investment Management Fees.............................. 10,903 7,401 1,437 29,659
Accounting & Transfer Agent Fees........................ 403 274 56 655
Custodian Fees.......................................... 167 165 38 296
Filing Fees............................................. 174 153 41 392
Shareholders' Reports................................... 204 186 26 440
Directors'/Trustees' Fees & Expenses.................... 51 35 7 81
Professional Fees....................................... 162 110 23 248
Other................................................... 217 155 29 334
------- ------- ------- --------
Total Expenses....................................... 12,281 8,479 1,657 32,105
------- ------- ------- --------
Fees Paid Indirectly (Note C)........................... -- (80) (24) (225)
------- ------- ------- --------
Net Expenses............................................ 12,281 8,399 1,633 31,880
------- ------- ------- --------
NET INVESTMENT INCOME (LOSS)............................ 50,058 38,801 16,720 190,056
------- ------- ------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**.......................... 415 (9,282) 1,131 26,521
Foreign Currency Transactions......................... -- (40) -- (162)
Forward Currency Contracts............................ -- 6,567 15,794 36,842
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............ 437 (185) 6,778 47,303
Translation of Foreign Currency Denominated Amounts... -- (8) -- (45)
Forward Currency Contracts............................ -- 2,794 938 2,660
------- ------- ------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)................. 852 (154) 24,641 113,119
------- ------- ------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS............................................... $50,910 $38,647 $41,361 $303,175
======= ======= ======= ========
----------
**Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
159
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS)
DFA WORLD EX DFA DFA SHORT-
U.S. DFA SHORT- INTERMEDIATE TERM
GOVERNMENT TERM GOVERNMENT EXTENDED
FIXED INCOME GOVERNMENT FIXED INCOME QUALITY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ---------- ------------ ----------
INVESTMENT INCOME
Dividends................................................ -- $ 7 $ 20 --
Interest................................................. $ 8,788 25,545 75,004 $ 83,694
Income from Securities Lending........................... -- -- -- 205
-------- ------- -------- --------
Total Investment Income............................... 8,788 25,552 75,024 83,899
-------- ------- -------- --------
EXPENSES
Investment Management Fees............................... 1,227 3,588 3,526 8,443
Accounting & Transfer Agent Fees......................... 41 120 197 234
Custodian Fees........................................... 96 19 31 74
Filing Fees.............................................. 90 61 135 191
Shareholders' Reports.................................... 21 78 150 152
Directors'/Trustees' Fees & Expenses..................... 5 15 24 29
Professional Fees........................................ 15 46 74 88
Other.................................................... 20 63 98 118
-------- ------- -------- --------
Total Expenses........................................ 1,515 3,990 4,235 9,329
-------- ------- -------- --------
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor (Note C)............... (150) -- -- (41)
Fees Paid Indirectly (Note C)............................ (26) -- -- (74)
-------- ------- -------- --------
Net Expenses............................................. 1,339 3,990 4,235 9,214
-------- ------- -------- --------
NET INVESTMENT INCOME (LOSS)............................. 7,449 21,562 70,789 74,685
-------- ------- -------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**........................... (17,263) 5,609 10,092 (611)
Foreign Currency Transactions.......................... (194) -- -- --
Forward Currency Contracts............................. 32,912 -- -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............. 18,808 3,307 50,762 34,204
Translation of Foreign Currency Denominated Amounts.... (222) -- -- --
Forward Currency Contracts............................. (395) -- -- --
-------- ------- -------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS).................. 33,646 8,916 60,854 33,593
-------- ------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS................................................ $ 41,095 $30,478 $131,643 $108,278
======== ======= ======== ========
----------
**Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
160
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS)
DFA
INTERMEDIATE-
TERM DFA DFA
EXTENDED DFA TARGETED INVESTMENT DIVERSIFIED
QUALITY CREDIT GRADE FIXED INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO(A)
------------- ------------ ---------- ------------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment
Companies:
Income Distributions Received from Affiliated Investment
Companies.................................................. $ -- $ -- $ -- $ 126
------- ------ -------- -----
Total Net Investment Income Received from Affiliated
Investment Companies.................................... -- -- -- 126
------- ------ -------- -----
FUND INVESTMENT INCOME
Dividends................................................... -- -- -- $ 1
Interest.................................................... $38,813 $6,333 $122,970 6
Income from Securities Lending.............................. 284 10 676 --
------- ------ -------- -----
Total Investment Income.................................. 39,097 6,343 123,646 7
------- ------ -------- -----
FUND EXPENSES
Investment Management Fees.................................. 2,435 534 10,199 17
Accounting & Transfer Agent Fees............................ 68 19 282 1
Custodian Fees.............................................. 14 6 78 --
Filing Fees................................................. 82 63 430 15
Shareholders' Reports....................................... 53 14 167 --
Directors'/Trustees' Fees & Expenses........................ 8 2 33 --
Professional Fees........................................... 28 5 96 1
Organizational & Offering Costs............................. -- 23 -- 14
Other....................................................... 32 8 137 --
------- ------ -------- -----
Total Expenses........................................... 2,720 674 11,422 48
------- ------ -------- -----
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor (Note C).................. (42) (111) (203) (42)
Fees Paid Indirectly (Note C)............................... -- (6) -- --
------- ------ -------- -----
Net Expenses................................................ 2,678 557 11,219 6
------- ------ -------- -----
NET INVESTMENT INCOME (LOSS)................................ 36,419 5,786 112,427 127
------- ------ -------- -----
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**.............................. 2,392 (213) (7,215) --
Foreign Currency Transactions............................. -- 1 -- --
Forward Currency Contracts................................ -- 639 -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities..................................... 37,195 3,362 112,931 (488)
Translation of Foreign Currency Denominated Amounts....... -- (10) -- --
Forward Currency Contracts................................ -- 12 -- --
------- ------ -------- -----
NET REALIZED AND UNREALIZED GAIN (LOSS)..................... 39,587 3,791 105,716 (488)
------- ------ -------- -----
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS................................................... $76,006 $9,577 $218,143 $(361)
======= ====== ======== =====
----------
(a)The Fund commenced operations on August 10, 2016.
**Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
161
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS)
DFA
INFLATION- DFA SHORT- DFA
PROTECTED DURATION REAL MUNICIPAL
DFA LTIP SECURITIES RETURN REAL RETURN
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------- ---------- ------------- -----------
INVESTMENT INCOME
Dividends....................................................... -- $ 18 -- --
Interest........................................................ $1,026 48,208 $15,163 $ 4,986
Income from Securities Lending.................................. -- -- 64 --
------ -------- ------- -------
Total Investment Income...................................... 1,026 48,226 15,227 4,986
------ -------- ------- -------
EXPENSES
Investment Management Fees...................................... 35 3,274 1,584 686
Accounting & Transfer Agent Fees................................ 5 183 47 21
Custodian Fees.................................................. -- 31 33 36
Filing Fees..................................................... 25 109 55 67
Shareholders' Reports........................................... 6 123 32 7
Directors'/Trustees' Fees & Expenses............................ -- 22 5 2
Professional Fees............................................... -- 69 18 8
Organizational & Offering Costs................................. -- -- -- 1
Other........................................................... 3 92 23 8
------ -------- ------- -------
Total Expenses............................................... 74 3,903 1,797 836
------ -------- ------- -------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor (Note C)............................. (21) -- 104 73
------ -------- ------- -------
Net Expenses.................................................... 53 3,903 1,901 909
------ -------- ------- -------
NET INVESTMENT INCOME (LOSS).................................... 973 44,323 13,326 4,077
------ -------- ------- -------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from Investment Securities.. -- -- -- 1
Net Realized Gain (Loss) on:
Investment Securities Sold**.................................. 44 10,299 267 (1)
Swap Contracts................................................ -- -- (4,828) (1,616)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................... 4,852 136,526 4,726 1,145
Swap Contracts................................................ -- -- 14,527 8,274
------ -------- ------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS)......................... 4,896 146,825 14,692 7,803
------ -------- ------- -------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS....................................................... $5,869 $191,148 $28,018 $11,880
====== ======== ======= =======
----------
**Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
162
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS)
DFA DFA
DFA SHORT- INTERMEDIATE- CALIFORNIA
DFA TERM TERM SHORT-TERM
MUNICIPAL MUNICIPAL MUNICIPAL MUNICIPAL
BOND BOND BOND BOND
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------- ---------- ------------- ----------
INVESTMENT INCOME
Interest........................................................ $2,226 $24,496 $17,580 $8,879
------ ------- ------- ------
Total Investment Income...................................... 2,226 24,496 17,580 8,879
------ ------- ------- ------
EXPENSES
Investment Management Fees...................................... 327 4,301 2,242 1,674
Accounting & Transfer Agent Fees................................ 12 121 64 49
Custodian Fees.................................................. 2 19 9 6
Filing Fees..................................................... 46 76 110 32
Shareholders' Reports........................................... 3 54 31 17
Directors'/Trustees' Fees & Expenses............................ 1 15 7 6
Professional Fees............................................... 3 46 21 17
Organizational & Offering Costs................................. 15 -- -- --
Other........................................................... 4 64 31 24
------ ------- ------- ------
Total Expenses............................................... 413 4,696 2,515 1,825
------ ------- ------- ------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor (Note C)............................. (37) -- 63 --
------ ------- ------- ------
Net Expenses.................................................... 376 4,696 2,578 1,825
------ ------- ------- ------
NET INVESTMENT INCOME (LOSS).................................... 1,850 19,800 15,002 7,054
------ ------- ------- ------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from Investment Securities.. -- 1 -- --
Net Realized Gain (Loss) on:
Investment Securities Sold**.................................. (1) (14) (4) (5)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities......................................... 851 (4,356) 6,117 (884)
------ ------- ------- ------
NET REALIZED AND UNREALIZED GAIN (LOSS)......................... 850 (4,369) 6,113 (889)
------ ------- ------- ------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS....................................................... $2,700 $15,431 $21,115 $6,165
====== ======= ======= ======
----------
** Net of foreign capital gain taxes withheld of $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
163
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS)
DFA
CALIFORNIA
INTERMEDIATE-
TERM DFA NY
MUNICIPAL MUNICIPAL
BOND BOND
PORTFOLIO PORTFOLIO
------------- ---------
INVESTMENT INCOME
Interest.................................................................................. $3,694 $573
------ ----
Total Investment Income................................................................ 3,694 573
------ ----
EXPENSES
Investment Management Fees................................................................ 449 85
Accounting & Transfer Agent Fees.......................................................... 15 6
Custodian Fees............................................................................ -- 1
Filing Fees............................................................................... 26 14
Shareholders' Reports..................................................................... 5 3
Directors'/Trustees' Fees & Expenses...................................................... 1 --
Professional Fees......................................................................... 4 1
Organizational & Offering Costs........................................................... -- 32
Other..................................................................................... 8 3
------ ----
Total Expenses......................................................................... 508 145
------ ----
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor
(Note C)................................................................................. 8 (38)
------ ----
Net Expenses.............................................................................. 516 107
------ ----
NET INVESTMENT INCOME (LOSS).............................................................. 3,178 466
------ ----
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**............................................................ (6) --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities................................................................... 1,032 266
------ ----
NET REALIZED AND UNREALIZED GAIN (LOSS)................................................... 1,026 266
------ ----
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............................. $4,204 $732
====== ====
----------
** Net of foreign capital gain taxes withheld of $0 and $0, respectively.
See accompanying Notes to Financial Statements.
164
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA SELECTIVELY HEDGED
DFA ONE-YEAR FIXED DFA TWO-YEAR GLOBAL FIXED GLOBAL FIXED INCOME
INCOME PORTFOLIO INCOME PORTFOLIO PORTFOLIO
------------------------ ------------------------ ---------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2016 2015 2016 2015
----------- ----------- ----------- ----------- --------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)......... $ 50,058 $ 30,586 $ 38,801 $ 30,971 $ 16,720 $ 16,868
Net Realized Gain (Loss) on:
Investment Securities Sold*......... 415 6,562 (9,282) (186,717) 1,131 (5,618)
Foreign Currency Transactions....... -- -- (40) 115,959 -- (80,363)
Forward Currency Contracts.......... -- -- 6,567 -- 15,794 --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency........................... 437 (5,224) (185) 83,859 6,778 2,594
Translation of Foreign Currency
Denominated Amounts................ -- -- (8) (11,148) -- 15,141
Forward Currency Contracts.......... -- -- 2,794 -- 938 --
----------- ----------- ----------- ----------- --------- ----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations........................ 50,910 31,924 38,647 32,924 41,361 (51,378)
----------- ----------- ----------- ----------- --------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares.......... (51,284) (29,656) (24,459) (61,732) (10,482) (17,496)
Net Short-Term Gains:
Institutional Class Shares.......... (4,011) (3,006) -- (7,295) -- --
Net Long-Term Gains:
Institutional Class Shares.......... (2,550) (2,569) -- (562) -- --
Tax Return of Capital............... -- -- -- (1,390) -- --
----------- ----------- ----------- ----------- --------- ----------
Total Distributions................ (57,845) (35,231) (24,459) (70,979) (10,482) (17,496)
----------- ----------- ----------- ----------- --------- ----------
Capital Share Transactions (1):
Shares Issued........................ 3,637,876 3,960,508 1,053,891 1,304,614 205,567 322,066
Shares Issued in Lieu of Cash
Distributions....................... 53,724 32,543 22,714 65,282 10,453 17,342
Shares Redeemed...................... (4,004,884) (5,139,295) (1,726,209) (2,160,620) (254,062) (374,267)
----------- ----------- ----------- ----------- --------- ----------
Net Increase (Decrease) from
Capital Share
Transactions...................... (313,284) (1,146,244) (649,604) (790,724) (38,042) (34,859)
----------- ----------- ----------- ----------- --------- ----------
Total Increase (Decrease) in
Net Assets........................ (320,219) (1,149,551) (635,416) (828,779) (7,163) (103,733)
NET ASSETS
Beginning of Year.................... 7,306,008 8,455,559 5,360,173 6,188,952 995,914 1,099,647
----------- ----------- ----------- ----------- --------- ----------
End of Year.......................... $ 6,985,789 $ 7,306,008 $ 4,724,757 $ 5,360,173 $ 988,751 $ 995,914
=========== =========== =========== =========== ========= ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................ 352,921 383,837 105,742 131,259 21,557 33,380
Shares Issued in Lieu of Cash
Distributions....................... 5,214 3,155 2,279 6,587 1,128 1,793
Shares Redeemed...................... (388,483) (498,072) (173,163) (217,418) (26,884) (39,218)
----------- ----------- ----------- ----------- --------- ----------
Net Increase (Decrease) from
Shares Issued and
Redeemed.......................... (30,348) (111,080) (65,142) (79,572) (4,199) (4,045)
=========== =========== =========== =========== ========= ==========
UNDISTRIBUTED NET INVESTMENT
INCOME (DISTRIBUTIONS IN EXCESS
OF NET INVESTMENT INCOME)............. $ (306) $ 2,374 $ 13,495 $ 918 $ 13,093 $ 7,653
DFA FIVE-YEAR GLOBAL FIXED
INCOME PORTFOLIO
------------------------
YEAR YEAR
ENDED ENDED
OCT. 31, OCT. 31,
2016 2015
----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)......... $ 190,056 $ 163,574
Net Realized Gain (Loss) on:
Investment Securities Sold*......... 26,521 (24,187)
Foreign Currency Transactions....... (162) 55,652
Forward Currency Contracts.......... 36,842 --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency........................... 47,303 44,785
Translation of Foreign Currency
Denominated Amounts................ (45) (8,957)
Forward Currency Contracts.......... 2,660 --
----------- -----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations........................ 303,175 230,867
----------- -----------
Distributions From:
Net Investment Income:
Institutional Class Shares.......... (182,028) (187,107)
Net Short-Term Gains:
Institutional Class Shares.......... (4,344) (2,643)
Net Long-Term Gains:
Institutional Class Shares.......... (30,555) (14,765)
Tax Return of Capital............... -- --
----------- -----------
Total Distributions................ (216,927) (204,515)
----------- -----------
Capital Share Transactions (1):
Shares Issued........................ 3,233,299 3,299,512
Shares Issued in Lieu of Cash
Distributions....................... 204,682 192,233
Shares Redeemed...................... (2,164,819) (2,098,248)
----------- -----------
Net Increase (Decrease) from
Capital Share
Transactions...................... 1,273,162 1,393,497
----------- -----------
Total Increase (Decrease) in
Net Assets........................ 1,359,410 1,419,849
NET ASSETS
Beginning of Year.................... 11,237,965 9,818,116
----------- -----------
End of Year.......................... $12,597,375 $11,237,965
=========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................ 291,341 299,016
Shares Issued in Lieu of Cash
Distributions....................... 18,603 17,567
Shares Redeemed...................... (195,311) (190,115)
----------- -----------
Net Increase (Decrease) from
Shares Issued and
Redeemed.......................... 114,633 126,468
=========== ===========
UNDISTRIBUTED NET INVESTMENT
INCOME (DISTRIBUTIONS IN EXCESS
OF NET INVESTMENT INCOME)............. $ 77,932 $ 62,240
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0, $0, $0 and
$0, respectively.
See accompanying Notes to Financial Statements.
165
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA WORLD EX U.S. DFA INTERMEDIATE
GOVERNMENT FIXED DFA SHORT-TERM GOVERNMENT FIXED
INCOME PORTFOLIO GOVERNMENT PORTFOLIO INCOME PORTFOLIO
------------------- ---------------------- -----------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2016 2015 2016 2015
--------- -------- ---------- ---------- ---------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).............. $ 7,449 $ 6,358 $ 21,562 $ 19,699 $ 70,789 $ 93,387
Net Realized Gain (Loss) on:
Investment Securities Sold*.............. (17,263) (6,130) 5,609 9,146 10,092 16,010
Foreign Currency Transactions............ (194) 45,041 -- -- -- --
Forward Currency Contracts............... 32,912 -- -- -- -- --
In-Kind Redemptions...................... -- -- -- 1,565 -- 73,338
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency................................ 18,808 (25,218) 3,307 3,968 50,762 (44,979)
Translation of Foreign Currency
Denominated Amounts..................... (222) (5,186) -- -- -- --
Forward Currency Contracts............... (395) -- -- -- -- --
--------- -------- ---------- ---------- ---------- -----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations............................. 41,095 14,865 30,478 34,378 131,643 137,756
--------- -------- ---------- ---------- ---------- -----------
Distributions From:
Net Investment Income:
Institutional Class Shares............... (37,065) (23,669) (20,778) (19,258) (68,105) (94,411)
Net Short-Term Gains:
Institutional Class Shares............... -- (518) (3,488) (564) (201) --
Net Long-Term Gains:
Institutional Class Shares............... (629) (1,249) (5,104) (3,547) (14,801) (20,171)
--------- -------- ---------- ---------- ---------- -----------
Total Distributions..................... (37,694) (25,436) (29,370) (23,369) (83,107) (114,582)
--------- -------- ---------- ---------- ---------- -----------
Capital Share Transactions (1):
Shares Issued............................. 411,964 277,839 495,616 653,943 1,029,351 1,276,500
Shares Issued in Lieu of Cash
Distributions............................ 37,495 25,301 27,308 21,416 77,909 108,021
Shares Redeemed........................... (247,314) (80,692) (574,511) (603,089) (723,109) (2,050,362)
--------- -------- ---------- ---------- ---------- -----------
Net Increase (Decrease) from Capital
Share Transactions..................... 202,145 222,448 (51,587) 72,270 384,151 (665,841)
--------- -------- ---------- ---------- ---------- -----------
Total Increase (Decrease) in Net
Assets................................. 205,546 211,877 (50,479) 83,279 432,687 (642,667)
NET ASSETS
Beginning of Period....................... 567,118 355,241 2,144,989 2,061,710 3,378,949 4,021,616
--------- -------- ---------- ---------- ---------- -----------
End of Period............................. $ 772,664 $567,118 $2,094,510 $2,144,989 $3,811,636 $ 3,378,949
========= ======== ========== ========== ========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................. 40,726 26,565 46,111 60,988 80,021 100,811
Shares Issued in Lieu of Cash
Distributions............................ 3,866 2,456 2,550 2,005 6,107 8,598
Shares Redeemed........................... (24,210) (7,736) (53,422) (56,219) (56,436) (161,951)
--------- -------- ---------- ---------- ---------- -----------
Net Increase (Decrease) from Shares
Issued and Redeemed.................... 20,382 21,285 (4,761) 6,774 29,692 (52,542)
========= ======== ========== ========== ========== ===========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)......................... $ 13,677 $ 31,289 $ 2,278 $ 2,278 $ 9,702 $ 8,569
DFA SHORT-TERM EXTENDED
QUALITY PORTFOLIO
-----------------------
YEAR YEAR
ENDED ENDED
OCT. 31, OCT. 31,
2016 2015
---------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).............. $ 74,685 $ 66,117
Net Realized Gain (Loss) on:
Investment Securities Sold*.............. (611) 1,486
Foreign Currency Transactions............ -- 2,818
Forward Currency Contracts............... -- --
In-Kind Redemptions...................... -- 2,195
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency................................ 34,204 (9,711)
Translation of Foreign Currency
Denominated Amounts..................... -- (926)
Forward Currency Contracts............... -- --
---------- -----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations............................. 108,278 61,979
---------- -----------
Distributions From:
Net Investment Income:
Institutional Class Shares............... (75,125) (73,532)
Net Short-Term Gains:
Institutional Class Shares............... (626) --
Net Long-Term Gains:
Institutional Class Shares............... (5,233) (2,296)
---------- -----------
Total Distributions..................... (80,984) (75,828)
---------- -----------
Capital Share Transactions (1):
Shares Issued............................. 1,630,373 1,430,659
Shares Issued in Lieu of Cash
Distributions............................ 79,037 74,608
Shares Redeemed........................... (909,467) (1,418,079)
---------- -----------
Net Increase (Decrease) from Capital
Share Transactions..................... 799,943 87,188
---------- -----------
Total Increase (Decrease) in Net
Assets................................. 827,237 73,339
NET ASSETS
Beginning of Period....................... 3,896,233 3,822,894
---------- -----------
End of Period............................. $4,723,470 $ 3,896,233
========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................. 149,885 131,865
Shares Issued in Lieu of Cash
Distributions............................ 7,282 6,890
Shares Redeemed........................... (83,763) (130,819)
---------- -----------
Net Increase (Decrease) from Shares
Issued and Redeemed.................... 73,404 7,936
========== ===========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)......................... $ 1,116 $ 2,206
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0, $0, $0 and
$0, respectively.
See accompanying Notes to Financial Statements.
166
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA INTERMEDIATE-
TERM EXTENDED DFA TARGETED DFA INVESTMENT
QUALITY PORTFOLIO CREDIT PORTFOLIO GRADE PORTFOLIO
----------------------- ------------------ ----------------------
PERIOD
MAY 20,
YEAR YEAR YEAR 2015(A) YEAR YEAR
ENDED ENDED ENDED TO ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2016 2015 2016 2015
---------- ----------- -------- -------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......................... $ 36,419 $ 75,274 $ 5,786 $ 1,520 $ 112,427 $ 81,794
Capital Gain Distributions Received from Investment
Securities........................................... -- -- -- -- -- 10,305
Net Realized Gain (Loss) on:
Investment Securities Sold*......................... 2,392 5,491 (213) 49 (7,215) 5,963
Foreign Currency Transactions....................... -- -- 1 -- -- --
Forward Currency Contracts.......................... -- -- 639 -- -- --
In-Kind Redemptions................................. -- 2,829 -- -- -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.......... 37,195 (32,989) 3,362 (847) 112,931 (17,212)
Translation of Foreign Currency Denominated
Amounts............................................ -- -- (10) -- -- --
Forward Currency Contracts.......................... -- -- 12 -- -- --
---------- ----------- -------- -------- ---------- ----------
Net Increase (Decrease) in Net Assets Resulting
from Operations................................... 76,006 50,605 9,577 722 218,143 80,850
---------- ----------- -------- -------- ---------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares.......................... (38,250) (79,628) (5,955) (1,166) (101,638) (74,964)
Net Short-Term Gains:
Institutional Class Shares.......................... -- (417) (49) -- -- --
Net Long-Term Gains:
Institutional Class Shares.......................... (5,135) (8,975) -- -- (13,538) (81)
---------- ----------- -------- -------- ---------- ----------
Total Distributions................................ (43,385) (89,020) (6,004) (1,166) (115,176) (75,045)
---------- ----------- -------- -------- ---------- ----------
Capital Share Transactions (1):
Shares Issued......................................... 555,254 1,346,184 168,057 231,133 2,753,616 2,246,275
Shares Issued in Lieu of Cash Distributions........... 40,891 87,512 5,841 1,135 114,093 74,650
Shares Redeemed....................................... (283,542) (2,460,358) (41,500) (11,216) (930,081) (606,593)
---------- ----------- -------- -------- ---------- ----------
Net Increase (Decrease) from Capital Share
Transactions...................................... 312,603 (1,026,662) 132,398 221,052 1,937,628 1,714,332
---------- ----------- -------- -------- ---------- ----------
Total Increase (Decrease) in Net Assets............ 345,224 (1,065,077) 135,971 220,608 2,040,595 1,720,137
NET ASSETS
Beginning of Year..................................... 1,068,817 2,133,894 220,608 -- 4,153,194 2,433,057
---------- ----------- -------- -------- ---------- ----------
End of Year........................................... $1,414,041 $ 1,068,817 $356,579 $220,608 $6,193,789 $4,153,194
========== =========== ======== ======== ========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued......................................... 51,131 125,163 16,768 23,172 250,867 207,651
Shares Issued in Lieu of Cash Distributions........... 3,794 8,156 583 114 10,459 6,955
Shares Redeemed....................................... (26,287) (230,681) (4,150) (1,127) (85,013) (56,188)
---------- ----------- -------- -------- ---------- ----------
Net Increase (Decrease) from Shares Issued and
Redeemed.......................................... 28,638 (97,362) 13,201 22,159 176,313 158,418
========== =========== ======== ======== ========== ==========
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN
EXCESS OF NET INVESTMENT INCOME)...................... $ 339 $ 2,675 $ 647 $ 354 $ 17,273 $ 8,402
DFA
DIVERSIFIED
FIXED
INCOME
PORTFOLIO
-----------
PERIOD
AUG. 10,
2016(A)
TO
OCT. 31,
2016
-----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......................... $ 127
Capital Gain Distributions Received from Investment
Securities........................................... --
Net Realized Gain (Loss) on:
Investment Securities Sold*......................... --
Foreign Currency Transactions....................... --
Forward Currency Contracts.......................... --
In-Kind Redemptions................................. --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.......... (488)
Translation of Foreign Currency Denominated
Amounts............................................ --
Forward Currency Contracts.......................... --
--------
Net Increase (Decrease) in Net Assets Resulting
from Operations................................... (361)
--------
Distributions From:
Net Investment Income:
Institutional Class Shares.......................... (110)
Net Short-Term Gains:
Institutional Class Shares.......................... --
Net Long-Term Gains:
Institutional Class Shares.......................... --
--------
Total Distributions................................ (110)
--------
Capital Share Transactions (1):
Shares Issued......................................... 116,367
Shares Issued in Lieu of Cash Distributions........... 110
Shares Redeemed....................................... (3,445)
--------
Net Increase (Decrease) from Capital Share
Transactions...................................... 113,032
--------
Total Increase (Decrease) in Net Assets............ 112,561
NET ASSETS
Beginning of Year..................................... --
--------
End of Year........................................... $112,561
========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued......................................... 11,678
Shares Issued in Lieu of Cash Distributions........... 11
Shares Redeemed....................................... (347)
--------
Net Increase (Decrease) from Shares Issued and
Redeemed.......................................... 11,342
========
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN
EXCESS OF NET INVESTMENT INCOME)...................... $ 17
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
167
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA INFLATION-
PROTECTED SECURITIES DFA SHORT-DURATION REAL
DFA LTIP PORTFOLIO PORTFOLIO RETURN PORTFOLIO
---------------- ---------------------- ----------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2016 2015 2016 2015
-------- -------- ---------- ---------- --------- ---------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)........... $ 973 $ 1 $ 44,323 $ 15,436 $ 13,326 $ 10,083
Capital Gain Distributions Received
from Investment Securities............ -- -- -- -- -- --
Net Realized Gain (Loss) on:
Investment Securities Sold*.......... 44 101 10,299 6,103 267 (15)
Swap Contracts....................... -- -- -- -- (4,828) (8,507)
Foreign Currency Transactions........ -- -- -- -- -- 151
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................ 4,852 (107) 136,526 (49,476) 4,726 552
Swap Contracts....................... -- -- -- -- 14,527 (10,801)
Translation of Foreign Currency
Denominated Amounts................. -- -- -- -- -- (16)
------- ----- ---------- ---------- --------- ---------
Net Increase (Decrease) in Net
Assets Resulting from
Operations......................... 5,869 (5) 191,148 (27,937) 28,018 (8,553)
------- ----- ---------- ---------- --------- ---------
Distributions From:
Net Investment Income:
Institutional Class Shares........... (786) (2) (36,066) (17,218) (9,645) (5,752)
Net Short-Term Gains:
Institutional Class Shares........... -- -- -- -- -- (56)
Net Long-Term Gains:
Institutional Class Shares........... -- -- (2,828) (6,280) -- (15)
------- ----- ---------- ---------- --------- ---------
Total Distributions................. (786) (2) (38,894) (23,498) (9,645) (5,823)
------- ----- ---------- ---------- --------- ---------
Capital Share Transactions (1):
Shares Issued.......................... 62,424 3 1,236,112 934,106 368,597 361,216
Shares Issued in Lieu of Cash
Distributions......................... 409 2 34,698 21,549 9,262 5,654
Shares Redeemed........................ (4,857) (785) (891,895) (643,468) (266,272) (199,575)
------- ----- ---------- ---------- --------- ---------
Net Increase (Decrease) from
Capital Share
Transactions....................... 57,976 (780) 378,915 312,187 111,587 167,295
------- ----- ---------- ---------- --------- ---------
Total Increase (Decrease) in Net
Assets............................. 63,059 (787) 531,169 260,752 129,960 152,919
NET ASSETS
Beginning of Year...................... 208 995 2,982,898 2,722,146 784,996 632,077
------- ----- ---------- ---------- --------- ---------
End of Year............................ $63,267 $ 208 $3,514,067 $2,982,898 $ 914,956 $ 784,996
======= ===== ========== ========== ========= =========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.......................... 6,891 -- 104,535 79,857 37,408 36,785
Shares Issued in Lieu of Cash
Distributions......................... 41 -- 2,878 1,867 964 580
Shares Redeemed........................ (505) (81) (75,144) (55,043) (27,232) (20,376)
------- ----- ---------- ---------- --------- ---------
Net Increase (Decrease) from
Shares Issued and
Redeemed........................... 6,427 (81) 32,269 26,681 11,140 16,989
======= ===== ========== ========== ========= =========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)..................... $ 187 $ -- $ 5,799 $ (145) $ 10,452 $ 7,591
DFA MUNICIPAL REAL RETURN
PORTFOLIO
------------------------
YEAR PERIOD
ENDED NOV. 4,
OCT. 31, 2014(A) TO
2016 OCT. 31, 2015
-------- -------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)........... $ 4,077 $ 1,088
Capital Gain Distributions Received
from Investment Securities............ 1 --
Net Realized Gain (Loss) on:
Investment Securities Sold*.......... (1) --
Swap Contracts....................... (1,616) --
Foreign Currency Transactions........ -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................ 1,145 1,530
Swap Contracts....................... 8,274 (3,101)
Translation of Foreign Currency
Denominated Amounts................. -- --
-------- --------
Net Increase (Decrease) in Net
Assets Resulting from
Operations......................... 11,880 (483)
-------- --------
Distributions From:
Net Investment Income:
Institutional Class Shares........... (4,131) (937)
Net Short-Term Gains:
Institutional Class Shares........... -- --
Net Long-Term Gains:
Institutional Class Shares........... -- --
-------- --------
Total Distributions................. (4,131) (937)
-------- --------
Capital Share Transactions (1):
Shares Issued.......................... 353,189 209,194
Shares Issued in Lieu of Cash
Distributions......................... 4,113 929
Shares Redeemed........................ (75,304) (24,465)
-------- --------
Net Increase (Decrease) from
Capital Share
Transactions....................... 281,998 185,658
-------- --------
Total Increase (Decrease) in Net
Assets............................. 289,747 184,238
NET ASSETS
Beginning of Year...................... 184,238 --
-------- --------
End of Year............................ $473,985 $184,238
======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.......................... 35,985 21,391
Shares Issued in Lieu of Cash
Distributions......................... 417 96
Shares Redeemed........................ (7,646) (2,524)
-------- --------
Net Increase (Decrease) from
Shares Issued and
Redeemed........................... 28,756 18,963
======== ========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)..................... $ 97 $ 151
See page 1 & 2 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.
168
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA SHORT-TERM DFA INTERMEDIATE-TERM
DFA MUNICIPAL BOND MUNICIPAL BOND MUNICIPAL BOND
PORTFOLIO PORTFOLIO PORTFOLIO
---------------------- ---------------------- ---------------------
YEAR PERIOD YEAR YEAR YEAR YEAR
ENDED MARCH 10, ENDED ENDED ENDED ENDED
OCT. 31, 2015(A) TO OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 OCT. 31, 2015 2016 2015 2016 2015
-------- ------------- ---------- ---------- ---------- ---------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)............. $ 1,850 $ 505 $ 19,800 $ 19,769 $ 15,002 $ 10,104
Capital Gain Distributions Received from
Investment Securities................... -- -- 1 -- -- --
Net Realized Gain (Loss) on:
Investment Securities Sold*............ (1) (3) (14) (25) (4) (4)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities.................. 851 1,051 (4,356) 1,370 6,117 7,288
-------- -------- ---------- ---------- ---------- ---------
Net Increase (Decrease) in Net
Assets Resulting from
Operations........................... 2,700 1,553 15,431 21,114 21,115 17,388
-------- -------- ---------- ---------- ---------- ---------
Distributions From:
Net Investment Income:
Institutional Class Shares............. (1,922) (395) (21,005) (19,786) (15,739) (9,647)
-------- -------- ---------- ---------- ---------- ---------
Total Distributions................... (1,922) (395) (21,005) (19,786) (15,739) (9,647)
-------- -------- ---------- ---------- ---------- ---------
Capital Share Transactions (1):
Shares Issued............................ 150,409 109,807 644,837 627,948 584,454 516,239
Shares Issued in Lieu of Cash
Distributions........................... 1,922 395 20,616 19,501 15,261 9,455
Shares Redeemed.......................... (32,703) (11,045) (755,735) (655,855) (250,925) (131,676)
-------- -------- ---------- ---------- ---------- ---------
Net Increase (Decrease) from
Capital Share Transactions........... 119,628 99,157 (90,282) (8,406) 348,790 394,018
-------- -------- ---------- ---------- ---------- ---------
Total Increase (Decrease) in Net
Assets............................... 120,406 100,315 (95,856) (7,078) 354,166 401,759
NET ASSETS
Beginning of Period...................... 100,315 -- 2,199,837 2,206,915 910,481 508,722
-------- -------- ---------- ---------- ---------- ---------
End of Period............................ $220,721 $100,315 $2,103,981 $2,199,837 $1,264,647 $ 910,481
======== ======== ========== ========== ========== =========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................ 14,688 10,976 62,920 61,517 56,787 51,226
Shares Issued in Lieu of Cash
Distributions........................... 188 39 2,013 1,912 1,485 938
Shares Redeemed.......................... (3,194) (1,102) (73,707) (64,296) (24,370) (13,055)
-------- -------- ---------- ---------- ---------- ---------
Net Increase (Decrease) from
Shares Issued and Redeemed........... 11,682 9,913 (8,774) (867) 33,902 39,109
======== ======== ========== ========== ========== =========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)....................... $ 38 $ 110 $ 289 $ 1,494 $ 332 $ 1,069
DFA CALIFORNIA
SHORT-TERM
MUNICIPAL BOND PORTFOLIO
-----------------------
YEAR YEAR
ENDED ENDED
OCT. 31, OCT. 31,
2016 2015
--------- ---------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)............. $ 7,054 $ 5,961
Capital Gain Distributions Received from
Investment Securities................... -- --
Net Realized Gain (Loss) on:
Investment Securities Sold*............ (5) --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities.................. (884) 1,534
--------- ---------
Net Increase (Decrease) in Net
Assets Resulting from
Operations........................... 6,165 7,495
--------- ---------
Distributions From:
Net Investment Income:
Institutional Class Shares............. (7,440) (5,873)
--------- ---------
Total Distributions................... (7,440) (5,873)
--------- ---------
Capital Share Transactions (1):
Shares Issued............................ 290,811 302,828
Shares Issued in Lieu of Cash
Distributions........................... 7,405 5,840
Shares Redeemed.......................... (242,216) (188,579)
--------- ---------
Net Increase (Decrease) from
Capital Share Transactions........... 56,000 120,089
--------- ---------
Total Increase (Decrease) in Net
Assets............................... 54,725 121,711
NET ASSETS
Beginning of Period...................... 825,484 703,773
--------- ---------
End of Period............................ $ 880,209 $ 825,484
========= =========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................ 28,064 29,382
Shares Issued in Lieu of Cash
Distributions........................... 715 567
Shares Redeemed.......................... (23,379) (18,299)
--------- ---------
Net Increase (Decrease) from
Shares Issued and Redeemed........... 5,400 11,650
========= =========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)....................... $ 110 $ 496
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0, $0, $0 and
$0, respectively.
See accompanying Notes to Financial Statements.
169
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA CALIFORNIA
INTERMEDIATE-TERM DFA NY MUNICIPAL
MUNICIPAL BOND PORTFOLIO BOND PORTFOLIO
----------------------- ----------------
PERIOD
JUNE 16,
YEAR YEAR YEAR 2015(A)
ENDED ENDED ENDED TO
OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2016 2015
-------- -------- -------- --------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......................................... $ 3,178 $ 2,655 $ 466 $ 120
Net Realized Gain (Loss) on:
Investment Securities Sold*......................................... (6) (6) -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities............................................... 1,032 1,494 266 342
-------- -------- ------- -------
Net Increase (Decrease) in Net Assets Resulting from Operations.... 4,204 4,143 732 462
-------- -------- ------- -------
Distributions From:
Net Investment Income:
Institutional Class Shares.......................................... (3,364) (2,603) (487) (89)
-------- -------- ------- -------
Total Distributions................................................ (3,364) (2,603) (487) (89)
-------- -------- ------- -------
Capital Share Transactions (1):
Shares Issued......................................................... 95,612 77,673 31,273 28,976
Shares Issued in Lieu of Cash Distributions........................... 3,334 2,603 487 89
Shares Redeemed....................................................... (40,517) (25,616) (3,409) (453)
-------- -------- ------- -------
Net Increase (Decrease) from Capital Share Transactions............ 58,429 54,660 28,351 28,612
-------- -------- ------- -------
Total Increase (Decrease) in Net Assets............................ 59,269 56,200 28,596 28,985
NET ASSETS
Beginning of Period................................................... 196,624 140,424 28,985 --
-------- -------- ------- -------
End of Period......................................................... $255,893 $196,624 $57,581 $28,985
======== ======== ======= =======
(1) SHARES ISSUED AND REDEEMED:
Shares Issued......................................................... 8,964 7,415 3,047 2,893
Shares Issued in Lieu of Cash Distributions........................... 313 249 47 9
Shares Redeemed....................................................... (3,800) (2,447) (332) (45)
-------- -------- ------- -------
Net Increase (Decrease) from Shares Issued and Redeemed............ 5,477 5,217 2,762 2,857
======== ======== ======= =======
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)..................................................... $ 55 $ 241 $ 10 $ 31
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
170
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA ONE-YEAR FIXED INCOME PORTFOLIO
----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year............................... $ 10.32 $ 10.32 $ 10.33 $ 10.35 $ 10.35
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................ 0.07 0.04 0.03 0.04 0.05
Net Gains (Losses) on Securities (Realized and Unrealized)...... -- 0.01 -- -- 0.03
---------- ---------- ---------- ---------- ----------
Total from Investment Operations.............................. 0.07 0.05 0.03 0.04 0.08
------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................................... (0.07) (0.04) (0.03) (0.04) (0.05)
Net Realized Gains.............................................. (0.01) (0.01) (0.01) (0.02) (0.03)
---------- ---------- ---------- ---------- ----------
Total Distributions........................................... (0.08) (0.05) (0.04) (0.06) (0.08)
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year..................................... $ 10.31 $ 10.32 $ 10.32 $ 10.33 $ 10.35
================================================================ ========== ========== ========== ========== ==========
Total Return..................................................... 0.70% 0.44% 0.28% 0.43% 0.79%
------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).............................. $6,985,789 $7,306,008 $8,455,559 $8,089,711 $7,094,264
Ratio of Expenses to Average Net Assets.......................... 0.17% 0.17% 0.17% 0.17% 0.17%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly)..................................................... 0.17% 0.17% 0.17% 0.17% 0.17%
Ratio of Net Investment Income to Average Net Assets............. 0.69% 0.38% 0.30% 0.38% 0.52%
Portfolio Turnover Rate.......................................... 64% 81% 72% 62% 77%
------------------------------------------------------------------------------------------------------------------------------
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year............................... $ 9.96 $ 10.02 $ 10.06 $ 10.13 $ 10.23
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................ 0.08 0.05 0.05 0.05 0.07
Net Gains (Losses) on Securities (Realized and Unrealized)...... -- -- -- -- 0.02
---------- ---------- ---------- ---------- ----------
Total from Investment Operations.............................. 0.08 0.05 0.05 0.05 0.09
-----------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................................... (0.05) (0.10) (0.08) (0.10) (0.16)
Net Realized Gains.............................................. -- (0.01) (0.01) (0.02) (0.03)
---------- ---------- ---------- ---------- ----------
Total Distributions........................................... (0.05) (0.11) (0.09) (0.12) (0.19)
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year..................................... $ 9.99 $ 9.96 $ 10.02 $ 10.06 $ 10.13
================================================================ ========== ========== ========== ========== ==========
Total Return..................................................... 0.81% 0.56% 0.51% 0.51% 0.85%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).............................. $4,724,757 $5,360,173 $6,188,952 $5,552,198 $4,671,093
Ratio of Expenses to Average Net Assets.......................... 0.17% 0.18% 0.17% 0.18% 0.18%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly)..................................................... 0.17% 0.18% 0.17% 0.18% 0.18%
Ratio of Net Investment Income to Average Net Assets............. 0.79% 0.54% 0.51% 0.54% 0.68%
Portfolio Turnover Rate.......................................... 87% 125% 99% 123% 107%
-----------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
171
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
----------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year............................... $ 9.41 $ 10.00 $ 10.21 $ 10.41 $ 10.65
-------- -------- ---------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................ 0.17 0.15 0.15 0.17 0.17
Net Gains (Losses) on Securities (Realized and Unrealized)...... 0.24 (0.59) (0.22) (0.11) (0.06)
-------- -------- ---------- -------- --------
Total from Investment Operations.............................. 0.41 (0.44) (0.07) 0.06 0.11
------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................................... (0.10) (0.15) (0.12) (0.25) (0.34)
Net Realized Gains.............................................. -- -- (0.02) (0.01) (0.01)
-------- -------- ---------- -------- --------
Total Distributions........................................... (0.10) (0.15) (0.14) (0.26) (0.35)
------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year..................................... $ 9.72 $ 9.41 $ 10.00 $ 10.21 $ 10.41
================================================================ ======== ======== ========== ======== ========
Total Return..................................................... 4.44% (4.42)% (0.72)% 0.52% 1.22%
------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).............................. $988,751 $995,914 $1,099,647 $985,287 $863,403
Ratio of Expenses to Average Net Assets.......................... 0.17% 0.17% 0.17% 0.18% 0.19%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly)..................................................... 0.17% 0.17% 0.17% 0.18% 0.19%
Ratio of Net Investment Income to Average Net Assets............. 1.75% 1.55% 1.46% 1.62% 1.65%
Portfolio Turnover Rate.......................................... 54% 56% 48% 99% 109%
------------------------------------------------------------------------------------------------------------------------
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year............................... $ 11.08 $ 11.06 $ 11.14 $ 11.28 $ 11.32
----------- ----------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................ 0.18 0.17 0.15 0.12 0.18
Net Gains (Losses) on Securities (Realized and Unrealized)...... 0.10 0.07 0.05 (0.05) 0.22
----------- ----------- ---------- ---------- ----------
Total from Investment Operations.............................. 0.28 0.24 0.20 0.07 0.40
-------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................................... (0.17) (0.20) (0.13) (0.10) (0.23)
Net Realized Gains.............................................. (0.03) (0.02) (0.15) (0.11) (0.21)
----------- ----------- ---------- ---------- ----------
Total Distributions........................................... (0.20) (0.22) (0.28) (0.21) (0.44)
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year..................................... $ 11.16 $ 11.08 $ 11.06 $ 11.14 $ 11.28
================================================================ =========== =========== ========== ========== ==========
Total Return..................................................... 2.63% 2.22% 1.90% 0.63% 3.74%
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).............................. $12,597,375 $11,237,965 $9,818,116 $7,851,561 $6,341,337
Ratio of Expenses to Average Net Assets.......................... 0.27% 0.27% 0.27% 0.28% 0.28%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly)..................................................... 0.27% 0.27% 0.27% 0.28% 0.28%
Ratio of Net Investment Income to Average Net Assets............. 1.60% 1.55% 1.34% 1.05% 1.64%
Portfolio Turnover Rate.......................................... 41% 51% 62% 72% 58%
-------------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
172
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA WORLD EX U.S. GOVERNMENT FIXED INCOME PORTFOLIO
-------------------------------------------------
PERIOD
YEAR YEAR YEAR YEAR DEC. 6,
ENDED ENDED ENDED ENDED 2011(A) TO
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period.............................. $ 10.48 $ 10.81 $ 10.31 $ 10.56 $ 10.00
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................ 0.11 0.14 0.19 0.16 0.18
Net Gains (Losses) on Securities (Realized and Unrealized)...... 0.50 0.27 0.60 (0.14) 0.48
-------- -------- -------- -------- --------
Total from Investment Operations............................... 0.61 0.41 0.79 0.02 0.66
----------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................................... (0.71) (0.69) (0.29) (0.17) (0.10)
Net Realized Gains.............................................. (0.01) (0.05) -- (0.10) --
-------- -------- -------- -------- --------
Total Distributions............................................ (0.72) (0.74) (0.29) (0.27) (0.10)
----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.................................... $ 10.37 $ 10.48 $ 10.81 $ 10.31 $ 10.56
================================================================== ======== ======== ======== ======== ==========
Total Return...................................................... 6.26% 3.93% 7.93% 0.23% 6.66%(D)
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)............................. $772,664 $567,118 $355,241 $240,733 $141,237
Ratio of Expenses to Average Net Assets........................... 0.20% 0.20% 0.20% 0.20% 0.20%(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)............................. 0.22% 0.22% 0.22% 0.23% 0.37%(C)(E)
Ratio of Net Investment Income to Average Net Assets.............. 1.09% 1.37% 1.81% 1.53% 1.83%(C)(E)
Portfolio Turnover Rate........................................... 48% 27% 41% 44% 82%(D)
----------------------------------------------------------------------------------------------------------------------------
DFA SHORT-TERM GOVERNMENT PORTFOLIO
-----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period.............................. $ 10.75 $ 10.69 $ 10.70 $ 10.88 $ 10.99
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................ 0.11 0.10 0.08 0.08 0.11
Net Gains (Losses) on Securities (Realized and Unrealized)...... 0.04 0.07 -- (0.08) 0.09
---------- ---------- ---------- ---------- ----------
Total from Investment Operations............................... 0.15 0.17 0.08 -- 0.20
-------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................................... (0.11) (0.09) (0.07) (0.09) (0.11)
Net Realized Gains.............................................. (0.04) (0.02) (0.02) (0.09) (0.20)
---------- ---------- ---------- ---------- ----------
Total Distributions............................................ (0.15) (0.11) (0.09) (0.18) (0.31)
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.................................... $ 10.75 $ 10.75 $ 10.69 $ 10.70 $ 10.88
================================================================== ========== ========== ========== ========== ==========
Total Return...................................................... 1.40% 1.65% 0.83% (0.03)% 1.89%
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)............................. $2,094,510 $2,144,989 $2,061,710 $1,780,576 $1,585,670
Ratio of Expenses to Average Net Assets........................... 0.19% 0.19% 0.19% 0.19% 0.20%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived),
(Expenses Reimbursed), and/or Previously Waived Fees Recovered
by Advisor and Fees Paid Indirectly)............................. 0.19% 0.19% 0.19% 0.19% 0.20%
Ratio of Net Investment Income to Average Net Assets.............. 1.02% 0.90% 0.75% 0.78% 0.98%
Portfolio Turnover Rate........................................... 51% 82% 40% 37% 41%
-------------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
173
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
-----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period.............................. $ 12.67 $ 12.60 $ 12.52 $ 13.13 $ 12.90
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................ 0.26 0.27 0.29 0.31 0.37
Net Gains (Losses) on Securities (Realized and Unrealized)...... 0.24 0.13 0.08 (0.58) 0.32
---------- ---------- ---------- ---------- ----------
Total from Investment Operations............................... 0.50 0.40 0.37 (0.27) 0.69
--------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................................... (0.25) (0.27) (0.29) (0.32) (0.37)
Net Realized Gains.............................................. (0.06) (0.06) -- (0.02) (0.09)
---------- ---------- ---------- ---------- ----------
Total Distributions............................................ (0.31) (0.33) (0.29) (0.34) (0.46)
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.................................... $ 12.86 $ 12.67 $ 12.60 $ 12.52 $ 13.13
================================================================== ========== ========== ========== ========== ==========
Total Return...................................................... 3.95% 3.25% 3.00% (2.09)% 5.49%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)............................. $3,811,636 $3,378,949 $4,021,616 $3,665,838 $3,058,924
Ratio of Expenses to Average Net Assets........................... 0.12% 0.12% 0.12% 0.12% 0.13%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived),
(Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor and Fees Paid Indirectly)................... 0.12% 0.12% 0.12% 0.12% 0.13%
Ratio of Net Investment Income to Average Net Assets.............. 2.01% 2.17% 2.30% 2.45% 2.85%
Portfolio Turnover Rate........................................... 17% 19% 29% 6% 4%
--------------------------------------------------------------------------------------------------------------------------------
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period.............................. $ 10.82 $ 10.86 $ 10.86 $ 10.98 $ 10.86
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................ 0.19 0.17 0.16 0.17 0.21
Net Gains (Losses) on Securities (Realized and Unrealized)...... 0.10 (0.01) -- (0.09) 0.13
---------- ---------- ---------- ---------- ----------
Total from Investment Operations............................... 0.29 0.16 0.16 0.08 0.34
------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................................... (0.19) (0.19) (0.14) (0.18) (0.20)
Net Realized Gains.............................................. (0.02) (0.01) (0.02) (0.02) (0.02)
---------- ---------- ---------- ---------- ----------
Total Distributions............................................ (0.21) (0.20) (0.16) (0.20) (0.22)
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.................................... $ 10.90 $ 10.82 $ 10.86 $ 10.86 $ 10.98
================================================================== ========== ========== ========== ========== ==========
Total Return...................................................... 2.70% 1.48% 1.44% 0.79% 3.22%
------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)............................. $4,723,470 $3,896,233 $3,822,894 $2,632,084 $1,975,102
Ratio of Expenses to Average Net Assets........................... 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 and Fees Paid Indirectly)................... 0.22% 0.22% 0.22% 0.23% 0.23%
Ratio of Net Investment Income to Average Net Assets.............. 1.77% 1.58% 1.45% 1.57% 1.96%
Portfolio Turnover Rate........................................... 25% 28% 23% 19% 21%
------------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
174
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
---------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
-------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period....... $ 10.67 $ 10.80 $ 10.50 $ 11.10 $ 10.46
---------- ---------- ---------- ---------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).......... 0.32 0.33 0.33 0.31 0.33
Net Gains (Losses) on Securities
(Realized and Unrealized)............... 0.37 (0.04) 0.28 (0.59) 0.61
---------- ---------- ---------- ---------- --------
Total from Investment Operations........ 0.69 0.29 0.61 (0.28) 0.94
-------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income..................... (0.34) (0.37) (0.31) (0.31) (0.30)
Net Realized Gains........................ (0.05) (0.05) -- (0.01) --
---------- ---------- ---------- ---------- --------
Total Distributions..................... (0.39) (0.42) (0.31) (0.32) (0.30)
-------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............. $ 10.97 $ 10.67 $ 10.80 $ 10.50 $ 11.10
========================================== ========== ========== ========== ========== ========
Total Return............................... 6.61% 2.66% 5.91% (2.62)% 9.19%
-------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)...... $1,414,041 $1,068,817 $2,133,894 $1,391,394 $828,270
Ratio of Expenses to Average Net Assets.... 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 and Fees Paid
Indirectly)............................... 0.22% 0.22% 0.22% 0.23% 0.24%
Ratio of Net Investment Income to Average
Net Assets................................ 2.99% 3.05% 3.06% 2.88% 3.04%
Portfolio Turnover Rate.................... 28% 30% 23% 10% 8%
-------------------------------------------------------------------------------------------------------
DFA TARGETED CREDIT PORTFOLIO
---------------------
PERIOD
YEAR MAY 20,
ENDED 2015(A) TO
OCT. 31, OCT. 31,
2016 2015
-------------------------------------------------------------------------
Net Asset Value, Beginning of Period....... $ 9.96 $ 10.00
-------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).......... 0.21 0.08
Net Gains (Losses) on Securities
(Realized and Unrealized)............... 0.12 (0.06)
-------- --------
Total from Investment Operations........ 0.33 0.02
-------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income..................... (0.21) (0.06)
Net Realized Gains........................ -- --
-------- --------
Total Distributions..................... (0.21) (0.06)
-------------------------------------------------------------------------
Net Asset Value, End of Period............. $ 10.08 $ 9.96
========================================== ========== ===========
Total Return............................... 3.39% 0.18%(D)
-------------------------------------------------------------------------
Net Assets, End of Period (thousands)...... $356,579 $220,608
Ratio of Expenses to Average Net Assets.... 0.20% 0.20%(C)(E)
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived
Fees Recovered by Advisor and Fees Paid
Indirectly)............................... 0.24% 0.28%(C)(E)
Ratio of Net Investment Income to Average
Net Assets................................ 2.06% 1.81%(C)(E)
Portfolio Turnover Rate.................... 21% 2%(D)
-------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
175
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INVESTMENT GRADE PORTFOLIO
--------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
----------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period.............. $ 10.80 $ 10.76 $ 10.57 $ 10.99 $ 10.60
---------- ---------- ---------- ---------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................. 0.24 0.27 0.26 0.25 0.25
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... 0.25 0.02 0.18 (0.42) 0.40
---------- ---------- ---------- ---------- --------
Total from Investment Operations............... 0.49 0.29 0.44 (0.17) 0.65
----------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................ (0.22) (0.25) (0.25) (0.24) (0.26)
Net Realized Gains............................... (0.03) -- -- (0.01) --
---------- ---------- ---------- ---------- --------
Total Distributions............................ (0.25) (0.25) (0.25) (0.25) (0.26)
----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year...................... $ 11.04 $ 10.80 $ 10.76 $ 10.57 $ 10.99
================================================= ========== ========== ========== ========== ========
Total Return...................................... 4.62% 2.77% 4.29% (1.58)% 6.21%
----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)............... $6,193,789 $4,153,194 $2,433,057 $1,442,269 $899,163
Ratio of Expenses to Average Net Assets........... 0.22% 0.22% 0.22%(B) 0.22%(B) 0.22%(B)
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses Reimbursed),
and/or Previously Waived Fees Recovered by
Advisor)......................................... 0.22% 0.38% 0.40%(B) 0.41%(B) 0.41%(B)
Ratio of Net Investment Income to Average Net
Assets........................................... 2.20% 2.49% 2.40%(B) 2.30%(B) 2.32%(B)
Portfolio Turnover Rate........................... 7% 52% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
DFA DIVERSIFIED FIXED INCOME PORTFOLIO
--------------------------------------
PERIOD
AUG. 10,
2016(A) TO
OCT. 31,
2016
-----------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period.............. $ 10.00
--------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................. 0.02
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... (0.08)
--------
Total from Investment Operations............... (0.06)
-----------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................ (0.02)
Net Realized Gains............................... --
--------
Total Distributions............................ (0.02)
-----------------------------------------------------------------------------------------
Net Asset Value, End of Year...................... $ 9.92
================================================= ======================================
Total Return...................................... (0.64)%(D)
-----------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)............... $112,561
Ratio of Expenses to Average Net Assets........... 0.15%(B)(C)(E)
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses Reimbursed),
and/or Previously Waived Fees Recovered by
Advisor)......................................... 0.45%(B)(C)(E)
Ratio of Net Investment Income to Average Net
Assets........................................... 0.91%(C)(E)
Portfolio Turnover Rate........................... 0%
-----------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
176
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA LTIP PORTFOLIO
----------------------------------------------
PERIOD
YEAR YEAR YEAR YEAR MARCH 7,
ENDED ENDED ENDED ENDED 2012(A) TO
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
---------------------------------------------------------------------------------
Net Asset Value,
Beginning of Period...... $ 8.67 $ 9.50 $ 8.80 $ 11.38 $10.00
------- ------ ------ ------- ------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)............. 0.26 0.05 0.20 0.15 0.12
Net Gains (Losses) on
Securities (Realized
and Unrealized)........ 1.03 (0.81) 0.86 (2.60) 1.30
------- ------ ------ ------- ------
Total from Investment
Operations............ 1.29 (0.76) 1.06 (2.45) 1.42
---------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.... (0.15) (0.07) (0.36) (0.13) (0.04)
Net Realized Gains....... -- -- -- -- --
------- ------ ------ ------- ------
Total Distributions.... (0.15) (0.07) (0.36) (0.13) (0.04)
---------------------------------------------------------------------------------
Net Asset Value, End of
Period................... $ 9.81 $ 8.67 $ 9.50 $ 8.80 $11.38
======================== ======== ======== ======== ======== ==========
Total Return.............. 14.90% (8.04)% 12.22% (21.54)% 14.23%(D)
---------------------------------------------------------------------------------
Net Assets, End of
Period (thousands)....... $63,267 $ 208 $ 995 $ 1,375 $ 489
Ratio of Expenses to
Average Net Assets....... 0.15% 0.28% 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).... 0.21% 16.22% 3.63% 2.90% 29.65%(C)(E)
Ratio of Net Investment
Income to Average Net
Assets................... 2.76% 0.49% 2.29% 1.50% 1.68%(C)(E)
Portfolio Turnover Rate... 4% 88% 105% 120% 11%(D)
---------------------------------------------------------------------------------
DFA INFLATION-PROTECTED SECURITIES PORTFOLIO
------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
----------------------------------------------------------------------------------------
Net Asset Value,
Beginning of Period...... $ 11.54 $ 11.75 $ 11.84 $ 13.00 $ 12.35
---------- ---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)............. 0.16 0.06 0.22 0.21 0.27
Net Gains (Losses) on
Securities (Realized
and Unrealized)........ 0.53 (0.17) (0.06) (1.05) 0.79
---------- ---------- ---------- ---------- ----------
Total from Investment
Operations............ 0.69 (0.11) 0.16 (0.84) 1.06
----------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.... (0.13) (0.07) (0.25) (0.24) (0.27)
Net Realized Gains....... (0.01) (0.03) -- (0.08) (0.14)
---------- ---------- ---------- ---------- ----------
Total Distributions.... (0.14) (0.10) (0.25) (0.32) (0.41)
----------------------------------------------------------------------------------------
Net Asset Value, End of
Period................... $ 12.09 $ 11.54 $ 11.75 $ 11.84 $ 13.00
======================== ========== ========== ========== ========== ==========
Total Return.............. 5.96% (0.98)% 1.38% (6.59)% 8.70%
----------------------------------------------------------------------------------------
Net Assets, End of
Period (thousands)....... $3,514,067 $2,982,898 $2,722,146 $2,592,771 $2,511,251
Ratio of Expenses to
Average Net Assets....... 0.12% 0.12% 0.12% 0.12% 0.13%
Ratio of Expenses to
Average Net Assets
(Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor).... 0.12% 0.12% 0.12% 0.12% 0.13%
Ratio of Net Investment
Income to Average Net
Assets................... 1.35% 0.54% 1.83% 1.68% 2.12%
Portfolio Turnover Rate... 19% 12% 25% 26% 9%
----------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
177
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA SHORT-DURATION REAL RETURN PORTFOLIO DFA MUNICIPAL REAL RETURN PORTFOLIO
-------------------------------- ---------------------------
PERIOD PERIOD
YEAR YEAR NOV. 5, YEAR NOV. 4,
ENDED ENDED 2013(A) TO ENDED 2014(A) TO
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2016 2015
-------------------------------------------------------------------------------------------------------
Net Asset Value,
Beginning of Period...... $ 9.79 $ 10.00 $ 10.00 $ 9.72 $ 10.00
-------- -------- -------- -------- --------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)............. 0.17 0.14 0.11 0.12 0.11
Net Gains (Losses) on
Securities (Realized
and Unrealized)........ 0.18 (0.26) (0.09) 0.21 (0.31)
-------- -------- -------- -------- --------
Total from Investment
Operations............ 0.35 (0.12) 0.02 0.33 (0.20)
-------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.... (0.12) (0.09) (0.02) (0.12) (0.08)
Net Realized Gains....... -- -- -- -- --
-------- -------- -------- -------- --------
Total Distributions.... (0.12) (0.09) (0.02) (0.12) (0.08)
-------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period................... $ 10.02 $ 9.79 $ 10.00 $ 9.93 $ 9.72
======================== ======== ======== ========== ============= ==============
Total Return.............. 3.67% (1.14)% 0.20%(D) 3.40% (1.98)%(D)
-------------------------------------------------------------------------------------------------------
Net Assets, End of
Period (thousands)....... $914,956 $784,996 $632,077 $473,985 $184,238
Ratio of Expenses to
Average Net Assets....... 0.24% 0.24% 0.24%(C)(E) 0.26% 0.27%(C)(E)
Ratio of Expenses to
Average Net Assets
(Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor).... 0.23% 0.23% 0.31%(C)(E) 0.24% 0.35%(C)(E)
Ratio of Net Investment
Income to Average Net
Assets................... 1.68% 1.38%(E) 1.12%(C)(E) 1.19% 1.12%(C)(E)
Portfolio Turnover Rate... 62% 30% 138%(D) 0% 0%(D)
-------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
178
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)(A)
DFA MUNICIPAL
BOND PORTFOLIO DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
------------------- ----------------------------------------------------------
PERIOD
YEAR MARCH 10, YEAR YEAR YEAR YEAR YEAR
ENDED 2015(A) TO ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2016 2015 2014 2013 2012
-----------------------------------------------------------------------------------------------------------------
Net Asset Value,
Beginning of Period...... $ 10.12 $ 10.00 $ 10.24 $ 10.23 $ 10.23 $ 10.29 $ 10.30
-------- -------- ---------- ---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)............. 0.12 0.09 0.09 0.09 0.09 0.10 0.14
Net Gains (Losses) on
Securities (Realized
and Unrealized)........ 0.10 0.09 (0.02) 0.01 -- (0.06) (0.01)
-------- -------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations............ 0.22 0.18 0.07 0.10 0.09 0.04 0.13
-----------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.... (0.12) (0.06) (0.10) (0.09) (0.09) (0.10) (0.14)
Net Realized Gains....... -- -- -- -- -- -- --
-------- -------- ---------- ---------- ---------- ---------- ----------
Total Distributions.... (0.12) (0.06) (0.10) (0.09) (0.09) (0.10) (0.14)
-----------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period................... $ 10.22 $ 10.12 $ 10.21 $ 10.24 $ 10.23 $ 10.23 $ 10.29
======================== ======== ========== ========== ========== ========== ========== ==========
Total Return.............. 2.22% 1.83%(D) 0.68% 1.00% 0.87% 0.42% 1.30%
-----------------------------------------------------------------------------------------------------------------
Net Assets, End of
Period (thousands)....... $220,721 $100,315 $2,103,981 $2,199,837 $2,206,915 $1,780,699 $1,582,296
Ratio of Expenses to
Average Net Assets....... 0.23% 0.23%(C)(E) 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
and Fees Paid
Indirectly).............. 0.25% 0.37%(C)(E) 0.22% 0.22% 0.22% 0.22% 0.22%
Ratio of Net Investment
Income to Average Net
Assets................... 1.13% 1.31%(C)(E) 0.92% 0.90% 0.88% 0.98% 1.38%
Portfolio Turnover Rate... 2% 2%(D) 11% 18% 30% 24% 20%
-----------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
179
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
---------------------------------------------------
PERIOD
YEAR YEAR YEAR YEAR MARCH 1,
ENDED ENDED ENDED ENDED 2012(A) TO
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
--------------------------------------------------------------------------------------
Net Asset Value,
Beginning of Period...... $ 10.17 $ 10.10 $ 9.84 $ 10.06 $ 10.00
---------- -------- -------- -------- -------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)............. 0.14 0.15 0.17 0.13 0.07
Net Gains (Losses) on
Securities (Realized
and Unrealized)........ 0.09 0.06 0.25 (0.22) 0.04
---------- -------- -------- -------- -------
Total from Investment
Operations............ 0.23 0.21 0.42 (0.09) 0.11
--------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.... (0.15) (0.14) (0.16) (0.13) (0.05)
---------- -------- -------- -------- -------
Total Distributions.... (0.15) (0.14) (0.16) (0.13) (0.05)
--------------------------------------------------------------------------------------
Net Asset Value, End of
Period................... $ 10.25 $ 10.17 $ 10.10 $ 9.84 $ 10.06
======================== ========== ======== ======== ======== ==========
Total Return.............. 2.23% 2.13% 4.34% (0.91)% 1.13%(D)
--------------------------------------------------------------------------------------
Net Assets, End of
Period (thousands)....... $1,264,647 $910,481 $508,722 $269,514 $89,499
Ratio of Expenses to
Average Net Assets....... 0.23% 0.23% 0.23% 0.23% 0.23%(C)(E)
Ratio of Expenses to
Average Net Assets
(Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor).... 0.22% 0.23% 0.24% 0.26% 0.34%(C)(E)
Ratio of Net Investment
Income to Average Net
Assets................... 1.34% 1.47% 1.69% 1.36% 1.09%(C)(E)
Portfolio Turnover Rate... 3% 1% 4% 0% 2%(D)
--------------------------------------------------------------------------------------
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
-----------------------------------------------------------------------------
Net Asset Value,
Beginning of Period...... $ 10.34 $ 10.33 $ 10.31 $ 10.34 $ 10.32
-------- -------- -------- -------- --------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)............. 0.09 0.08 0.09 0.10 0.15
Net Gains (Losses) on
Securities (Realized
and Unrealized)........ (0.01) 0.01 0.01 (0.03) 0.02
-------- -------- -------- -------- --------
Total from Investment
Operations............ 0.08 0.09 0.10 0.07 0.17
-----------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.... (0.09) (0.08) (0.08) (0.10) (0.15)
-------- -------- -------- -------- --------
Total Distributions.... (0.09) (0.08) (0.08) (0.10) (0.15)
-----------------------------------------------------------------------------
Net Asset Value, End of
Period................... $ 10.33 $ 10.34 $ 10.33 $ 10.31 $ 10.34
======================== ======== ======== ======== ======== ========
Total Return.............. 0.79% 0.87% 1.02% 0.70% 1.61%
-----------------------------------------------------------------------------
Net Assets, End of
Period (thousands)....... $880,209 $825,484 $703,773 $521,090 $395,141
Ratio of Expenses to
Average Net Assets....... 0.22% 0.22% 0.22% 0.23% 0.23%
Ratio of Expenses to
Average Net Assets
(Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor).... 0.22% 0.22% 0.22% 0.23% 0.23%
Ratio of Net Investment
Income to Average Net
Assets................... 0.84% 0.78% 0.83% 0.98% 1.41%
Portfolio Turnover Rate... 20% 23% 22% 28% 20%
-----------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
180
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO DFA NY MUNICIPAL BOND PORTFOLIO
----------------------------------------------- -----------------------
PERIOD PERIOD
YEAR YEAR YEAR YEAR NOV. 29, YEAR JUNE 16,
ENDED ENDED ENDED ENDED 2011(A) TO ENDED 2015(A) TO
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012 2016 2015
--------------------------------------------------------------------------------------------------------------------
Net Asset Value,
Beginning of Period...... $ 10.56 $ 10.47 $ 10.16 $ 10.30 $ 10.00 $ 10.14 $ 10.00
-------- -------- -------- ------- ------- ------- -------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)............. 0.15 0.17 0.18 0.15 0.15 0.11 0.05
Net Gains (Losses) on
Securities (Realized
and Unrealized)........ 0.07 0.08 0.30 (0.14) 0.27 0.12 0.12
-------- -------- -------- ------- ------- ------- -------
Total from Investment
Operations............ 0.22 0.25 0.48 0.01 0.42 0.23 0.17
--------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.... (0.16) (0.16) (0.17) (0.15) (0.12) (0.12) (0.03)
-------- -------- -------- ------- ------- ------- -------
Total Distributions.... (0.16) (0.16) (0.17) (0.15) (0.12) (0.12) (0.03)
--------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period................... $ 10.62 $ 10.56 $ 10.47 $ 10.16 $ 10.30 $ 10.25 $ 10.14
======================== ======== ======== ======== ======== ========== ============ =============
Total Return.............. 2.10% 2.46% 4.82% 0.08% 4.21%(D) 2.29% 1.75%(D)
--------------------------------------------------------------------------------------------------------------------
Net Assets, End of
Period (thousands)....... $255,893 $196,624 $140,424 $97,199 $58,652 $57,581 $28,985
Ratio of Expenses to
Average Net Assets....... 0.23% 0.23% 0.23% 0.23% 0.23%(C)(E) 0.25% 0.25%(C)(E)
Ratio of Expenses to
Average Net Assets
(Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor).... 0.23% 0.23% 0.24% 0.26% 0.41%(C)(E) 0.34% 0.51%(C)(E)
Ratio of Net Investment
Income to Average Net
Assets................... 1.42% 1.59% 1.75% 1.48% 1.51%(C)(E) 1.10% 1.25%(C)(E)
Portfolio Turnover Rate... 4% 2% 14% 11% 0%(D) 1% 0%
--------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
181
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of ninety-five
operational portfolios, of which twenty-two (the "Portfolios") are included in
this report. The remaining operational portfolios are presented in separate
reports. The Portfolios are investment companies and, accordingly, follow the
accounting and reporting guidance under Financial Accounting Standards Board
("FASB") Accounting Standards Certification ("ASC") Topic 946, "Financial
Services-Investment Companies."
The DFA Diversified Fixed Income Portfolio achieves its investment objective
by primarily investing in other series of the Fund (collectively, the "Master
Funds").
PERCENTAGE
OWNERSHIP
FUND OF FUNDS MASTER FUNDS AT OCTOBER 31, 2016
------------- ------------ -------------------
DFA Diversified Fixed Income Portfolio DFA Two-Year Global Fixed Income Portfolio 1%
DFA Intermediate Government Fixed Income 1%
Portfolio
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. SECURITY VALUATION: The Portfolios utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
Debt securities held by 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 securities are generally categorized as Level 2 in the
hierarchy.
182
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. 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 faith at fair value in accordance with procedures adopted by the Board.
These securities are generally categorized as Level 2 in the hierarchy.
Shares held by the Portfolios in other investment companies (such as the
Master Fund shares held by the DFA Diversified Fixed Income Portfolio) are
valued at their respective daily net asset values as reported by their
administrator. These valuations are classified as Level 1 in the hierarchy.
A summary of the inputs used to value the Portfolios' investments by each
major security type, industry and/or country is disclosed previously in this
note. Valuation hierarchy tables have been included at the end of the Schedules
of Investments. The inputs or methodology used for valuing securities are not
necessarily an indication of the risk associated with investing in those
securities.
For the year ended October 31, 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 DFA Two-Year Global Fixed Income Portfolio, DFA Selectively
Hedged Global Fixed Income Portfolio, DFA Five-Year Global Fixed Income
Portfolio, DFA World ex U.S. Government Fixed Income Portfolio, DFA Short-Term
Extended Quality Portfolio, DFA Intermediate-Term Extended Quality Portfolio,
DFA Targeted Credit Portfolio (the "International Fixed Income Portfolios"),
DFA Investment Grade Portfolio, DFA Diversified Fixed Income Portfolio and DFA
Short-Duration Real Return Portfolio whose values are initially expressed in
foreign currencies are translated to U.S. dollars using the mean between the
most recent bid and asked prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and interest income and certain expenses
are translated to U.S. dollars at the rate of exchange on their respective
accrual dates. Receivables and payables denominated in foreign currencies are
marked-to-market daily based on daily exchange rates and exchange gains or
losses are realized upon ultimate receipt or disbursement. The International
Fixed Income Portfolios, DFA Investment Grade Portfolio, DFA Short-Duration
Real Return Portfolio and DFA Diversified Fixed Income Portfolio enter into
forward currency contracts for the purpose of hedging against fluctuations in
currency exchange rates or to transfer balances from one currency to another.
DFA Selectively Hedged Global Fixed Income Portfolio may hedge the currency
exposure of its foreign securities or leave some or all of the currency
exposure unhedged. Forward currency contracts are marked-to-market daily based
on daily forward exchange rates.
The International Fixed Income Portfolios, DFA Investment Grade Portfolio,
DFA Diversified Fixed Income Portfolio and DFA Short-Duration Real Return
Portfolio 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 Fixed Income Portfolios, DFA Investment Grade Portfolio, DFA
Diversified Fixed Income Portfolio and DFA Short-Duration Real Return Portfolio
and the U.S. dollar equivalent amounts actually received or paid.
3. TREASURY INFLATION-PROTECTED SECURITIES (TIPS): Inflation-protected
securities (also known as inflation-indexed securities) are securities whose
principal and/or interest payments are adjusted for inflation, unlike
conventional debt securities that make fixed principal and interest payments.
Inflation-protected securities include TIPS, which are securities issued by the
U.S. Treasury. The principal value of TIPS is adjusted for inflation (payable
at maturity) and the semi-annual interest payments by TIPS equal a fixed
percentage of the inflation-adjusted principal amount. These inflation
adjustments are based upon the Consumer Price Index for Urban Consumers
(CPI-U). The original principal value of TIPS is guaranteed, even during period
of deflation. At maturity, TIPS are redeemed at the
183
greater of their inflation-adjusted principal or par amount at original issue.
Other types of inflation-protected securities may use other methods to adjust
for inflation and other measures of inflation. In addition, inflation-protected
securities issued by entities other than the U.S. Treasury may not provide a
guarantee of principal value at maturity.
4. 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 October 31, 2016, none of the Directors
have requested or received a distribution of proceeds of a deferred fee account.
5. 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 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.
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.
C. INVESTMENT ADVISOR AND ADMINISTRATOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolios. For the year ended October 31, 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:
DFA One-Year Fixed Income Portfolio......................... 0.15%
DFA Two-Year Global Fixed Income Portfolio.................. 0.15%
DFA Selectively Hedged Global Fixed Income Portfolio........ 0.15%
DFA Five-Year Global Fixed Income Portfolio................. 0.25%
DFA World ex U.S. Government Fixed Income Portfolio......... 0.18%
DFA Short-Term Government Portfolio......................... 0.17%
184
DFA Intermediate Government Fixed Income Portfolio.......... 0.10%
DFA Short-Term Extended Quality Portfolio................... 0.20%
DFA Intermediate-Term Extended Quality Portfolio............ 0.20%
DFA Targeted Credit Portfolio............................... 0.19%
DFA Investment Grade Portfolio.............................. 0.20%
DFA Diversified Fixed Income Portfolio...................... 0.12%
DFA LTIP Portfolio.......................................... 0.10%
DFA Inflation-Protected Securities Portfolio................ 0.10%
DFA Short-Duration Real Return Portfolio.................... 0.20%
DFA Municipal Real Return Portfolio......................... 0.20%
DFA Municipal Bond Portfolio................................ 0.20%
DFA Short-Term Municipal Bond Portfolio..................... 0.20%
DFA Intermediate-Term Municipal Bond Portfolio.............. 0.20%
DFA California Short-Term Municipal Bond Portfolio.......... 0.20%
DFA California Intermediate-Term Municipal Bond Portfolio... 0.20%
DFA NY Municipal Bond Portfolio............................. 0.20%
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
Portfolios will remain in effect through February 28, 2017 (and February 28,
2018 with respect to the DFA Diversified Fixed Income Portfolio), and may only
be terminated by the Fund's Board of Directors prior to that date. The Fee
Waiver Agreement shall continue in effect from year to year thereafter unless
terminated by the Fund or the Advisor. For the year ended October 31, 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 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 Selectively Hedged Global Fixed Income Portfolio (1).... 0.25% -- --
DFA World ex U.S. Government Fixed Income Portfolio (1)..... 0.20% -- $ 277
DFA Short-Term Government Portfolio (2)..................... 0.20% -- --
DFA Short-Term Extended Quality Portfolio (1)............... 0.22% $ 39 391
DFA Intermediate-Term Extended Quality Portfolio (1)........ 0.22% 21 250
DFA Targeted Credit Portfolio (1)........................... 0.20% -- 180
DFA Investment Grade Portfolio (3).......................... 0.22% 103 8,987
DFA Diversified Fixed Income Portfolio (4).................. 0.15% -- 42
DFA LTIP Portfolio (1)...................................... 0.15% 2 59
DFA Inflation-Protected Securities Portfolio (1)............ 0.20% -- --
DFA Short-Duration Real Return Portfolio (5)................ 0.24% 117 116
DFA Municipal Real Return Portfolio (1)..................... 0.27% 73 --
DFA Municipal Bond Portfolio (1)............................ 0.23% -- 91
DFA Short-Term Municipal Bond Portfolio (2)................. 0.30% -- --
DFA Intermediate-Term Municipal Bond Portfolio (1).......... 0.23% 80 60
DFA California Short-Term Municipal Bond Portfolio (1)...... 0.30% -- --
DFA California Intermediate-Term Municipal Bond
Portfolio (1)............................................. 0.23% 12 18
DFA NY Municipal Bond Portfolio (1)......................... 0.25% -- 62
185
(1) 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 each of
the Portfolios listed above (excluding the expenses that the Portfolio incurs
indirectly through its investment in other investment companies) ("Portfolio
Expenses") to the extent necessary to limit the Portfolio Expenses of a class
of each Portfolio, on an annualized basis, to the rates listed above as a
percentage of a class of the respective Portfolio's average net assets (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.
(2) 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 its investment in other
investment companies) ("Portfolio Expenses") of a class of each of the
Portfolios listed above so that such Portfolio Expenses, on an annualized
basis, do not exceed the rate reflected above for a class of each such
Portfolio (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 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.
(3) The Advisor has 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 other funds managed by the Advisor
but excluding the expenses that the Portfolio incurs indirectly through
investment of its securities lending cash collateral in The DFA Short Term
Investment Fund and its investment in unaffiliated investment companies)
("Portfolio Expenses") to the extent necessary to limit Portfolio Expenses of a
class of the Portfolio, on an annualized basis, to the rate listed above as a
percentage of the average net assets of a class of the Portfolio (the "Expense
Limitation Amount"). At any time that the Portfolio Expenses are less than the
Expense Limitation Amount of a 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 Expense Limitation Amount.
(4) The Advisor has contractually agreed to waive all or a portion of its
management fee and to assume the ordinary operating expenses of a class of the
Portfolio (including the expenses that the Portfolio bears as a shareholder of
other funds managed by the Advisor, excluding money market 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 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 are less than the Expense Limitation Amount of a
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 Expense Limitation Amount.
(5) The Advisor has contractually agreed to waive up to the full amount of
the Portfolio's management fee to the extent necessary to offset the
proportionate share of the management fees paid by the Portfolio through its
investment in other funds managed by the Advisor, except for the fees paid
through its investment of securities lending cash collateral in The DFA Short
Term Investment Fund (the "Underlying 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 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 investment of its securities lending cash
collateral in The DFA Short Term Investment Fund and 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's annualized Portfolio Expenses are less than the
Portfolio's Expense Limitation Amount, described above, the Advisor retains the
right to recover any fees previously waived and/or expenses previously assumed
to the extent that such recovery will not cause the annualized Portfolio
Expenses of a class of the Portfolio to exceed the Expense Limitation Amount.
186
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 year ended October 31, 2016, expenses
reduced were as follows (amounts in thousands):
FEES PAID
INDIRECTLY
- ----------
DFA Two-Year Global Fixed Income Portfolio.................. $ 80
DFA Selectively Hedged Global Fixed Income Portfolio........ 24
DFA Five-Year Global Fixed Income Portfolio................. 225
DFA World ex U.S. Government Fixed Income Portfolio......... 26
DFA Short-Term Extended Quality Portfolio................... 74
DFA Targeted Credit 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 year ended October 31, 2016, the total related amounts paid by the Fund
to the CCO were $291 (in thousands). The total related amounts paid by each of
the Portfolios are included in Other Expenses on the Statement of Operations.
D. DEFERRED COMPENSATION:
At October 31, 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 One-Year Fixed Income Portfolio............... $361
DFA Two-Year Global Fixed Income Portfolio........ 295
DFA Selectively Hedged Global Fixed Income
Portfolio....................................... 24
DFA Five-Year Global Fixed Income Portfolio....... 247
DFA World ex U.S. Government Fixed Income
Portfolio....................................... 5
DFA Short-Term Government Portfolio............... 65
DFA Intermediate Government Fixed Income Portfolio 105
DFA Short-Term Extended Quality Portfolio......... 58
DFA Intermediate-Term Extended Quality Portfolio.. 21
DFA Targeted Credit Portfolio..................... 1
DFA Investment Grade Portfolio.................... 33
DFA Diversified Fixed Income Portfolio............ --
DFA LTIP Portfolio................................ --
DFA Inflation-Protected Securities Portfolio...... 67
DFA Short-Duration Real Return Portfolio.......... 4
DFA Municipal Real Return Portfolio............... 1
DFA Municipal Bond Portfolio...................... 1
DFA Short-Term Municipal Bond Portfolio........... 68
DFA Intermediate-Term Municipal Bond Portfolio.... 6
DFA California Short-Term Municipal Bond Portfolio 16
DFA California Intermediate-Term Municipal Bond
Portfolio....................................... 2
DFA NY Municipal Bond Portfolio................... --
187
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 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
---------- ---------- ---------- ----------
DFA One-Year Fixed Income Portfolio............... $1,629,383 $2,325,422 $2,822,667 $1,804,157
DFA Two-Year Global Fixed Income Portfolio........ 1,255,812 2,187,442 2,969,455 2,526,010
DFA Selectively Hedged Global Fixed Income
Portfolio....................................... 141,667 117,251 362,903 380,759
DFA Five-Year Global Fixed Income Portfolio....... 326,360 646,504 6,153,357 4,209,945
DFA World ex U.S. Government Fixed Income
Portfolio....................................... 68,007 45,918 452,371 271,791
DFA Short-Term Government Portfolio............... 1,076,299 1,117,940 -- --
DFA Intermediate Government Fixed Income Portfolio 1,004,405 583,180 -- --
DFA Short-Term Extended Quality Portfolio......... 135,196 140,271 1,784,630 920,103
DFA Intermediate-Term Extended Quality Portfolio.. 29,476 3,648 614,061 332,331
DFA Targeted Credit Portfolio..................... -- -- 193,342 59,175
DFA Investment Grade Portfolio.................... 955,754 180,498 1,435,630 188,257
DFA Diversified Fixed Income Portfolio............ 21,723 -- 88,073 --
DFA LTIP Portfolio................................ 56,047 1,293 -- --
DFA Inflation-Protected Securities Portfolio...... 989,961 616,318 -- --
DFA Short-Duration Real Return Portfolio.......... 223,338 220,775 382,929 269,397
DFA Municipal Real Return Portfolio............... -- -- 278,718 429
DFA Municipal Bond Portfolio...................... -- -- 101,011 3,280
DFA Short-Term Municipal Bond Portfolio........... -- -- 234,434 342,630
DFA Intermediate-Term Municipal Bond Portfolio.... -- -- 409,391 35,023
DFA California Short-Term Municipal Bond Portfolio -- -- 212,294 156,139
DFA California Intermediate-Term Municipal Bond
Portfolio....................................... -- -- 70,770 8,145
DFA NY Municipal Bond Portfolio................... -- -- 21,335 550
For the period ended October 31, 2016, the Fund of Funds transactions
related to Affiliated Investment Companies were as follows (amounts in
thousands):
DFA DIVERSIFIED FIXED INCOME PORTFOLIO
---------------------------------------------------------------
BALANCE AT BALANCE AT DIVIDEND DISTRIBUTIONS OF
AFFILIATED INVESTMENT COMPANIES 10/31/2015 10/31/2016 PURCHASES SALES INCOME REALIZED GAINS
------------------------------- ---------- ---------- --------- ----- -------- ----------------
DFA Intermediate Government Fixed Income
Portfolio.............................. -- $54,746 $55,299 -- $126 --
DFA Two-Year Global Fixed Income
Portfolio.............................. -- 32,806 32,775 -- -- --
-- ------- ------- -- ---- --
Total.................................... -- $87,552 $88,073 -- $126 --
== ======= ======= == ==== ==
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,
188
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, 2016, primarily
attributable to net foreign currency gains/losses, non-deductible expenses,
expiration of capital loss carryovers, distribution redesignations and short
term distributions from underlying RICs 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 One-Year Fixed Income Portfolio.................. $1,464 $(1,454) $ (10)
DFA Two-Year Global Fixed Income Portfolio........... -- (1,765) 1,765
DFA Selectively Hedged Global Fixed Income Portfolio. 798 (798) --
DFA Five-Year Global Fixed Income Portfolio.......... 6,923 7,664 (14,587)
DFA World ex U.S. Government Fixed Income Portfolio.. 2,154 12,004 (14,158)
DFA Short-Term Government Portfolio.................. 989 (784) (205)
DFA Intermediate Government Fixed Income Portfolio... 1,768 (1,551) (217)
DFA Short-Term Extended Quality Portfolio............ 646 (650) 4
DFA Intermediate-Term Extended Quality Portfolio..... 538 (505) (33)
DFA Targeted Credit Portfolio........................ 84 462 (546)
DFA Investment Grade Portfolio....................... 1,915 (1,918) 3
DFA Diversified Fixed Income Portfolio............... -- -- --
DFA LTIP Portfolio................................... -- -- --
DFA Inflation-Protected Securities Portfolio......... 3,579 (2,313) (1,266)
DFA Short-Duration Real Return Portfolio............. 820 (820) --
DFA Municipal Real Return Portfolio.................. -- -- --
DFA Municipal Bond Portfolio......................... -- -- --
DFA Short-Term Municipal Bond Portfolio.............. -- -- --
DFA Intermediate-Term Municipal Bond Portfolio....... -- -- --
DFA California Short-Term Municipal Bond Portfolio... -- -- --
DFA California Intermediate-Term Municipal Bond
Portfolio.......................................... -- -- --
DFA NY Municipal Bond Portfolio...................... -- -- --
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2015 and October 31, 2016 were as follows (amounts
in thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM TAX EXEMPT RETURN OF
CAPITAL GAINS CAPITAL GAINS INCOME CAPITAL TOTAL
-------------- ------------- ---------- --------- -------
DFA One-Year Fixed Income Portfolio
2015................................ $32,663 $2,569 -- -- $35,232
2016................................ 55,296 2,550 -- -- 57,846
DFA Two-Year Global Fixed Income
Portfolio
2015................................ 69,027 561 -- $1,390 70,978
2016................................ 24,459 -- -- -- 24,459
DFA Selectively Hedged Global Fixed
Income Portfolio
2015................................ 17,496 -- -- -- 17,496
2016................................ 10,482 -- -- -- 10,482
189
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM TAX EXEMPT RETURN OF
CAPITAL GAINS CAPITAL GAINS INCOME CAPITAL TOTAL
-------------- ------------- ---------- --------- --------
DFA Five-Year Global Fixed Income
Portfolio
2015................................ 189,750 $14,765 -- -- $204,515
2016................................ 186,372 30,555 -- -- 216,927
DFA World ex U.S. Government Fixed
Income Portfolio
2015................................ 24,187 1,249 -- -- 25,436
2016................................ 37,065 629 -- -- 37,694
DFA Short-Term Government
Portfolio
2015................................ 19,822 3,547 -- -- 23,369
2016................................ 24,266 5,104 -- -- 29,370
DFA Intermediate Government Fixed
Income Portfolio
2015................................ 94,410 20,171 -- -- 114,581
2016................................ 68,307 14,801 -- -- 83,108
DFA Short-Term Extended Quality
Portfolio
2015................................ 73,532 2,296 -- -- 75,828
2016................................ 75,753 5,231 -- -- 80,984
DFA Intermediate-Term Extended
Quality Portfolio
2015................................ 80,044 8,975 -- -- 89,019
2016................................ 38,250 5,135 -- -- 43,385
DFA Targeted Credit Portfolio
2015................................ 1,166 -- -- -- 1,166
2016................................ 6,004 -- -- -- 6,004
DFA Investment Grade Portfolio
2015................................ 74,964 81 -- -- 75,045
2016................................ 101,641 13,535 -- -- 115,176
DFA Diversified Fixed Income
Portfolio
2015................................ -- -- -- -- --
2016................................ 110 -- -- -- 110
DFA LTIP Portfolio
2015................................ 1 -- -- -- 1
2016................................ 786 -- -- -- 786
DFA Inflation-Protected Securities
Portfolio
2015................................ 15,848 7,650 -- -- 23,498
2016................................ 36,066 2,828 -- -- 38,894
DFA Short-Duration Real Return
Portfolio
2015................................ 5,809 14 -- -- 5,823
2016................................ 9,645 -- -- -- 9,645
DFA Municipal Real Return Portfolio
2015................................ -- -- $ 937 -- 937
2016................................ -- -- 4,131 -- 4,131
DFA Municipal Bond Portfolio
2015................................ -- -- 395 -- 395
2016................................ -- -- 1,922 -- 1,922
190
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM TAX EXEMPT RETURN OF
CAPITAL GAINS CAPITAL GAINS INCOME CAPITAL TOTAL
-------------- ------------- ---------- --------- -------
DFA Short-Term Municipal Bond
Portfolio
2015................................ -- -- $19,786 -- $19,786
2016................................ -- -- 21,005 -- 21,005
DFA Intermediate-Term Municipal
Bond Portfolio
2015................................ -- -- 9,647 -- 9,647
2016................................ -- -- 15,739 -- 15,739
DFA California Short-Term Municipal
Bond Portfolio
2015................................ -- -- 5,873 -- 5,873
2016................................ -- -- 7,440 -- 7,440
DFA California Intermediate-Term
Municipal Bond Portfolio
2015................................ -- -- 2,603 -- 2,603
2016................................ -- -- 3,364 -- 3,364
DFA NY Municipal Bond Portfolio
2015................................ -- -- 89 -- 89
2016................................ -- -- 487 -- 487
At October 31, 2016, 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 One-Year Fixed Income Portfolio....................... $(1,452) $ (12) $(1,464)
DFA Two-Year Global Fixed Income Portfolio................ -- -- --
DFA Selectively Hedged Global Fixed Income Portfolio...... (798) -- (798)
DFA Five-Year Global Fixed Income Portfolio............... (5,733) (1,190) (6,923)
DFA World ex U.S. Government Fixed Income Portfolio....... (2,098) (56) (2,154)
DFA Short-Term Government Portfolio....................... (811) (178) (989)
DFA Intermediate Government Fixed Income Portfolio........ (1,618) (150) (1,768)
DFA Short-Term Extended Quality Portfolio................. (646) -- (646)
DFA Intermediate-Term Extended Quality Portfolio.......... (509) (28) (537)
DFA Targeted Credit Portfolio............................. (84) -- (84)
DFA Investment Grade Portfolio............................ (1,915) -- (1,915)
DFA Diversified Fixed Income Portfolio.................... -- -- --
DFA LTIP Portfolio........................................ -- -- --
DFA Inflation-Protected Securities Portfolio.............. (2,956) (623) (3,579)
DFA Short-Duration Real Return Portfolio.................. (820) -- (820)
DFA Municipal Real Return Portfolio....................... -- -- --
DFA Municipal Bond Portfolio.............................. -- -- --
DFA Short-Term Municipal Bond Portfolio................... -- -- --
DFA Intermediate-Term Municipal Bond Portfolio............ -- -- --
DFA California Short-Term Municipal Bond Portfolio........ -- -- --
DFA California Intermediate-Term Municipal Bond Portfolio. -- -- --
DFA NY Municipal Bond Portfolio........................... -- -- --
191
At October 31, 2016, 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 One-Year Fixed Income
Portfolio.......................... $ 55 $ 403 -- $ 1,257 $ 1,715
DFA Two-Year Global Fixed Income
Portfolio.......................... 14,818 -- $ (993) (3,379) 10,446
DFA Selectively Hedged Global Fixed
Income Portfolio................... 13,914 -- (76,066) 6,178 (55,974)
DFA Five-Year Global Fixed Income
Portfolio.......................... 83,602 42,515 -- 112,470 238,587
DFA World ex U.S. Government Fixed
Income Portfolio................... 19,427 550 -- (15,459) 4,518
DFA Short-Term Government
Portfolio.......................... 3,062 4,717 -- 9,353 17,132
DFA Intermediate Government Fixed
Income Portfolio................... 12,811 6,708 -- 106,526 126,045
DFA Short-Term Extended Quality
Portfolio.......................... 1,176 -- (612) 39,450 40,014
DFA Intermediate-Term Extended
Quality Portfolio.................. 697 2,020 -- 29,702 32,419
DFA Targeted Credit Portfolio........ 661 -- (121) 2,505 3,045
DFA Investment Grade Portfolio....... 17,307 -- (7,217) 116,364 126,454
DFA Diversified Fixed Income
Portfolio.......................... 20 -- -- (491) (471)
DFA LTIP Portfolio................... 187 -- (343) 4,814 4,658
DFA Inflation-Protected Securities
Portfolio.......................... 6,012 8,864 -- 138,793 153,669
DFA Short-Duration Real Return
Portfolio.......................... 10,456 -- (12,827) 2,950 579
DFA Municipal Real Return Portfolio.. 98 -- (1,617) 7,848 6,329
DFA Municipal Bond Portfolio......... 39 -- (4) 1,902 1,937
DFA Short-Term Municipal Bond
Portfolio.......................... 358 -- (102) 12,409 12,665
DFA Intermediate-Term Municipal Bond
Portfolio.......................... 338 -- (97) 22,768 23,009
DFA California Short-Term Municipal
Bond Portfolio..................... 126 -- (13) 5,853 5,966
DFA California Intermediate-Term
Municipal Bond Portfolio........... 57 -- (10) 5,698 5,745
DFA NY Municipal Bond Portfolio...... 10 -- -- 607 617
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
192
enactment. As of October 31, 2016, 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,
----------------------
2018 2019 UNLIMITED TOTAL
---- ---- --------- -------
DFA One-Year Fixed Income Portfolio....................... -- -- -- --
DFA Two-Year Global Fixed Income Portfolio................ -- -- $ 993 $ 993
DFA Selectively Hedged Global Fixed Income Portfolio...... -- -- 76,066 76,066
DFA Five-Year Global Fixed Income Portfolio............... -- -- -- --
DFA World ex U.S. Government Fixed Income Portfolio....... -- -- -- --
DFA Short-Term Government Portfolio....................... -- -- -- --
DFA Intermediate Government Fixed Income Portfolio........ -- -- -- --
DFA Short-Term Extended Quality Portfolio................. -- -- 612 612
DFA Intermediate-Term Extended Quality Portfolio.......... -- -- -- --
DFA Targeted Credit Portfolio............................. -- -- 121 121
DFA Investment Grade Portfolio............................ -- -- 7,217 7,217
DFA Diversified Fixed Income Portfolio.................... -- -- -- --
DFA LTIP Portfolio*....................................... -- -- 343 343
DFA Inflation-Protected Securities Portfolio.............. -- -- -- --
DFA Short-Duration Real Return Portfolio.................. -- -- 12,827 12,827
DFA Municipal Real Return Portfolio....................... -- -- 1,617 1,617
DFA Municipal Bond Portfolio.............................. -- -- 4 4
DFA Short-Term Municipal Bond Portfolio................... -- $ 3 99 102
DFA Intermediate-Term Municipal Bond Portfolio............ -- -- 97 97
DFA California Short-Term Municipal Bond Portfolio........ $ 1 3 9 13
DFA California Intermediate-Term Municipal Bond Portfolio. -- -- 10 10
DFA NY Municipal Bond Portfolio........................... -- -- -- --
----------
* The use of capital losses may be restricted by Section 382 or tax rules in
the internal revenue code.
During the year ended October 31, 2016, the Portfolios utilized the
following capital loss carryforwards to offset realized capital gains for
federal income tax purposes (amounts in thousands):
DFA Selectively Hedged Global Fixed Income Portfolio .. $17,312
DFA LTIP Portfolio .. . . . . . ....................... $ 51
At October 31, 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 One-Year Fixed Income Portfolio................ $ 7,067,164 $ 4,315 $ (3,059) $ 1,256
DFA Two-Year Global Fixed Income Portfolio......... 4,791,369 3,311 (7,249) (3,938)
DFA Selectively Hedged Global Fixed Income
Portfolio........................................ 978,760 7,322 (1,159) 6,163
DFA Five-Year Global Fixed Income Portfolio........ 12,430,815 120,711 (9,723) 110,988
DFA World ex U.S. Government Fixed Income
Portfolio........................................ 766,324 13,029 (28,404) (15,375)
DFA Short-Term Government Portfolio................ 2,077,599 10,601 (1,247) 9,354
DFA Intermediate Government Fixed Income Portfolio. 3,665,024 111,682 (5,156) 106,526
DFA Short-Term Extended Quality Portfolio.......... 4,729,357 44,593 (5,143) 39,450
193
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION
TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
---------- ------------ ------------ --------------
DFA Intermediate-Term Extended Quality Portfolio... $1,400,183 $ 34,387 $(4,685) $ 29,702
DFA Targeted Credit Portfolio...................... 351,799 3,494 (979) 2,515
DFA Investment Grade Portfolio..................... 6,237,229 125,951 (9,587) 116,364
DFA Diversified Fixed Income Portfolio............. 111,878 65 (556) (491)
DFA LTIP Portfolio................................. 55,762 4,813 -- 4,813
DFA Inflation-Protected Securities Portfolio....... 3,368,770 138,793 -- 138,793
DFA Short-Duration Real Return Portfolio........... 953,216 14,464 (8,956) 5,508
DFA Municipal Real Return Portfolio................ 454,098 9,969 (2,121) 7,848
DFA Municipal Bond Portfolio....................... 215,174 2,155 (253) 1,902
DFA Short-Term Municipal Bond Portfolio............ 2,066,665 12,883 (474) 12,409
DFA Intermediate-Term Municipal Bond Portfolio..... 1,223,558 24,632 (1,864) 22,768
DFA California Short-Term Municipal Bond Portfolio. 862,797 6,345 (492) 5,853
DFA California Intermediate-Term Municipal Bond
Portfolio........................................ 246,307 6,058 (361) 5,697
DFA NY Municipal Bond Portfolio.................... 56,139 629 (21) 608
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 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. FINANCIAL INSTRUMENTS:
In accordance with the Portfolios' investment objectives and policies, the
Portfolios may invest in certain financial instruments that have off-balance
sheet risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. FOREIGN MARKET RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States of America, including the possibility of future political and
economic developments and the level of foreign governmental supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of international
securities held by the Portfolios may be inhibited.
2. INFLATION PROTECTION RISKS: Because the interest and/or principal
payments on an inflation-protected security are adjusted periodically for
changes in inflation, the income distributed by the DFA LTIP Portfolio, DFA
Inflation-Protected Securities Portfolio, DFA Short-Duration Real Return
Portfolio and DFA Municipal Real Return Portfolio may be irregular. Although
the U.S. Treasury guarantees to pay at least the original face value of any
inflation-protected securities the Treasury issues, other issuers may not offer
the same guarantee. Also, inflation-protected securities, including those
issued by the U.S. Treasury, are not protected against deflation. As a result,
in a period of deflation, the principal and income of inflation-protected
securities held by a Portfolio will decline and the Portfolio may suffer a loss
during such periods. While inflation-protected securities are expected to be
protected from long-term inflationary trends, short-term increases in inflation
may lead to a decline in a Portfolio's value. For example, if interest rates
rise due to reasons other than inflation a Portfolio's investment in these
securities may not be protected to the extent that the increase is not
reflected in the securities' inflation measures. In addition, positive
adjustments to principal generally will result in taxable income to a Portfolio
at the time of such adjustments (which
194
generally would be distributed by the Portfolio as part of its taxable
dividends), even though the principal amount is not paid until maturity. The
current market value of inflation-protected securities is not guaranteed and
will fluctuate.
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
Portfolios.
3. FORWARD CURRENCY CONTRACTS: The International Fixed Income 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 Portfolio's currency exposure with
respect to a foreign market will be based primarily on the Portfolio's existing
exposure to a given foreign currency. Each contract is valued daily and the
change in value is recorded by the Portfolio as an unrealized gain or loss,
which is presented in the Statements of Operations as the change in unrealized
appreciation or depreciation from translation of foreign-currency-denominated
amounts. When the contract is closed or offset with the same counterparty, the
Portfolio records a realized gain or loss equal to the change in the value of
the contract when it was opened and the value at the time it was closed or
offset. This is presented in the Statements of Operations as a net realized
gain or loss on foreign currency transactions. At October 31, 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 TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO*
UNREALIZED
FOREIGN
SETTLEMENT CURRENCY CONTRACT VALUE AT EXCHANGE
DATE AMOUNT** CURRENCY COUNTERPARTY AMOUNT OCTOBER 31, 2016 GAIN (LOSS)
---------- -------- ----------------- ------------------------------------ -------- ---------------- -----------
11/14/16 5,077 Canadian Dollar Citibank London $ 3,856 $ 3,785 $ (71)
11/14/16 (13,175) Canadian Dollar Morgan Stanley and Co. International (10,287) (9,823) 464
11/18/16 (12,806) Singapore Dollar Morgan Stanley and Co. International (9,330) (9,206) 124
11/18/16 (13,889) Singapore Dollar Morgan Stanley and Co. International (10,216) (9,984) 232
12/05/16 (10,667) Singapore Dollar HSBC Bank (7,708) (7,669) 39
12/05/16 (19,219) Singapore Dollar HSBC Bank (13,990) (13,818) 172
01/05/17 (77,294) Swedish Krona State Street Bank and Trust (9,040) (8,586) 454
01/05/17 (87,593) Swedish Krona State Street Bank and Trust (9,934) (9,731) 203
01/12/17 (3,241) UK Pound Sterling State Street Bank and Trust (3,963) (3,974) (11)
01/23/17 (3,016) UK Pound Sterling State Street Bank and Trust (3,689) (3,698) (9)
-------- -------- ------
$(74,301) $(72,704) $1,597
======== ======== ======
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO*
UNREALIZED
FOREIGN
SETTLEMENT CURRENCY CONTRACT VALUE AT EXCHANGE
DATE AMOUNT** CURRENCY COUNTERPARTY AMOUNT OCTOBER 31, 2016 GAIN (LOSS)
---------- -------- ------------------ --------------------- -------- ---------------- -----------
11/04/16 123,336 Australian Dollar Citibank, N.A. $ 93,991 $ 93,816 $ (175)
11/02/16 61,228 New Zealand Dollar Bank of America Corp. 44,452 43,784 (668)
11/02/16 (61,228) New Zealand Dollar UBS AG (43,799) (43,784) 15
11/03/16 67,951 New Zealand Dollar JP Morgan 49,428 48,590 (838)
12/05/16 63,582 New Zealand Dollar UBS AG 45,425 45,407 (18)
-------- -------- -------
$189,497 $187,813 $(1,684)
======== ======== =======
195
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO*
UNREALIZED
FOREIGN
SETTLEMENT CURRENCY CONTRACT VALUE AT EXCHANGE
DATE AMOUNT** CURRENCY COUNTERPARTY AMOUNT OCTOBER 31, 2016 GAIN (LOSS)
---------- -------- ---------------- --------------------------- --------- ---------------- -----------
11/14/16 (24,148) Singapore Dollar HSBC Bank $ (17,700) $ (17,359) $ 341
11/15/16 (22,000) Singapore Dollar HSBC Bank (16,128) (15,815) 313
11/17/16 (24,830) Singapore Dollar Morgan Stanley and Co. (18,267) (17,849) 418
11/18/16 (25,000) Singapore Dollar Morgan Stanley and Co. (18,392) (17,972) 420
11/21/16 (10,034) Singapore Dollar ANZ Securities (7,216) (7,213) 3
11/21/16 (11,951) Singapore Dollar ANZ Securities (8,617) (8,591) 26
12/30/16 (14,861) Singapore Dollar State Street Bank and Trust (10,686) (10,685) 1
01/03/17 (25,714) Singapore Dollar HSBC Bank (18,467) (18,489) (22)
--------- --------- ------
$(115,473) $(113,973) $1,500
========= ========= ======
DFA WORLD EX U.S. GOVERNMENT FIXED INCOME PORTFOLIO*
UNREALIZED
FOREIGN
SETTLEMENT CURRENCY CONTRACT VALUE AT EXCHANGE
DATE AMOUNT** CURRENCY COUNTERPARTY AMOUNT OCTOBER 31, 2016 GAIN (LOSS)
---------- ---------- ----------------- ---------------------------- --------- ---------------- -----------
11/25/16 2,571 Canadian Dollar Bank of America Corp. $ 1,960 $ 1,917 $ (43)
11/25/16 1,443 Canadian Dollar Citibank, N.A. 1,094 1,076 (18)
11/25/16 1,104 Canadian Dollar Citibank, N.A. 841 823 (18)
11/25/16 (79) Canadian Dollar Citibank, N.A. (60) (59) 1
11/25/16 (1,008) Canadian Dollar State Street Bank and Trust (762) (752) 10
11/25/16 (3,788) Canadian Dollar UBS AG (2,870) (2,825) 45
11/25/16 (4,008) Canadian Dollar Citibank, N.A. (3,026) (2,989) 37
11/25/16 (98,565) Canadian Dollar JP Morgan (76,548) (73,496) 3,052
01/24/17 (186,414) Denmark Krone JP Morgan (27,471) (27,621) (150)
01/11/17 (25,000) Euro JP Morgan (27,844) (27,534) 310
01/11/17 (25,977) Euro UBS AG (28,935) (28,610) 325
01/12/17 (97,758) Euro UBS AG (108,149) (107,674) 475
01/20/17 (76,099) Euro UBS AG (83,229) (83,848) (619)
01/23/17 (74,323) Euro UBS AG (81,124) (81,902) (778)
01/24/17 (8,184,820) Japanese Yen Bank of America Corp. (78,363) (78,323) 40
01/18/17 (86,218) Norwegian Krone Citibank, N.A. (10,588) (10,437) 151
11/14/16 270 Singapore Dollar ANZ Securities 195 194 (1)
11/14/16 (23,840) Singapore Dollar ANZ Securities (17,460) (17,137) 323
01/20/17 (331,170) Swedish Krona Citibank, N.A. (37,326) (36,816) 510
01/05/17 (94,177) UK Pound Sterling Bank of America Corp. (116,505) (115,460) 1,045
01/23/17 (943) UK Pound Sterling National Australia Bank Ltd. (1,151) (1,156) (5)
01/23/17 (25,794) UK Pound Sterling State Street Bank and Trust (31,548) (31,634) (86)
--------- --------- ------
$(728,869) $(724,263) $4,606
========= ========= ======
DFA TARGETED CREDIT PORTFOLIO*
UNREALIZED
FOREIGN
SETTLEMENT CURRENCY CONTRACT VALUE AT EXCHANGE
DATE AMOUNT** CURRENCY COUNTERPARTY AMOUNT OCTOBER 31, 2016 GAIN (LOSS)
---------- -------- ----------------- --------------------------- -------- ---------------- -----------
01/19/17 (2,564) UK Pound Sterling State Street Bank and Trust $(3,156) $(3,144) $12
------- ------- ---
$(3,156) $(3,144) $12
======= ======= ===
196
* During the year ended October 31, 2016, the following Portfolios' average
contract amount of forward currency contracts were (in thousands):
DFA Two-Year Global Fixed Income Portfolio........... $ 80,651
DFA Selectively Hedged Global Fixed Income Portfolio. 316,315
DFA Five-Year Global Fixed Income Portfolio.......... 491,469
DFA World ex U.S. Government Fixed Income Portfolio.. 753,332
DFA Targeted Credit Portfolio........................ 2,954
**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.
4. SWAP AGREEMENTS: The DFA Short-Duration Real Return Portfolio and DFA
Municipal Real Return Portfolio may enter into inflation swap agreements to
seek inflation protection. Inflation swap agreements are contracts in which one
party agrees to pay the cumulative percentage increase in a price index (the
Consumer Price Index with respect to CPI swaps) over the term of the swap (with
some lag on the inflation index), and the other pays a compounded fixed rate.
Inflation swap agreements may be used by the DFA Short-Duration Real Return
Portfolio and DFA Municipal Real Return Portfolio to hedge the inflation risk
in nominal bonds (i.e. non-inflation indexed bonds) thereby creating
"synthetic" inflation-indexed bonds. Among other reasons, one factor that may
lead to changes in the values of inflation swap agreements are changes in real
interest rates. Real interest rates are tied to the relationship between
nominal interest rates and the rate of inflation. If nominal interest rates
increase at a faster rate than inflation, real interest rates may rise, which
may lead to a change in the value of an inflation swap agreement. Additionally,
payments received by the DFA Short-Duration Real Return Portfolio and DFA
Municipal Real Return Portfolio from inflation swap agreements will result in
taxable income, either as ordinary income or capital gains, which will increase
the amount of taxable distributions received by shareholders.
The Advisor and the Fund do not believe that a Portfolio's obligations under
swap contracts are senior securities and, accordingly, the Portfolio will not
treat them as being subject to the Portfolio's borrowing or senior securities
restrictions. 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. To the extent that a 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. Inflation swap agreements are not currently subject
to mandatory central clearing and exchange-trading.
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 clearing house, as is the case with cleared swaps. As a result, a
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.
At October 31, 2016, DFA Short-Duration Real Return Portfolio had the
following outstanding inflation rate swaps (dollar amounts in thousands):
UNREALIZED
PAYMENTS PAYMENTS EXPIRATION NOTIONAL APPRECIATION
COUNTERPARTY MADE RECEIVED DATE CURRENCY AMOUNT (DEPRECIATION)
---------------------- -------- -------- ---------- -------- -------- --------------
Bank of America Corp.. 1.733% CPI 11/07/2017 USD $40,000 $(759)
Bank of America Corp.. 1.680% CPI 05/09/2021 USD 26,000 365
Bank of America Corp.. 1.633% CPI 04/14/2021 USD 27,000 402
Bank of America Corp.. 1.593% CPI 01/04/2021 USD 14,000 150
Bank of America Corp.. 1.525% CPI 08/31/2021 USD 43,000 698
197
UNREALIZED
PAYMENTS PAYMENTS EXPIRATION NOTIONAL APPRECIATION
COUNTERPARTY MADE RECEIVED DATE CURRENCY AMOUNT (DEPRECIATION)
-------------------------------- -------- -------- ---------- -------- -------- --------------
Bank of America Corp............ 1.435% CPI 10/30/2020 USD $ 30,000 $ 454
Citibank, N.A................... 2.215% CPI 07/25/2018 USD 28,000 (1,168)
Citibank, N.A................... 1.985% CPI 03/14/2017 USD 19,000 (484)
Citibank, N.A................... 1.975% CPI 02/13/2017 USD 27,000 (654)
Citibank, N.A................... 1.864% CPI 11/13/2016 USD 26,000 (692)
Citibank, N.A................... 1.849% CPI 10/27/2021 USD 20,000 50
Citibank, N.A................... 1.800% CPI 06/02/2020 USD 42,000 (118)
Citibank, N.A................... 1.790% CPI 11/19/2018 USD 31,000 (627)
Citibank, N.A................... 1.655% CPI 07/20/2020 USD 40,000 401
Citibank, N.A................... 1.623% CPI 06/20/2020 USD 38,000 507
Citibank, N.A................... 1.320% CPI 01/20/2019 USD 30,000 130
Credit Suisse................... 1.968% CPI 02/24/2017 USD 19,000 (459)
Credit Suisse................... 1.837% CPI 04/28/2019 USD 42,000 (112)
Credit Suisse................... 1.735% CPI 03/05/2019 USD 33,000 (166)
Deutsche Bank AG, London Branch. 2.242% CPI 06/12/2019 USD 26,000 (1,208)
Deutsche Bank AG, London Branch. 1.945% CPI 01/08/2017 USD 23,000 (555)
Deutsche Bank AG, London Branch. 1.930% CPI 02/05/2017 USD 18,000 (409)
Deutsche Bank AG, London Branch. 1.765% CPI 03/03/2019 USD 40,000 (270)
Deutsche Bank AG, London Branch. 1.753% CPI 06/29/2018 USD 43,000 (42)
Deutsche Bank AG, London Branch. 1.718% CPI 09/27/2021 USD 36,000 307
Deutsche Bank AG, London Branch. 1.670% CPI 07/08/2019 USD 40,000 336
Deutsche Bank AG, London Branch. 1.563% CPI 07/28/2019 USD 48,000 495
Deutsche Bank AG, London Branch. 1.429% CPI 10/20/2020 USD 42,000 611
Deutsche Bank AG, London Branch. 1.348% CPI 01/28/2020 USD 14,000 259
-------- -------
$905,000 $(2,558)
======== =======
At October 31, 2016, DFA Municipal Real Return Portfolio had the following
outstanding inflation rate swaps (dollar amounts in thousands):
UNREALIZED
PAYMENTS PAYMENTS EXPIRATION NOTIONAL APPRECIATION
COUNTERPARTY MADE RECEIVED DATE CURRENCY AMOUNT (DEPRECIATION)
---------------------- -------- -------- ---------- -------- -------- --------------
Bank of America Corp.. 1.833% CPI 07/15/2020 USD $10,000 $ (47)
Bank of America Corp.. 1.814% CPI 07/24/2021 USD 11,000 (44)
Bank of America Corp.. 1.715% CPI 09/28/2023 USD 11,000 163
Bank of America Corp.. 1.706% CPI 06/14/2022 USD 11,000 156
Bank of America Corp.. 1.704% CPI 05/31/2021 USD 27,000 335
Bank of America Corp.. 1.663% CPI 04/15/2022 USD 17,000 274
Bank of America Corp.. 1.619% CPI 10/14/2022 USD 12,000 125
Bank of America Corp.. 1.610% CPI 12/31/2020 USD 20,000 194
Bank of America Corp.. 1.609% CPI 06/24/2021 USD 17,000 278
Bank of America Corp.. 1.580% CPI 12/30/2020 USD 14,000 157
Bank of America Corp.. 1.580% CPI 08/07/2020 USD 19,000 117
Bank of America Corp.. 1.570% CPI 02/26/2019 USD 6,000 1
Bank of America Corp.. 1.550% CPI 01/26/2021 USD 6,000 12
Bank of America Corp.. 1.548% CPI 01/08/2021 USD 8,000 105
Bank of America Corp.. 1.530% CPI 12/24/2020 USD 19,000 260
Bank of America Corp.. 1.520% CPI 12/23/2020 USD 14,000 199
Bank of America Corp.. 1.365% CPI 01/21/2019 USD 5,000 14
Citibank, N.A......... 1.935% CPI 11/07/2019 USD 20,000 (557)
Citibank, N.A......... 1.818% CPI 12/01/2019 USD 3,000 (64)
198
UNREALIZED
PAYMENTS PAYMENTS EXPIRATION NOTIONAL APPRECIATION
COUNTERPARTY MADE RECEIVED DATE CURRENCY AMOUNT (DEPRECIATION)
--------------- -------- -------- ---------- -------- -------- --------------
Citibank, N.A.. 1.789% CPI 03/31/2024 USD $ 21,000 $ 260
Citibank, N.A.. 1.752% CPI 05/20/2023 USD 17,000 256
Citibank, N.A.. 1.718% CPI 05/27/2020 USD 16,000 166
Citibank, N.A.. 1.698% CPI 06/02/2022 USD 22,000 338
Citibank, N.A.. 1.581% CPI 12/28/2020 USD 10,000 111
Citibank, N.A.. 1.578% CPI 08/09/2023 USD 25,000 589
Citibank, N.A.. 1.577% CPI 11/18/2021 USD 10,000 130
Citibank, N.A.. 1.555% CPI 12/11/2020 USD 10,000 122
Citibank, N.A.. 1.533% CPI 11/10/2020 USD 10,000 112
Citibank, N.A.. 1.520% CPI 08/01/2021 USD 24,000 442
Citibank, N.A.. 1.494% CPI 01/08/2021 USD 4,000 12
Citibank, N.A.. 1.481% CPI 08/18/2021 USD 17,000 328
Citibank, N.A.. 1.253% CPI 02/11/2022 USD 12,000 437
Citibank, N.A.. 1.253% CPI 01/20/2019 USD 12,000 192
-------- ------
$460,000 $5,173
======== ======
The average volume (based on the open positions at each fiscal month-end) of
derivative activity for the year ended October 31, 2016 (amounts in thousands):
SWAP
CONTRACTS
---------
DFA Short-Duration Real Return Portfolio. $782,133
DFA Municipal Real Return Portfolio...... 351,417
The following is a summary of the location of derivatives on the Portfolios'
Statements of Assets and Liabilities as of October 31, 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
Inflation swap contracts Unrealized Gain on Swap Unrealized Loss on Swap
Contracts Contracts
The following is a summary of the Portfolios' derivative instrument holdings
categorized by primary risk exposure as of October 31, 2016 (amounts in
thousands):
ASSET DERIVATIVES VALUE
------------------------------------
TOTAL VALUE FOREIGN
AT EXCHANGE SWAP
OCTOBER 31, 2016 CONTRACTS CONTRACTS
---------------- --------- ---------
DFA Two-Year Global Fixed
Income Portfolio........ $1,688 $1,688 --
DFA Selectively Hedged
Global Fixed Income
Portfolio............... 15 15 --
DFA Five-Year Global
Fixed Income Portfolio.. 1,522 1,522 --
DFA World ex U.S.
Government Fixed Income
Portfolio............... 6,323 6,323 --
DFA Targeted Credit
Portfolio............... 12 12 --
DFA Short-Duration Real
Return Portfolio........ 5,163 -- $5,163
DFA Municipal Real Return
Portfolio............... 5,885 -- 5,885
199
LIABILITY DERIVATIVES VALUE
-----------------------------------
TOTAL VALUE FOREIGN
AT EXCHANGE SWAP
OCTOBER 31, 2016 CONTRACTS CONTRACTS
---------------- --------- ---------
DFA Two-Year Global Fixed
Income Portfolio........ $ (91) $ (91) --
DFA Selectively Hedged
Global Fixed Income
Portfolio............... (1,699) (1,699) --
DFA Five-Year Global
Fixed Income Portfolio.. (22) (22) --
DFA World ex U.S.
Government Fixed Income
Portfolio............... (1,717) (1,717) --
DFA Short-Duration Real
Return Portfolio........ (7,721) -- $(7,721)
DFA Municipal Real Return
Portfolio............... (712) -- (712)
The following is a summary of the location on the Portfolios' Statements of
Operations of realized and change in unrealized gains and losses from the
Portfolios' derivative instrument holdings through the year ended October 31,
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
Inflation Swap contracts Net Realized Gain (Loss) on: Swap Contracts
Change in Unrealized Appreciation (Depreciation) of:
Swap Contracts
The following is a summary of the realized and change in unrealized gains
and losses from the Portfolios' derivative instrument holdings categorized by
primary risk exposure through the year ended October 31, 2016 (amounts in
thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
---------------------------
FOREIGN
EXCHANGE SWAP
TOTAL CONTRACTS CONTRACTS
------- --------- ---------
DFA Two-Year Global Fixed
Income Portfolio.......... $ 6,567 $ 6,567 --
DFA Selectively Hedged
Global Fixed Income
Portfolio................. 15,794 15,794 --
DFA Five-Year Global Fixed
Income Portfolio.......... 36,842 36,842 --
DFA World ex U.S.
Government Fixed Income
Portfolio................. 32,912 32,912 --
DFA Targeted Credit
Portfolio................. 639 639 --
DFA Short-Duration Real
Return Portfolio.......... (4,828) -- $(4,828)
DFA Municipal Real Return
Portfolio................. (1,616) -- (1,616)
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES
---------------------------
FOREIGN
EXCHANGE SWAP
TOTAL CONTRACTS CONTRACTS
------- --------- ---------
DFA Two-Year Global Fixed
Income Portfolio.......... $ 2,794 $ 2,794 --
DFA Selectively Hedged
Global Fixed Income
Portfolio................. 938 938 --
DFA Five-Year Global Fixed
Income Portfolio.......... 2,660 2,660 --
DFA World ex U.S.
Government Fixed Income
Portfolio................. (395) (395) --
DFA Targeted Credit
Portfolio................. 12 12 --
DFA Short-Duration Real
Return Portfolio.......... 14,527 -- $14,527
DFA Municipal Real Return
Portfolio................. 8,274 -- 8,274
200
OFFSETTING OF DERIVATIVE ASSETS AND DERIVATIVE LIABILITIES
In order to better define its contractual rights and to secure rights that
will help the Fund mitigate its counterparty risk, the Fund entered into an
International Swaps and Derivatives Association, Inc. Master Agreement (ISDA
Master Agreement) or a similar agreement with certain of its derivative
contract counterparties. An ISDA Master Agreement is a bilateral agreement
between the Fund and a counterparty that governs over-the-counter (OTC)
derivatives and foreign exchange contracts and typically contains, among other
things, provisions in the event of a default and/or termination event and may
also include collateral posting items. Under an ISDA Master Agreement, the Fund
may, under certain circumstances, offset with the counterparty certain
derivative financial instruments' payables and/or receivables with collateral
held and/or posted, if any, and create one single net payment. The provisions
of the ISDA Master Agreement typically permit a single net payment in the event
of default (close-out), including the bankruptcy or insolvency of the
counterparty. However, bankruptcy or insolvency laws of a particular
jurisdiction may impose restrictions on or prohibitions against the right of
offset in bankruptcy, insolvency, or other events.
For financial reporting purposes, the Fund does not offset derivative assets
and derivative liabilities that are subject to netting arrangements in the
"Statement of assets and liabilities."
The Portfolios are subject to master netting agreements ("MNA") with certain
counterparties which govern the terms of derivative transactions and reduce the
counterparty risk associated with such transactions by specifying offsetting
mechanisms and collateral posting arrangements at pre-arranged exposure
levels. Since different types of transactions have different mechanics and are
sometimes traded out of different legal entities of a particular counterparty
organization, each type of transaction may be covered by a different MNA,
possibly resulting in the need for multiple agreements with a single
counterparty. As the MNA's are specific to unique operations of different asset
types, they allow each Portfolio to close out and net its total exposure to a
counterparty in the event of a default with respect to all the transactions
governed under a single MNA with a counterparty. Certain MNA's contain
provisions which allow for the net settlement of receivable and payable
positions with the same counterparty if defined conditions are met.
The following tables present the Portfolios' gross and net amount of assets
and liabilities available for offset under netting arrangements as well as any
related collateral received or pledged by the Portfolios as of October 31, 2016
(Amounts in thousands):
NET
AMOUNTS
OF GROSS AMOUNTS NOT
ASSETS OFFSET IN THE
PRESENTED STATEMENTS OF ASSETS
GROSS IN THE AND LIABILITIES GROSS
AMOUNTS OF STATEMENTS ---------------------- AMOUNTS OF
RECOGNIZED OF ASSETS FINANCIAL CASH NET RECOGNIZED
ASSETS AND INSTRUMENTS COLLATERAL AMOUNT LIABILITIES
DESCRIPTION (A) LIABILITIES (B) RECEIVED (C) (A)
----------- ---------- ----------- ----------- ---------- ------ -----------
ASSETS
---------------------------------------------------- -----------
DFA TWO-YEAR GLOBAL FIXED
INCOME PORTFOLIO
Forward Currency Contracts.... $1,688 $1,688 $(20) -- $1,668 $ 91
DFA SELECTIVELY HEDGED GLOBAL
FIXED INCOME PORTFOLIO
Forward Currency Contracts.... $ 15 $ 15 $(15) -- $ -- $1,699
DFA FIVE-YEAR GLOBAL FIXED
INCOME PORTFOLIO
Forward Currency Contracts.... $1,522 $1,522 $(22) -- $1,500 $ 22
NET
AMOUNTS
OF GROSS AMOUNTS NOT
LIABILITIES OFFSET IN THE
PRESENTED STATEMENTS OF ASSETS
IN THE AND LIABILITIES
STATEMENTS ----------------------
OF ASSETS FINANCIAL CASH NET
AND INSTRUMENTS COLLATERAL AMOUNT
DESCRIPTION LIABILITIES (D) PLEDGED (E)
----------- ----------- ----------- ---------- ------
LIABILITIES
------------------------------------------
DFA TWO-YEAR GLOBAL FIXED
INCOME PORTFOLIO
Forward Currency Contracts.... $ 91 $(20) -- $ 71
DFA SELECTIVELY HEDGED GLOBAL
FIXED INCOME PORTFOLIO
Forward Currency Contracts.... $1,699 $(15) -- $1,684
DFA FIVE-YEAR GLOBAL FIXED
INCOME PORTFOLIO
Forward Currency Contracts.... $ 22 $(22) -- --
201
NET
AMOUNTS
OF GROSS AMOUNTS NOT
ASSETS OFFSET IN THE
PRESENTED STATEMENTS OF ASSETS
GROSS IN THE AND LIABILITIES GROSS
AMOUNTS OF STATEMENTS ---------------------- AMOUNTS OF
RECOGNIZED OF ASSETS FINANCIAL CASH NET RECOGNIZED
ASSETS AND INSTRUMENTS COLLATERAL AMOUNT LIABILITIES
DESCRIPTION (A) LIABILITIES (B) RECEIVED (C) (A)
----------- ---------- ----------- ----------- ---------- ------ -----------
ASSETS
---------------------------------------------------- -----------
DFA WORLD EX U.S. GOVERNMENT
FIXED INCOME PORTFOLIO
Forward Currency Contracts.... $6,323 $6,323 $(1,084) -- $5,239 $1,717
DFA TARGETED CREDIT PORTFOLIO
Forward Currency Contracts.... $ 12 $ 12 -- -- $ 12 --
DFA SHORT-DURATION REAL
RETURN PORTFOLIO
Swap Contracts................ $5,163 $5,163 $(3,854) -- $1,309 $7,721
DFA MUNICIPAL REAL RETURN
PORTFOLIO
Swap Contracts................ $5,885 $5,885 $ (712) -- $5,173 $ 712
NET
AMOUNTS
OF GROSS AMOUNTS NOT
LIABILITIES OFFSET IN THE
PRESENTED STATEMENTS OF ASSETS
IN THE AND LIABILITIES
STATEMENTS ----------------------
OF ASSETS FINANCIAL CASH NET
AND INSTRUMENTS COLLATERAL AMOUNT
DESCRIPTION LIABILITIES (D) PLEDGED (E)
----------- ----------- ----------- ---------- ------
LIABILITIES
------------------------------------------
DFA WORLD EX U.S. GOVERNMENT
FIXED INCOME PORTFOLIO
Forward Currency Contracts.... $1,717 $(1,084) -- $ 633
DFA TARGETED CREDIT PORTFOLIO
Forward Currency Contracts.... -- -- -- $ --
DFA SHORT-DURATION REAL
RETURN PORTFOLIO
Swap Contracts................ $7,721 $(3,854) -- $3,867
DFA MUNICIPAL REAL RETURN
PORTFOLIO
Swap Contracts................ $ 712 $ (712) -- --
(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 I contains information regarding securities lending amounts that are
subject to netting arrangements.
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.
202
For the year ended October 31, 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
------------- ------------ ------------ -------- ---------------
DFA World
ex U.S. Government Fixed
Income Portfolio........ 0.90% $6,498 2 -- $7,784
* Number of Days Outstanding represents the total of single or consecutive days
during the year ended October 31, 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 October 31, 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 year ended October 31, 2016.
I. SECURITIES LENDING:
As of October 31, 2016, some of the Portfolios had securities on loan to
brokers/dealers, for which each such Portfolio received cash collateral. The
non-cash collateral includes short- and/or long-term U.S. Treasuries and U.S.
government agency securities with a market value of $8,936 and $14,147 (amounts
in thousands), respectively. 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 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.
203
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 October 31, 2016:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF OCTOBER 31, 2016
---------------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
------------- -------- ------------ -------- ------------
SECURITIES LENDING TRANSACTIONS
DFA ONE-YEAR FIXED INCOME PORTFOLIO
Bonds..................................... $ 59,734,177 -- -- -- $ 59,734,177
DFA TWO-YEAR GLOBAL FIXED INCOME
PORTFOLIO
Agency Obligations, Bonds, U.S. Treasury
Obligations............................. $ 85,954,946 -- -- -- $ 85,954,946
DFA SELECTIVELY HEDGED GLOBAL FIXED
INCOME PORTFOLIO
Bonds..................................... $ 7,479,992 -- -- -- $ 7,479,992
DFA FIVE-YEAR GLOBAL FIXED INCOME
PORTFOLIO
Agency Obligations, Bonds................. $ 59,264,513 -- -- -- $ 59,264,513
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
Agency Obligations, Bonds................. $ 95,087,160 -- -- -- $ 95,087,160
DFA INTERMEDIATE-TERM EXTENDED QUALITY
PORTFOLIO
Bonds..................................... $ 34,834,226 -- -- -- $ 34,834,226
DFA TARGETED CREDIT PORTFOLIO
Bonds..................................... $ 4,304,801 -- -- -- $ 4,304,801
DFA INVESTMENT GRADE PORTFOLIO
Agency Obligations, Bonds, U.S. Treasury
Obligations............................. $233,172,704 -- -- -- $233,172,704
DFA SHORT-DURATION REAL RETURN PORTFOLIO
Agency Obligations, Bonds................. $ 54,381,710 -- -- -- $ 54,381,710
J. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties 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.
K. OTHER:
At October 31, 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
------------ --------------
DFA One-Year Fixed Income Portfolio.................. 4 66%
DFA Two-Year Global Fixed Income Portfolio........... 4 82%
DFA Selectively Hedged Global Fixed Income Portfolio. 4 88%
204
APPROXIMATE
PERCENTAGE
NUMBER OF OF OUTSTANDING
SHAREHOLDERS SHARES
------------ --------------
DFA Five-Year Global Fixed Income Portfolio............... 3 78%
DFA World ex U.S. Government Fixed Income Portfolio....... 4 71%
DFA Short-Term Government Portfolio....................... 3 72%
DFA Intermediate Government Fixed Income Portfolio........ 3 83%
DFA Short-Term Extended Quality Portfolio................. 4 78%
DFA Intermediate-Term Extended Quality Portfolio.......... 6 82%
DFA Targeted Credit Portfolio............................. 3 81%
DFA Investment Grade Portfolio............................ 4 89%
DFA Diversified Fixed Income Portfolio.................... 3 99%
DFA LTIP Portfolio........................................ 5 93%
DFA Inflation-Protected Securities Portfolio.............. 4 57%
DFA Short-Duration Real Return Portfolio.................. 3 85%
DFA Municipal Real Return Portfolio....................... 4 94%
DFA Municipal Bond Portfolio.............................. 4 98%
DFA Short-Term Municipal Bond Portfolio................... 4 89%
DFA Intermediate-Term Municipal Bond Portfolio............ 5 90%
DFA California Short-Term Municipal Bond Portfolio........ 3 94%
DFA California Intermediate-Term Municipal Bond Portfolio. 4 97%
DFA NY Municipal Bond Portfolio........................... 4 95%
L. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the
Portfolios through the date that the financial statements were issued and has
determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
205
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of DFA Investment Dimensions Group Inc. and
Shareholders of the Portfolios, as defined:
In our opinion, the accompanying statements of assets and liabilities,
including the schedules of investments, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of DFA One-Year Fixed
Income Portfolio, DFA Two-Year Global Fixed Income Portfolio, DFA Selectively
Hedged Global Fixed Income Portfolio, DFA Five-Year Global Fixed Income
Portfolio, DFA World ex U.S. Government Fixed Income Portfolio, DFA Short-Term
Government Portfolio, DFA Intermediate Government Fixed Income Portfolio, DFA
Short-Term Extended Quality Portfolio, DFA Intermediate-Term Extended Quality
Portfolio, DFA Targeted Credit Portfolio, DFA Investment Grade Portfolio, DFA
Diversified Fixed Income Portfolio, DFA LTIP Portfolio, DFA Inflation-Protected
Securities Portfolio, DFA Short-Duration Real Return Portfolio, DFA Municipal
Real Return Portfolio, DFA Municipal Bond Portfolio, DFA Short-Term Municipal
Bond Portfolio, DFA Intermediate-Term Municipal Bond Portfolio, DFA California
Short-Term Municipal Bond Portfolio, DFA California Intermediate-Term Municipal
Bond Portfolio and DFA NY Municipal Bond Portfolio (constituting portfolios
within DFA Investment Dimensions Group Inc., hereafter referred to as the
"Portfolios") as of October 31, 2016, the results of each of their operations,
the changes in each of their net assets and the financial highlights for each
of the periods indicated, in conformity with accounting principles generally
accepted in the United States of America. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Portfolios' management. Our responsibility is to express
an opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with the standards of the
Public Company Accounting Oversight Board (United States). Those standards
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities as of October 31, 2016 by correspondence with the
custodians, brokers and the transfer agent of the investee fund, provide a
reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 20, 2016
206
NOTIFICATION OF SOURCE OF DISTRIBUTIONS PURSUANT TO
RULE 19A-1 UNDER THE INVESTMENT COMPANY ACT OF 1940
(UNAUDITED)
As noted in the table provided below, the following Portfolios paid
distributions to shareholders of record that included amounts from net
investment income and return of capital. Please note that this information is
being provided to satisfy certain notice requirements under the Investment
Company Act of 1940 and is not being provided for tax reporting purposes. Each
Portfolio will send (or has sent) shareholders a Form 1099-DIV (or a financial
intermediary should provide (or has provided) shareholders with similar
information) for the relevant calendar year informing shareholders how to
report these distributions for federal income tax purposes.
% BREAKDOWN OF DISTRIBUTION SOURCES
-------------------------------------------------
NET NET REALIZED NET REALIZED
INVESTMENT CAPITAL GAINS: CAPITAL GAINS: RETURN OF
PORTFOLIO NAME INCOME SHORT-TERM LONG-TERM CAPITAL
-------------- ---------- -------------- -------------- ---------
DFA One-Year Fixed Income Portfolio
December 15, 2015...................................... 56% 0% 0% 44%
January 28, 2016....................................... 89% 0% 0% 11%
DFA Selectively Hedged Global Fixed Income Portfolio
December 15, 2015...................................... 93% 0% 0% 7%
DFA Five-Year Global Fixed Income Portfolio
December 15, 2015...................................... 93% 0% 0% 7%
DFA World ex U.S. Government Fixed Income Portfolio
December 15, 2015...................................... 87% 0% 0% 13%
DFA Short-Term Government Portfolio
December 15, 2015...................................... 84% 0% 0% 16%
DFA Short-Term Extended Quality Portfolio
December 15, 2015...................................... 81% 0% 0% 19%
January 28, 2016....................................... 92% 0% 0% 8%
DFA Intermediate-Term Extended Quality Portfolio
December 15, 2015...................................... 65% 0% 0% 35%
January 28, 2016....................................... 90% 0% 0% 10%
DFA Targeted Credit Portfolio
December 15, 2015...................................... 64% 0% 0% 36%
January 28, 2016....................................... 90% 0% 0% 10%
DFA Investment Grade Portfolio
December 16, 2015...................................... 89% 0% 0% 11%
DFA Municipal Real Return Portfolio
January 28, 2016....................................... 93% 0% 0% 7%
DFA Municipal Bond Portfolio
January 28, 2016....................................... 93% 0% 0% 7%
DFA Short-Term Municipal Bond Portfolio
January 28, 2016....................................... 93% 0% 0% 7%
DFA Intermediate-Term Municipal Bond Portfolio
January 28, 2016....................................... 93% 0% 0% 7%
DFA California Short-Term Municipal Bond Portfolio
January 28, 2016....................................... 93% 0% 0% 7%
DFA California Intermediate-Term Municipal Bond Portfolio
January 28, 2016....................................... 94% 0% 0% 6%
DFA NY Municipal Bond Portfolio
January 28, 2016....................................... 93% 0% 0% 7%
Each Portfolio estimates that it has distributed more than the amount of net
investment income and net realized capital gains; therefore, a portion of the
distributions may be a return of capital. A return of capital may occur, for
example, when some or all of the shareholder's investment in a Portfolio is
returned to the shareholder. A return of capital does not necessarily reflect a
Portfolio's investment performance and should not be confused with yield or
income. When distributions exceed total return performance, the difference will
reduce a Portfolio's net asset value per share.
207
FUND MANAGEMENT
(UNAUDITED)
TRUSTEES/DIRECTORS
Each Board of Trustees/Directors (each, the "Board" and collectively, the
"Boards") of The DFA Investment Trust Company ("DFAITC"), DFA Investment
Dimensions Group Inc. ("DFAIDG"), Dimensional Investment Group Inc. ("DIG"),
and Dimensional Emerging Markets Value Fund ("DEM") (each, the "Fund" and
collectively, the "Funds") is responsible for establishing the Funds' policies
and for overseeing the management of the Funds. The Trustees/ Directors of the
Funds, including all of the disinterested Trustees/Directors, have adopted
written procedures to monitor potential conflicts of interest that might
develop between portfolios of the Funds (the "Feeder Portfolios") that invest
in certain series of DFAITC or DEM (the "Master Funds").
Each Board has three standing committees, an Audit Committee, a Nominating
Committee, and an Investment Strategy Committee (the "Strategy Committee"). The
Audit Committee is composed of George M. Constantinides, Roger G. Ibbotson, and
Abbie J. Smith. Each member of the Audit Committee is a disinterested
Trustee/Director. The Audit Committee oversees the Fund's accounting and
financial reporting policies and practices, the Fund's internal controls, the
Fund's financial statements and the independent audits thereof and performs
other oversight functions as requested by the Board. The Audit Committee
recommends the appointment of each Fund's independent registered certified
public accounting firm and also acts as a liaison between the Fund's
independent registered certified public accounting firm and the full Board.
There were two Audit Committee meetings held during the fiscal year ended
October 31, 2016.
Each Board's Nominating Committee is composed of George M. Constantinides, John
P. Gould, Roger G. Ibbotson, Myron S. Scholes, Edward P. Lazear and Abbie J.
Smith. Each member of the Nominating Committee is a disinterested
Trustee/Director. The Nominating Committee for each Board makes recommendations
for nominations of disinterested and interested members on the Board to the
full Board. The Nominating Committee evaluates a candidate's qualification for
Board membership and the independence of such candidate from the Advisor and
other principal service providers. The Nominating Committee did not meet during
the fiscal year ended October 31, 2016.
Each Board's Strategy Committee consists of both interested and disinterested
Trustees/Directors. The Strategy Committee is composed of John P. Gould, Edward
P. Lazear, Myron S. Scholes and Eduardo A. Repetto. The Strategy Committee
assists the Board in carrying out its fiduciary duties with respect to the
oversight of the Fund and its performance. At the request of the Board or the
Advisor, the Strategy Committee may (i) review the design of possible new
series of the Fund, (ii) review performance of existing portfolios of the Fund
and discuss and recommend possible enhancements to the portfolios' investment
strategies, (iii) review proposals by the Advisor to modify or enhance the
investment strategies or policies of each portfolio, and (iv) consider issues
relating to investment services for each portfolio of the Fund. The Strategy
Committee was formed on December 17, 2010, and there were three Strategy
Committee meetings held during the fiscal year ended October 31, 2016.
Certain biographical information for each disinterested Trustee/Director and
each interested Trustee/Director of the Funds is set forth in the tables below,
including a description of each Trustee/Director's experience as a Trustee/
Director of the Funds and as a director or trustee of other funds, as well as
other recent professional experience.
The statements of additional information (together, "SAI") of the Funds include
additional information about each Trustee/Director. You may obtain copies of
the SAI and prospectus of each Fund advised by Dimensional Fund Advisors LP by
calling collect (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746.
Prospectuses are also available at http://us.dimensional.com.
208
NAME, POSITION PORTFOLIOS WITHIN THE
WITH THE FUND, ADDRESS TERM OF OFFICE/1/ AND DFA FUND COMPLEX/2/ PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND
AND YEAR OF BIRTH LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD
----------------------------------------------------------------------------------------------------------------------------------
DISINTERESTED TRUSTEES/DIRECTORS
----------------------------------------------------------------------------------------------------------------------------------
George M. Constantinides Since Inception 122 portfolios in 4 Leo Melamed Professor of Finance, The University
Director of DFAIDG and DIG. investment companies of Chicago Booth School of Business.
Trustee of DFAITC and
DEM.
The University of Chicago
Booth School of Business
5807 S. Woodlawn Avenue
Chicago, IL 60637
1947
----------------------------------------------------------------------------------------------------------------------------------
John P. Gould DFAIDG-Since 1986 122 portfolios in 4 Steven G. Rothmeier Professor and Distinguished
Director of DFAIDG and DIG DIG-Since 1993 investment companies Service Professor of Economics, University of
Trustee of DFAITC and DEM DFAITC-Since 1992 Chicago Booth School of Business (since 1965).
The University of Chicago DEM-Since 1993 Member and Chair, Competitive Markets Advisory
Booth School of Business Council, Chicago Mercantile Exchange (futures
5807 S. Woodlawn Avenue trading exchange) (since 2004). Trustee, Harbor
Chicago, IL 60637 Fund (registered investment company) (29
1939 Portfolios) (since 1994). Formerly, Member of the
Board of Milwaukee Insurance Company (1997-2010).
----------------------------------------------------------------------------------------------------------------------------------
Roger G. Ibbotson DFAIDG-Since 1981 122 portfolios in 4 Professor in Practice of Finance, Yale School of
Director of DFAIDG and DIG DIG-Since 1993 investment companies Management (since 1984). Chairman, CIO and
Trustee of DFAITC and DEM DFAITC-Since 1992 Partner, Zebra Capital Management, LLC (hedge
Yale School of Management DEM-Since 1993 fund and asset manager) (since 2001). Consultant
P.O. Box 208200 to Morningstar Inc. (since 2006). Formerly,
New Haven, CT 06520-8200 Director, BIRR Portfolio Analysis, Inc. (sofware
1943 Products) (1990-2010).
----------------------------------------------------------------------------------------------------------------------------------
Edward P. Lazear DFAIDG-Since 2010 122 portfolios in 4 Morris Arnold Cox Senior Fellow, Hoover
Director of DFAIDG and DIG DIG-Since 2010 investment companies Institution (since 2002). Jack Steele Parker
Trustee of DFAITC and DEM DFAITC-Since 2010 Professor of Human Resources Management and
Stanford University Graduate DEM-Since 2010 Economics, Graduate School of Business, Stanford
School of Business University (since 1995). Cornerstone Research
434 Galvez Mall (expert testimony and economic and financial
Stanford, CA 94305 analysis) (since 2009). Formerly, Chairman of the
1948 President George W. Bush's Council of Economic
Advisors, State of California (2005-2006).
Formerly, Commissioner, White House Panel on Tax
Reform (2005)
----------------------------------------------------------------------------------------------------------------------------------
Myron S. Scholes DFAIDG-Since 1981 122 portfolios in 4 Chief Investment Strategist, Janus Capital Group
Director of DFAIDG and DIG DIG-Since 1993 investment companies Inc. (since 2014). Frank E. Buck Professor of
Trustee of DFAITC and DEM DFAITC-Since 1992 Finance Emeritus, Graduate School of Business,
c/o Dimensional Fund DEM-Since 1993 Stanford University (since 1981). Chairman,
Advisers, LP Ruapay Inc. (since 2013). Formerly, Chairman,
6300 Bee Cave Road Platinum Grove Asset Management, L.P. (hedge
Building 1 fund) (formerly, Oak Hill Platinum Partners)
Austin, TX 78746 (1999-2009). Formerly, Director, American Centruy
1941 Fund Complex (registered investment companies)
(43 Portfolios) (1980-2014).
----------------------------------------------------------------------------------------------------------------------------------
Abbie J. Smith DFAIDG-Since 2000 122 portfolios in 4 Boris and Irene Stern Distinguished Service
Director of DFAIDG and DIG DIG-Since 2000 investment companies Professor of Accounting, University of Chicago
Trustee of DFAITC and DEM DFAITC-Since 2000 Booth School of Business (since 1980). Director,
The University of Chicago DEM-Since 2000 HNI Corporation (formerly known as HON Industries
Booth School of Business Inc.) (office furniture) (since 2000). Director,
5807 S. Woodlawn Avenue Ryder System Inc. (transportation, logistics and
Chicago, IL 60637 supply-chain management) (since 2003). Trustee,
1953 UBS Funds (4 investment companies within the fund
complex) (33 portfolios) (since 2009). Formerly,
Co-Director Investment Research, Fundamental
Investment Advisors (hedge fund) (2008-2011).
209
NAME, POSITION PORTFOLIOS WITHIN THE
WITH THE FUND, ADDRESS TERM OF OFFICE/1/ AND DFA FUND COMPLEX/2/ PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND
AND YEAR OF BIRTH LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD
--------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES/DIRECTORS*
--------------------------------------------------------------------------------------------------------------------------------
David G. Booth DFAIDG-Since 1981 122 portfolios in 4 Chairman, Director/Trustee, President, Co-Chief
Chairman, Director/Trustee, DIG-Since 1992 investment companies Executive Officer and formerly, Chief Executive
President and Co-Chief DFAITC-Since 1992 Officer (until 1/1/2010) of the following companies:
Executive Officer DEM-Since 1993 Dimensional Holdings Inc., Dimensional Fund
6300 Bee Cave Road Advisors LP, DFA Securities LLC, DEM, DFAIDG,
Building One DIG and DFAITC (collectively, the "DFA Entities").
Austin, TX 78746 Director of Dimensional Fund Advisors Ltd. and
1946 formerly, Chief Investment Officer. Director of DFA
Australia Limited and formerly, President and Chief
Investment Officer. Director of Dimensional
Advisors Ltd., Dimensional Funds plc and
Dimensional Funds II plc. Formerly, President,
Dimensional SmartNest (US) LLC (2009- 2014).
Formerly, Limited Partner, Oak Hill Partners (2001-
2010). Limited Partner, VSC Investors, LLC (since
2007). Trustee, University of Chicago. Trustee,
University of Kansas Endowment Association.
Formerly, Director, SA Funds (registered
investment company). Chairman, Director and Co-
Chief Executive Officer of Dimensional Fund
Advisors Canada ULC. Director and President
(since 2012) of Dimensional Japan Ltd. Chairman,
Director, President, and Co-Chief Executive Officer
of Dimensional Cayman Commodity Fund I Ltd.
(since 2010).
--------------------------------------------------------------------------------------------------------------------------------
Eduardo A. Repetto DFAIDG-Since 2009 122 portfolios in 4 Co-Chief Executive Officer (beginning January
Director/Trustee, Co-Chief DIG-Since 2009 investment companies 2010), Co-Chief Investment Officer (since June
Executive Officer and Co- DFAITC-Since 2009 2014), Director/Trustee, and formerly, Chief
Chief Investment Officer DEM-Since 2009 Investment Officer (March 2007-June 2014) of the
6300 Bee Cave Road, DFA Entities. Director, Co-Chief Executive Officer
Building One Austin, and Chief Investment Officer (since 2010) of
TX 78746 Dimensional Cayman Commodity Fund I Ltd.
1967 Director, Co-Chief Executive Officer, President and
Co-Chief Investment Officer of Dimensional Fund
Advisors Canada ULC and formerly, Chief
Investment Officer (until April 2014). Co-Chief
Investment Officer, Vice President, and Director of
DFA Australia Limited and formerly, Chief
Investment Officer (until April 2014). Director of
Dimensional Fund Advisors Ltd., Dimensional
Funds plc, Dimensional Funds II plc and
Dimensional Advisors Ltd. Formerly, Vice President
of the DFA Entities and Dimensional Fund Advisors
Canada ULC. Director and Chief Investment Officer
(since December 2012) of Dimensional Japan Ltd.
/1/ Each Trustee/Director holds office for an indefinite term until his or her
successor is elected and qualified.
/2/ Each Trustee/Director is a director or trustee of each of the four
registered investment companies within the DFA Fund Complex, which includes
the DFAIDG, DIG, DFAITC and DEM. Each disinterested Trustee/Director also
serves on the Independent Review Committee of the Dimensional Funds, mutual
funds registered in the provinces of Canada and managed by an affiliate of
Dimensional Fund Advisors LP (the "Advisor"), Dimensional Fund Advisors
Canada ULC.
* Interested Trustees/Directors are described as such because they are deemed
to be "interested persons," as that term is defined under the Investment
Company Act of 1940, as amended, due to their positions with the Advisor.
210
OFFICERS
Below is the name, year of birth, information regarding positions with the
Funds and the principal occupation for each officer of the Funds. The address
of each officer is 6300 Bee Cave Road, Building One, Austin, TX 78746, Each of
the officers listed below holds the same office (except as otherwise noted) in
the DFA Entities.
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
--------------------------------------------------------------------------------------------------------------------------
April A. Aandal Vice President Since 2008 Vice President of all the DFA Entities.
1963
--------------------------------------------------------------------------------------------------------------------------
Robyn G. Alcorta Vice President Since 2012 Vice President of all the DFA Entities. Formerly, Vice
1974 President, Business Development at Capson Physicians
Insurance Company (2010-2012).
--------------------------------------------------------------------------------------------------------------------------
Magdalia S. Armstrong Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Regional
1977 Director for Dimensional Fund Advisors LP (January 2011-
January 2016).
--------------------------------------------------------------------------------------------------------------------------
Darryl D. Avery Vice President Since 2005 Vice President of all the DFA Entities.
1966
--------------------------------------------------------------------------------------------------------------------------
Arthur H. Barlow Vice President Since 1993 Vice President of all the DFA Entities. Director and
1955 Managing Director of Dimensional Fund Advisors Ltd
(since September 2013). Director of Dimensional Funds plc
and Dimensional Funds II plc (since November 2013).
--------------------------------------------------------------------------------------------------------------------------
Lana Bergstein Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Client
1974 Service Manager for Dimensional Fund Advisors LP
(February 2008-January 2014).
--------------------------------------------------------------------------------------------------------------------------
Stanley W. Black Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Senior
1970 Research Associate (January 2012-January 2014) and
Research Associate (2006-2011) for Dimensional Fund
Advisors LP.
--------------------------------------------------------------------------------------------------------------------------
Aaron T. Borders Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional
1973 Director for Dimensional Fund Advisors LP (April 2008-
January 2014).
--------------------------------------------------------------------------------------------------------------------------
Scott A. Bosworth Vice President Since 2007 Vice President of all the DFA Entities.
1968
--------------------------------------------------------------------------------------------------------------------------
Valerie A. Brown Vice President and Since 2001 Vice President and Assistant Secretary of all the DFA
1967 Assistant Secretary Entities, DFA Australia Limited, Dimensional Fund Advisors
Ltd., Dimensional Cayman Commodity Fund I Ltd.,
Dimensional Fund Advisors Pte. and Dimensional Hong
Kong Limited. Director, Vice President, Director and
Assistant Secretary of Dimensional Fund Advisors Canada
ULC.
--------------------------------------------------------------------------------------------------------------------------
David P. Butler Vice President Since 2007 Vice President of all the DFA Entities. Head of Global
1964 Financial Services for Dimensional Fund Advisors LP
(since 2008).
--------------------------------------------------------------------------------------------------------------------------
Douglas M. Byrkit Vice President Since 2012 Vice President of all the DFA Entities. Formerly, Regional
1970 Director for Dimensional Fund Advisors LP (December
2010-January 2012).
--------------------------------------------------------------------------------------------------------------------------
Hunt M. Cairns Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional
1973 Director (January 2010-January 2014) for Dimensional
Fund Advisors LP.
--------------------------------------------------------------------------------------------------------------------------
David K. Campbell Vice President Since 2016 Vice President of all the DFA Entities. Formerly, DC
1966 Relationship Manager for Dimensional Fund Advisors LP
(October 2010-January 2016).
--------------------------------------------------------------------------------------------------------------------------
Dennis M. Chamberlain Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Regional
1972 Director (January 2012-January 2015) for Dimensional
Fund Advisors LP; Principal for Chamberlain Financial
Group (October 2010-December 2011).
--------------------------------------------------------------------------------------------------------------------------
Ryan J. Chaplinski Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Regional
1971 Director (June 2011-January 2015) for Dimensional Fund
Advisors LP; Sales Executive for Vanguard (2004-June
2011).
--------------------------------------------------------------------------------------------------------------------------
211
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
----------------------------------------------------------------------------------------------------------------------------
James G. Charles Vice President Since 2011 Vice President of all the DFA Entities.
1956
----------------------------------------------------------------------------------------------------------------------------
Joseph H. Chi Vice President Since 2009 Vice President of all the DFA Entities. Co-Head of Portfolio
1966 Management (since March 2012) and Senior Portfolio
Manager (since January 2012) for Dimensional Fund
Advisors LP. Vice President of Dimensional Fund Advisors
Canada ULC (since April 2016). Formerly, Portfolio
Manager for Dimensional Fund Advisors LP (October 2005
to January 2012).
----------------------------------------------------------------------------------------------------------------------------
Pil Sun Choi Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Counsel
1972 for Dimensional Fund Advisors LP (April 2012-January
2014); Vice President and Counsel for AllianceBernstein
L.P. (2006-2012).
----------------------------------------------------------------------------------------------------------------------------
Stephen A. Clark Vice President Since 2004 Vice President of all the DFA Entities. Director and Vice
1972 President of Dimensional Japan Ltd (since February 2016).
President and Director of Dimensional Fund Advisors
Canada ULC (since February 2016), Vice President of DFA
Australia Limited (since April 2008) and Director (since Oct
2016). Director of Dimensional Advisors Ltd, Dimensional
Fund Advisors Pte. Ltd., and Dimensional Hong Kong
Limited, (since April 2016), Vice President of Dimensional
Fund Advisors Pte Ltd. (since June 2016), Head of Global
Institutional Services for Dimensional Fund Advisors LP
(since January 2014). Formerly, Vice President of
Dimensional Fund Advisors Canada ULC (December
2010-February 2016); Head of Institutional, North America
(March 2012 to December 2013) and Head of Portfolio
Management (January 2006 to March 2012) for
Dimensional Fund Advisors LP.
----------------------------------------------------------------------------------------------------------------------------
Matthew B. Cobb Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Regional
1971 Director for Dimensional Fund Advisors LP (September
2011-March 2013); Vice President at MullinTBG (2005-
2011).
----------------------------------------------------------------------------------------------------------------------------
Rose C. Cooke Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional
1971 Director for Dimensional Fund Advisors LP (August 2010-
March 2014).
----------------------------------------------------------------------------------------------------------------------------
Ryan Cooper Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Regional
1979 Director for Dimensional Fund Advisors LP (2003-March
2014).
----------------------------------------------------------------------------------------------------------------------------
Jeffrey D. Cornell Vice President Since 2012 Vice President of all the DFA Entities. Formerly, Regional
1976 Director for Dimensional Fund Advisors LP (August 2002-
January 2012).
----------------------------------------------------------------------------------------------------------------------------
Robert P. Cornell Vice President Since 2007 Vice President of all the DFA Entities.
1949
----------------------------------------------------------------------------------------------------------------------------
John W. Crill (Wes) Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Senior
1982 Associate, Research (January 2015-January 2016);
Associate, Research (January 2014-January 2015);
Analyst, Research (July 2010-January 2014) for
Dimensional Fund Advisors LP.
----------------------------------------------------------------------------------------------------------------------------
Christopher S. Crossan Vice President and Since 2004 Vice President and Global Chief Compliance Officer of all
1965 Global Chief the DFA Entities, DFA Australia Limited and Dimensional
Compliance Officer Fund Advisors Ltd. Chief Compliance Officer and Chief
Privacy Officer of Dimensional Fund Advisors Canada
ULC, Chief Compliance Officer of Dimensional Fund
Advisors Pte. Ltd. Formerly, Vice President and Global
Chief Compliance Officer for Dimensional SmartNest (US)
LLC (October 2010-2014).
----------------------------------------------------------------------------------------------------------------------------
John T. Curnutte Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Manager,
1980 Research Systems (November 2012-January 2016) for
Dimensional Fund Advisors LP; Assistant Vice President,
Oaktree Capital Management (April 2011-October 2012.
----------------------------------------------------------------------------------------------------------------------------
212
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
----------------------------------------------------------------------------------------------------------------------------
John Dashtara Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Regional
1980 Director (July 2013-January 2015) for Dimensional Fund
Advisors LP; Relationship Manager for Blackrock, Inc. (July
2011-July 2013);Vice President for Towers Watson
(formerly, WellsCanning) (June 2009-July 2011).
----------------------------------------------------------------------------------------------------------------------------
James L. Davis Vice President Since 1999 Vice President of all the DFA Entities.
1956
----------------------------------------------------------------------------------------------------------------------------
Robert T. Deere Vice President Since 1994 Vice President of all the DFA Entities, DFA Australia
1957 Limited and Dimensional Fund Advisors Canada ULC.
----------------------------------------------------------------------------------------------------------------------------
Johnathon K. DeKinder Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional
1979 Director (January 2012-January 2014) and Senior
Associate (August 2010-December 2011) for Dimensional
Fund Advisors LP.
----------------------------------------------------------------------------------------------------------------------------
Mark J. Dennis Vice President Since 2015 Vice President of all DFA Entities. Formerly, Regional
1976 Director (May 2011-January 2015) for Dimensional Fund
Advisors LP; Vice President, Portfolio Specialist (January
2007-May 2011) for Morgan Stanley Investment
Management.
----------------------------------------------------------------------------------------------------------------------------
Massimiliano DeSantis Vice President Since 2015 Vice President of all DFA Entities. Formerly, Senior
1971 Associate, Research (November 2012-January 2015) for
Dimensional Fund Advisors LP; Senior Consultant, NERA
Economic Consulting, New York (May 2010-November
2012).
----------------------------------------------------------------------------------------------------------------------------
Peter F. Dillard Vice President Since 2010 Vice President of all the DFA Entities. Chief Data Officer
1972 for Dimensional Fund Advisors LP (since January 2016).
----------------------------------------------------------------------------------------------------------------------------
Robert W. Dintzner Vice President Since 2001 Vice President of all the DFA Entities.
1970
----------------------------------------------------------------------------------------------------------------------------
Karen M. Dolan Vice President Since 2014 Vice President of all the DFA Entities. Head of Marketing
1979 for Dimensional Fund Advisors LP (since February 2013).
Formerly, Senior Manager of Research and Marketing for
Dimensional Fund Advisors LP (June 2012-January 2013);
Director of Mutual Fund Analysis at Morningstar (January
2008-May 2012).
----------------------------------------------------------------------------------------------------------------------------
L. Todd Erskine Vice President Since 2015 Vice President of all DFA Entities. Formerly, Regional
1959 Director (May 2008-January 2015) for Dimensional Fund
Advisors LP.
----------------------------------------------------------------------------------------------------------------------------
Richard A. Eustice Vice President and Since 1998 Vice President and Assistant Secretary of all the DFA
1965 Assistant Secretary Entities and DFA Australia Limited. Chief Operating Officer
for Dimensional Fund Advisors Pte. Ltd. (since April 2013).
Formerly, Chief Operating Officer for Dimensional Fund
Advisors Ltd. (July 2008-March 2013).
----------------------------------------------------------------------------------------------------------------------------
Gretchen A. Flicker Vice President Since 2004 Vice President of all the DFA Entities.
1971
----------------------------------------------------------------------------------------------------------------------------
Jed S. Fogdall Vice President Since 2008 Vice President of all the DFA Entities. Co-Head of Portfolio
1974 Management (since March 2012) and Senior Portfolio
Manager (since January 2012) of Dimensional Fund
Advisors LP. Vice President of Dimensional Fund Advisors
Canada ULC (since April 2016). Formerly, Portfolio
Manager of Dimensional Fund Advisors LP (September
2004-January 2012).
----------------------------------------------------------------------------------------------------------------------------
Edward A. Foley Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional
1976 Director for Dimensional Fund Advisors LP (August 2011-
January 2014); Senior Vice President of First Trust
Advisors L.P. (2007-July 2011).
----------------------------------------------------------------------------------------------------------------------------
Deborah J.G. Foster Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Senior
1959 Associate (May 2011-January 2015) for Dimensional Fund
Advisors LP.
----------------------------------------------------------------------------------------------------------------------------
Jeremy P. Freeman Vice President Since 2009 Vice President of all the DFA Entities.
1970
213
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
--------------------------------------------------------------------------------------------------------------------------
Kimberly A. Ginsburg Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Vice
1970 President for Dimensional SmartNest (US) LLC (January
2012-November 2014); Senior Vice President for
Morningstar (July 2004-July 2011).
--------------------------------------------------------------------------------------------------------------------------
Mark R. Gochnour Vice President Since 2007 Vice President of all the DFA Entities.
1967
--------------------------------------------------------------------------------------------------------------------------
Tom M. Goodrum Vice President Since 2012 Vice President of all the DFA Entities. Formerly, Managing
1968 Director at BlackRock (2004-January 2012).
--------------------------------------------------------------------------------------------------------------------------
Henry F. Gray Vice President Since 2000 Vice President of all the DFA Entities.
1967
--------------------------------------------------------------------------------------------------------------------------
John T. Gray Vice President Since 2007 Vice President of all the DFA Entities.
1974
--------------------------------------------------------------------------------------------------------------------------
Christian Gunther Vice President Since 2011 Vice President of all the DFA Entities. Senior Trader for
1975 Dimensional Fund Advisors LP (since 2012). Formerly,
Senior Trader (2009-2012).
--------------------------------------------------------------------------------------------------------------------------
Robert W. Hawkins Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Counsel
1974 for Dimensional Fund Advisors LP (January 2011-January
2014).
--------------------------------------------------------------------------------------------------------------------------
Joel H. Hefner Vice President Since 2007 Vice President of all the DFA Entities.
1967
--------------------------------------------------------------------------------------------------------------------------
Kevin B. Hight Vice President Since 2005 Vice President of all the DFA Entities.
1967
--------------------------------------------------------------------------------------------------------------------------
Gregory K. Hinkle Vice President, Since 2016 Vice President, Chief Financial Officer, and Treasurer of all
1958 Chief Financial the DFA Entities. Interim Chief Financial Officer, interim
Officer, and Treasurer and Vice President of Dimensional Advisors Ltd.,
Treasurer Dimensional Hong Kong Limited, Dimensional Cayman
Commodity Fund I Ltd., Dimensional Fund Advisors
Canada ULC, Dimensional Fund Advisors Pte. Ltd, DFA
Australia Ltd. Formerly, interim Chief Financial Officer and
interim Treasurer (April 2016-September 2016), and
Controller (August 2015-September 2016) of all the DFA
Entities); Vice President of T. Rowe Price Group, Inc. and
Director of Investment Treasury and Treasurer of the T.
Rowe Price Funds (March 2008-July 2015).
--------------------------------------------------------------------------------------------------------------------------
Christine W. Ho Vice President Since 2004 Vice President of all the DFA Entities.
1967
--------------------------------------------------------------------------------------------------------------------------
Michael C. Horvath Vice President Since 2011 Vice President of all the DFA Entities. Formerly, Managing
1960 Director, Co-Head Global Consultant Relations at
BlackRock (2004-2011).
--------------------------------------------------------------------------------------------------------------------------
Mark A. Hunter Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Senior
1971 Compliance Officer (November 2010-January 2015) for
Dimensional Fund Advisors LP.
--------------------------------------------------------------------------------------------------------------------------
Alan R. Hutchison Vice President Since 2016 Vice President of all the DFA Entities. Portfolio Manager for
1977 Dimensional Fund Advisors LP (January 2013-Present).
Formerly, Investment Associate for Dimensional Fund
Advisors LP (January 2010-January 2013).
--------------------------------------------------------------------------------------------------------------------------
Shahryar S. Jaberzadeh Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Regional
1983 Director for Dimensional Fund Advisors LP (April 2006-
January 2016).
--------------------------------------------------------------------------------------------------------------------------
Jeremy R. James Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Manager,
1977 IT Service Management (October 2014-January 2016);
Manager, Managed DC Systems (October 2005-October
2014) for Dimensional Fund Advisors LP.
--------------------------------------------------------------------------------------------------------------------------
Jeff J. Jeon Vice President Since 2004 Vice President of all the DFA Entities and Dimensional
1973 Cayman Commodity Fund I Ltd.
--------------------------------------------------------------------------------------------------------------------------
Garret D. Jones Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Manager
1971 of Sales and Marketing Systems (January 2011-January
2014) for Dimensional Fund Advisors LP.
--------------------------------------------------------------------------------------------------------------------------
214
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
---------------------------------------------------------------------------------------------------------------------
Stephen W. Jones Vice President Since 2012 Vice President of all the DFA Entities. Formerly, Facilities
1968 Manager for Dimensional Fund Advisors LP (October
2008-January 2012).
---------------------------------------------------------------------------------------------------------------------
Scott P. Kaup Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Senior
1975 Manager, Investment Operations (January 2014-January
2015) and Investment Operations Manager (May 2008-
January 2014) for Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------------
David M. Kavanaugh Vice President Since 2014 Vice President of all the DFA Entities. Head of Operations
1978 for Financial Advisor Services for Dimensional Fund
Advisors LP (since July 2014). Formerly, Counsel of
Dimensional Fund Advisors LP (August 2011-January
2014); Associate at Andrews Kurth LLP (2006-2011).
---------------------------------------------------------------------------------------------------------------------
Patrick M. Keating Vice President Since 2003 Vice President of DFAIDG, DIG, DFAITC, DEM,
1954 Dimensional Holdings Inc., Dimensional Fund Advisors LP
and Dimensional Japan Ltd. Chief Operating Officer and
Director of Dimensional Japan Ltd. Formerly, Vice
President of DFA Securities LLC, Dimensional Cayman
Commodity Fund I Ltd. and Dimensional Advisors Ltd (until
February 2015); Chief Operating Officer of Dimensional
Holdings Inc., DFA Securities LLC, Dimensional Fund
Advisors LP, Dimensional Cayman Commodity Fund I Ltd.,
Dimensional Advisors Ltd. and Dimensional Fund Advisors
Pte. Ltd. (until February 2015); Director, Vice President,
and Chief Privacy Officer of Dimensional Fund Advisors
Canada ULC (until February 2015); Director of DFA
Australia Limited, Dimensional Fund Advisors Ltd. and
Dimensional Advisors Ltd. (until February 2015); and
Director and Vice President of Dimensional Hong Kong
Limited and Dimensional Fund Advisors Pte. Ltd. (until
February 2015).
---------------------------------------------------------------------------------------------------------------------
Andrew K. Keiper Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Regional
1977 Director for Dimensional Fund Advisors LP (October 2004-
January 2013).
---------------------------------------------------------------------------------------------------------------------
David M. Kershner Vice President Since 2010 Vice President of all the DFA Entities. Portfolio Manager for
1971 Dimensional Fund Advisors LP (since June 2004).
---------------------------------------------------------------------------------------------------------------------
Arun C. Keswani Vice President Since 2016 Vice President of all the DFA Entities. Senior Portfolio
1975 Manager for Dimensional Fund Advisors LP (January
2015-Present). Formerly, Portfolio Manager (January
2013-January 2015) and Investment Associate (October
2011-January 2013) for Dimensional Fund Advisors LP;
Investment Banking Associate at Morgan Stanley (August
2010-September 2011).
---------------------------------------------------------------------------------------------------------------------
Kimberly L. Kiser Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Creative
1972 Director for Dimensional Fund Advisors LP (September
2012-January 2014); Vice President and Global Creative
Director at Morgan Stanley (2007-2012); Visiting Assistant
Professor, Graduate Communications Design at Pratt
Institute (2004-2012).
---------------------------------------------------------------------------------------------------------------------
Natalia Y. Knych Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Manager,
1971 RFP, Institutional (January 2015-January 2016); Senior
Associate, Institutional (April 2007-January 2015) for
Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------------
Timothy R. Kohn Vice President Since 2011 Vice President of all the DFA Entities. Head of Defined
1971 Contribution Sales for Dimensional Fund Advisors LP
(since August 2010).
---------------------------------------------------------------------------------------------------------------------
Joseph F. Kolerich Vice President Since 2004 Vice President of all the DFA Entities. Senior Portfolio
1971 Manager of Dimensional Fund Advisors LP (since January
2012). Formerly, Portfolio Manager for Dimensional (April
2001-January 2012).
---------------------------------------------------------------------------------------------------------------------
215
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
---------------------------------------------------------------------------------------------------------------------
Mark D. Krasniewski Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Senior
1981 Associate, Investment Analytics and Data (January 2012-
December 2012) and Systems Developer (June 2007-
December 2011) for Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------------
Kahne L. Krause Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional
1966 Director (May 2010-January 2014) for Dimensional Fund
Advisors LP.
---------------------------------------------------------------------------------------------------------------------
Stephen W. Kurad Vice President Since 2011 Vice President of all the DFA Entities.
1968
---------------------------------------------------------------------------------------------------------------------
Michael F. Lane Vice President Since 2004 Vice President of all the DFA Entities. Formerly, Chief
1967 Executive Officer for Dimensional SmartNest (US) LLC
(July 2012-November 2014).
---------------------------------------------------------------------------------------------------------------------
Francis R. Lao Vice President Since 2011 Vice President of all the DFA Entities. Formerly, Vice
1969 President-Global Operations at Janus Capital Group
(2005-2011).
---------------------------------------------------------------------------------------------------------------------
David F. LaRusso Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Senior
1978 Trader (January 2010-December 2012) for Dimensional
Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------------
Juliet H. Lee Vice President Since 2005 Vice President of all the DFA Entities.
1971
---------------------------------------------------------------------------------------------------------------------
Marlena I. Lee Vice President Since 2011 Vice President of all the DFA Entities.
1980
---------------------------------------------------------------------------------------------------------------------
Paul A. Lehman Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Regional
1971 Director (July 2013-January 2015) for Dimensional Fund
Advisors LP; Chief Investment Officer (April 2005-April
2013) for First Citizens Bancorporation.
---------------------------------------------------------------------------------------------------------------------
John B. Lessley Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Regional
1960 Director for Dimensional Fund Advisors LP (January 2008-
January 2013).
---------------------------------------------------------------------------------------------------------------------
Joy L. Lopez Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Senior Tax
1971 Manager (February 2013-January 2015) for Dimensional
Fund Advisors LP; Vice President and Tax Manager, North
America (August 2006-April 2012) for Pacific Investment
Management Company.
---------------------------------------------------------------------------------------------------------------------
Apollo D. Lupescu Vice President Since 2009 Vice President of all the DFA Entities.
1969
---------------------------------------------------------------------------------------------------------------------
Timothy P. Luyet Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Senior
1972 Manager, Marketing Operations (January 2014-January
2015), Manager, Client Systems (October 2011-January
2014) and RFP Manager (April 2010-October 2011) for
Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------------
Peter Magnusson Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional
1969 Director for Dimensional Fund Advisors LP (January 2011-
January 2014).
---------------------------------------------------------------------------------------------------------------------
Kenneth M. Manell Vice President Since 2010 Vice President of all the DFA Entities and Dimensional
1972 Cayman Commodity Fund I Ltd.
---------------------------------------------------------------------------------------------------------------------
Aaron M. Marcus Vice President Since 2008 Vice President of all DFA Entities and Head of Global
1970 Human Resources for Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------------
Duane R. Mattson Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Senior
1965 Compliance Officer (May 2012-January 2015) for
Dimensional Fund Advisors LP; Chief Compliance Officer
(April 2010-April 2012) for Al Frank Asset Management.
---------------------------------------------------------------------------------------------------------------------
Bryan R. McClune Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional
1975 Director of Dimensional Fund Advisors LP (January 2009-
January 2014).
---------------------------------------------------------------------------------------------------------------------
Philip P. McInnis Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional
1984 Director (January 2009-January 2014) and Senior
Associate (2011) for Dimensional Fund Advisors LP.
216
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
---------------------------------------------------------------------------------------------------------------------------
Francis L. McNamara Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Manager,
1959 Project Management Office for Dimensional Fund Advisors
LP (October 2006-January 2016).
---------------------------------------------------------------------------------------------------------------------------
Travis A. Meldau Vice President Since 2015 Vice President of all the DFA Entities. Portfolio Manager
1981 (since September 2011) for Dimensional Fund Advisors
LP. Formerly, Portfolio Manager for Wells Capital
Management (October 2004-September 2011).
---------------------------------------------------------------------------------------------------------------------------
Tracy R. Mitchell Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Regional
1974 Director for Dimensional Fund Advisors LP (September
2013-January 2016); Managing Director, Client Services,
Charles Schwab (December 2009-August 2013).
---------------------------------------------------------------------------------------------------------------------------
Jonathan G. Nelson Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Manager,
1971 Investment Systems (2011-January 2013) for Dimensional
Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------------------
Catherine L. Newell Vice President and Vice President Vice President and Secretary of all the DFA Entities.
1964 Secretary since 1997 and Director, Vice President and Secretary of DFA Australia
Secretary since Limited and Dimensional Fund Advisors Ltd. (since
2000 February 2002, April 1997, and May 2002, respectively).
Vice President and Secretary of Dimensional Fund
Advisors Canada ULC (since June 2003), Dimensional
Cayman Commodity Fund I Ltd., Dimensional Japan Ltd
(since February 2012), Dimensional Advisors Ltd (since
March 2012), Dimensional Fund Advisors Pte. Ltd. (since
June 2012). Director of Dimensional Funds plc and
Dimensional Funds II plc (since 2002 and 2006,
respectively). Director of Dimensional Japan Ltd.,
Dimensional Advisors Ltd., Dimensional Fund Advisors
Pte. Ltd. and Dimensional Hong Kong Limited (since
August 2012 and July 2012). Formerly, Vice President and
Secretary of Dimensional SmartNest (US) LLC (October
2010-November 2014).
---------------------------------------------------------------------------------------------------------------------------
John R. Nicholson Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Regional
1977 Director (June 2011-January 2015) for Dimensional Fund
Advisors LP; Sales Executive for Vanguard (July 2008-May
2011).
---------------------------------------------------------------------------------------------------------------------------
Pamela B. Noble Vice President Since 2011 Vice President of all the DFA Entities. Formerly, Portfolio
1964 Manager for Dimensional Fund Advisors LP (2008-2010).
---------------------------------------------------------------------------------------------------------------------------
Selwyn Notelovitz Vice President and Since 2013 Vice President and Deputy Chief Compliance Officer of all
1961 Deputy Chief the DFA Entities. Deputy Chief Compliance Officer of
Compliance Officer Dimensional Fund Advisors LP (since December
2012). Formerly, Chief Compliance Officer of Wellington
Management Company, LLP (2004-2011).
---------------------------------------------------------------------------------------------------------------------------
Carolyn L. O Vice President Since 2010 Vice President of all the DFA Entities, Dimensional
1974 Cayman Commodity Fund I Ltd., and Dimensional Fund
Advisors Canada ULC (since April 2016). Deputy General
Counsel, Funds (since 2011).
---------------------------------------------------------------------------------------------------------------------------
Gerard K. O'Reilly Vice President and Vice President Vice President and Co-Chief Investment Officer of all the
1976 Co-Chief since 2007 and DFA Entities, Dimensional Fund Advisors Canada ULC,
Investment Officer Co-Chief and Dimensional Japan Ltd. Director of Dimensional Funds
Investment Officer plc and Dimensional Fund II plc.
since 2014
---------------------------------------------------------------------------------------------------------------------------
Randy C. Olson Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Senior
1980 Compliance Officer for Dimensional Fund Advisors LP
(July 2014-January 2016); Vice President Regional Head
of Investment Compliance, Asia, PIMCO Asia Private
Limited (July 2012-July 2014); Country Compliance Officer,
Janus Capital, Singapore Private Limited (May 2011-June
2012).
---------------------------------------------------------------------------------------------------------------------------
Daniel C. Ong Vice President Since 2009 Vice President of all the DFA Entities. Portfolio Manager for
1973 Dimensional Fund Advisors LP (since July 2005).
217
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
-------------------------------------------------------------------------------------------------------------------
Kyle K. Ozaki Vice President Since 2010 Vice President of all the DFA Entities.
1978
-------------------------------------------------------------------------------------------------------------------
Matthew A. Pawlak Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Regional
1977 Director for Dimensional Fund Advisors LP (2012-January
2013); Senior Consultant (June 2011-December 2011) and
Senior Investment Analyst and Consultant (July 2008-June
2011) at Hewitt EnnisKnupp.
-------------------------------------------------------------------------------------------------------------------
Mary T. Phillips Vice President Since 2016 Vice President of all the DFA Entities. Senior Portfolio
1981 Manager (January 2015-present). Formerly, Portfolio
Manager (April 2014-January 2015) and Investment
Associate for Dimensional Fund Advisors LP (July 2012-
March 2014).
-------------------------------------------------------------------------------------------------------------------
Jeffrey L. Pierce Vice President Since 2015 Vice President of all the DFA Entities. Senior Manager,
1984 Advisor Benchmarking (since January 2015) for
Dimensional Fund Advisors LP. Formerly, Manager,
Advisor Benchmarking (April 2012-December 2014) for
Dimensional Fund Advisors LP; Senior Manager, Research
and Consulting (October 2010-April 2012) for Crain
Communications Inc.
-------------------------------------------------------------------------------------------------------------------
Olivian T. Pitis Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Regional
1974 Director (May 2011-January 2015) for Dimensional Fund
Advisors LP.
-------------------------------------------------------------------------------------------------------------------
Brian P. Pitre Vice President Since 2015 Vice President of all the DFA Entities. Counsel for
1976 Dimensional Fund Advisors LP (since February 2015).
Formerly, Chief Financial Officer and General Counsel for
Relentless (March 2014-January 2015); Vice President of
all the DFA Entities (January 2013-March 2014); Counsel
for Dimensional Fund Advisors LP (January 2009-March
2014).
-------------------------------------------------------------------------------------------------------------------
David A. Plecha Vice President Since 1993 Vice President of all the DFA Entities, DFA Australia
1961 Limited, Dimensional Fund Advisors Ltd. and Dimensional
Fund Advisors Canada ULC.
-------------------------------------------------------------------------------------------------------------------
Allen Pu Vice President Since 2011 Vice President of all the DFA Entities. Senior Portfolio
1970 Manager for Dimensional Fund Advisors LP (since January
2015). Formerly, Portfolio Manager for Dimensional Fund
Advisors LP (2006-January 2015).
-------------------------------------------------------------------------------------------------------------------
David J. Rapozo Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional
1967 Director for Dimensional Fund Advisors LP (January 2011-
January 2014).
-------------------------------------------------------------------------------------------------------------------
Mark A. Regier Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Planning
1969 and Analysis Manager for Dimensional Fund Advisors LP
(July 2007-January 2014).
-------------------------------------------------------------------------------------------------------------------
Cory T. Riedberger Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Regional
1979 Director (March 2011-January 2015) for Dimensional Fund
Advisors LP.
-------------------------------------------------------------------------------------------------------------------
Savina B. Rizova Vice President Since 2012 Vice President of all the DFA Entities. Formerly, Research
1981 Associate (June 2011-January 2012) for Dimensional Fund
Advisors LP.
-------------------------------------------------------------------------------------------------------------------
Michael F. Rocque Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Senior
1968 Fund Accounting Manager (July 2013-January 2015) for
Dimensional Fund Advisors LP; Senior Financial
Consultant and Chief Accounting Officer (July 2002-July
2013) for MFS Investment Management.
-------------------------------------------------------------------------------------------------------------------
L. Jacobo Rodriguez Vice President Since 2005 Vice President of all the DFA Entities.
1971
-------------------------------------------------------------------------------------------------------------------
Austin S. Rosenthal Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Vice
1978 President for Dimensional SmartNest (US) LLC
(September 2010-November 2014).
-------------------------------------------------------------------------------------------------------------------
218
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
----------------------------------------------------------------------------------------------------------------------
Oliver J. Rowe Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Senior
1960 Manager, Human Resources for Dimensional Fund
Advisors LP (January 2012-January 2014); Director of
Human Resources at Spansion, Inc. (March 2009-
December 2011).
----------------------------------------------------------------------------------------------------------------------
Joseph S. Ruzicka Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Manager
1987 Investment Analytics and Data (January 2014-January
2015), Senior Associate, Investment Analytics and Data
(January 2013-January 2014), Associate, Investment
Analytics and Data (January 2012-January 2013), and
Investment Data Analyst (April 2010-January 2012) for
Dimensional Fund Advisors LP.
----------------------------------------------------------------------------------------------------------------------
Julie A. Saft Vice President Since 2010 Vice President of all the DFA Entities.
1959
----------------------------------------------------------------------------------------------------------------------
Joel P. Schneider Vice President Since 2015 Vice President of all the DFA Entities. Portfolio Manager
1980 (since 2013) for Dimensional Fund Advisors LP. Formerly,
Investment Associate (April 2011-January 2013) for
Dimensional Fund Advisors LP.
----------------------------------------------------------------------------------------------------------------------
Ashish Shrestha Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Regional
1978 Director (September 2009-January 2015) for Dimensional
Fund Advisors LP.
----------------------------------------------------------------------------------------------------------------------
Bruce A. Simmons Vice President Since 2009 Vice President of all the DFA Entities.
1965
----------------------------------------------------------------------------------------------------------------------
Ted R. Simpson Vice President Since 2007 Vice President of all the DFA Entities.
1968
----------------------------------------------------------------------------------------------------------------------
Bhanu P. Singh Vice President Since 2014 Vice President of all the DFA Entities. Senior Portfolio
1981 Manager for Dimensional Fund Advisors LP (since January
2015). Formerly, Portfolio Manager (January 2012-January
2015) and Investment Associate for Dimensional Fund
Advisors LP (August 2010-December 2011).
----------------------------------------------------------------------------------------------------------------------
Bryce D. Skaff Vice President Since 2007 Vice President of all the DFA Entities.
1975
----------------------------------------------------------------------------------------------------------------------
Lukas J. Smart Vice President Since 2014 Vice President of all the DFA Entities. Portfolio Manager of
1977 Dimensional Fund Advisors LP (since January 2010).
----------------------------------------------------------------------------------------------------------------------
Andrew D. Smith Vice President Since 2011 Vice President of all the DFA Entities.
1968
----------------------------------------------------------------------------------------------------------------------
Grady M. Smith Vice President Since 2004 Vice President of all the DFA Entities and Dimensional
1956 Fund Advisors Canada ULC.
----------------------------------------------------------------------------------------------------------------------
Matthew Snider Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Regional
1976 Director for Dimensional Fund Advisors LP (September
2011-January 2016); Sales Executive, Vanguard (May
2008-August 2011).
----------------------------------------------------------------------------------------------------------------------
Lawrence R. Spieth Vice President Since 2004 Vice President of all the DFA Entities.
1947
----------------------------------------------------------------------------------------------------------------------
Charlene L. St. John Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Senior
1965 Manager for Dimensional Fund Advisors LP (September
2014- January 2016); Vice President of Marketing, Forward
Management/Salient (January 2008-February 2014).
----------------------------------------------------------------------------------------------------------------------
Brent M. Stone Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Project
1971 Manager (September 2012-December 2015) and Manager,
Corporate Systems for Dimensional Fund Advisors LP
(January 2011-September 2012).
----------------------------------------------------------------------------------------------------------------------
Richard H. Tatlow V Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Regional
1971 Director for Dimensional Fund Advisors LP (April 2010-
January 2013).
----------------------------------------------------------------------------------------------------------------------
Blake T. Tatsuta Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Manager,
1973 Investment Analytics and Data (2012-January 2013) and
Research Assistant (2002-2011) for Dimensional Fund
Advisors LP.
219
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
-----------------------------------------------------------------------------------------------------------------------
James J. Taylor Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1983 Accounting Manager for Dimensional Fund Advisors LP
(November 2009-January 2016).
-----------------------------------------------------------------------------------------------------------------------
Erik T. Totten Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Regional
1980 Director (2010-January 2013) for Dimensional Fund
Advisors LP.
-----------------------------------------------------------------------------------------------------------------------
John H. Totten Vice President Since 2012 Vice President of all the DFA Entities. Formerly, Regional
1978 Director for Dimensional Fund Advisors LP (January 2008-
January 2012).
-----------------------------------------------------------------------------------------------------------------------
Robert C. Trotter Vice President Since 2009 Vice President of all the DFA Entities.
1958
-----------------------------------------------------------------------------------------------------------------------
Dave C. Twardowski Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Research
1982 Associate (June 2011-January 2015) for Dimensional Fund
Advisors LP.
-----------------------------------------------------------------------------------------------------------------------
Karen E. Umland Vice President Since 1997 Vice President of all the DFA Entities, DFA Australia
1966 Limited, Dimensional Fund Advisors Ltd., and Dimensional
Fund Advisors Canada ULC.
-----------------------------------------------------------------------------------------------------------------------
Benjamin C. Walker Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional
1979 Director for Dimensional Fund Advisors LP (September
2008-January 2014).
-----------------------------------------------------------------------------------------------------------------------
Brian J. Walsh Vice President Since 2009 Vice President of all the DFA Entities. Portfolio Manager for
1970 Dimensional Fund Advisors LP (since 2004).
-----------------------------------------------------------------------------------------------------------------------
Jessica Walton Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Regional
1974 Director (January 2012-January 2015) for Dimensional
Fund Advisors LP; Director of Marketing and Investor
Relations for Treaty Oak Capital Management (July 2011-
October 2011); Vice President for Rockspring Capital
(October 2010-July 2011).
-----------------------------------------------------------------------------------------------------------------------
Griffin S. Watkins Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Regional
1985 Director (January 2014-January 2016) and Senior
Associate (January 2011-December 2013).for Dimensional
Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------------------
Timothy P. Wei Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Counsel
1968 for Dimensional Fund Advisors LP (July 2014-January
2016); Assistant General Counsel, Teacher Retirement
System of Texas (October 2008-June 2014).
-----------------------------------------------------------------------------------------------------------------------
Weston J. Wellington Vice President Since 1997 Vice President of all the DFA Entities.
1951
-----------------------------------------------------------------------------------------------------------------------
Ryan J. Wiley Vice President Since 2007 Vice President of all the DFA Entities.
1976
-----------------------------------------------------------------------------------------------------------------------
Kristina M. Williams Vice President Since 2016 Vice President of all the DFDA Entities. Formerly, Client
1975 Service Supervisor for Dowling & Yahnke (July 2014-
January 2016); Head of Operations for The Elements
Financial Group (January 2013-June 2014); Head of
Operations for Vericimetry Advisors LLC (July 2011-
December 2012).
-----------------------------------------------------------------------------------------------------------------------
Jeremy J. Willis Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Manager,
1976 Client Systems for Dimensional Fund Advisors LP (May
2012-January 2016); Vice President, Implementations,
Citigroup (August 2006-October 2011).
-----------------------------------------------------------------------------------------------------------------------
Stacey E. Winning Vice President Since 2015 Vice President of all the DFA Entities. Head of Global
1981 Recruiting and Development (since June 2014) for
Dimensional Fund Advisors LP. Formerly, Senior Manager,
Recruiting (December 2012-June 2014) for Dimensional
Fund Advisors LP; Co-Head of Global Recruiting (May
2009-November 2012) for Two Sigma Investments.
-----------------------------------------------------------------------------------------------------------------------
Cecelia K. Wong Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Client
1981 Service Manager for Dimensional Fund Advisors LP (June
2005-January 2016).
-----------------------------------------------------------------------------------------------------------------------
220
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
----------------------------------------------------------------------------------------------------------
Craig A. Wright Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1982 Accounting Manager for Dimensional Fund Advisors LP
(November 2011-January 2016); Senior Associate,
PricewaterhouseCoopers LP (July 2009-November 2011).
----------------------------------------------------------------------------------------------------------
Joseph L. Young Vice President Since 2011 Vice President of all the DFA Entities.
1978
221
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.
222
NOTICE TO SHAREHOLDERS
(UNAUDITED)
For shareholders that do not have an October 31, 2016 tax year end, this notice
is for informational purposes only. For shareholders with an October 31, 2016
tax year end, please consult your tax advisor as to the pertinence of this
notice. For the fiscal year November 1, 2015 to October 31, 2016, each
Portfolio is designating the following items with regard to distributions paid
during the fiscal year. All designations are based on financial information
available as of the date of this annual report and, accordingly are subject to
change. For each item, it is the intention of the Portfolio to designate the
maximum amount permitted under the Internal Revenue Code and the regulations
thereunder.
NET
INVESTMENT SHORT-TERM LONG-TERM RETURN
INCOME CAPITAL GAIN CAPITAL GAIN OF TAX-EXEMPT
DFA INVESTMENT DIMENSIONS GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS CAPITAL INTEREST
------------------------------------ ------------- ------------- ------------- ------- ----------
DFA One-Year Fixed Income Portfolio....................... 89% 7% 4% -- --
DFA Two-Year Global Fixed Income Portfolio................ 100% -- -- -- --
DFA Selectively Hedged Global Fixed Income Portfolio...... 100% -- -- -- --
DFA Five-Year Global Fixed Income Portfolio............... 84% 2% 14% -- --
DFA World ex U.S. Government Fixed Income Portfolio....... 98% -- 2% -- --
DFA Short-Term Government Portfolio....................... 71% 12% 17% -- --
DFA Intermediate Government Fixed Income Portfolio........ 82% 1% 17% -- --
DFA Short-Term Extended Quality Portfolio................. 93% 1% 6% -- --
DFA Intermediate-Term Extended Quality Portfolio.......... 88% -- 12% -- --
DFA Targeted Credit Portfolio............................. 99% 1% -- -- --
DFA Investment Grade Portfolio............................ 88% -- 12% -- --
DFA Diversified Fixed Income Portfolio.................... 100% -- -- -- --
DFA LTIP Portfolio........................................ 100% -- -- -- --
DFA Inflation-Protected Securities Portfolio.............. 92% -- 8% -- --
DFA Short-Duration Real Return Portfolio.................. 100% -- -- -- --
DFA Municipal Real Return Portfolio....................... -- -- -- -- 100%
DFA Municipal Bond Portfolio.............................. -- -- -- -- 100%
DFA Short-Term Municipal Bond Portfolio................... -- -- -- -- 100%
DFA Intermediate-Term Municipal Bond Portfolio............ -- -- -- -- 100%
DFA California Short-Term Municipal Bond Portfolio........ -- -- -- -- 100%
DFA California Intermediate-Term Municipal Bond Portfolio. -- -- -- -- 100%
DFA NY Municipal Bond Portfolio........................... -- -- -- -- 100%
QUALIFYING
U.S. FOREIGN QUALIFYING SHORT-TERM
TOTAL GOVERNMENT SOURCE INTEREST CAPITAL
DFA INVESTMENT DIMENSIONS GROUP INC. DISTRIBUTIONS INTEREST (1) INCOME (2) INCOME (3) GAIN (4)
------------------------------------ ------------- ------------ ---------- ---------- ----------
DFA One-Year Fixed Income Portfolio....................... 100% 18% -- 100% 100%
DFA Two-Year Global Fixed Income Portfolio................ 100% 36% 100% 100% 100%
DFA Selectively Hedged Global Fixed Income Portfolio...... 100% 3% 100% 100% 100%
DFA Five-Year Global Fixed Income Portfolio............... 100% -- 100% 100% 100%
DFA World ex U.S. Government Fixed Income Portfolio....... 100% 1% 100% 100% 100%
DFA Short-Term Government Portfolio....................... 100% 100% -- 100% 100%
DFA Intermediate Government Fixed Income Portfolio........ 100% 100% -- 100% 100%
DFA Short-Term Extended Quality Portfolio................. 100% 1% -- 100% 100%
DFA Intermediate-Term Extended Quality Portfolio.......... 100% 3% -- 100% 100%
DFA Targeted Credit Portfolio............................. 100% -- -- 100% 100%
DFA Investment Grade Portfolio............................ 100% 33% -- 100% 100%
DFA Diversified Fixed Income Portfolio.................... 100% -- -- 100% 100%
DFA LTIP Portfolio........................................ 100% 100% -- 100% 100%
DFA Inflation-Protected Securities Portfolio.............. 100% 100% -- 100% 100%
DFA Short-Duration Real Return Portfolio.................. 100% -- -- 100% 100%
DFA Municipal Real Return Portfolio....................... 100% -- -- 100% 100%
DFA Municipal Bond Portfolio.............................. 100% -- -- 100% 100%
DFA Short-Term Municipal Bond Portfolio................... 100% -- -- 100% 100%
DFA Intermediate-Term Municipal Bond Portfolio............ 100% -- -- 100% 100%
DFA California Short-Term Municipal Bond Portfolio........ 100% -- -- 100% 100%
DFA California Intermediate-Term Municipal Bond Portfolio. 100% -- -- 100% 100%
DFA NY Municipal Bond Portfolio........................... 100% -- -- 100% 100%
----------
(1)"U.S. Government Interest" represents the amount of interest that was
derived from direct U.S. Government obligations and distributed during the
fiscal year. This amount is reflected as a percentage of total ordinary
income distributions (the total of short-term capital gain and net
investment income distributions). Generally, interest from direct U.S.
Government obligations is exempt from state income tax.
(2)"Foreign Source Income" represents the portion of dividends derived from
foreign sources, and is reflected as a percentage of investment company
taxable income.
(3)The percentage in this column represents the amount of "Qualifying Interest
Income" as created by The American Jobs Creation Act of 2004. The
information is reflected as a percentage ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
(4)The percentage in this column represents the amount of "Qualifying
Short-Term Capital Gain" as created by The American Jobs Creation Act of
2004. The information is reflected as a percentage of ordinary income
distributions (the total of short-term capital gain and net investment
income distributions).
223
DFA103116-024A
[LOGO] 00185765
[LOGO]
ANNUAL REPORT
year ended: October 31, 2016
DFA Investment Dimensions Group Inc.
CSTG&E U.S. Social Core Equity 2 Portfolio
CSTG&E International Social Core Equity Portfolio
[LOGO]
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
December 2016
Dear Fellow Shareholder,
On behalf of our team at Dimensional, I want to thank you for trusting us with
your investments. We recognize the important role those investments play in
your future plans, and we take the responsibility implied by this trust with
the utmost dedication and seriousness that it deserves.
Dimensional is focused on offering consistent ways to access the performance
delivered by securities in different markets and asset classes through
well-diversified, efficiently managed portfolios. The importance of the word
CONSISTENCY cannot be overemphasized. By being consistent in our investment
approach and the quality of our implementation, we create opportunities for you
to combine funds into an asset allocation that fits your goals and preferences
-- enabling you to be a long-term investor in control of your investments.
We recognize markets are full of uncertainties, which highlights the importance
of having efficiently managed funds focused on delivering value to investors as
part of an overall asset allocation that can help overcome those uncertainties.
We are fortunate to work with clients who are committed to a long-term
investment philosophy. We remain committed to managing investments for our
clients with the same dedication, transparency, efficiency, and consistency we
have for more than 35 years.
Sincerely,
/s/ Eduardo A. Repetto
Eduardo A. Repetto
CO-CHIEF EXECUTIVE OFFICER AND CO-CHIEF INVESTMENT OFFICER
DFA INVESTMENT DIMENSIONS GROUP INC.
ANNUAL REPORT
TABLE OF CONTENTS
PAGE
----
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES............................ 1
Performance Charts................................................. 2
Management's Discussion and Analysis............................... 3
Disclosure of Fund Expenses........................................ 5
Disclosure of Portfolio Holdings................................... 6
Summary Schedules of Portfolio Holdings
CSTG&E U.S. Social Core Equity 2 Portfolio..................... 7
CSTG&E International Social Core Equity Portfolio.............. 10
Statements of Assets and Liabilities............................... 14
Statements of Operations........................................... 15
Statements of Changes in Net Assets................................ 16
Financial Highlights............................................... 17
Notes to Financial Statements...................................... 18
Report of Independent Registered Public Accounting Firm............ 26
Section 19(a) Notice............................................... 27
FUND MANAGEMENT....................................................... 28
VOTING PROXIES ON FUND PORTFOLIO SECURITIES........................... 41
NOTICE TO SHAREHOLDERS................................................ 42
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
DFA INVESTMENT DIMENSIONS GROUP INC.
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
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.
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
REIT Real Estate Investment Trust
SEC Securities and Exchange Commission
1
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO VS.
RUSSELL 3000(R) INDEX
AUGUST 3, 2007-OCTOBER 31, 2016
[CHART]
CSTG&E U.S. Social Core Russell 3000(R)
Equity 2 Portfolio Index
------------------------ ----------------
08/2007 $10,000 $10,000
08/2007 $10,230 $10,310
09/2007 $10,523 $10,686
10/2007 $10,663 $10,882
11/2007 $10,042 $10,392
12/2007 $9,971 $10,329
01/2008 $9,437 $9,703
02/2008 $9,146 $9,402
03/2008 $9,120 $9,346
04/2008 $9,634 $9,814
05/2008 $9,896 $10,015
06/2008 $9,011 $9,188
07/2008 $8,941 $9,115
08/2008 $9,123 $9,257
09/2008 $8,257 $8,386
10/2008 $6,640 $6,899
11/2008 $6,020 $6,354
12/2008 $6,159 $6,476
01/2009 $5,492 $5,932
02/2009 $4,866 $5,311
03/2009 $5,340 $5,776
04/2009 $6,134 $6,384
05/2009 $6,422 $6,725
06/2009 $6,385 $6,747
07/2009 $6,975 $7,273
08/2009 $7,244 $7,533
09/2009 $7,612 $7,848
10/2009 $7,321 $7,646
11/2009 $7,664 $8,081
12/2009 $7,986 $8,311
01/2010 $7,694 $8,011
02/2010 $8,049 $8,283
03/2010 $8,629 $8,805
04/2010 $8,995 $8,995
05/2010 $8,284 $8,285
06/2010 $7,690 $7,808
07/2010 $8,309 $8,350
08/2010 $7,805 $7,957
09/2010 $8,605 $8,709
10/2010 $8,942 $9,049
11/2010 $9,132 $9,101
12/2010 $9,844 $9,718
01/2011 $10,045 $9,930
02/2011 $10,490 $10,292
03/2011 $10,636 $10,338
04/2011 $10,848 $10,646
05/2011 $10,625 $10,525
06/2011 $10,436 $10,336
07/2011 $10,117 $10,099
08/2011 $9,329 $9,493
09/2011 $8,415 $8,756
10/2011 $9,589 $9,764
11/2011 $9,546 $9,738
12/2011 $9,614 $9,818
01/2012 $10,141 $10,313
02/2012 $10,560 $10,749
03/2012 $10,823 $11,081
04/2012 $10,70 $11,008
05/2012 $9,963 $10,328
06/2012 $10,333 $10,732
07/2012 $10,387 $10,839
08/2012 $10,722 $11,109
09/2012 $11,024 $11,401
10/2012 $10,926 $11,204
11/2012 $11,013 $11,291
12/2012 $11,261 $11,429
01/2013 $11,950 $12,057
02/2013 $12,114 $12,216
03/2013 $12,601 $12,695
04/2013 $12,645 $12,903
05/2013 $13,116 $13,207
06/2013 $12,977 $13,036
07/2013 $13,748 $13,750
08/2013 $13,307 $13,367
09/2013 $13,889 $13,863
10/2013 $14,452 $14,452
11/2013 $14,938 $14,872
12/2013 $15,376 $15,264
01/2014 $14,665 $14,782
02/2014 $15,309 $15,483
03/2014 $15,525 $15,565
04/2014 $15,469 $15,584
05/2014 $15,692 $15,924
06/2014 $16,205 $16,324
07/2014 $15,669 $16,002
08/2014 $16,328 $16,673
09/2014 $15,750 $16,325
10/2014 $16,120 $16,775
11/2014 $16,356 $17,181
12/2014 $16,446 $17,181
01/2015 $15,736 $16,703
02/2015 $16,762 $17,670
03/2015 $16,628 $17,490
04/2015 $16,742 $17,569
05/2015 $16,843 $17,812
06/2015 $16,582 $17,514
07/2015 $16,514 $17,807
08/2015 $15,640 $16,732
09/2015 $15,151 $16,245
10/2015 $16,303 $17,528
11/2015 $16,439 $17,625
12/2015 $15,746 $17,263
01/2016 $14,826 $16,289
02/2016 $14,954 $16,284
03/2016 $16,103 $17,430
04/2016 $16,197 $17,538
05/2016 $16,431 $17,852
06/2016 $16,304 $17,889
07/2016 $17,009 $18,599
08/2016 $17,232 $18,646 Past performance is not predictive of
09/2016 $17,278 $18,675 future performance.
10/2016 $16,983 $18,271 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE SINCE redemption of fund shares.
TOTAL RETURN YEAR YEARS INCEPTION Russell data copyright (C) Russell
----------------------------------------------- Investment Group 1995-2016, all rights
4.18% 12.11% 5.90% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
AUGUST 3, 2007-OCTOBER 31, 2016
[CHART]
CSTG&E International Social MSCI World ex USA
Core Equity Portfolio Index (net dividends)
---------------------------- -------------------
08/2007 $10,000 $10,000
08/2007 $9,990 $10,002
09/2007 $10,473 $10,571
10/2007 $11,003 $11,030
11/2007 $10,433 $10,599
12/2007 $10,184 $10,400
01/2008 $9,389 $9,462
02/2008 $9,400 $9,633
03/2008 $9,451 $9,496
04/2008 $9,874 $10,024
05/2008 $10,045 $10,176
06/2008 $9,124 $9,384
07/2008 $8,755 $9,051
08/2008 $8,396 $8,700
09/2008 $7,384 $7,444
10/2008 $5,737 $5,896
11/2008 $5,417 $5,576
12/2008 $5,817 $5,870
01/2009 $5,141 $5,322
02/2009 $4,589 $4,783
03/2009 $4,984 $5,099
04/2009 $5,724 $5,756
05/2009 $6,568 $6,484
06/2009 $6,507 $6,417
07/2009 $7,140 $7,020
08/2009 $7,552 $7,356
09/2009 $7,910 $7,660
10/2009 $7,645 $7,537
11/2009 $7,867 $7,723
12/2009 $7,938 $7,846
01/2010 $7,597 $7,478
02/2010 $7,608 $7,471
03/2010 $8,169 $7,952
04/2010 $8,127 $7,833
05/2010 $7,177 $6,969
06/2010 $7,056 $6,868
07/2010 $7,834 $7,503
08/2010 $7,488 $7,279
09/2010 $8,283 $7,977
10/2010 $8,586 $8,261
11/2010 $8,218 $7,911
12/2010 $9,006 $8,548
01/2011 $9,246 $8,732
02/2011 $9,551 $9,056
03/2011 $9,379 $8,875
04/2011 $9,893 $9,358
05/2011 $9,565 $9,080
06/2011 $9,431 $8,951
07/2011 $9,187 $8,804
08/2011 $8,388 $8,059
09/2011 $7,457 $7,250
10/2011 $8,103 $7,955
11/2011 $7,858 $7,587
12/2011 $7,648 $7,505
01/2012 $8,234 $7,910
02/2012 $8,650 $8,345
03/2012 $8,635 $8,283
04/2012 $8,432 $8,142
05/2012 $7,417 $7,214
06/2012 $7,865 $7,687
07/2012 $7,842 $7,782
08/2012 $8,140 $8,004
09/2012 $8,418 $8,247
10/2012 $8,498 $8,305
11/2012 $8,636 $8,480
12/2012 $9,036 $8,736
01/2013 $9,408 $9,166
02/2013 $9,315 $9,075
03/2013 $9,413 $9,146
04/2013 $9,796 $9,563
05/2013 $9,530 $9,349
06/2013 $9,247 $8,999
07/2013 $9,825 $9,477
08/2013 $9,719 $9,355
09/2013 $10,484 $10,017
10/2013 $10,839 $10,353
11/2013 $10,874 $10,416
12/2013 $11,108 $10,573
01/2014 $10,692 $10,146
02/2014 $11,323 $10,700
03/2014 $11,293 $10,652
04/2014 $11,437 $10,820
05/2014 $11,557 $10,987
06/2014 $11,717 $11,143
07/2014 $11,389 $10,945
08/2014 $11,414 $10,954
09/2014 $10,800 $10,504
10/2014 $10,654 $10,337
11/2014 $10,605 $10,464
12/2014 $10,308 $10,116
01/2015 $10,235 $10,080
02/2015 $10,934 $10,682
03/2015 $10,701 $10,504
04/2015 $11,241 $10,958
05/2015 $11,253 $10,863
06/2015 $10,968 $10,555
07/2015 $10,931 $10,722
08/2015 $10,258 $9,941
09/2015 $9,812 $9,439
10/2015 $10,424 $10,149
11/2015 $10,362 $9,988
12/2015 $10,173 $9,809
01/2016 $9,531 $9,133
02/2016 $9,343 $9,006
03/2016 $10,072 $9,617
04/2016 $10,337 $9,926
05/2016 $10,287 $9,814
06/2016 $9,878 $9,516
07/2016 $10,403 $9,984
08/2016 $10,518 $9,993
09/2016 $10,698 $10,115 Past performance is not predictive of
10/2016 $10,544 $9,918 future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE SINCE would pay on fund distributions or the
TOTAL RETURN YEAR YEARS INCEPTION redemption of fund shares.
----------------------------------------------------- MSCI data copyright MSCI 2016, all
1.15% 5.41% 0.57% rights reserved.
--------------------------------------------------------------------------------
2
DFA INVESTMENT DIMENSIONS GROUP INC.
MANAGEMENT'S DISCUSSION AND ANALYSIS
(UNAUDITED)
U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2016
Most U.S. equities had positive returns during the period. The broad U.S.
equity market, as measured by the Russell 3000(R) Index, gained approximately
4.2%. Large-cap stocks outperformed small-cap stocks as measured by the Russell
indices.
TOTAL RETURN FOR 12 MONTHS
ENDED OCTOBER 31, 2016
--------------------------
Russell 3000(R) Index......... 4.24%
Russell Microcap(R) Index
(micro-cap stocks).......... 1.54%
Russell 2000(R) Index
(small-cap stocks).......... 4.11%
Russell 1000(R) Index
(large-cap stocks).......... 4.26%
Dow Jones U.S. Select REIT
Index /SM/.................. 4.96%
Value stocks outperformed growth stocks as measured by the Russell indices.
TOTAL RETURN FOR 12 MONTHS
ENDED OCTOBER 31, 2016
--------------------------
Russell 2000(R) Value Index
(small-cap value stocks).... 8.81%
Russell 2000(R) Growth Index
(small-cap growth stocks)... -0.49%
Russell 1000(R) Value Index
(large-cap value stocks).... 6.37%
Russell 1000(R) Growth Index
(large-cap growth stocks)... 2.28%
----------
Source: Frank Russell Company is the source and owner of the trademarks,
service marks, and copyrights related to the Russell Indexes.
CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO
The CSTG&E U.S. Social Core Equity 2 Portfolio invests in a broadly
diversified group of U.S. securities with increased exposure to smaller company
stocks and value stocks relative to the market. Value is measured primarily by
book-to-market ratio. The Portfolio also may consider profitability in the
Portfolio's construction. In assessing profitability, the Advisor may consider
such factors as earnings or profits from operations relative to book value or
assets. The Portfolio excludes from purchase companies and industries that do
not pass the social issue screens. The investment strategy is process driven,
emphasizing broad diversification. As of October 31, 2016, the Portfolio held
approximately 1,700 securities. In general, average cash exposure throughout
the year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2016, total returns were 4.18% for the
Portfolio and 4.24% for the Russell 3000(R) Index, the Portfolio's benchmark.
As a result of the Portfolio's diversified investment approach, performance was
determined principally by broad trends in the U.S. equity market, rather than
the behavior of a limited number of stocks. The Portfolio performed in-line
with the benchmark. The Portfolio had a greater allocation than the benchmark
to lower total market capitalization stocks, which detracted from the
Portfolio's performance as mid-cap stocks underperformed. The Portfolio also
had a lesser allocation to large cap growth stocks, which outperformed. This
was partially offset by the Portfolio's social screens, which reduced the
weight to healthcare stocks, the lowest-performing sector during the period.
INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2016
Performance of non-U.S. developed markets was varied for the period.
Small-cap stocks had positive returns, while large-cap stocks had negative
returns. As measured by the MSCI World ex USA indices, small-cap stocks
outperformed large-cap stocks, and value stocks outperformed growth stocks.
3
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
RETURN IN U.S. DOLLARS
----------------------
MSCI World ex USA Index............ -2.27%
MSCI World ex USA Small Cap Index.. 3.96%
MSCI World ex USA Value Index...... -2.07%
MSCI World ex USA Growth Index..... -2.58%
During the period, the performance of the U.S. dollar was mixed when
compared against the currencies of other developed markets. In particular,
while the U.S. dollar appreciated significantly against the British pound, it
depreciated significantly against the Japanese yen. Overall, currency
fluctuations detracted from USD-denominated returns in developed markets.
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLARS
--------------------------------------------------- ------------ ----------------------
Japan............................. -10.14% 3.19%
United Kingdom.................... 13.55% -10.24%
France............................ -4.31% -5.04%
Switzerland....................... -8.27% -8.57%
Canada............................ 11.55% 8.90%
Germany........................... -2.14% -2.89%
Australia......................... 5.52% 12.55%
Hong Kong......................... 8.52% 8.45%
Spain............................. -8.40% -9.10%
Netherlands....................... 0.63% -0.20%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2016, all rights reserved.
For funds investing in non-US equities traded outside of the U.S. market
time zone, differences in the valuation timing and methodology between a fund
and its benchmark index may impact relative performance over the referenced
period. The funds price foreign exchange rates at the closing of the U.S.
market while their benchmark indices use rates at 4 pm London time. The funds
also may use fair value pricing to price certain portfolio securities at the
closing of the U.S. market, while benchmark indices may use local market
closing prices. For the one-year period ended October 31, 2016, these
differences generally benefitted the funds' relative performance.
CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO
The CSTG&E International Social Core Equity Portfolio invests in a broadly
diversified group of stocks in developed ex U.S. markets, with increased
exposure to stocks with smaller market capitalization and lower relative price.
The Portfolio excludes from purchase companies and industries that do not pass
the Portfolio's social issue screens. The investment strategy is process
driven, emphasizing broad diversification. As of October 31, 2016, the
Portfolio held approximately 2,300 securities in 22 eligible developed markets.
In general, average cash exposure throughout the year was less than 1% of the
Portfolio's assets.
For the 12 months ended October 31, 2016, total returns were 1.15% for the
Portfolio and -2.27% for the MSCI World ex USA Index (net dividends), the
Portfolio's benchmark. As a result of the Portfolio's diversified investment
approach, performance was determined principally by broad trends in developed
ex U.S. equity markets rather than by the behavior of a limited number of
stocks. The Portfolio invests in stocks across all size categories, while the
benchmark primarily includes large and mid-cap stocks. With developed ex U.S.
small-cap stocks generally outperforming large-cap stocks during the period,
the Portfolio's inclusion of small-cap stocks contributed positively to
performance relative to the benchmark. To a lesser extent, the Portfolio's
greater emphasis than the benchmark on low relative price (value) stocks also
had a positive impact on the Portfolio's relative performance, as value stocks
generally outperformed during the period. The Portfolio's exclusion of the
healthcare sector (due to the Portfolio's social screens) also contributed
positively to relative performance, as healthcare was the weakest-performing
sector in the benchmark during the period.
4
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2016
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/16 10/31/16 RATIO* PERIOD*
--------- --------- ---------- --------
CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO
------------------------------------------
Actual Fund Return................................ $1,000.00 $1,048.60 0.30% $1.54
Hypothetical 5% Annual Return..................... $1,000.00 $1,023.63 0.30% $1.53
CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO
-------------------------------------------------
Actual Fund Return................................ $1,000.00 $1,020.00 0.57% $2.89
Hypothetical 5% Annual Return..................... $1,000.00 $1,022.27 0.57% $2.90
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then divided
by the number of days in the year (366) to reflect the six-month period.
5
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on September 28, 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.
CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO
Consumer Discretionary....................... 16.9%
Consumer Staples............................. 6.4%
Energy....................................... 7.6%
Financials................................... 20.3%
Industrials.................................. 16.1%
Information Technology....................... 21.3%
Materials.................................... 5.2%
Real Estate.................................. 0.4%
Telecommunication Services................... 3.3%
Utilities.................................... 2.5%
-----
100.0%
CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO
Consumer Discretionary....................... 17.6%
Consumer Staples............................. 7.3%
Energy....................................... 6.7%
Financials................................... 17.2%
Industrials.................................. 20.7%
Information Technology....................... 6.6%
Materials.................................... 13.6%
Real Estate.................................. 2.7%
Telecommunication Services................... 3.9%
Utilities.................................... 3.7%
-----
100.0%
6
CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (83.6%)
Consumer Discretionary -- (14.1%)
* Amazon.com, Inc.................. 700 $ 552,874 0.7%
Comcast Corp. Class A............ 16,957 1,048,282 1.2%
Ford Motor Co.................... 22,267 261,415 0.3%
General Motors Co................ 9,518 300,769 0.4%
Home Depot, Inc. (The)........... 2,736 333,819 0.4%
McDonald's Corp.................. 1,800 202,626 0.2%
Time Warner, Inc................. 4,154 369,664 0.4%
Walt Disney Co. (The)............ 5,800 537,602 0.6%
Other Securities................. 10,819,140 12.6%
----------- ------
Total Consumer Discretionary......... 14,426,191 16.8%
----------- ------
Consumer Staples -- (5.4%)
Coca-Cola Co. (The).............. 7,711 326,946 0.4%
PepsiCo, Inc..................... 3,179 340,789 0.4%
Procter & Gamble Co. (The)....... 8,545 741,706 0.9%
Wal-Mart Stores, Inc............. 10,249 717,635 0.8%
Other Securities................. 3,353,273 3.9%
----------- ------
Total Consumer Staples............... 5,480,349 6.4%
----------- ------
Energy -- (6.3%)
Chevron Corp..................... 5,323 557,584 0.7%
Exxon Mobil Corp................. 19,592 1,632,405 1.9%
Marathon Petroleum Corp.......... 4,500 196,155 0.2%
Phillips 66...................... 2,417 196,140 0.2%
Schlumberger, Ltd................ 3,643 284,992 0.3%
Valero Energy Corp............... 3,800 225,112 0.3%
Other Securities................. 3,396,807 4.0%
----------- ------
Total Energy......................... 6,489,195 7.6%
----------- ------
Financials -- (17.0%)
American Express Co.............. 5,052 335,554 0.4%
Bank of America Corp............. 27,476 453,354 0.5%
* Berkshire Hathaway, Inc. Class B. 2,683 387,157 0.5%
Citigroup, Inc................... 7,934 389,956 0.5%
JPMorgan Chase & Co.............. 15,606 1,080,872 1.3%
Travelers Cos., Inc. (The)....... 2,608 282,133 0.3%
U.S. Bancorp..................... 8,200 367,032 0.4%
Wells Fargo & Co................. 25,566 1,176,292 1.4%
Other Securities................. 12,919,807 15.0%
----------- ------
Total Financials..................... 17,392,157 20.3%
----------- ------
Industrials -- (13.4%)
3M Co............................ 1,300 214,890 0.3%
# Caterpillar, Inc................. 3,104 259,060 0.3%
Delta Air Lines, Inc............. 4,662 194,732 0.2%
FedEx Corp....................... 1,147 199,945 0.2%
Southwest Airlines Co............ 4,772 191,119 0.2%
Union Pacific Corp............... 4,649 409,949 0.5%
United Technologies Corp......... 4,049 413,808 0.5%
Other Securities................. 11,854,022 13.8%
----------- ------
Total Industrials.................... 13,737,525 16.0%
----------- ------
7
CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Information Technology -- (17.8%)
* Alphabet, Inc. Class A........................... 619 $ 501,328 0.6%
* Alphabet, Inc. Class C........................... 648 508,382 0.6%
Apple, Inc....................................... 19,974 2,267,848 2.6%
Cisco Systems, Inc............................... 26,292 806,639 0.9%
* Facebook, Inc. Class A........................... 2,715 355,638 0.4%
Intel Corp....................................... 31,205 1,088,118 1.3%
# International Business Machines Corp............. 2,000 307,380 0.4%
Mastercard, Inc. Class A......................... 2,000 214,040 0.3%
Microsoft Corp................................... 19,677 1,179,046 1.4%
# NVIDIA Corp...................................... 2,765 196,757 0.2%
Oracle Corp...................................... 8,569 329,221 0.4%
QUALCOMM, Inc.................................... 7,467 513,132 0.6%
# Visa, Inc. Class A............................... 3,800 313,538 0.4%
Other Securities................................. 9,607,956 11.1%
------------ ------
Total Information Technology........................... 18,189,023 21.2%
------------ ------
Materials -- (4.4%)
Dow Chemical Co. (The)........................... 4,429 238,324 0.3%
Other Securities................................. 4,216,348 4.9%
------------ ------
Total Materials........................................ 4,454,672 5.2%
------------ ------
Real Estate -- (0.3%)
Other Securities................................. 356,293 0.4%
------------ ------
Telecommunication Services -- (2.8%)
AT&T, Inc........................................ 44,096 1,622,292 1.9%
# CenturyLink, Inc................................. 7,300 194,034 0.2%
Verizon Communications, Inc...................... 10,350 497,835 0.6%
Other Securities................................. 528,665 0.6%
------------ ------
Total Telecommunication Services....................... 2,842,826 3.3%
------------ ------
Utilities -- (2.1%)
Other Securities................................. 2,111,250 2.4%
------------ ------
TOTAL COMMON STOCKS.................................... 85,479,481 99.6%
------------ ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities................................. 1,276 0.0%
------------ ------
TOTAL INVESTMENT SECURITIES............................ 85,480,757
------------
TEMPORARY CASH INVESTMENTS -- (0.2%)
State Street Institutional U.S. Government Money
Market Fund, 0.260%............................. 236,039 236,039 0.3%
------------ ------
SECURITIES LENDING COLLATERAL -- (16.2%)
(S)@ DFA Short Term Investment Fund................... 1,429,196 16,538,660 19.2%
------------ ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $74,533,535)................................. $102,255,456 119.1%
============ ======
8
CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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...... $14,426,191 -- -- $ 14,426,191
Consumer Staples............ 5,480,349 -- -- 5,480,349
Energy...................... 6,489,195 -- -- 6,489,195
Financials.................. 17,392,157 -- -- 17,392,157
Industrials................. 13,737,525 -- -- 13,737,525
Information Technology...... 18,189,023 -- -- 18,189,023
Materials................... 4,454,672 -- -- 4,454,672
Real Estate................. 356,293 -- -- 356,293
Telecommunication Services.. 2,842,826 -- -- 2,842,826
Utilities................... 2,111,250 -- -- 2,111,250
Rights/Warrants............... -- $ 1,276 -- 1,276
Temporary Cash Investments.... 236,039 -- -- 236,039
Securities Lending Collateral. -- 16,538,660 -- 16,538,660
----------- ----------- -- ------------
TOTAL......................... $85,715,520 $16,539,936 -- $102,255,456
=========== =========== == ============
See accompanying Notes to Financial Statements.
9
CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (95.2%)
AUSTRALIA -- (6.2%)
Australia & New Zealand Banking Group, Ltd.. 18,347 $ 387,404 0.5%
BHP Billiton, Ltd........................... 20,901 365,158 0.5%
Commonwealth Bank of Australia.............. 3,672 204,423 0.3%
National Australia Bank, Ltd................ 15,091 320,343 0.4%
# Westpac Banking Corp. Sponsored ADR......... 7,016 162,771 0.2%
Woodside Petroleum, Ltd..................... 7,357 157,484 0.2%
Other Securities............................ 3,649,214 4.4%
---------- ------
TOTAL AUSTRALIA................................. 5,246,797 6.5%
---------- ------
AUSTRIA -- (0.6%)
Other Securities............................ 473,685 0.6%
---------- ------
BELGIUM -- (1.2%)
Other Securities............................ 981,345 1.2%
---------- ------
CANADA -- (8.2%)
Bank of Montreal............................ 3,044 193,719 0.3%
Bank of Nova Scotia (The)................... 4,072 218,825 0.3%
Canadian Natural Resources, Ltd............. 6,871 217,879 0.3%
Royal Bank of Canada........................ 4,751 296,827 0.4%
Suncor Energy, Inc.......................... 6,906 207,234 0.3%
Toronto-Dominion Bank (The)................. 5,274 239,302 0.3%
Other Securities............................ 5,565,619 6.7%
---------- ------
TOTAL CANADA.................................... 6,939,405 8.6%
---------- ------
CHINA -- (0.0%)
Other Securities............................ 26,514 0.0%
---------- ------
DENMARK -- (1.2%)
Vestas Wind Systems A.S..................... 2,010 161,033 0.2%
Other Securities............................ 847,904 1.0%
---------- ------
TOTAL DENMARK................................... 1,008,937 1.2%
---------- ------
FINLAND -- (2.0%)
UPM-Kymmene Oyj Sponsored ADR............... 7,100 165,004 0.2%
Other Securities............................ 1,504,599 1.9%
---------- ------
TOTAL FINLAND................................... 1,669,603 2.1%
---------- ------
FRANCE -- (8.0%)
Atos SE..................................... 1,621 168,217 0.2%
BNP Paribas SA.............................. 4,597 266,549 0.3%
Cie Generale des Etablissements Michelin.... 2,932 317,559 0.4%
# Engie SA.................................... 14,109 203,476 0.3%
Orange SA................................... 14,360 225,935 0.3%
Total SA.................................... 16,503 790,575 1.0%
# Vinci SA.................................... 2,474 179,166 0.2%
Other Securities............................ 4,618,395 5.6%
---------- ------
TOTAL FRANCE.................................... 6,769,872 8.3%
---------- ------
GERMANY -- (6.5%)
Allianz SE.................................. 1,243 194,038 0.3%
BASF SE..................................... 5,979 527,814 0.7%
10
CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
GERMANY -- (Continued)
Bayerische Motoren Werke AG........... 3,356 $ 292,796 0.4%
Daimler AG............................ 8,155 581,794 0.7%
Deutsche Telekom AG................... 29,042 473,827 0.6%
Other Securities...................... 3,366,214 4.0%
----------- ------
TOTAL GERMANY............................. 5,436,483 6.7%
----------- ------
HONG KONG -- (3.0%)
Other Securities...................... 2,554,256 3.2%
----------- ------
IRELAND -- (0.5%)
Other Securities...................... 441,867 0.6%
----------- ------
ISRAEL -- (0.3%)
Other Securities...................... 278,500 0.3%
----------- ------
ITALY -- (2.4%)
Eni SpA............................... 16,433 238,480 0.3%
Other Securities...................... 1,793,549 2.2%
----------- ------
TOTAL ITALY............................... 2,032,029 2.5%
----------- ------
JAPAN -- (23.7%)
Hitachi, Ltd.......................... 41,000 218,567 0.3%
Honda Motor Co., Ltd.................. 9,900 296,224 0.4%
Mizuho Financial Group, Inc........... 146,100 245,996 0.3%
Nissan Motor Co., Ltd................. 24,200 246,174 0.3%
Sony Corp............................. 5,200 163,895 0.2%
Sumitomo Mitsui Financial Group, Inc.. 7,564 262,256 0.3%
Toyota Motor Corp..................... 15,206 882,050 1.1%
Toyota Motor Corp. Sponsored ADR...... 2,966 343,048 0.4%
Other Securities...................... 17,380,994 21.4%
----------- ------
TOTAL JAPAN............................... 20,039,204 24.7%
----------- ------
NETHERLANDS -- (2.8%)
Akzo Nobel NV......................... 2,760 178,326 0.2%
Koninklijke Ahold Delhaize NV......... 12,048 274,847 0.3%
Koninklijke KPN NV.................... 49,734 162,170 0.2%
Other Securities...................... 1,759,171 2.2%
----------- ------
TOTAL NETHERLANDS......................... 2,374,514 2.9%
----------- ------
NEW ZEALAND -- (0.4%)
Other Securities...................... 342,088 0.4%
----------- ------
NORWAY -- (1.0%)
Other Securities...................... 788,380 1.0%
----------- ------
PORTUGAL -- (0.3%)
Other Securities...................... 272,767 0.3%
----------- ------
SINGAPORE -- (1.0%)
Other Securities...................... 857,424 1.1%
----------- ------
SPAIN -- (2.7%)
Banco Santander SA.................... 34,041 166,803 0.2%
Banco Santander SA Sponsored ADR...... 39,980 193,505 0.2%
Iberdrola SA.......................... 31,949 217,430 0.3%
Other Securities...................... 1,699,320 2.1%
----------- ------
TOTAL SPAIN............................... 2,277,058 2.8%
----------- ------
11
CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
SWEDEN -- (2.8%)
Other Securities............................. $ 2,357,039 2.9%
----------- ------
SWITZERLAND -- (5.7%)
ABB, Ltd..................................... 13,615 280,883 0.4%
Nestle SA.................................... 12,205 885,032 1.1%
Zurich Insurance Group AG.................... 824 215,687 0.3%
Other Securities............................. 3,431,070 4.1%
----------- ------
TOTAL SWITZERLAND.................................. 4,812,672 5.9%
----------- ------
UNITED KINGDOM -- (14.7%)
Aviva P.L.C.................................. 36,512 197,851 0.3%
BP P.L.C. Sponsored ADR...................... 14,880 528,978 0.7%
Informa P.L.C................................ 20,203 166,212 0.2%
Rio Tinto P.L.C. Sponsored ADR............... 8,120 282,982 0.4%
Royal Dutch Shell P.L.C. Class A............. 7,937 197,692 0.3%
Vodafone Group P.L.C. Sponsored ADR.......... 8,539 237,736 0.3%
Other Securities............................. 10,786,734 13.1%
----------- ------
TOTAL UNITED KINGDOM............................... 12,398,185 15.3%
----------- ------
UNITED STATES -- (0.0%)
Other Securities............................. 20,701 0.0%
----------- ------
TOTAL COMMON STOCKS................................ 80,399,325 99.1%
----------- ------
PREFERRED STOCKS -- (0.3%)
GERMANY -- (0.3%)
Other Securities............................. 208,464 0.2%
----------- ------
UNITED KINGDOM -- (0.0%)
Other Securities............................. 152 0.0%
----------- ------
TOTAL PREFERRED STOCKS............................. 208,616 0.2%
----------- ------
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities............................. 131 0.0%
----------- ------
SPAIN -- (0.0%)
Other Securities............................. 2,889 0.0%
----------- ------
SWEDEN -- (0.0%)
Other Securities............................. 2,316 0.0%
----------- ------
UNITED KINGDOM -- (0.0%)
Other Securities............................. 9,468 0.0%
----------- ------
TOTAL RIGHTS/WARRANTS.............................. 14,804 0.0%
----------- ------
TOTAL INVESTMENT SECURITIES........................ 80,622,745
-----------
VALUE+
- ------ -
SECURITIES LENDING COLLATERAL -- (4.5%)
(S)@ DFA Short Term Investment Fund............... 330,251 3,821,663 4.7%
----------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $90,239,239)............................... $84,444,408 104.0%
=========== ======
12
CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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................... $ 303,761 $ 4,943,036 -- $ 5,246,797
Austria..................... -- 473,685 -- 473,685
Belgium..................... -- 981,345 -- 981,345
Canada...................... 6,933,540 5,865 -- 6,939,405
China....................... -- 26,514 -- 26,514
Denmark..................... -- 1,008,937 -- 1,008,937
Finland..................... 270,272 1,399,331 -- 1,669,603
France...................... 198,515 6,571,357 -- 6,769,872
Germany..................... 134,708 5,301,775 -- 5,436,483
Hong Kong................... -- 2,554,256 -- 2,554,256
Ireland..................... 41,764 400,103 -- 441,867
Israel...................... -- 278,500 -- 278,500
Italy....................... 169,713 1,862,316 -- 2,032,029
Japan....................... 770,090 19,269,114 -- 20,039,204
Netherlands................. 319,946 2,054,568 -- 2,374,514
New Zealand................. 14,211 327,877 -- 342,088
Norway...................... 56,003 732,377 -- 788,380
Portugal.................... -- 272,767 -- 272,767
Singapore................... -- 857,424 -- 857,424
Spain....................... 370,344 1,906,714 -- 2,277,058
Sweden...................... 33,218 2,323,821 -- 2,357,039
Switzerland................. 270,489 4,542,183 -- 4,812,672
United Kingdom.............. 2,012,043 10,386,142 -- 12,398,185
United States............... 17,063 3,638 -- 20,701
Preferred Stocks
Germany..................... -- 208,464 -- 208,464
United Kingdom.............. -- 152 -- 152
Rights/Warrants
Australia................... -- 131 -- 131
Spain....................... -- 2,889 -- 2,889
Sweden...................... -- 2,316 -- 2,316
United Kingdom.............. -- 9,468 -- 9,468
Securities Lending Collateral. -- 3,821,663 -- 3,821,663
----------- ----------- -- -----------
TOTAL......................... $11,915,680 $72,528,728 -- $84,444,408
=========== =========== == ===========
See accompanying Notes to Financial Statements.
13
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
CSTG&E
CSTG&E U.S. INTERNATIONAL
SOCIAL CORE SOCIAL CORE
EQUITY 2 EQUITY
PORTFOLIO* PORTFOLIO*
------------ -------------
ASSETS:
Investments at Value (including $19,750 and $3,631 of securities on loan, respectively).......... $ 85,481 $ 80,623
Temporary Cash Investments at Value & Cost....................................................... 236 --
Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $16,536 and
$3,821)......................................................................................... 16,539 3,822
Foreign Currencies at Value...................................................................... -- 234
Cash............................................................................................. -- 57
Receivables:
Investment Securities Sold..................................................................... 1,287 23
Dividends, Interest and Tax Reclaims........................................................... 90 269
Securities Lending Income...................................................................... 5 9
------------ ------------
Total Assets................................................................................ 103,638 85,037
------------ ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............................................................... 16,536 3,821
Investment Securities Purchased................................................................ 1,240 4
Due to Advisor................................................................................. 20 29
Accrued Expenses and Other Liabilities........................................................... 9 21
------------ ------------
Total Liabilities........................................................................... 17,805 3,875
------------ ------------
NET ASSETS....................................................................................... $ 85,833 $ 81,162
============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1).......................................................... 5,963,952 9,899,265
============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE......................................... $ 14.39 $ 8.20
============ ============
Investments at Cost.............................................................................. $ 57,761 $ 86,418
============ ============
Foreign Currencies at Cost....................................................................... $ -- $ 236
============ ============
NET ASSETS CONSIST OF:
Paid-In Capital.................................................................................. $ 56,245 $ 96,800
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........... 174 280
Accumulated Net Realized Gain (Loss)............................................................. 1,691 (10,113)
Net Unrealized Foreign Exchange Gain (Loss)...................................................... -- (9)
Net Unrealized Appreciation (Depreciation)....................................................... 27,723 (5,796)
NET ASSETS....................................................................................... $ 85,833 $ 81,162
============ ============
(1) NUMBER OF SHARES AUTHORIZED.................................................................. 300,000,000 300,000,000
============ ============
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
14
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS)
CSTG&E
CSTG&E U.S. INTERNATIONAL
SOCIAL CORE SOCIAL CORE
EQUITY 2 EQUITY
PORTFOLIO PORTFOLIO
----------- -------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0 and $251, respectively). $1,807 $ 2,833
Interest............................................................... -- 1
Income from Securities Lending......................................... 62 117
------ -------
Total Investment Income............................................. 1,869 2,951
------ -------
EXPENSES
Investment Management Fees............................................. 227 377
Accounting & Transfer Agent Fees....................................... 2 15
Custodian Fees......................................................... -- 33
Filing Fees............................................................ 2 2
Shareholders' Reports.................................................. 6 6
Directors'/Trustees' Fees & Expenses................................... 1 1
Professional Fees...................................................... 3 1
Other.................................................................. 24 60
------ -------
Total Expenses...................................................... 265 495
------ -------
Fees Paid Indirectly (Note C).......................................... -- --
------ -------
Net Expenses........................................................... 265 495
------ -------
NET INVESTMENT INCOME (LOSS)........................................... 1,604 2,456
------ -------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**......................................... 1,695 (2,942)
Foreign Currency Transactions........................................ -- 16
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........................... 197 976
Translation of Foreign Currency Denominated Amounts.................. -- (8)
------ -------
NET REALIZED AND UNREALIZED GAIN (LOSS)................................ 1,892 (1,958)
------ -------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.......... $3,496 $ 498
====== =======
----------
**Net of foreign capital gain taxes withheld of $0 and $0, respectively.
See accompanying Notes to Financial Statements.
15
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
CSTG&E U.S. SOCIAL CORE CSTG&E INTERNATIONAL
EQUITY 2 PORTFOLIO SOCIAL CORE EQUITY PORTFOLIO
---------------------- ---------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2016 2015
-------- -------- -------- --------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)...................................... $ 1,604 $ 1,504 $ 2,456 $ 2,519
Net Realized Gain (Loss) on:
Investment Securities Sold**.................................... 1,695 3,017 (2,942) (500)
Foreign Currency Transactions................................... -- -- 16 (48)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency...................... 197 (3,340) 976 (4,121)
Translation of Foreign Currency Denominated Amounts............. -- -- (8) 6
------- ------- -------- --------
Net Increase (Decrease) in Net Assets Resulting from
Operations.................................................... 3,496 1,181 498 (2,144)
------- ------- -------- --------
Distributions From:
Net Investment Income............................................. (1,589) (1,493) (2,576) (2,493)
Net Long-Term Gains............................................... (1,316) -- -- --
------- ------- -------- --------
Total Distributions............................................ (2,905) (1,493) (2,576) (2,493)
------- ------- -------- --------
Capital Share Transactions (1):
Shares Issued..................................................... 1,550 825 2,649 1,667
Shares Issued in Lieu of Cash Distributions....................... 2,905 1,493 2,576 2,493
Shares Redeemed................................................... (6,059) (7,002) (19,252) (2,425)
------- ------- -------- --------
Net Increase (Decrease) from Capital Share Transactions........ (1,604) (4,684) (14,027) 1,735
------- ------- -------- --------
Total Increase (Decrease) in Net Assets........................ (1,013) (4,996) (16,105) (2,902)
NET ASSETS
Beginning of Year................................................. 86,846 91,842 97,267 100,169
------- ------- -------- --------
End of Year....................................................... $85,833 $86,846 $ 81,162 $ 97,267
======= ======= ======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued..................................................... 113 58 330 191
Shares Issued in Lieu of Cash Distributions....................... 210 106 328 290
Shares Redeemed................................................... (434) (476) (2,424) (279)
------- ------- -------- --------
Net Increase (Decrease) from Shares Issued and Redeemed........ (111) (312) (1,766) 202
======= ======= ======== ========
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)................................................. $ 174 $ 157 $ 280 $ 351
----------
**Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
16
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO
-------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
-----------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year....................................... $ 14.30 $ 14.38 $ 13.08 $ 10.07 $ 8.98
------- ------- ------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)....................................... 0.26 0.24 0.20 0.20 0.16
Net Gains (Losses) on Securities (Realized and Unrealized)............. 0.31 (0.08) 1.30 3.01 1.08
------- ------- ------- ------- -------
Total from Investment Operations...................................... 0.57 0.16 1.50 3.21 1.24
-----------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................................................. (0.26) (0.24) (0.20) (0.20) (0.15)
Net Realized Gains..................................................... (0.22) -- -- -- --
------- ------- ------- ------- -------
Total Distributions................................................... (0.48) (0.24) (0.20) (0.20) (0.15)
-----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year............................................. $ 14.39 $ 14.30 $ 14.38 $ 13.08 $ 10.07
========================================================================= ======== ======== ======== ======== ========
Total Return............................................................. 4.18% 1.13% 11.54% 32.27% 13.94%
-----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)...................................... $85,833 $86,846 $91,842 $89,269 $76,197
Ratio of Expenses to Average Net Assets.................................. 0.32% 0.34% 0.32% 0.35% 0.36%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly). 0.32% 0.34% 0.32% 0.35% 0.36%
Ratio of Net Investment Income to Average Net Assets..................... 1.91% 1.67% 1.47% 1.71% 1.65%
Portfolio Turnover Rate.................................................. 16% 12% 11% 4% 9%
-----------------------------------------------------------------------------------------------------------------------
CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO
-----------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
---------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year....................................... $ 8.34 $ 8.74 $ 9.16 $ 7.39 $ 7.27
------- ------- -------- -------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)....................................... 0.22 0.22 0.29 0.21 0.21
Net Gains (Losses) on Securities (Realized and Unrealized)............. (0.14) (0.40) (0.43) 1.79 0.12
------- ------- -------- -------- -------
Total from Investment Operations...................................... 0.08 (0.18) (0.14) 2.00 0.33
---------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................................................. (0.22) (0.22) (0.28) (0.23) (0.21)
Net Realized Gains..................................................... -- -- -- -- --
------- ------- -------- -------- -------
Total Distributions................................................... (0.22) (0.22) (0.28) (0.23) (0.21)
---------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year............................................. $ 8.20 $ 8.34 $ 8.74 $ 9.16 $ 7.39
========================================================================= ======== ======== ======== ======== ========
Total Return............................................................. 1.15% (2.15)% (1.71)% 27.54% 4.87%
---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)...................................... $81,162 $97,267 $100,169 $110,438 $64,902
Ratio of Expenses to Average Net Assets.................................. 0.55% 0.54% 0.53% 0.56% 0.60%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly). 0.55% 0.54% 0.53% 0.56% 0.60%
Ratio of Net Investment Income to Average Net Assets..................... 2.73% 2.52% 3.08% 2.54% 3.00%
Portfolio Turnover Rate.................................................. 5% 8% 18% 8% 7%
---------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
17
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company whose shares are offered, without a sales charge, generally
to institutional investors and clients of registered investment advisors. The
Fund consists of ninety-five operational portfolios, two of which, CSTG&E U.S.
Social Core Equity 2 Portfolio and CSTG&E International Social Core Equity
Portfolio (the "Portfolios"), are included in this report. The remaining
operational portfolios are presented in separate reports. The Portfolios are
investment companies and, accordingly, follow the accounting and reporting
guidance under Financial Accounting Standards Board ("FASB") Accounting
Standards Certification ("ASC") Topic 946, "Financial Services-Investment
Companies".
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 the 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 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 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 management 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 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.
CSTG&E International Social Core Equity Portfolio 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
18
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 CSTG&E International
Social Core Equity Portfolio is computed. Due to the time differences between
the closings of the relevant foreign securities exchanges and the time CSTG&E
International Social Core Equity Portfolio prices its shares at the close of
the NYSE, the Portfolio 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 CSTG&E International Social Core Equity Portfolio's foreign
investments since the last closing prices of the foreign investments were
calculated on their primary foreign securities markets or exchanges. For these
purposes, the Board of Directors 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 CSTG&E International Social Core
Equity Portfolio utilizes data furnished by an independent pricing service (and
that data draws upon, among other information, the market values of foreign
investments). When CSTG&E International Social Core Equity Portfolio uses fair
value pricing, the values assigned to the 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.
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
Schedules of Portfolio Holdings. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the year ended October 31, 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 CSTG&E International Social Core Equity Portfolio whose
values are initially expressed in foreign currencies are translated to U.S.
dollars using the mean between the most recent bid and asked prices for the
U.S. dollar as quoted by generally recognized reliable sources. Dividend and
interest income and certain expenses are translated to U.S. dollars at the rate
of exchange on their respective accrual dates. Receivables and payables
denominated in foreign currencies are marked-to-market daily based on daily
exchange rates and exchange gains or losses are realized upon ultimate receipt
or disbursement.
CSTG&E International Social Core Equity Portfolio 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
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
19
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 October 31, 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.
CSTG&E International Social Core Equity Portfolio 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. CSTG&E International Social Core Equity Portfolio accrues such
taxes when the related income or capital gains are earned or throughout the
holding period. Some countries require governmental approval for the
repatriation of investment income, capital or the proceeds of sales earned by
foreign investors. In addition, if there is a deterioration in a country's
balance of payments or for other reasons, a country may impose temporary
restrictions on foreign capital remittances abroad.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolios. For the year ended October 31, 2016, the investment
management fees were accrued daily and paid monthly to the Advisor based on an
effective annual rate of 0.27% and 0.42%, of average daily net assets for
CSTG&E U.S. Social Core Equity 2 Portfolio and CSTG&E International Social Core
Equity Portfolio, respectively.
EARNED INCOME CREDIT:
In addition, CSTG&E International Social Core Equity Portfolio entered into
an arrangement with its custodian whereby net interest earned on uninvested
cash balances was used to reduce a portion of the Portfolio's custody expenses.
Custody expense in the accompanying financial statements is presented before
reduction for credits. The impact of such credits is generally less than one
basis point of each Portfolio's net assets. During the year ended October 31,
2016, expenses reduced were as follows (amounts in thousands):
FEES PAID
INDIRECTLY
----------
CSTG&E International Social Core Equity Portfolio. --*
* Amounts designated as -- are less than $500.
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 year ended October 31, 2016, the total related amounts paid by the Fund
to the CCO were $291 (in thousands). The total related amounts paid by each of
the Portfolios are included in Other Expenses on the Statement of Operations.
20
D. DEFERRED COMPENSATION:
At October 31, 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):
CSTG&E U.S. Social Core Equity 2 Portfolio........ $4
CSTG&E International Social Core Equity Portfolio. 4
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 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
--------- -------
CSTG&E U.S. Social Core Equity 2 Portfolio........ $13,548 $15,363
CSTG&E International Social Core Equity Portfolio. 4,119 17,405
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, 2016, primarily attributable to net foreign
currency gains/losses, foreign capital gains tax and realized gains on
securities considered to be "passive foreign investment companies", were
reclassified to the following accounts. These reclassifications had no effect
on net assets or net asset value per share (amounts in thousands):
INCREASE INCREASE
(DECREASE) (DECREASE)
INCREASE UNDISTRIBUTED ACCUMULATED
(DECREASE) NET INVESTMENT NET REALIZED
PAID-IN CAPITAL INCOME GAINS (LOSSES)
--------------- -------------- --------------
CSTG&E U.S. Social Core
Equity 2 Portfolio.......... $19 $ 2 $(21)
CSTG&E International Social
Core Equity Portfolio....... -- 49 (49)
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2015 and October 31, 2016 were as follows (amounts
in thousands):
NET INVESTMENT
INCOME AND LONG-TERM
SHORT-TERM CAPITAL
CAPITAL GAINS GAINS TOTAL
-------------- --------- ------
CSTG&E U.S. Social Core Equity 2 Portfolio
2015.............................................. $1,493 -- $1,493
2016.............................................. 1,589 $1,316 2,905
CSTG&E International Social Core Equity Portfolio
2015.............................................. 2,493 -- 2,493
2016.............................................. 2,576 -- 2,576
21
At October 31, 2016, 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)
-------------- ------------- ------------- -------------- -------------
CSTG&E U.S. Social Core Equity 2
Portfolio...................... $153 $1,703 -- $27,736 $ 29,592
CSTG&E International Social Core
Equity Portfolio............... 363 -- $(10,071) (5,926) (15,634)
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, 2016, 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 UNLIMITED TOTAL
----- ---------- -------
CSTG&E U.S. Social Core Equity 2 Portfolio........ -- -- --
CSTG&E International Social Core Equity Portfolio. $904 $9,167 $10,071
During the period ended October 31, 2016, the Portfolios utilized the
following capital loss carryforwards to offset realized capital gains for
federal income tax purposes (amounts in thousands):
CSTG&E U.S. Social Core Equity 2 Portfolio........ --
CSTG&E International Social Core Equity Portfolio. --
At October 31, 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)
-------- ------------ ------------ --------------
CSTG&E U.S. Social Core Equity 2 Portfolio........ $74,519 $29,534 $ (1,797) $27,737
CSTG&E International Social Core Equity Portfolio. 90,359 14,144 (20,058) (5,914)
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. 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
22
statements and concentrations of credit and market risk. These instruments and
their significant corresponding risks are described below:
1. FOREIGN MARKET RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States of America, including the possibility of future political and
economic developments and the level of foreign government supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of securities held
by CSTG&E International Social Core Equity Portfolio may be inhibited.
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 year ended October 31, 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
------------- ------------ ------------ -------- ---------------
CSTG&E U.S. Social Core Equity 2
Portfolio............................. 1.07% $ 199 39 -- $ 869
CSTG&E International Social Core Equity
Portfolio............................. 1.08% 1,167 40 $ 1 15,711
* Number of Days Outstanding represents the total of single or consecutive days
during the year ended October 31, 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 October 31, 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 year ended October 31, 2016.
23
I. AFFILIATED TRADES:
Cross trades for the year ended October 31, 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 year ended October 31, 2016, cross trades by the Portfolios under
Rule 17a-7 were as follows (amounts in thousands):
PORTFOLIO PURCHASES SALES REALIZED GAIN (LOSS)
--------- --------- ------ --------------------
CSTG&E U.S. Social Core Equity 2 Portfolio........ $486 $1,646 $ 234
CSTG&E International Social Core Equity Portfolio. 405 508 (107)
J. SECURITIES LENDING:
As of October 31, 2016, the Portfolios had securities on loan to
brokers/dealers, for which each Portfolio received cash collateral. The
non-cash collateral includes short-and/or long-term U.S. Treasuries and
U.S. government agency securities as follows (amounts in thousands):
MARKET
VALUE
------
CSTG&E U.S. Social Core Equity 2 Portfolio........ $3,659
CSTG&E International Social Core Equity Portfolio. 167
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
Portfolios' collateral to be lower or higher than the expected thresholds. If
this were to occur, the collateral would be adjusted the next business day to
ensure adequate collateralization. In the event of default or bankruptcy by the
other party to the agreement, realization and/or retention of the collateral
may be subject to legal proceedings. If the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is
insufficient to cover the value of loaned securities and provided such
collateral insufficiency is not the result of investment losses, the lending
agent has agreed to pay the amount of the shortfall to the Portfolio or, at the
option of the lending agent, to replace the securities. In the event of the
bankruptcy of the borrower, a Portfolio could experience delay in recovering
the loaned securities or only recover cash or a security of equivalent value.
Subject to their stated investment policies, the Portfolios 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 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, the Portfolios
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.
24
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 October 31, 2016:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF OCTOBER 31, 2016
--------------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
------------- -------- ------------ -------- -----------
SECURITIES LENDING TRANSACTIONS
CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO
Common Stocks, Rights/Warrants............ $16,538,660 -- -- -- $16,538,660
CSTG&E INTERNATIONAL SOCIAL CORE EQUITY
PORTFOLIO
Common Stocks............................. $ 3,821,663 -- -- -- $ 3,821,663
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 October 31, 2016, two shareholders held 97% of the outstanding shares of
CSTG&E U.S. Social Core Equity 2 Portfolio and two shareholders held 98% of the
outstanding shares of CSTG&E International Social Core Equity Portfolio. One or
more of the shareholders are 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
Portfolios through the date that the financial statements were issued and has
determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
25
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of DFA Investment Dimensions Group Inc. and
Shareholders of the Portfolios, as defined:
In our opinion, the accompanying statements of assets and liabilities,
including the summary schedules of portfolio holdings, and the related
statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
CSTG&E U.S. Social Core Equity 2 Portfolio and CSTG&E International Social Core
Equity Portfolio (constituting portfolios within DFA Investment Dimensions
Group Inc., hereafter referred to as the "Portfolios") as of October 31, 2016,
the results of each of their operations for the year then ended, the changes in
each of their net assets for each of the two years in the period then ended and
the financial highlights for each of the five years in the period then ended,
in conformity with accounting principles generally accepted in the United
States of America. These financial statements and financial highlights
(hereafter referred to as "financial statements") are the responsibility of the
Portfolios' management. Our responsibility is to express an opinion on these
financial statements based on our audits. We conducted our audits of these
financial statements in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we
plan and perform the audit to obtain reasonable assurance about whether the
financial statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles used and
significant estimates made by management, and evaluating the overall financial
statement presentation. We believe that our audits, which included confirmation
of securities as of October 31, 2016 by correspondence with the custodians,
broker and the transfer agent of the investee fund, provide a reasonable basis
for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 20, 2016
26
NOTIFICATION OF SOURCE OF DISTRIBUTIONS PURSUANT TO
RULE 19A-1 UNDER THE INVESTMENT COMPANY ACT OF 1940
(UNAUDITED)
As noted in the table provided below, on December 16, 2015, the CSTG&E U.S.
Social Core Equity 2 Portfolio and the CSTG&E International Social Core Equity
Portfolio paid distributions to shareholders of record as of December 15, 2015
that included amounts from net investment income and return of capital. Please
note that this information is being provided to satisfy certain notice
requirements under the Investment Company Act of 1940 and is not being provided
for tax reporting purposes. Each Portfolio will send (or has sent) shareholders
a Form 1099-DIV (or a financial intermediary should provide (or has provided)
shareholders with similar information) for the relevant calendar year informing
shareholders how to report these distributions for federal income tax purposes.
% BREAKDOWN OF DISTRIBUTION SOURCES
-------------------------------------------------
NET NET REALIZED NET REALIZED
INVESTMENT CAPITAL GAINS: CAPITAL GAINS: RETURN OF
PORTFOLIO NAME INCOME SHORT-TERM LONG-TERM CAPITAL
-------------- ---------- -------------- -------------- ---------
CSTG&E U.S. Social Core Equity 2 Portfolio
December 16, 2015.............................. 91% 0% 0% 9%
CSTG&E International Social Core Equity Portfolio
December 16, 2015.............................. 84% 0% 0% 16%
Each Portfolio estimates that it has distributed more than the amount of net
investment income and net realized capital gains; therefore, a portion of the
distributions may be a return of capital. A return of capital may occur, for
example, when some or all of the shareholder's investment in a Portfolio is
returned to the shareholder. A return of capital does not necessarily reflect a
Portfolio's investment performance and should not be confused with yield or
income. When distributions exceed total return performance, the difference will
reduce a Portfolio's net asset value per share.
27
FUND MANAGEMENT
(UNAUDITED)
TRUSTEES/DIRECTORS
Each Board of Trustees/Directors (each, the "Board" and collectively, the
"Boards") of The DFA Investment Trust Company ("DFAITC"), DFA Investment
Dimensions Group Inc. ("DFAIDG"), Dimensional Investment Group Inc. ("DIG"),
and Dimensional Emerging Markets Value Fund ("DEM") (each, the "Fund" and
collectively, the "Funds") is responsible for establishing the Funds' policies
and for overseeing the management of the Funds. The Trustees/ Directors of the
Funds, including all of the disinterested Trustees/Directors, have adopted
written procedures to monitor potential conflicts of interest that might
develop between portfolios of the Funds (the "Feeder Portfolios") that invest
in certain series of DFAITC or DEM (the "Master Funds").
Each Board has three standing committees, an Audit Committee, a Nominating
Committee, and an Investment Strategy Committee (the "Strategy Committee"). The
Audit Committee is composed of George M. Constantinides, Roger G. Ibbotson, and
Abbie J. Smith. Each member of the Audit Committee is a disinterested
Trustee/Director. The Audit Committee oversees the Fund's accounting and
financial reporting policies and practices, the Fund's internal controls, the
Fund's financial statements and the independent audits thereof and performs
other oversight functions as requested by the Board. The Audit Committee
recommends the appointment of each Fund's independent registered certified
public accounting firm and also acts as a liaison between the Fund's
independent registered certified public accounting firm and the full Board.
There were two Audit Committee meetings held during the fiscal year ended
October 31, 2016.
Each Board's Nominating Committee is composed of George M. Constantinides, John
P. Gould, Roger G. Ibbotson, Myron S. Scholes, Edward P. Lazear and Abbie J.
Smith. Each member of the Nominating Committee is a disinterested
Trustee/Director. The Nominating Committee for each Board makes recommendations
for nominations of disinterested and interested members on the Board to the
full Board. The Nominating Committee evaluates a candidate's qualification for
Board membership and the independence of such candidate from the Advisor and
other principal service providers. The Nominating Committee did not meet during
the fiscal year ended October 31, 2016.
Each Board's Strategy Committee consists of both interested and disinterested
Trustees/Directors. The Strategy Committee is composed of John P. Gould, Edward
P. Lazear, Myron S. Scholes and Eduardo A. Repetto. The Strategy Committee
assists the Board in carrying out its fiduciary duties with respect to the
oversight of the Fund and its performance. At the request of the Board or the
Advisor, the Strategy Committee may (i) review the design of possible new
series of the Fund, (ii) review performance of existing portfolios of the Fund
and discuss and recommend possible enhancements to the portfolios' investment
strategies, (iii) review proposals by the Advisor to modify or enhance the
investment strategies or policies of each portfolio, and (iv) consider issues
relating to investment services for each portfolio of the Fund. The Strategy
Committee was formed on December 17, 2010, and there were three Strategy
Committee meetings held during the fiscal year ended October 31, 2016.
Certain biographical information for each disinterested Trustee/Director and
each interested Trustee/Director of the Funds is set forth in the tables below,
including a description of each Trustee/Director's experience as a Trustee/
Director of the Funds and as a director or trustee of other funds, as well as
other recent professional experience.
The statements of additional information (together, "SAI") of the Funds include
additional information about each Trustee/Director. You may obtain copies of
the SAI and prospectus of each Fund advised by Dimensional Fund Advisors LP by
calling collect (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746.
Prospectuses are also available at http://us.dimensional.com.
28
NAME, POSITION PORTFOLIOS WITHIN THE PRINCIPAL OCCUPATION(S) DURING PAST 5
WITH THE FUND, TERM OF OFFICE/1/ AND DFA FUND COMPLEX/2/ YEARS AND OTHER DIRECTORSHIPS OF PUBLIC
ADDRESS AND YEAR OF BIRTH LENGTH OF SERVICE OVERSEEN COMPANIES HELD
------------------------------------------------------------------------------------------------------------------------
DISINTERESTED TRUSTEES/DIRECTORS
------------------------------------------------------------------------------------------------------------------------
George M. Constantinides Since Inception 122 portfolios in 4 Leo Melamed Professor of Finance, The
Director of DFAIDG and investment companies University of Chicago Booth School of
DIG. Business.
Trustee of DFAITC and
DEM.
The University of Chicago
Booth School of Business
5807 S. Woodlawn
Avenue
Chicago, IL 60637
1947
------------------------------------------------------------------------------------------------------------------------
John P. Gould DFAIDG-Since 1986 122 portfolios in 4 Steven G. Rothmeier Professor and
Director of DFAIDG and DIG DIG-Since 1993 investment companies Distinguished Service Professor of
Trustee of DFAITC and DEM DFAITC-Since 1992 Economics, University of Chicago Booth
The University of Chicago DEM-Since 1993 School of Business (since 1965). Member
Booth School of Business and Chair, Competitive Markets Advisory
5807 S. Woodlawn Avenue Council, Chicago Mercantile Exchange
Chicago, IL 60637 (futures trading exchange) (since
1939 2004). Trustee, Harbor Fund (registered
investment company) (29 Portfolios)
(since 1994). Formerly, Member of the
Board of Milwaukee Insurance Company
(1997-2010).
------------------------------------------------------------------------------------------------------------------------
Roger G. Ibbotson DFAIDG-Since 1981 122 portfolios in 4 Professor in Practice of Finance, Yale
Director of DFAIDG and DIG DIG-Since 1993 investment companies School of Management (since 1984).
Trustee of DFAITC and DEM DFAITC-Since 1992 Chairman, CIO and Partner, Zebra
Yale School of Management DEM-Since 1993 Capital Management, LLC (hedge fund and
P.O. Box 208200 asset manager) (since 2001). Consultant
New Haven, CT 06520-8200 to Morningstar Inc. (since 2006).
1943 Formerly, Director, BIRR Portfolio
Analysis, Inc. (sofware Products)
(1990- 2010).
------------------------------------------------------------------------------------------------------------------------
Edward P. Lazear DFAIDG-Since 2010 122 portfolios in 4 Morris Arnold Cox Senior Fellow, Hoover
Director of DFAIDG and DIG DIG-Since 2010 investment companies Institution (since 2002). Jack Steele
Trustee of DFAITC and DEM DFAITC-Since 2010 Parker Professor of Human Resources
Stanford University Graduate DEM-Since 2010 Management and Economics, Graduate
School of Business School of Business, Stanford University
434 Galvez Mall (since 1995). Cornerstone Research
Stanford, CA 94305 (expert testimony and economic and
1948 financial analysis) (since 2009).
Formerly, Chairman of the President
George W. Bush's Council of Economic
Advisors, State of California
(2005-2006). Formerly, Commissioner,
White House Panel on Tax Reform (2005)
------------------------------------------------------------------------------------------------------------------------
Myron S. Scholes DFAIDG-Since 1981 122 portfolios in 4 Chief Investment Strategist, Janus
Director of DFAIDG and DIG DIG-Since 1993 investment companies Capital Group Inc. (since 2014). Frank
Trustee of DFAITC and DEM DFAITC-Since 1992 E. Buck Professor of Finance Emeritus,
c/o Dimensional Fund DEM-Since 1993 Graduate School of Business, Stanford
Advisers, LP University (since 1981). Chairman,
6300 Bee Cave Road Ruapay Inc. (since 2013). Formerly,
Building 1 Chairman, Platinum Grove Asset
Austin, TX 78746 Management, L.P. (hedge fund)
1941 (formerly, Oak Hill Platinum Partners)
(1999-2009). Formerly, Director,
American Centruy Fund Complex
(registered investment companies) (43
Portfolios) (1980-2014).
------------------------------------------------------------------------------------------------------------------------
Abbie J. Smith DFAIDG-Since 2000 122 portfolios in 4 Boris and Irene Stern Distinguished
Director of DFAIDG and DIG DIG-Since 2000 investment companies Service Professor of Accounting,
Trustee of DFAITC and DEM DFAITC-Since 2000 University of Chicago Booth School of
The University of Chicago DEM-Since 2000 Business (since 1980). Director, HNI
Booth School of Business Corporation (formerly known as HON
5807 S. Woodlawn Avenue Industries Inc.) (office furniture)
Chicago, IL 60637 (since 2000). Director, Ryder System
1953 Inc. (transportation, logistics and
supply-chain management) (since 2003).
Trustee, UBS Funds (4 investment
companies within the fund complex) (33
portfolios) (since 2009). Formerly,
Co-Director Investment Research,
Fundamental Investment Advisors (hedge
fund) (2008-2011).
29
NAME, POSITION PORTFOLIOS WITHIN THE PRINCIPAL OCCUPATION(S) DURING PAST 5
WITH THE FUND, TERM OF OFFICE/1/ AND DFA FUND COMPLEX/2/ YEARS AND OTHER DIRECTORSHIPS OF PUBLIC
ADDRESS AND YEAR OF BIRTH LENGTH OF SERVICE OVERSEEN COMPANIES HELD
-----------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES/DIRECTORS*
-----------------------------------------------------------------------------------------------------------------------
David G. Booth DFAIDG-Since 1981 122 portfolios in 4 Chairman, Director/Trustee, President,
Chairman, Director/Trustee, DIG-Since 1992 investment companies Co-Chief Executive Officer and
President and Co-Chief DFAITC-Since 1992 formerly, Chief Executive Officer
Executive Officer DEM-Since 1993 (until 1/1/2010) of the following
6300 Bee Cave Road companies: Dimensional Holdings Inc.,
Building One Dimensional Fund Advisors LP, DFA
Austin, TX 78746 Securities LLC, DEM, DFAIDG, DIG and
1946 DFAITC (collectively, the "DFA
Entities"). Director of Dimensional
Fund Advisors Ltd. and formerly, Chief
Investment Officer. Director of DFA
Australia Limited and formerly,
President and Chief Investment Officer.
Director of Dimensional Advisors Ltd.,
Dimensional Funds plc and Dimensional
Funds II plc. Formerly, President,
Dimensional SmartNest (US) LLC (2009-
2014). Formerly, Limited Partner, Oak
Hill Partners (2001-2010). Limited
Partner, VSC Investors, LLC (since
2007). Trustee, University of Chicago.
Trustee, University of Kansas Endowment
Association. Formerly, Director, SA
Funds (registered investment company).
Chairman, Director and Co-Chief
Executive Officer of Dimensional Fund
Advisors Canada ULC. Director and
President (since 2012) of Dimensional
Japan Ltd. Chairman, Director,
President, and Co-Chief Executive
Officer of Dimensional Cayman Commodity
Fund I Ltd. (since 2010).
-----------------------------------------------------------------------------------------------------------------------
Eduardo A. Repetto DFAIDG-Since 2009 122 portfolios in 4 Co-Chief Executive Officer (beginning
Director/Trustee, Co-Chief DIG-Since 2009 investment companies January 2010), Co-Chief Investment
Executive Officer and Co- DFAITC-Since 2009 Officer (since June 2014),
Chief Investment Officer DEM-Since 2009 Director/Trustee, and formerly, Chief
6300 Bee Cave Road, Investment Officer (March 2007-June
Building One 2014) of the DFA Entities. Director,
Austin, TX 78746 Co-Chief Executive Officer and Chief
1967 Investment Officer (since 2010) of
Dimensional Cayman Commodity Fund I
Ltd. Director, Co-Chief Executive
Officer, President and Co-Chief
Investment Officer of Dimensional Fund
Advisors Canada ULC and formerly, Chief
Investment Officer (until April 2014).
Co-Chief Investment Officer, Vice
President, and Director of DFA
Australia Limited and formerly, Chief
Investment Officer (until April 2014).
Director of Dimensional Fund Advisors
Ltd., Dimensional Funds plc,
Dimensional Funds II plc and
Dimensional Advisors Ltd. Formerly,
Vice President of the DFA Entities and
Dimensional Fund Advisors Canada ULC.
Director and Chief Investment Officer
(since December 2012) of Dimensional
Japan Ltd.
/1/ Each Trustee/Director holds office for an indefinite term until his or her
successor is elected and qualified.
/2/ Each Trustee/Director is a director or trustee of each of the four
registered investment companies within the DFA Fund Complex, which includes
the DFAIDG, DIG, DFAITC and DEM. Each disinterested Trustee/Director also
serves on the Independent Review Committee of the Dimensional Funds, mutual
funds registered in the provinces of Canada and managed by an affiliate of
Dimensional Fund Advisors LP (the "Advisor"), Dimensional Fund Advisors
Canada ULC.
* Interested Trustees/Directors are described as such because they are deemed
to be "interested persons," as that term is defined under the Investment
Company Act of 1940, as amended, due to their positions with the Advisor.
30
OFFICERS
Below is the name, year of birth, information regarding positions with the
Funds and the principal occupation for each officer of the Funds. The address
of each officer is 6300 Bee Cave Road, Building One, Austin, TX 78746. Each of
the officers listed below holds the same office (except as otherwise noted) in
the DFA Entities.
TERM OF OFFICE/1/
AND LENGTH OF
NAME AND YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
---------------------------------------------------------------------------------------------------------------------------
April A. Aandal Vice President Since 2008 Vice President of all the DFA Entities.
1963
---------------------------------------------------------------------------------------------------------------------------
Robyn G. Alcorta Vice President Since 2012 Vice President of all the DFA Entities. Formerly, Vice
1974 President, Business Development at Capson Physicians
Insurance Company (2010-2012).
---------------------------------------------------------------------------------------------------------------------------
Magdalia S. Armstrong Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Regional
1977 Director for Dimensional Fund Advisors LP (January 2011-
January 2016).
---------------------------------------------------------------------------------------------------------------------------
Darryl D. Avery Vice President Since 2005 Vice President of all the DFA Entities.
1966
---------------------------------------------------------------------------------------------------------------------------
Arthur H. Barlow Vice President Since 1993 Vice President of all the DFA Entities. Director and
1955 Managing Director of Dimensional Fund Advisors Ltd
(since September 2013). Director of Dimensional Funds plc
and Dimensional Funds II plc (since November 2013).
---------------------------------------------------------------------------------------------------------------------------
Lana Bergstein Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Client
1974 Service Manager for Dimensional Fund Advisors LP
(February 2008-January 2014).
---------------------------------------------------------------------------------------------------------------------------
Stanley W. Black Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Senior
1970 Research Associate (January 2012-January 2014) and
Research Associate (2006-2011) for Dimensional Fund
Advisors LP.
---------------------------------------------------------------------------------------------------------------------------
Aaron T. Borders Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional
1973 Director for Dimensional Fund Advisors LP (April 2008-
January 2014).
---------------------------------------------------------------------------------------------------------------------------
Scott A. Bosworth Vice President Since 2007 Vice President of all the DFA Entities.
1968
---------------------------------------------------------------------------------------------------------------------------
Valerie A. Brown Vice President and Since 2001 Vice President and Assistant Secretary of all the DFA
1967 Assistant Secretary Entities, DFA Australia Limited, Dimensional Fund Advisors
Ltd., Dimensional Cayman Commodity Fund I Ltd.,
Dimensional Fund Advisors Pte. and Dimensional Hong
Kong Limited. Director, Vice President, Director and
Assistant Secretary of Dimensional Fund Advisors Canada
ULC.
---------------------------------------------------------------------------------------------------------------------------
David P. Butler Vice President Since 2007 Vice President of all the DFA Entities. Head of Global
1964 Financial Services for Dimensional Fund Advisors LP
(since 2008).
---------------------------------------------------------------------------------------------------------------------------
Douglas M. Byrkit Vice President Since 2012 Vice President of all the DFA Entities. Formerly, Regional
1970 Director for Dimensional Fund Advisors LP (December
2010-January 2012).
---------------------------------------------------------------------------------------------------------------------------
Hunt M. Cairns Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional
1973 Director (January 2010-January 2014) for Dimensional
Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------------------
David K. Campbell Vice President Since 2016 Vice President of all the DFA Entities. Formerly, DC
1966 Relationship Manager for Dimensional Fund Advisors LP
(October 2010-January 2016).
---------------------------------------------------------------------------------------------------------------------------
Dennis M. Chamberlain Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Regional
1972 Director (January 2012-January 2015) for Dimensional
Fund Advisors LP; Principal for Chamberlain Financial
Group (October 2010-December 2011).
---------------------------------------------------------------------------------------------------------------------------
Ryan J. Chaplinski Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Regional
1971 Director (June 2011-January 2015) for Dimensional Fund
Advisors LP; Sales Executive for Vanguard (2004-June
2011).
31
TERM OF OFFICE/1/
AND LENGTH OF
NAME AND YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
----------------------------------------------------------------------------------------------------------------------------
James G. Charles Vice President Since 2011 Vice President of all the DFA Entities.
1956
----------------------------------------------------------------------------------------------------------------------------
Joseph H. Chi Vice President Since 2009 Vice President of all the DFA Entities. Co-Head of Portfolio
1966 Management (since March 2012) and Senior Portfolio
Manager (since January 2012) for Dimensional Fund
Advisors LP. Vice President of Dimensional Fund Advisors
Canada ULC (since April 2016). Formerly, Portfolio
Manager for Dimensional Fund Advisors LP (October 2005
to January 2012).
----------------------------------------------------------------------------------------------------------------------------
Pil Sun Choi Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Counsel
1972 for Dimensional Fund Advisors LP (April 2012-January
2014); Vice President and Counsel for AllianceBernstein
L.P. (2006-2012).
----------------------------------------------------------------------------------------------------------------------------
Stephen A. Clark Vice President Since 2004 Vice President of all the DFA Entities. Director and Vice
1972 President of Dimensional Japan Ltd (since February 2016).
President and Director of Dimensional Fund Advisors
Canada ULC (since February 2016), Vice President of DFA
Australia Limited (since April 2008) and Director (since Oct
2016). Director of Dimensional Advisors Ltd, Dimensional
Fund Advisors Pte. Ltd., and Dimensional Hong Kong
Limited, (since April 2016), Vice President of Dimensional
Fund Advisors Pte Ltd. (since June 2016), Head of Global
Institutional Services for Dimensional Fund Advisors LP
(since January 2014). Formerly, Vice President of
Dimensional Fund Advisors Canada ULC (December
2010-February 2016); Head of Institutional, North America
(March 2012 to December 2013) and Head of Portfolio
Management (January 2006 to March 2012) for
Dimensional Fund Advisors LP.
----------------------------------------------------------------------------------------------------------------------------
Matthew B. Cobb Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Regional
1971 Director for Dimensional Fund Advisors LP (September
2011-March 2013); Vice President at MullinTBG (2005-
2011).
----------------------------------------------------------------------------------------------------------------------------
Rose C. Cooke Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional
1971 Director for Dimensional Fund Advisors LP (August 2010-
March 2014).
----------------------------------------------------------------------------------------------------------------------------
Ryan Cooper Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Regional
1979 Director for Dimensional Fund Advisors LP (2003-March
2014).
----------------------------------------------------------------------------------------------------------------------------
Jeffrey D. Cornell Vice President Since 2012 Vice President of all the DFA Entities. Formerly, Regional
1976 Director for Dimensional Fund Advisors LP (August 2002-
January 2012).
----------------------------------------------------------------------------------------------------------------------------
Robert P. Cornell Vice President Since 2007 Vice President of all the DFA Entities.
1949
----------------------------------------------------------------------------------------------------------------------------
John W. Crill (Wes) Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Senior
1982 Associate, Research (January 2015-January 2016);
Associate, Research (January 2014-January 2015);
Analyst, Research (July 2010-January 2014) for
Dimensional Fund Advisors LP.
----------------------------------------------------------------------------------------------------------------------------
Christopher S. Crossan Vice President and Since 2004 Vice President and Global Chief Compliance Officer of all
1965 Global Chief the DFA Entities, DFA Australia Limited and Dimensional
Compliance Officer Fund Advisors Ltd. Chief Compliance Officer and Chief
Privacy Officer of Dimensional Fund Advisors Canada
ULC, Chief Compliance Officer of Dimensional Fund
Advisors Pte. Ltd. Formerly, Vice President and Global
Chief Compliance Officer for Dimensional SmartNest (US)
LLC (October 2010-2014).
----------------------------------------------------------------------------------------------------------------------------
John T. Curnutte Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Manager,
1980 Research Systems (November 2012-January 2016) for
Dimensional Fund Advisors LP; Assistant Vice President,
Oaktree Capital Management (April 2011-October 2012.
32
TERM OF OFFICE/1/
AND LENGTH OF
NAME AND YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
-----------------------------------------------------------------------------------------------------------------------------
John Dashtara Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Regional
1980 Director (July 2013-January 2015) for Dimensional Fund
Advisors LP; Relationship Manager for Blackrock, Inc. (July
2011-July 2013); Vice President for Towers Watson
(formerly, WellsCanning) (June 2009-July 2011).
-----------------------------------------------------------------------------------------------------------------------------
James L. Davis Vice President Since 1999 Vice President of all the DFA Entities.
1956
-----------------------------------------------------------------------------------------------------------------------------
Robert T. Deere Vice President Since 1994 Vice President of all the DFA Entities, DFA Australia
1957 Limited and Dimensional Fund Advisors Canada ULC.
-----------------------------------------------------------------------------------------------------------------------------
Johnathon K. DeKinder Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional
1979 Director (January 2012-January 2014) and Senior
Associate (August 2010-December 2011) for Dimensional
Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------------------------
Mark J. Dennis Vice President Since 2015 Vice President of all DFA Entities. Formerly, Regional
1976 Director (May 2011-January 2015) for Dimensional Fund
Advisors LP; Vice President, Portfolio Specialist (January
2007-May 2011) for Morgan Stanley Investment
Management.
-----------------------------------------------------------------------------------------------------------------------------
Massimiliano DeSantis Vice President Since 2015 Vice President of all DFA Entities. Formerly, Senior
1971 Associate, Research (November 2012-January 2015) for
Dimensional Fund Advisors LP; Senior Consultant, NERA
Economic Consulting, New York (May 2010-November
2012).
-----------------------------------------------------------------------------------------------------------------------------
Peter F. Dillard Vice President Since 2010 Vice President of all the DFA Entities. Chief Data Officer
1972 for Dimensional Fund Advisors LP (since January 2016).
-----------------------------------------------------------------------------------------------------------------------------
Robert W. Dintzner Vice President Since 2001 Vice President of all the DFA Entities.
1970
-----------------------------------------------------------------------------------------------------------------------------
Karen M. Dolan Vice President Since 2014 Vice President of all the DFA Entities. Head of Marketing
1979 for Dimensional Fund Advisors LP (since February 2013).
Formerly, Senior Manager of Research and Marketing for
Dimensional Fund Advisors LP (June 2012-January 2013);
Director of Mutual Fund Analysis at Morningstar (January
2008-May 2012).
-----------------------------------------------------------------------------------------------------------------------------
L. Todd Erskine Vice President Since 2015 Vice President of all DFA Entities. Formerly, Regional
1959 Director (May 2008-January 2015) for Dimensional Fund
Advisors LP.
-----------------------------------------------------------------------------------------------------------------------------
Richard A. Eustice Vice President and Since 1998 Vice President and Assistant Secretary of all the DFA
1965 Assistant Secretary Entities and DFA Australia Limited. Chief Operating Officer
for Dimensional Fund Advisors Pte. Ltd. (since April 2013).
Formerly, Chief Operating Officer for Dimensional Fund
Advisors Ltd. (July 2008-March 2013).
-----------------------------------------------------------------------------------------------------------------------------
Gretchen A. Flicker Vice President Since 2004 Vice President of all the DFA Entities.
1971
-----------------------------------------------------------------------------------------------------------------------------
Jed S. Fogdall Vice President Since 2008 Vice President of all the DFA Entities. Co-Head of Portfolio
1974 Management (since March 2012) and Senior Portfolio
Manager (since January 2012) of Dimensional Fund
Advisors LP. Vice President of Dimensional Fund Advisors
Canada ULC (since April 2016). Formerly, Portfolio
Manager of Dimensional Fund Advisors LP (September
2004-January 2012).
-----------------------------------------------------------------------------------------------------------------------------
Edward A. Foley Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional
1976 Director for Dimensional Fund Advisors LP (August 2011-
January 2014); Senior Vice President of First Trust
Advisors L.P. (2007-July 2011).
-----------------------------------------------------------------------------------------------------------------------------
Deborah J.G. Foster Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Senior
1959 Associate (May 2011-January 2015) for Dimensional Fund
Advisors LP.
-----------------------------------------------------------------------------------------------------------------------------
Jeremy P. Freeman Vice President Since 2009 Vice President of all the DFA Entities.
1970
33
TERM OF OFFICE/1/
AND LENGTH OF
NAME AND YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
--------------------------------------------------------------------------------------------------------------------------
Kimberly A. Ginsburg Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Vice
1970 President for Dimensional SmartNest (US) LLC (January
2012-November 2014); Senior Vice President for
Morningstar (July 2004-July 2011).
--------------------------------------------------------------------------------------------------------------------------
Mark R. Gochnour Vice President Since 2007 Vice President of all the DFA Entities.
1967
--------------------------------------------------------------------------------------------------------------------------
Tom M. Goodrum Vice President Since 2012 Vice President of all the DFA Entities. Formerly, Managing
1968 Director at BlackRock (2004-January 2012).
--------------------------------------------------------------------------------------------------------------------------
Henry F. Gray Vice President Since 2000 Vice President of all the DFA Entities.
1967
--------------------------------------------------------------------------------------------------------------------------
John T. Gray Vice President Since 2007 Vice President of all the DFA Entities.
1974
--------------------------------------------------------------------------------------------------------------------------
Christian Gunther Vice President Since 2011 Vice President of all the DFA Entities. Senior Trader for
1975 Dimensional Fund Advisors LP (since 2012). Formerly,
Senior Trader (2009-2012).
--------------------------------------------------------------------------------------------------------------------------
Robert W. Hawkins Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Counsel
1974 for Dimensional Fund Advisors LP (January 2011-January
2014).
--------------------------------------------------------------------------------------------------------------------------
Joel H. Hefner Vice President Since 2007 Vice President of all the DFA Entities.
1967
--------------------------------------------------------------------------------------------------------------------------
Kevin B. Hight Vice President Since 2005 Vice President of all the DFA Entities.
1967
--------------------------------------------------------------------------------------------------------------------------
Gregory K. Hinkle Vice President, Since 2016 Vice President, Chief Financial Officer, and Treasurer of all
1958 Chief Financial the DFA Entities. Interim Chief Financial Officer, interim
Officer, and Treasurer and Vice President of Dimensional Advisors Ltd.,
Treasurer Dimensional Hong Kong Limited, Dimensional Cayman
Commodity Fund I Ltd., Dimensional Fund Advisors
Canada ULC, Dimensional Fund Advisors Pte. Ltd, DFA
Australia Ltd. Formerly, interim Chief Financial Officer and
interim Treasurer (April 2016-September 2016), and
Controller (August 2015-September 2016) of all the DFA
Entities); Vice President of T. Rowe Price Group, Inc. and
Director of Investment Treasury and Treasurer of the
T. Rowe Price Funds (March 2008-July 2015).
--------------------------------------------------------------------------------------------------------------------------
Christine W. Ho Vice President Since 2004 Vice President of all the DFA Entities.
1967
--------------------------------------------------------------------------------------------------------------------------
Michael C. Horvath Vice President Since 2011 Vice President of all the DFA Entities. Formerly, Managing
1960 Director, Co-Head Global Consultant Relations at
BlackRock (2004-2011).
--------------------------------------------------------------------------------------------------------------------------
Mark A. Hunter Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Senior
1971 Compliance Officer (November 2010-January 2015) for
Dimensional Fund Advisors LP.
--------------------------------------------------------------------------------------------------------------------------
Alan R. Hutchison Vice President Since 2016 Vice President of all the DFA Entities. Portfolio Manager for
1977 Dimensional Fund Advisors LP (January 2013-Present).
Formerly, Investment Associate for Dimensional Fund
Advisors LP (January 2010-January 2013).
--------------------------------------------------------------------------------------------------------------------------
Shahryar S. Jaberzadeh Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Regional
1983 Director for Dimensional Fund Advisors LP (April 2006-
January 2016).
--------------------------------------------------------------------------------------------------------------------------
Jeremy R. James Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Manager,
1977 IT Service Management (October 2014-January 2016);
Manager, Managed DC Systems (October 2005-October
2014) for Dimensional Fund Advisors LP.
--------------------------------------------------------------------------------------------------------------------------
Jeff J. Jeon Vice President Since 2004 Vice President of all the DFA Entities and Dimensional
1973 Cayman Commodity Fund I Ltd.
--------------------------------------------------------------------------------------------------------------------------
Garret D. Jones Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Manager
1971 of Sales and Marketing Systems (January 2011-January
2014) for Dimensional Fund Advisors LP.
34
TERM OF OFFICE/1/
AND LENGTH OF
NAME AND YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
-------------------------------------------------------------------------------------------------------------------------
Stephen W. Jones Vice President Since 2012 Vice President of all the DFA Entities. Formerly, Facilities
1968 Manager for Dimensional Fund Advisors LP (October
2008-January 2012).
-------------------------------------------------------------------------------------------------------------------------
Scott P. Kaup Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Senior
1975 Manager, Investment Operations (January 2014-January
2015) and Investment Operations Manager (May 2008-
January 2014) for Dimensional Fund Advisors LP.
-------------------------------------------------------------------------------------------------------------------------
David M. Kavanaugh Vice President Since 2014 Vice President of all the DFA Entities. Head of Operations
1978 for Financial Advisor Services for Dimensional Fund
Advisors LP (since July 2014). Formerly, Counsel of
Dimensional Fund Advisors LP (August 2011-January
2014); Associate at Andrews Kurth LLP (2006-2011).
-------------------------------------------------------------------------------------------------------------------------
Patrick M. Keating Vice President Since 2003 Vice President of DFAIDG, DIG, DFAITC, DEM,
1954 Dimensional Holdings Inc., Dimensional Fund Advisors LP
and Dimensional Japan Ltd. Chief Operating Officer and
Director of Dimensional Japan Ltd. Formerly, Vice
President of DFA Securities LLC, Dimensional Cayman
Commodity Fund I Ltd. and Dimensional Advisors Ltd (until
February 2015); Chief Operating Officer of Dimensional
Holdings Inc., DFA Securities LLC, Dimensional Fund
Advisors LP, Dimensional Cayman Commodity Fund I Ltd.,
Dimensional Advisors Ltd. and Dimensional Fund Advisors
Pte. Ltd. (until February 2015); Director, Vice President,
and Chief Privacy Officer of Dimensional Fund Advisors
Canada ULC (until February 2015); Director of DFA
Australia Limited, Dimensional Fund Advisors Ltd. and
Dimensional Advisors Ltd. (until February 2015); and
Director and Vice President of Dimensional Hong Kong
Limited and Dimensional Fund Advisors Pte. Ltd. (until
February 2015).
-------------------------------------------------------------------------------------------------------------------------
Andrew K. Keiper Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Regional
1977 Director for Dimensional Fund Advisors LP (October 2004-
January 2013).
-------------------------------------------------------------------------------------------------------------------------
David M. Kershner Vice President Since 2010 Vice President of all the DFA Entities. Portfolio Manager for
1971 Dimensional Fund Advisors LP (since June 2004).
-------------------------------------------------------------------------------------------------------------------------
Arun C. Keswani Vice President Since 2016 Vice President of all the DFA Entities. Senior Portfolio
1975 Manager for Dimensional Fund Advisors LP (January
2015-Present). Formerly, Portfolio Manager (January
2013-January 2015) and Investment Associate (October
2011-January 2013) for Dimensional Fund Advisors LP;
Investment Banking Associate at Morgan Stanley (August
2010-September 2011).
-------------------------------------------------------------------------------------------------------------------------
Kimberly L. Kiser Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Creative
1972 Director for Dimensional Fund Advisors LP (September
2012-January 2014); Vice President and Global Creative
Director at Morgan Stanley (2007-2012); Visiting Assistant
Professor, Graduate Communications Design at Pratt
Institute (2004-2012).
-------------------------------------------------------------------------------------------------------------------------
Natalia Y. Knych Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Manager,
1971 RFP, Institutional (January 2015-January 2016); Senior
Associate, Institutional (April 2007-January 2015) for
Dimensional Fund Advisors LP.
-------------------------------------------------------------------------------------------------------------------------
Timothy R. Kohn Vice President Since 2011 Vice President of all the DFA Entities. Head of Defined
1971 Contribution Sales for Dimensional Fund Advisors LP
(since August 2010).
-------------------------------------------------------------------------------------------------------------------------
Joseph F. Kolerich Vice President Since 2004 Vice President of all the DFA Entities. Senior Portfolio
1971 Manager of Dimensional Fund Advisors LP (since January
2012). Formerly, Portfolio Manager for Dimensional (April
2001-January 2012).
-------------------------------------------------------------------------------------------------------------------------
35
TERM OF OFFICE/1/
AND LENGTH OF
NAME AND YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
------------------------------------------------------------------------------------------------------------------------
Mark D. Krasniewski Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Senior
1981 Associate, Investment Analytics and Data (January 2012-
December 2012) and Systems Developer (June 2007-
December 2011) for Dimensional Fund Advisors LP.
------------------------------------------------------------------------------------------------------------------------
Kahne L. Krause Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional
1966 Director (May 2010-January 2014) for Dimensional Fund
Advisors LP.
------------------------------------------------------------------------------------------------------------------------
Stephen W. Kurad Vice President Since 2011 Vice President of all the DFA Entities.
1968
------------------------------------------------------------------------------------------------------------------------
Michael F. Lane Vice President Since 2004 Vice President of all the DFA Entities. Formerly, Chief
1967 Executive Officer for Dimensional SmartNest (US) LLC
(July 2012-November 2014).
------------------------------------------------------------------------------------------------------------------------
Francis R. Lao Vice President Since 2011 Vice President of all the DFA Entities. Formerly, Vice
1969 President-Global Operations at Janus Capital Group
(2005-2011).
------------------------------------------------------------------------------------------------------------------------
David F. LaRusso Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Senior
1978 Trader (January 2010-December 2012) for Dimensional
Fund Advisors LP.
------------------------------------------------------------------------------------------------------------------------
Juliet H. Lee Vice President Since 2005 Vice President of all the DFA Entities.
1971
------------------------------------------------------------------------------------------------------------------------
Marlena I. Lee Vice President Since 2011 Vice President of all the DFA Entities.
1980
------------------------------------------------------------------------------------------------------------------------
Paul A. Lehman Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Regional
1971 Director (July 2013-January 2015) for Dimensional Fund
Advisors LP; Chief Investment Officer (April 2005-April
2013) for First Citizens Bancorporation.
------------------------------------------------------------------------------------------------------------------------
John B. Lessley Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Regional
1960 Director for Dimensional Fund Advisors LP (January 2008-
January 2013).
------------------------------------------------------------------------------------------------------------------------
Joy L. Lopez Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Senior Tax
1971 Manager (February 2013-January 2015) for Dimensional
Fund Advisors LP; Vice President and Tax Manager, North
America (August 2006-April 2012) for Pacific Investment
Management Company.
------------------------------------------------------------------------------------------------------------------------
Apollo D. Lupescu Vice President Since 2009 Vice President of all the DFA Entities.
1969
------------------------------------------------------------------------------------------------------------------------
Timothy P. Luyet Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Senior
1972 Manager, Marketing Operations (January 2014-January
2015), Manager, Client Systems (October 2011-January
2014) and RFP Manager (April 2010-October 2011) for
Dimensional Fund Advisors LP.
------------------------------------------------------------------------------------------------------------------------
Peter Magnusson Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional
1969 Director for Dimensional Fund Advisors LP (January 2011-
January 2014).
------------------------------------------------------------------------------------------------------------------------
Kenneth M. Manell Vice President Since 2010 Vice President of all the DFA Entities and Dimensional
1972 Cayman Commodity Fund I Ltd.
------------------------------------------------------------------------------------------------------------------------
Aaron M. Marcus Vice President Since 2008 Vice President of all DFA Entities and Head of Global
1970 Human Resources for Dimensional Fund Advisors LP.
------------------------------------------------------------------------------------------------------------------------
Duane R. Mattson Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Senior
1965 Compliance Officer (May 2012-January 2015) for
Dimensional Fund Advisors LP; Chief Compliance Officer
(April 2010-April 2012) for Al Frank Asset Management.
------------------------------------------------------------------------------------------------------------------------
Bryan R. McClune Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional
1975 Director of Dimensional Fund Advisors LP (January 2009-
January 2014).
------------------------------------------------------------------------------------------------------------------------
Philip P. McInnis Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional
1984 Director (January 2009-January 2014) and Senior
Associate (2011) for Dimensional Fund Advisors LP.
36
TERM OF OFFICE/1/
AND LENGTH OF
NAME AND YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
------------------------------------------------------------------------------------------------------------------------------
Francis L. McNamara Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Manager,
1959 Project Management Office for Dimensional Fund Advisors
LP (October 2006-January 2016).
------------------------------------------------------------------------------------------------------------------------------
Travis A. Meldau Vice President Since 2015 Vice President of all the DFA Entities. Portfolio Manager
1981 (since September 2011) for Dimensional Fund Advisors
LP. Formerly, Portfolio Manager for Wells Capital
Management (October 2004-September 2011).
------------------------------------------------------------------------------------------------------------------------------
Tracy R. Mitchell Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Regional
1974 Director for Dimensional Fund Advisors LP (September
2013-January 2016); Managing Director, Client Services,
Charles Schwab (December 2009-August 2013).
------------------------------------------------------------------------------------------------------------------------------
Jonathan G. Nelson Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Manager,
1971 Investment Systems (2011-January 2013) for Dimensional
Fund Advisors LP.
------------------------------------------------------------------------------------------------------------------------------
Catherine L. Newell Vice President and Vice President Vice President and Secretary of all the DFA Entities.
1964 Secretary since 1997 and Director, Vice President and Secretary of DFA Australia
Secretary since Limited and Dimensional Fund Advisors Ltd. (since
2000 February 2002, April 1997, and May 2002, respectively).
Vice President and Secretary of Dimensional Fund
Advisors Canada ULC (since June 2003), Dimensional
Cayman Commodity Fund I Ltd., Dimensional Japan Ltd
(since February 2012), Dimensional Advisors Ltd (since
March 2012), Dimensional Fund Advisors Pte. Ltd. (since
June 2012). Director of Dimensional Funds plc and
Dimensional Funds II plc (since 2002 and 2006,
respectively). Director of Dimensional Japan Ltd.,
Dimensional Advisors Ltd., Dimensional Fund Advisors
Pte. Ltd. and Dimensional Hong Kong Limited (since
August 2012 and July 2012). Formerly, Vice President and
Secretary of Dimensional SmartNest (US) LLC (October
2010-November 2014).
------------------------------------------------------------------------------------------------------------------------------
John R. Nicholson Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Regional
1977 Director (June 2011-January 2015) for Dimensional Fund
Advisors LP; Sales Executive for Vanguard (July 2008-May
2011).
------------------------------------------------------------------------------------------------------------------------------
Pamela B. Noble Vice President Since 2011 Vice President of all the DFA Entities. Formerly, Portfolio
1964 Manager for Dimensional Fund Advisors LP (2008-2010).
------------------------------------------------------------------------------------------------------------------------------
Selwyn Notelovitz Vice President and Since 2013 Vice President and Deputy Chief Compliance Officer of all
1961 Deputy Chief the DFA Entities. Deputy Chief Compliance Officer of
Compliance Officer Dimensional Fund Advisors LP (since December 2012).
Formerly, Chief Compliance Officer of Wellington
Management Company, LLP (2004-2011).
------------------------------------------------------------------------------------------------------------------------------
Carolyn L. O Vice President Since 2010 Vice President of all the DFA Entities, Dimensional
1974 Cayman Commodity Fund I Ltd., and Dimensional Fund
Advisors Canada ULC (since April 2016). Deputy General
Counsel, Funds (since 2011).
------------------------------------------------------------------------------------------------------------------------------
Gerard K. O'Reilly Vice President and Vice President Vice President and Co-Chief Investment Officer of all the
1976 Co-Chief since 2007 and DFA Entities, Dimensional Fund Advisors Canada ULC,
Investment Officer Co-Chief and Dimensional Japan Ltd. Director of Dimensional Funds
Investment Officer plc and Dimensional Fund II plc.
since 2014
------------------------------------------------------------------------------------------------------------------------------
Randy C. Olson Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Senior
1980 Compliance Officer for Dimensional Fund Advisors LP
(July 2014-January 2016); Vice President Regional Head
of Investment Compliance, Asia, PIMCO Asia Private
Limited (July 2012-July 2014); Country Compliance Officer,
Janus Capital, Singapore Private Limited (May 2011-June
2012).
------------------------------------------------------------------------------------------------------------------------------
Daniel C. Ong Vice President Since 2009 Vice President of all the DFA Entities. Portfolio Manager for
1973 Dimensional Fund Advisors LP (since July 2005).
37
TERM OF OFFICE/1/
AND LENGTH OF
NAME AND YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
----------------------------------------------------------------------------------------------------------------------
Kyle K. Ozaki Vice President Since 2010 Vice President of all the DFA Entities.
1978
----------------------------------------------------------------------------------------------------------------------
Matthew A. Pawlak Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Regional
1977 Director for Dimensional Fund Advisors LP (2012-January
2013); Senior Consultant (June 2011-December 2011) and
Senior Investment Analyst and Consultant (July 2008-June
2011) at Hewitt EnnisKnupp.
----------------------------------------------------------------------------------------------------------------------
Mary T. Phillips Vice President Since 2016 Vice President of all the DFA Entities. Senior Portfolio
1981 Manager (January 2015-present). Formerly, Portfolio
Manager (April 2014-January 2015) and Investment
Associate for Dimensional Fund Advisors LP (July 2012-
March 2014).
----------------------------------------------------------------------------------------------------------------------
Jeffrey L. Pierce Vice President Since 2015 Vice President of all the DFA Entities. Senior Manager,
1984 Advisor Benchmarking (since January 2015) for
Dimensional Fund Advisors LP. Formerly, Manager,
Advisor Benchmarking (April 2012-December 2014) for
Dimensional Fund Advisors LP; Senior Manager, Research
and Consulting (October 2010-April 2012) for Crain
Communications Inc.
----------------------------------------------------------------------------------------------------------------------
Olivian T. Pitis Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Regional
1974 Director (May 2011-January 2015) for Dimensional Fund
Advisors LP.
----------------------------------------------------------------------------------------------------------------------
Brian P. Pitre Vice President Since 2015 Vice President of all the DFA Entities. Counsel for
1976 Dimensional Fund Advisors LP (since February 2015).
Formerly, Chief Financial Officer and General Counsel for
Relentless (March 2014-January 2015); Vice President of
all the DFA Entities (January 2013-March 2014); Counsel
for Dimensional Fund Advisors LP (January 2009-March
2014).
----------------------------------------------------------------------------------------------------------------------
David A. Plecha Vice President Since 1993 Vice President of all the DFA Entities, DFA Australia
1961 Limited, Dimensional Fund Advisors Ltd. and Dimensional
Fund Advisors Canada ULC.
----------------------------------------------------------------------------------------------------------------------
Allen Pu Vice President Since 2011 Vice President of all the DFA Entities. Senior Portfolio
1970 Manager for Dimensional Fund Advisors LP (since January
2015). Formerly, Portfolio Manager for Dimensional Fund
Advisors LP (2006-January 2015).
----------------------------------------------------------------------------------------------------------------------
David J. Rapozo Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional
1967 Director for Dimensional Fund Advisors LP (January 2011-
January 2014).
----------------------------------------------------------------------------------------------------------------------
Mark A. Regier Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Planning
1969 and Analysis Manager for Dimensional Fund Advisors LP
(July 2007-January 2014).
----------------------------------------------------------------------------------------------------------------------
Cory T. Riedberger Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Regional
1979 Director (March 2011-January 2015) for Dimensional Fund
Advisors LP.
----------------------------------------------------------------------------------------------------------------------
Savina B. Rizova Vice President Since 2012 Vice President of all the DFA Entities. Formerly, Research
1981 Associate (June 2011-January 2012) for Dimensional Fund
Advisors LP.
----------------------------------------------------------------------------------------------------------------------
Michael F. Rocque Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Senior
1968 Fund Accounting Manager (July 2013-January 2015) for
Dimensional Fund Advisors LP; Senior Financial
Consultant and Chief Accounting Officer (July 2002-July
2013) for MFS Investment Management.
----------------------------------------------------------------------------------------------------------------------
L. Jacobo Rodriguez Vice President Since 2005 Vice President of all the DFA Entities.
1971
----------------------------------------------------------------------------------------------------------------------
Austin S. Rosenthal Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Vice
1978 President for Dimensional SmartNest (US) LLC
(September 2010-November 2014).
38
TERM OF OFFICE/1/
AND LENGTH OF
NAME AND YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
------------------------------------------------------------------------------------------------------------------------
Oliver J. Rowe Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Senior
1960 Manager, Human Resources for Dimensional Fund
Advisors LP (January 2012-January 2014); Director of
Human Resources at Spansion, Inc. (March 2009-
December 2011).
------------------------------------------------------------------------------------------------------------------------
Joseph S. Ruzicka Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Manager
1987 Investment Analytics and Data (January 2014-January
2015), Senior Associate, Investment Analytics and Data
(January 2013-January 2014), Associate, Investment
Analytics and Data (January 2012-January 2013), and
Investment Data Analyst (April 2010-January 2012) for
Dimensional Fund Advisors LP.
------------------------------------------------------------------------------------------------------------------------
Julie A. Saft Vice President Since 2010 Vice President of all the DFA Entities.
1959
------------------------------------------------------------------------------------------------------------------------
Joel P. Schneider Vice President Since 2015 Vice President of all the DFA Entities. Portfolio Manager
1980 (since 2013) for Dimensional Fund Advisors LP. Formerly,
Investment Associate (April 2011-January 2013) for
Dimensional Fund Advisors LP.
------------------------------------------------------------------------------------------------------------------------
Ashish Shrestha Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Regional
1978 Director (September 2009-January 2015) for Dimensional
Fund Advisors LP.
------------------------------------------------------------------------------------------------------------------------
Bruce A. Simmons Vice President Since 2009 Vice President of all the DFA Entities.
1965
------------------------------------------------------------------------------------------------------------------------
Ted R. Simpson Vice President Since 2007 Vice President of all the DFA Entities.
1968
------------------------------------------------------------------------------------------------------------------------
Bhanu P. Singh Vice President Since 2014 Vice President of all the DFA Entities. Senior Portfolio
1981 Manager for Dimensional Fund Advisors LP (since January
2015). Formerly, Portfolio Manager (January 2012-January
2015) and Investment Associate for Dimensional Fund
Advisors LP (August 2010-December 2011).
------------------------------------------------------------------------------------------------------------------------
Bryce D. Skaff Vice President Since 2007 Vice President of all the DFA Entities.
1975
------------------------------------------------------------------------------------------------------------------------
Lukas J. Smart Vice President Since 2014 Vice President of all the DFA Entities. Portfolio Manager of
1977 Dimensional Fund Advisors LP (since January 2010).
------------------------------------------------------------------------------------------------------------------------
Andrew D. Smith Vice President Since 2011 Vice President of all the DFA Entities.
1968
------------------------------------------------------------------------------------------------------------------------
Grady M. Smith Vice President Since 2004 Vice President of all the DFA Entities and Dimensional
1956 Fund Advisors Canada ULC.
------------------------------------------------------------------------------------------------------------------------
Matthew Snider Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Regional
1976 Director for Dimensional Fund Advisors LP (September
2011-January 2016); Sales Executive, Vanguard (May
2008-August 2011).
------------------------------------------------------------------------------------------------------------------------
Lawrence R. Spieth Vice President Since 2004 Vice President of all the DFA Entities.
1947
------------------------------------------------------------------------------------------------------------------------
Charlene L. St. John Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Senior
1965 Manager for Dimensional Fund Advisors LP (September
2014-January 2016); Vice President of Marketing, Forward
Management/Salient (January 2008-February 2014).
------------------------------------------------------------------------------------------------------------------------
Brent M. Stone Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Project
1971 Manager (September 2012-December 2015) and Manager,
Corporate Systems for Dimensional Fund Advisors LP
(January 2011-September 2012).
------------------------------------------------------------------------------------------------------------------------
Richard H. Tatlow V Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Regional
1971 Director for Dimensional Fund Advisors LP (April 2010-
January 2013).
------------------------------------------------------------------------------------------------------------------------
Blake T. Tatsuta Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Manager,
1973 Investment Analytics and Data (2012-January 2013) and
Research Assistant (2002-2011) for Dimensional Fund
Advisors LP.
39
TERM OF OFFICE/1/
AND LENGTH OF
NAME AND YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
-------------------------------------------------------------------------------------------------------------------------
James J. Taylor Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1983 Accounting Manager for Dimensional Fund Advisors LP
(November 2009-January 2016).
-------------------------------------------------------------------------------------------------------------------------
Erik T. Totten Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Regional
1980 Director (2010-January 2013) for Dimensional Fund
Advisors LP.
-------------------------------------------------------------------------------------------------------------------------
John H. Totten Vice President Since 2012 Vice President of all the DFA Entities. Formerly, Regional
1978 Director for Dimensional Fund Advisors LP (January 2008-
January 2012).
-------------------------------------------------------------------------------------------------------------------------
Robert C. Trotter Vice President Since 2009 Vice President of all the DFA Entities.
1958
-------------------------------------------------------------------------------------------------------------------------
Dave C. Twardowski Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Research
1982 Associate (June 2011-January 2015) for Dimensional Fund
Advisors LP.
-------------------------------------------------------------------------------------------------------------------------
Karen E. Umland Vice President Since 1997 Vice President of all the DFA Entities, DFA Australia
1966 Limited, Dimensional Fund Advisors Ltd., and Dimensional
Fund Advisors Canada ULC.
-------------------------------------------------------------------------------------------------------------------------
Benjamin C. Walker Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional
1979 Director for Dimensional Fund Advisors LP (September
2008-January 2014).
-------------------------------------------------------------------------------------------------------------------------
Brian J. Walsh Vice President Since 2009 Vice President of all the DFA Entities. Portfolio Manager for
1970 Dimensional Fund Advisors LP (since 2004).
-------------------------------------------------------------------------------------------------------------------------
Jessica Walton Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Regional
1974 Director (January 2012-January 2015) for Dimensional
Fund Advisors LP; Director of Marketing and Investor
Relations for Treaty Oak Capital Management (July 2011-
October 2011); Vice President for Rockspring Capital
(October 2010-July 2011).
-------------------------------------------------------------------------------------------------------------------------
Griffin S. Watkins Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Regional
1985 Director (January 2014-January 2016) and Senior
Associate (January 2011-December 2013) for Dimensional
Fund Advisors LP.
-------------------------------------------------------------------------------------------------------------------------
Timothy P. Wei Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Counsel
1968 for Dimensional Fund Advisors LP (July 2014-January
2016); Assistant General Counsel, Teacher Retirement
System of Texas (October 2008-June 2014).
-------------------------------------------------------------------------------------------------------------------------
Weston J. Wellington Vice President Since 1997 Vice President of all the DFA Entities.
1951
-------------------------------------------------------------------------------------------------------------------------
Ryan J. Wiley Vice President Since 2007 Vice President of all the DFA Entities.
1976
-------------------------------------------------------------------------------------------------------------------------
Kristina M. Williams Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Client
1975 Service Supervisor for Dowling & Yahnke (July 2014-
January 2016); Head of Operations for The Elements
Financial Group (January 2013-June 2014); Head of
Operations for Vericimetry Advisors LLC (July 2011-
December 2012).
-------------------------------------------------------------------------------------------------------------------------
Jeremy J. Willis Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Manager,
1976 Client Systems for Dimensional Fund Advisors LP (May
2012-January 2016); Vice President, Implementations,
Citigroup (August 2006-October 2011).
-------------------------------------------------------------------------------------------------------------------------
Stacey E. Winning Vice President Since 2015 Vice President of all the DFA Entities. Head of Global
1981 Recruiting and Development (since June 2014) for
Dimensional Fund Advisors LP. Formerly, Senior Manager,
Recruiting (December 2012-June 2014) for Dimensional
Fund Advisors LP; Co-Head of Global Recruiting (May
2009-November 2012) for Two Sigma Investments.
-------------------------------------------------------------------------------------------------------------------------
Cecelia K. Wong Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Client
1981 Service Manager for Dimensional Fund Advisors LP (June
2005-January 2016).
-------------------------------------------------------------------------------------------------------------------------
Craig A. Wright Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1982 Accounting Manager for Dimensional Fund Advisors LP
(November 2011-January 2016); Senior Associate,
PricewaterhouseCoopers LP (July 2009-November 2011).
-------------------------------------------------------------------------------------------------------------------------
Joseph L. Young Vice President Since 2011 Vice President of all the DFA Entities.
1978
/1/ Each officer holds office for an indefinite term at the pleasure of the
Board of Directors and until his or her successor is elected and qualified.
40
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Fund uses in voting
proxies relating to securities held in the portfolio is available (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.
41
NOTICE TO SHAREHOLDERS
(UNAUDITED)
For shareholders that do not have an October 31, 2016 tax year end, this notice
is for informational purposes only. For shareholders with an October 31, 2016
tax year end, please consult your tax advisor as to the pertinence of this
notice. For the fiscal year November 1, 2015 to October 31, 2016, each
Portfolio is designating the following items with regard to distributions paid
during the fiscal year. All designations are based on financial information
available as of the date of this annual report and, accordingly are subject to
change. For each item, it is the intention of the Portfolio to designate the
maximum amount permitted under the Internal Revenue Code and the regulations
thereunder.
QUALIFYING
FOR
NET CORPORATE
INVESTMENT SHORT-TERM LONG-TERM DIVIDENDS QUALIFYING FOREIGN FOREIGN
DFA INVESTMENT INCOME CAPITAL GAIN CAPITAL GAIN TOTAL RECEIVED DIVIDEND TAX SOURCE
DIMENSIONS GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DEDUCTION(1) INCOME(2) CREDIT(3) INCOME(4)
--------------------- ------------- ------------- ------------- ------------- ------------ ---------- --------- ---------
CSTG&E U.S. Social
Core Equity 2
Portfolio............ 55% -- 45% 100% 100% 100% -- --
CSTG&E International
Social Core Equity
Portfolio............ 100% -- -- 100% 100% 100% 6% 100%
QUALIFYING
SHORT-
QUALIFYING TERM
DFA INVESTMENT INTEREST CAPITAL
DIMENSIONS GROUP INC. INCOME(5) GAIN(6)
--------------------- ---------- ----------
CSTG&E U.S. Social
Core Equity 2
Portfolio............ 100% 100%
CSTG&E International
Social Core Equity
Portfolio............ 100% 100%
----------
(1)Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
income distributions (the total of short-term capital gain and net
investment income distributions).
(2)The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
Please note that these percentages are designated only, refer to your 1099
for actual qualified dividend income.
(3)"Foreign Tax Credit" represents dividends which qualify for the foreign tax
credit pass through and is reflected as a percentage of investment company
taxable income.
(4)"Foreign Source Income" represents the portion of dividends derived from
foreign sources, and is reflected as a percentage of investment company
taxable income.
(5)The percentage in this column represents the amount of "Qualifying Interest
Income" as created by The American Jobs Creation Act of 2004. The
information is reflected as a percentage ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
(6)The percentage in this column represents the amount of "Qualifying
Short-Term Capital Gain" as created by The American Jobs Creation Act of
2004. The information is reflected as a percentage of ordinary income
distributions (the total of short-term capital gain and net investment
income distributions).
42
DFA103116-015A
[LOGO] 00185764
[LOGO]
ANNUAL REPORT
year ended: October 31, 2016
DFA Investment Dimensions Group Inc.
U.S. Social Core Equity 2 Portfolio
U.S. Sustainability Core 1 Portfolio
International Sustainability Core 1 Portfolio
International Social Core Equity Portfolio
Emerging Markets Social Core Equity Portfolio
DFA Social Fixed Income Portfolio
[LOGO]
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
December 2016
Dear Fellow Shareholder,
On behalf of our team at Dimensional, I want to thank you for trusting us with
your investments. We recognize the important role those investments play in
your future plans, and we take the responsibility implied by this trust with
the utmost dedication and seriousness that it deserves.
Dimensional is focused on offering consistent ways to access the performance
delivered by securities in different markets and asset classes through
well-diversified, efficiently managed portfolios. The importance of the word
CONSISTENCY cannot be overemphasized. By being consistent in our investment
approach and the quality of our implementation, we create opportunities for you
to combine funds into an asset allocation that fits your goals and preferences
-- enabling you to be a long-term investor in control of your investments.
We recognize markets are full of uncertainties, which highlights the importance
of having efficiently managed funds focused on delivering value to investors as
part of an overall asset allocation that can help overcome those uncertainties.
We are fortunate to work with clients who are committed to a long-term
investment philosophy. We remain committed to managing investments for our
clients with the same dedication, transparency, efficiency, and consistency we
have for more than 35 years.
Sincerely,
/s/Eduardo A. Repetto
Eduardo A. Repetto
CO-CHIEF EXECUTIVE OFFICER AND CO-CHIEF INVESTMENT OFFICER
DFA INVESTMENT DIMENSIONS GROUP INC.
ANNUAL REPORT
TABLE OF CONTENTS
PAGE
----
--
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES............................ 1
Performance Charts................................................. 2
Management's Discussion and Analysis............................... 5
Disclosure of Fund Expenses........................................ 10
Disclosure of Portfolio Holdings................................... 12
Schedule of Investments/Summary Schedules of Portfolio Holdings
U.S. Social Core Equity 2 Portfolio............................ 14
U.S. Sustainability Core 1 Portfolio........................... 17
International Sustainability Core 1 Portfolio.................. 20
International Social Core Equity Portfolio..................... 24
Emerging Markets Social Core Equity Portfolio.................. 28
DFA Social Fixed Income Portfolio.............................. 32
Statements of Assets and Liabilities............................... 38
Statements of Operations........................................... 40
Statements of Changes in Net Assets................................ 42
Financial Highlights............................................... 44
Notes to Financial Statements...................................... 47
Report of Independent Registered Public Accounting Firm............ 59
Section 19(a) Notice............................................... 60
FUND MANAGEMENT....................................................... 61
VOTING PROXIES ON FUND PORTFOLIO SECURITIES........................... 75
NOTICE TO SHAREHOLDERS................................................ 76
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.
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SUMMARY SCHEDULES OF PORTFOLIO HOLDINGS
---------------------------------------
Investment Abbreviations
ADR American Depositary Receipt
GDR Global Depositary Receipt
P.L.C. Public Limited Company
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities that have generally been fair value factored. See Note B to Financial Statements.
** Calculated as a percentage of total net assets. Percentages shown parenthetically next to the category
headings have been calculated as a percentage of total investments. "Other Securities" are those
securities that are not among the top 50 holdings in 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) Because of commencement of operations and related preliminary transaction costs, these ratios
are not necessarily indicative of future ratios.
(C) Non-Annualized
(D) Annualized
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
SEC Securities and Exchange Commission
(a) Commencement of Operations.
1
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
U.S. SOCIAL CORE EQUITY 2 PORTFOLIO VS.
RUSSELL 3000(R) INDEX
OCTOBER 1, 2007-OCTOBER 31, 2016
[CHART]
U.S. Social Core Equity Russell 3000(R)
2 Portfolio Index
------------------------- -----------------------
10/2007 10,000 10,000
10/2007 9,930 10,042
11/2007 9,330 9,590
12/2007 9,238 9,532
01/2008 8,777 8,954
02/2008 8,516 8,676
03/2008 8,498 8,625
04/2008 8,951 9,056
05/2008 9,202 9,241
06/2008 8,366 8,479
07/2008 8,315 8,411
08/2008 8,497 8,542
09/2008 7,718 7,739
10/2008 6,207 6,366
11/2008 5,578 5,864
12/2008 5,714 5,976
01/2009 5,099 5,474
02/2009 4,505 4,901
03/2009 4,976 5,330
04/2009 5,706 5,891
05/2009 5,963 6,205
06/2009 5,932 6,226
07/2009 6,479 6,711
08/2009 6,737 6,951
09/2009 7,085 7,242
10/2009 6,796 7,056
11/2009 7,075 7,457
12/2009 7,409 7,669
01/2010 7,118 7,393
02/2010 7,451 7,643
03/2010 8,003 8,125
04/2010 8,336 8,301
05/2010 7,659 7,645
06/2010 7,099 7,205
07/2010 7,631 7,706
08/2010 7,141 7,343
09/2010 7,913 8,036
10/2010 8,206 8,350
11/2010 8,384 8,398
12/2010 9,075 8,968
01/2011 9,254 9,164
02/2011 9,706 9,497
03/2011 9,830 9,540
04/2011 10,030 9,824
05/2011 9,840 9,712
06/2011 9,655 9,537
07/2011 9,337 9,319
08/2011 8,597 8,760
09/2011 7,735 8,080
10/2011 8,827 9,010
11/2011 8,796 8,986
12/2011 8,835 9,060
01/2012 9,326 9,517
02/2012 9,742 9,919
03/2012 9,972 10,225
04/2012 9,865 10,158
05/2012 9,149 9,530
06/2012 9,470 9,904
07/2012 9,513 10,002
08/2012 9,824 10,251
09/2012 10,106 10,521
10/2012 10,031 10,339
11/2012 10,117 10,419
12/2012 10,381 10,547
01/2013 11,050 11,126
02/2013 11,182 11,273
03/2013 11,644 11,715
04/2013 11,688 11,907
05/2013 12,150 12,187
06/2013 12,028 12,029
07/2013 12,734 12,689
08/2013 12,337 12,334
09/2013 12,857 12,793
10/2013 13,389 13,336
11/2013 13,831 13,723
12/2013 14,231 14,086
01/2014 13,620 13,641
02/2014 14,242 14,288
03/2014 14,444 14,363
04/2014 14,376 14,381
05/2014 14,626 14,695
06/2014 15,123 15,063
07/2014 14,691 14,766
08/2014 15,283 15,386
09/2014 14,731 15,065
10/2014 15,062 15,479
11/2014 15,291 15,854
12/2014 15,369 15,854
01/2015 14,725 15,413
02/2015 15,674 16,305
03/2015 15,562 16,140
04/2015 15,620 16,213
05/2015 15,761 16,437
06/2015 15,554 16,162
07/2015 15,495 16,432
08/2015 14,646 15,440
09/2015 14,123 14,990
10/2015 15,141 16,174
11/2015 15,259 16,264
12/2015 14,657 15,930
01/2016 13,736 15,031
02/2016 13,869 15,026
03/2016 14,917 16,084
04/2016 15,039 16,184
05/2016 15,258 16,474
06/2016 15,138 16,508
07/2016 15,785 17,163
08/2016 15,969 17,206 Past performance is not predictive of
09/2016 16,012 17,233 future performance.
10/2016 15,656 16,861 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE SINCE redemption of fund shares.
TOTAL RETURN YEAR YEARS INCEPTION Russell data copyright (C) Russell
-------------------------------------------------------------- Investment Group 1995-2016, all rights
3.40% 12.14% 5.06% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
U.S. SUSTAINABILITY CORE 1 PORTFOLIO VS.
RUSSELL 3000(R) INDEX
MARCH 12, 2008-OCTOBER 31, 2016
[CHART]
U.S. Sustainability Core Russell 3000(R)
1 Portfolio Index
------------------------ -----------------------
03/2008 10,000 10,000
03/2008 10,190 10,127
04/2008 10,650 10,633
05/2008 10,910 10,851
06/2008 10,056 9,955
07/2008 10,006 9,876
08/2008 10,217 10,029
09/2008 9,270 9,086
10/2008 7,438 7,475
11/2008 6,794 6,885
12/2008 6,955 7,016
01/2009 6,315 6,428
02/2009 5,615 5,754
03/2009 6,162 6,258
04/2009 6,948 6,917
05/2009 7,305 7,286
06/2009 7,326 7,311
07/2009 7,951 7,880
08/2009 8,259 8,161
09/2009 8,680 8,503
10/2009 8,382 8,285
11/2009 8,783 8,755
12/2009 9,136 9,005
01/2010 8,836 8,680
02/2010 9,177 8,975
03/2010 9,785 9,540
04/2010 10,106 9,746
05/2010 9,288 8,976
06/2010 8,694 8,460
07/2010 9,286 9,047
08/2010 8,756 8,622
09/2010 9,632 9,436
10/2010 9,987 9,804
11/2010 10,112 9,861
12/2010 10,843 10,529
01/2011 11,063 10,759
02/2011 11,503 11,151
03/2011 11,620 11,201
04/2011 11,914 11,535
05/2011 11,746 11,403
06/2011 11,543 11,198
07/2011 11,237 10,942
08/2011 10,457 10,286
09/2011 9,522 9,487
10/2011 10,717 10,579
11/2011 10,707 10,551
12/2011 10,771 10,637
01/2012 11,356 11,174
02/2012 11,867 11,647
03/2012 12,167 12,006
04/2012 12,050 11,927
05/2012 11,239 11,190
06/2012 11,649 11,628
07/2012 11,734 11,744
08/2012 12,098 12,037
09/2012 12,444 12,353
10/2012 12,282 12,140
11/2012 12,390 12,234
12/2012 12,608 12,384
01/2013 13,380 13,063
02/2013 13,543 13,236
03/2013 14,107 13,755
04/2013 14,249 13,980
05/2013 14,728 14,310
06/2013 14,561 14,124
07/2013 15,436 14,898
08/2013 14,998 14,483
09/2013 15,614 15,021
10/2013 16,262 15,659
11/2013 16,778 16,113
12/2013 17,233 16,539
01/2014 16,633 16,016
02/2014 17,422 16,776
03/2014 17,551 16,865
04/2014 17,506 16,885
05/2014 17,862 17,254
06/2014 18,393 17,686
07/2014 17,935 17,338
08/2014 18,706 18,065
09/2014 18,186 17,688
10/2014 18,646 18,175
11/2014 18,994 18,616
12/2014 19,023 18,615
01/2015 18,406 18,097
02/2015 19,560 19,145
03/2015 19,411 18,950
04/2015 19,480 19,036
05/2015 19,721 19,299
06/2015 19,468 18,977
07/2015 19,606 19,294
08/2015 18,514 18,129
09/2015 17,904 17,601
10/2015 19,220 18,991
11/2015 19,358 19,096
12/2015 18,789 18,704
01/2016 17,687 17,649
02/2016 17,804 17,643
03/2016 19,078 18,886
04/2016 19,078 19,003
05/2016 19,431 19,343
06/2016 19,269 19,382
07/2016 20,120 20,152
08/2016 20,262 20,203
09/2016 20,311 20,235 Past performance is not predictive of
10/2016 19,837 19,797 future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE SINCE redemption of fund shares.
TOTAL RETURN YEAR YEARS INCEPTION Russell data copyright (C) Russell
-------------------------------------------------------------- Investment Group 1995-2016, all rights
3.21% 13.10% 8.25% reserved.
--------------------------------------------------------------------------------
2
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
MARCH 12, 2008-OCTOBER 31, 2016
[CHART]
International Sustainability MSCI World ex USA Index
Core 1 Portfolio (net dividends)
------------------------- -----------------------
03/2008 10,000 10,000
03/2008 10,110 10,013
04/2008 10,500 10,570
05/2008 10,680 10,730
06/2008 9,760 9,896
07/2008 9,386 9,544
08/2008 9,062 9,175
09/2008 7,852 7,850
10/2008 6,087 6,217
11/2008 5,752 5,880
12/2008 6,182 6,190
01/2009 5,477 5,612
02/2009 4,915 5,044
03/2009 5,314 5,377
04/2009 6,052 6,070
05/2009 6,912 6,838
06/2009 6,840 6,767
07/2009 7,482 7,402
08/2009 7,887 7,757
09/2009 8,257 8,077
10/2009 8,008 7,947
11/2009 8,226 8,144
12/2009 8,342 8,274
01/2010 7,986 7,886
02/2010 7,986 7,878
03/2010 8,562 8,385
04/2010 8,478 8,260
05/2010 7,494 7,349
06/2010 7,373 7,242
07/2010 8,125 7,912
08/2010 7,807 7,675
09/2010 8,604 8,411
10/2010 8,912 8,711
11/2010 8,540 8,342
12/2010 9,304 9,014
01/2011 9,518 9,208
02/2011 9,871 9,550
03/2011 9,691 9,358
04/2011 10,216 9,868
05/2011 9,938 9,575
06/2011 9,762 9,439
07/2011 9,534 9,283
08/2011 8,687 8,498
09/2011 7,720 7,645
10/2011 8,429 8,389
11/2011 8,189 8,001
12/2011 7,998 7,914
01/2012 8,526 8,341
02/2012 8,955 8,799
03/2012 8,962 8,734
04/2012 8,774 8,586
05/2012 7,771 7,607
06/2012 8,250 8,106
07/2012 8,227 8,207
08/2012 8,507 8,441
09/2012 8,776 8,697
10/2012 8,866 8,758
11/2012 9,057 8,942
12/2012 9,445 9,212
01/2013 9,841 9,665
02/2013 9,728 9,569
03/2013 9,852 9,645
04/2013 10,260 10,084
05/2013 10,045 9,858
06/2013 9,766 9,489
07/2013 10,317 9,994
08/2013 10,191 9,865
09/2013 10,959 10,562
10/2013 11,294 10,917
11/2013 11,363 10,984
12/2013 11,584 11,149
01/2014 11,142 10,699
02/2014 11,793 11,283
03/2014 11,765 11,232
04/2014 11,894 11,410
05/2014 12,046 11,586
06/2014 12,216 11,751
07/2014 11,896 11,541
08/2014 11,944 11,551
09/2014 11,400 11,076
10/2014 11,245 10,900
11/2014 11,257 11,034
12/2014 10,889 10,667
01/2015 10,877 10,629
02/2015 11,558 11,264
03/2015 11,379 11,076
04/2015 11,894 11,556
05/2015 11,906 11,455
06/2015 11,602 11,130
07/2015 11,663 11,306
08/2015 10,911 10,483
09/2015 10,453 9,953
10/2015 11,123 10,702
11/2015 11,062 10,532
12/2015 10,860 10,343
01/2016 10,236 9,631
02/2016 10,004 9,497
03/2016 10,744 10,141
04/2016 10,941 10,467
05/2016 10,990 10,349
06/2016 10,535 10,035
07/2016 11,058 10,528
08/2016 11,132 10,538 Past performance is not predictive of
09/2016 11,290 10,666 future performance.
10/2016 11,041 10,459 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE SINCE would pay on fund distributions or the
TOTAL RETURN YEAR YEARS INCEPTION redemption of fund shares.
--------------------------------------------------------------- MSCI data copyright MSCI 2016, all
-0.74% 5.55% 1.15% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
NOVEMBER 1, 2012-OCTOBER 31, 2016
[CHART]
International Social Core MSCI World ex USA Index
Equity Portfolio (net dividends)
-------------------------- -----------------------
11/2012 10,000 10,000
11/2012 10,070 10,146
12/2012 10,534 10,452
01/2013 10,969 10,966
02/2013 10,828 10,857
03/2013 10,939 10,943
04/2013 11,394 11,442
05/2013 11,091 11,185
06/2013 10,755 10,766
07/2013 11,408 11,339
08/2013 11,316 11,193
09/2013 12,152 11,984
10/2013 12,581 12,386
11/2013 12,622 12,462
12/2013 12,889 12,650
01/2014 12,455 12,139
02/2014 13,188 12,802
03/2014 13,158 12,744
04/2014 13,303 12,945
05/2014 13,438 13,145
06/2014 13,658 13,332
07/2014 13,290 13,095
08/2014 13,321 13,105
09/2014 12,605 12,567
10/2014 12,405 12,367
11/2014 12,320 12,519
12/2014 11,983 12,103
01/2015 11,876 12,060
02/2015 12,676 12,780
03/2015 12,416 12,567
04/2015 13,068 13,111
05/2015 13,068 12,997
06/2015 12,785 12,628
07/2015 12,752 12,828
08/2015 11,984 11,894
09/2015 11,469 11,293
10/2015 12,197 12,143
11/2015 12,132 11,950
12/2015 11,893 11,735
01/2016 11,139 10,927
02/2016 10,954 10,775
03/2016 11,830 11,506
04/2016 12,203 11,876
05/2016 12,137 11,742
06/2016 11,710 11,385
07/2016 12,277 11,945
08/2016 12,388 11,956 Past performance is not predictive of
09/2016 12,624 12,102 future performance.
10/2016 12,434 11,867 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE SINCE would pay on fund distributions or the
TOTAL RETURN YEAR INCEPTION redemption of fund shares.
---------------------------------------------------------- MSCI data copyright MSCI 2016, all
1.94% 5.60% rights reserved.
--------------------------------------------------------------------------------
3
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
Emerging Markets Social Core MSCI Emerging Markets Index
Equity Portfolio (net dividends)
---------------------------- ---------------------------
10/2006 10,000 10,000
11/2006 10,720 10,743
12/2006 11,151 11,227
01/2007 11,328 11,108
02/2007 11,235 11,043
03/2007 11,741 11,481
04/2007 12,529 12,025
05/2007 13,476 12,609
06/2007 13,772 13,200
07/2007 14,263 13,897
08/2007 13,876 13,601
09/2007 15,098 15,103
10/2007 16,675 16,788
11/2007 15,450 15,597
12/2007 15,402 15,652
01/2008 13,895 13,699
02/2008 14,397 14,710
03/2008 13,912 13,932
04/2008 14,815 15,062
05/2008 14,928 15,342
06/2008 13,269 13,811
07/2008 13,042 13,290
08/2008 12,152 12,229
09/2008 10,168 10,089
10/2008 7,235 7,328
11/2008 6,713 6,776
12/2008 7,393 7,305
01/2009 6,741 6,833
02/2009 6,247 6,447
03/2009 7,218 7,374
04/2009 8,556 8,601
05/2009 10,242 10,071
06/2009 10,149 9,935
07/2009 11,391 11,052
08/2009 11,486 11,013
09/2009 12,493 12,012
10/2009 12,270 12,027
11/2009 13,037 12,544
12/2009 13,592 13,039
01/2010 12,843 12,312
02/2010 12,971 12,355
03/2010 14,143 13,353
04/2010 14,282 13,514
05/2010 12,848 12,326
06/2010 12,928 12,235
07/2010 14,125 13,254
08/2010 13,920 12,997
09/2010 15,573 14,441
10/2010 16,028 14,860
11/2010 15,616 14,468
12/2010 16,774 15,500
01/2011 16,274 15,080
02/2011 16,013 14,939
03/2011 16,911 15,818
04/2011 17,536 16,308
05/2011 17,024 15,880
06/2011 16,771 15,636
07/2011 16,714 15,567
08/2011 15,221 14,176
09/2011 12,615 12,109
10/2011 14,218 13,713
11/2011 13,606 12,799
12/2011 13,207 12,645
01/2012 14,750 14,079
02/2012 15,737 14,922
03/2012 15,238 14,424
04/2012 14,855 14,252
05/2012 13,288 12,653
06/2012 13,889 13,142
07/2012 13,877 13,398
08/2012 14,005 13,354
09/2012 14,819 14,159
10/2012 14,702 14,073
11/2012 14,913 14,252
12/2012 15,896 14,949
01/2013 16,029 15,155
02/2013 15,920 14,965
03/2013 15,721 14,707
04/2013 15,867 14,818
05/2013 15,407 14,438
06/2013 14,260 13,518
07/2013 14,467 13,660
08/2013 14,126 13,425
09/2013 15,153 14,298
10/2013 15,840 14,993
11/2013 15,558 14,774
12/2013 15,395 14,560
01/2014 14,383 13,615
02/2014 14,902 14,066
03/2014 15,432 14,497
04/2014 15,543 14,546
05/2014 16,049 15,053
06/2014 16,459 15,453
07/2014 16,608 15,752
08/2014 17,079 16,107
09/2014 15,919 14,913
10/2014 15,994 15,089
11/2014 15,857 14,930
12/2014 15,203 14,241
01/2015 15,316 14,327
02/2015 15,768 14,770
03/2015 15,429 14,560
04/2015 16,460 15,680
05/2015 15,856 15,052
06/2015 15,408 14,661
07/2015 14,384 13,645
08/2015 13,107 12,411
09/2015 12,818 12,038
10/2015 13,584 12,896
11/2015 13,150 12,393
12/2015 12,847 12,117
01/2016 12,231 11,331
02/2016 12,218 11,312
03/2016 13,823 12,809
04/2016 13,977 12,879
05/2016 13,385 12,398
06/2016 14,120 12,894
07/2016 14,937 13,543
08/2016 15,079 13,879 Past performance is not predictive of
09/2016 15,293 14,058 future performance.
10/2016 15,333 14,091 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
--------------------------------------------------------------- MSCI data copyright MSCI 2016, all
12.87% 1.52% 4.37% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA SOCIAL FIXED INCOME PORTFOLIO VS.
BLOOMBERG BARCLAYS U.S. AGGREGATE BOND INDEX
APRIL 5, 2016-OCTOBER 31, 2016
[CHART]
DFA Social Fixed Bloomberg Barclays
Income Portfolio U.S. Aggregate Bond Index
------------------ ---------------------------
04/2016 $10,000 $10,000
04/2016 $9,973 $10,010
05/2016 $9,955 $10,012
06/2016 $10,148 $10,192
07/2016 $10,196 $10,257
08/2016 $10,142 $10,245
09/2016 $10,159 $10,239
10/2016 $10,075 $10,161
Past performance is not predictive of
future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL SINCE would pay on fund distributions or the
TOTAL RETURN INCEPTION redemption of fund shares.
----------------------------------------------------------- Bloomberg Barclays data provided by
0.75% Bloomberg.
--------------------------------------------------------------------------------
4
DFA INVESTMENT DIMENSIONS GROUP INC.
MANAGEMENT'S DISCUSSION AND ANALYSIS
(UNAUDITED)
U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2016
Most U.S. equities had positive returns during the period. The broad U.S.
equity market, as measured by the Russell 3000(R) Index, gained approximately
4.2%. Large-cap stocks outperformed small-cap stocks as measured by the Russell
indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2016
-------------------------------------------------
Russell 3000(R) Index........................ 4.24%
Russell Microcap(R) Index (micro-cap stocks). 1.54%
Russell 2000(R) Index (small-cap stocks)..... 4.11%
Russell 1000(R) Index (large-cap stocks)..... 4.26%
Dow Jones U.S. Select REIT Index /SM/........ 4.96%
Value stocks outperformed growth stocks as measured by the Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED
OCTOBER 31, 2016
--------------------------------
Russell 2000(R) Value Index
(small-cap value stocks)......... 8.81%
Russell 2000(R) Growth Index
(small-cap growth stocks)........ -0.49%
Russell 1000(R) Value Index
(large-cap value stocks)......... 6.37%
Russell 1000(R) Growth Index
(large-cap growth stocks)........ 2.28%
----------
Source: Frank Russell Company is the source and owner of the trademarks,
service marks, and copyrights related to the Russell Indexes.
DOMESTIC EQUITY PORTFOLIOS' PERFORMANCE OVERVIEW
U.S. SOCIAL CORE EQUITY 2 PORTFOLIO
The U.S. Social Core Equity 2 Portfolio invests in a broadly diversified
group of U.S. securities with increased exposure to smaller company stocks and
value stocks relative to the market. Value is measured primarily by
book-to-market ratio. The Portfolio excludes from purchase companies and
industries that do not pass the Portfolio's social issue screens. The
investment strategy is process driven, emphasizing broad diversification. As of
October 31, 2016, the Portfolio held approximately 2,400 securities. In
general, average cash exposure throughout the year was less than 1% of the
Portfolio's assets.
For the 12 months ended October 31, 2016, total returns were 3.40% for the
Portfolio and 4.24% for the Russell 3000(R) Index, the Portfolio's benchmark.
As a result of the Portfolio's diversified investment approach, performance was
determined principally by broad trends in the U.S. equity market, rather than
the behavior of a limited number of stocks. The Portfolio had a greater
allocation than the benchmark to lower total market capitalization stocks,
which detracted from the Portfolio's performance as mid-cap stocks
underperformed. The Portfolio also had a lesser allocation to large cap growth
stocks, which outperformed.
U.S. SUSTAINABILITY CORE 1 PORTFOLIO
The U.S. Sustainability Core Equity 1 Portfolio invests in a broadly
diversified group of U.S. securities with increased exposure to smaller company
stocks and value stocks relative to the market. Value is measured primarily by
book-to-market ratio. The Portfolio further adjusts the weights of all eligible
companies based on environmental and social sustainability considerations,
emphasizing companies with higher sustainability scores and excluding or
deemphasizing companies with lower sustainability scores. The investment
strategy is process driven, emphasizing broad diversification. As of
October 31, 2016, the Portfolio held approximately 1,900 securities. In
general, average cash exposure throughout the year was less than 1% of the
Portfolio's assets.
5
For the 12 months ended October 31, 2016, total returns were 3.21% for the
Portfolio and 4.24% for the Russell 3000(R) Index, the Portfolio's benchmark.
As a result of the Portfolio's diversified investment approach, performance was
determined principally by broad trends in the U.S. equity market, rather than
the behavior of a limited number of stocks. The Portfolio had a greater
allocation than the benchmark to lower total market capitalization stocks,
which detracted from the Portfolio's performance as mid-cap stocks
underperformed. The Portfolio also had a lesser allocation to large cap growth
stocks, which outperformed.
INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2016
Performance of non-U.S. developed markets was varied for the period.
Small-cap stocks had positive returns, while large-cap stocks had negative
returns. As measured by the MSCI World ex USA indices, small-cap stocks
outperformed large-cap stocks, and value stocks outperformed growth stocks.
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
RETURN IN U.S. DOLLARS
----------------------
MSCI World ex USA Index............ -2.27%
MSCI World ex USA Small Cap Index.. 3.96%
MSCI World ex USA Value Index...... -2.07%
MSCI World ex USA Growth Index..... -2.58%
During the period, the performance of the U.S. dollar was mixed when
compared against the currencies of other developed markets. In particular,
while the U.S. dollar appreciated significantly against the British pound, it
depreciated significantly against the Japanese yen. Overall, currency
fluctuations detracted from USD-denominated returns in developed markets.
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLARS
--------------------------------------------------- ------------ ----------------------
Japan............................. -10.14% 3.19%
United Kingdom.................... 13.55% -10.24%
France............................ -4.31% -5.04%
Switzerland....................... -8.27% -8.57%
Canada............................ 11.55% 8.90%
Germany........................... -2.14% -2.89%
Australia......................... 5.52% 12.55%
Hong Kong......................... 8.52% 8.45%
Spain............................. -8.40% -9.10%
Netherlands....................... 0.63% -0.20%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2016, all rights reserved.
Emerging markets had stronger performance over the period than non-U.S.
developed markets. As measured by the MSCI emerging markets indices, small-cap
stocks underperformed large-cap stocks, and growth stocks outperformed value
stocks.
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
RETURN IN U.S. DOLLAR
---------------------
MSCI Emerging Markets Index............. 9.27%
MSCI Emerging Markets Small Cap Index... 4.78%
MSCI Emerging Markets Value Index....... 8.60%
MSCI Emerging Markets Growth Index...... 9.81%
During the period, the performance of the U.S. dollar was mixed when
compared against the currencies of emerging markets. In particular, while the
U.S. dollar appreciated significantly against the Mexican peso, it also
depreciated significantly against the Brazilian real. Overall, currency
fluctuations detracted from USD-denominated returns in emerging markets.
6
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
TEN LARGEST EMERGING MARKETS BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLAR
------------------------------------------ ------------ ---------------------
China........................ 1.62% 1.54%
Korea........................ 5.56% 5.17%
Taiwan....................... 14.56% 17.85%
India........................ 6.28% 3.99%
South Africa................. -0.92% 1.46%
Brazil....................... 40.59% 70.69%
Mexico....................... 8.65% -4.51%
Russia....................... 17.86% 18.61%
Malaysia..................... 4.44% 6.95%
Indonesia.................... 26.13% 32.31%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2016, all rights reserved.
For funds investing in non-US equities traded outside of the U.S. market
time zone, differences in the valuation timing and methodology between a fund
and its benchmark index may impact relative performance over the referenced
period. The funds price foreign exchange rates at the closing of the U.S.
market while their benchmark indices use rates at 4 p.m. London time. The funds
also may use fair value pricing to price certain portfolio securities at the
closing of the U.S. market, while benchmark indices may use local market
closing prices. For the one-year period ended October 31, 2016, these
differences generally benefitted the funds' relative performance.
INTERNATIONAL EQUITY PORTFOLIOS' PERFORMANCE OVERVIEW
INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO
The International Sustainability Core 1 Portfolio invests in a broadly
diversified group of stocks in developed ex U.S. markets, with increased
exposure to stocks with smaller market capitalization and lower relative price.
The Portfolio further adjusts the weights of companies based on environmental
and social sustainability considerations, emphasizing companies with higher
sustainability scores and excluding or deemphasizing companies with lower
sustainability scores. The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2016, the Portfolio held approximately
3,000 securities in 22 eligible developed markets. In general, average cash
exposure throughout the year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2016, total returns were -0.74% for the
Portfolio and -2.27% for the MSCI World ex USA Index (net dividends), the
Portfolio's benchmark. As a result of the Portfolio's diversified investment
approach, performance was determined principally by broad trends in developed
ex U.S. equity markets rather than by the behavior of a limited number of
stocks. The Portfolio invests in stocks across all size categories, while the
benchmark primarily includes large- and mid-cap stocks. With developed ex U.S.
small-cap stocks generally outperforming large-cap stocks during the period,
the Portfolio's inclusion of small-cap stocks contributed positively to
performance relative to the benchmark.
INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO
The International Social Core Equity Portfolio invests in a broadly
diversified group of stocks in developed ex U.S. markets, with increased
exposure to stocks with smaller market capitalization and lower relative price.
The Portfolio excludes from purchase companies and industries that do not pass
the Portfolio's social issue screens. The investment strategy is process
driven, emphasizing broad diversification. As of October 31, 2016, the
Portfolio held approximately 3,700 securities in 22 eligible developed markets.
In general, average cash exposure throughout the year was less than 1% of the
Portfolio's assets.
For the 12 months ended October 31, 2016, total returns were 1.94% for the
Portfolio and -2.27% for the MSCI World ex USA Index (net dividends), the
Portfolio's benchmark. As a result of the Portfolio's diversified investment
approach, performance was determined principally by broad trends in developed
ex U.S. equity markets rather than by the behavior of a limited number of
stocks. The Portfolio invests in stocks across all size categories, while
7
the Index primarily includes large- and mid-cap stocks. With developed ex U.S.
small-cap stocks generally outperforming large-cap stocks during the period,
the Portfolio's inclusion of small-cap stocks contributed positively to
performance relative to the benchmark. To a lesser extent, the Portfolio's
greater emphasis than the benchmark on low relative price (value) stocks also
had a positive impact on the Portfolio's relative performance, as value stocks
generally outperformed during the period. The Portfolio's lesser allocation to
the healthcare sector (due to the Portfolio's social screens) also contributed
positively to relative performance, as healthcare was the weakest-performing
sector in the benchmark.
EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO
The Emerging Markets Social Core Equity Portfolio is designed to capture the
returns of a broadly diversified group of stocks in emerging markets, with
increased exposure to stocks with smaller market capitalization and lower
relative price. The Portfolio excludes from purchase companies and industries
that do not pass the Portfolio's social issue screens. The investment strategy
is process driven, emphasizing broad diversification. As of October 31, 2016,
the Portfolio held approximately 3,400 securities across 21 eligible emerging
markets. In general, average cash exposure throughout the year was less than 1%
of the Portfolio's assets.
For the 12 months ended October 31, 2016, total returns were 12.87% for the
Portfolio and 9.27% for the MSCI Emerging Markets Index (net dividends), the
Portfolio's benchmark. As a result of the Portfolio's diversified approach,
performance was generally determined by broad trends in emerging markets rather
than by the behavior of a limited number of stocks. The Portfolio's inclusion
of small-cap securities, particularly the lowest relative price (deep value)
small-cap securities, contributed positively to its performance relative to the
benchmark as that segment of the market outperformed for the year. At the
country level, the Portfolio's lesser allocation to China benefited relative
performance, as China underperformed. In addition, the Portfolio's greater
allocation to Brazil had a positive impact on the Portfolio's relative
performance, as Brazil was the strongest performer in the benchmark for the
year.
FIXED INCOME MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2016
Interest rates in both U.S. and developed international fixed income markets
generally decreased across their respective yield curves for the year ended
October 31, 2016. In the U.S., the yield curve flattened as shorter-term bond
yields increased and longer-term bond yields declined. The Eurozone, as well as
U.K. and Japan, saw a sharp decline in bond yields across the curve with the
largest declines in longer-term bonds. In general, U.S. and developed
international fixed income market investment grade credit outperformed
government bonds of similar duration. The one-month U.S. Treasury bill yield
increased to 0.17% during the period, while the yield on ten-year U.S. Treasury
notes decreased to 1.83%.
10/31/2015 10/31/2016 CHANGE
---------- ---------- ------
One-Month Treasury Bill (yield).... 0.00% 0.17% 0.17%
Ten-Year U.S. Treasury Notes
(yield).......................... 2.14% 1.83% -0.31%
----------
Source: Bloomberg.
There is generally an inverse relationship between interest rates and bond
prices, such that bond prices fall when interest rates rise. For the 12 months
ended October 31, 2016, the total return was 0.32% for three-month U.S.
Treasury bills, 2.36% for five-year U.S. Treasury notes, and 9.65% for 30-year
U.S. Treasury bonds.
Source: Bloomberg Barclays US Treasury Bellwethers.
Some of Dimensional's fixed income strategies are based on a
variable-maturity strategy that identifies a maturity range with favorable
risk-adjusted expected returns. When the yield curve is flat or inverted,
short-term securities are believed to offer the most attractive opportunity on
a risk-adjusted basis. When the yield curve is upwardly sloped, maturities may
be lengthened to position a portfolio for higher expected returns associated
with longer maturities. These higher returns may be achieved by capital
appreciation (from holding bonds through an upwardly sloped term structure) as
well as by earning higher current yields. During the period under review, the
portfolios employing a variable maturity approach continued to take term risk,
reflecting upward-sloping eligible yield curves
8
Some of Dimensional's fixed income strategies are based on a variable-credit
approach that varies exposure to credit risk. When credit spreads are narrow,
higher-quality securities are believed to offer the more attractive opportunity
on a risk-adjusted basis. When credit spreads are wide, additional credit risk
may be taken to position a portfolio for higher expected returns associated
with increased credit risk. The portfolios employing a variable-credit approach
continued to focus on single-A and BBB-rated bonds during the first few months
of 2016 as credit spreads remained relatively wide. In the second half of the
fiscal year, the portfolios increased their allocation to higher-quality bonds
as credit spreads started to narrow.
FIXED INCOME PORTFOLIO'S PERFORMANCE OVERVIEW
DFA SOCIAL FIXED INCOME PORTFOLIO
The DFA Social Fixed Income Portfolio is designed to maximize total returns
through exposure to a broad portfolio of investment grade debt securities of
U.S. and non-U.S. corporate and government issuers using a variable credit
approach. The Portfolio emphasizes investment grade obligations rated in the
lower half of the investment grade spectrum, except when the Advisor believes
the credit risk premium does not warrant investment in these lower rated
securities. The Portfolio seeks to limit its investment to securities that are
consistent with the Portfolio's social issue screens. The average duration of
the Portfolio was 5.43 years on October 31, 2016. The Portfolio's average
sector allocation as of October 31, 2016, was approximately 57.2% in corporate
securities and 42.8% in government securities.
From inception on April 5, 2016, through October 31, 2016, the total return
was 0.75% for the Portfolio and 1.61% for the Bloomberg Barclays U.S. Aggregate
Bond Index, the Portfolio's benchmark. For the period since inception, the
Portfolio underperformed the benchmark due to its relative overweight in
intermediate-term government bonds during a period when government bonds
underperformed corporate bonds. Further detracting from performance was the
Portfolio's lack of exposure to bonds with maturities greater than 15 years
during a period of declining rates.
9
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2016
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/16 10/31/16 RATIO* PERIOD*
--------- --------- ---------- --------
U.S. SOCIAL CORE EQUITY 2 PORTFOLIO
-----------------------------------
Actual Fund Return............................ $1,000.00 $1,041.00 0.27% $1.39
Hypothetical 5% Annual Return................. $1,000.00 $1,023.78 0.27% $1.37
U.S. SUSTAINABILITY CORE 1 PORTFOLIO
------------------------------------
Actual Fund Return............................ $1,000.00 $1,039.80 0.25% $1.28
Hypothetical 5% Annual Return................. $1,000.00 $1,023.88 0.25% $1.27
INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO
---------------------------------------------
Actual Fund Return............................ $1,000.00 $1,009.20 0.42% $2.12
Hypothetical 5% Annual Return................. $1,000.00 $1,023.03 0.42% $2.14
10
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/16 10/31/16 RATIO* PERIOD*
--------- --------- ---------- --------
INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO
------------------------------------------
Actual Fund Return............................ $1,000.00 $1,019.00 0.45% $2.28
Hypothetical 5% Annual Return................. $1,000.00 $1,022.87 0.45% $2.29
EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO
---------------------------------------------
Actual Fund Return............................ $1,000.00 $1,097.00 0.63% $3.32
Hypothetical 5% Annual Return................. $1,000.00 $1,021.97 0.63% $3.20
DFA SOCIAL FIXED INCOME PORTFOLIO
---------------------------------
Actual Fund Return............................ $1,000.00 $1,010.20 0.27% $1.36
Hypothetical 5% Annual Return................. $1,000.00 $1,023.78 0.27% $1.37
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then divided
by the number of days in the year (366) to reflect the six-month period.
11
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on September 28, 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
U.S. SOCIAL CORE EQUITY 2 PORTFOLIO
Consumer Discretionary....................... 15.8%
Consumer Staples............................. 5.8%
Energy....................................... 7.5%
Financials................................... 19.4%
Health Care.................................. 7.4%
Industrials.................................. 13.6%
Information Technology....................... 19.7%
Materials.................................... 4.9%
Real Estate.................................. 0.5%
Telecommunication Services................... 3.1%
Utilities.................................... 2.3%
-----
100.0%
U.S. SUSTAINABILITY CORE 1 PORTFOLIO
Consumer Discretionary....................... 16.8%
Consumer Staples............................. 7.4%
Energy....................................... 2.5%
Financials................................... 17.1%
Health Care.................................. 13.0%
Industrials.................................. 13.3%
Information Technology....................... 21.7%
Materials.................................... 3.5%
Real Estate.................................. 0.2%
Telecommunication Services................... 3.1%
Utilities.................................... 1.4%
-----
100.0%
INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO
Consumer Discretionary....................... 16.0%
Consumer Staples............................. 8.1%
Energy....................................... 3.0%
Financials................................... 20.8%
Health Care.................................. 8.8%
Industrials.................................. 19.4%
Information Technology....................... 6.8%
Materials.................................... 9.3%
Real Estate.................................. 1.2%
Telecommunication Services................... 4.6%
Utilities.................................... 2.0%
-----
100.0%
12
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO
Consumer Discretionary....................... 13.6%
Consumer Staples............................. 5.7%
Energy....................................... 7.7%
Financials................................... 20.9%
Health Care.................................. 2.9%
Industrials.................................. 18.4%
Information Technology....................... 6.4%
Materials.................................... 14.9%
Real Estate.................................. 2.9%
Telecommunication Services................... 3.6%
Utilities.................................... 3.0%
-----
100.0%
EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO
Consumer Discretionary....................... 10.9%
Consumer Staples............................. 8.5%
Energy....................................... 5.9%
Financials................................... 21.0%
Health Care.................................. 1.7%
Industrials.................................. 8.8%
Information Technology....................... 20.1%
Materials.................................... 10.6%
Real Estate.................................. 3.5%
Telecommunication Services................... 4.5%
Utilities.................................... 4.5%
-----
100.0%
FIXED INCOME PORTFOLIO
DFA SOCIAL FIXED INCOME PORTFOLIO
Corporate.................................... 48.2%
Government................................... 42.3%
Foreign Corporate............................ 6.1%
Foreign Government........................... 3.4%
-----
100.0%
13
U.S. SOCIAL CORE EQUITY 2 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (86.8%)
Consumer Discretionary -- (13.7%)
* Amazon.com, Inc............... 5,000 $ 3,949,100 0.6%
Comcast Corp. Class A......... 123,586 7,640,087 1.1%
Ford Motor Co................. 192,607 2,261,206 0.3%
General Motors Co............. 75,607 2,389,181 0.4%
Home Depot, Inc. (The)........ 15,237 1,859,066 0.3%
Time Warner, Inc.............. 32,617 2,902,587 0.4%
Walt Disney Co. (The)......... 36,165 3,352,134 0.5%
Other Securities.............. 83,252,575 12.1%
------------ -----
Total Consumer Discretionary...... 107,605,936 15.7%
------------ -----
Consumer Staples -- (5.1%)
Coca-Cola Co. (The)........... 59,698 2,531,195 0.4%
CVS Health Corp............... 41,380 3,480,058 0.5%
PepsiCo, Inc.................. 20,764 2,225,901 0.3%
Wal-Mart Stores, Inc.......... 81,306 5,693,046 0.8%
Walgreens Boots Alliance, Inc. 27,930 2,310,649 0.3%
Other Securities.............. 23,569,416 3.5%
------------ -----
Total Consumer Staples............ 39,810,265 5.8%
------------ -----
Energy -- (6.5%)
Chevron Corp.................. 39,909 4,180,468 0.6%
Exxon Mobil Corp.............. 127,953 10,661,044 1.6%
Schlumberger, Ltd............. 27,919 2,184,103 0.3%
Other Securities.............. 33,821,664 4.9%
------------ -----
Total Energy...................... 50,847,279 7.4%
------------ -----
Financials -- (16.9%)
American Express Co........... 41,123 2,731,390 0.4%
Bank of America Corp.......... 216,341 3,569,626 0.5%
Bank of New York Mellon Corp.
(The)........................ 34,034 1,472,651 0.2%
* Berkshire Hathaway, Inc.
Class B...................... 20,210 2,916,303 0.4%
Citigroup, Inc................ 61,619 3,028,574 0.5%
JPMorgan Chase & Co........... 117,793 8,158,343 1.2%
PNC Financial Services Group,
Inc. (The)................... 16,112 1,540,307 0.2%
Travelers Cos., Inc. (The).... 15,702 1,698,642 0.3%
U.S. Bancorp.................. 55,812 2,498,145 0.4%
Wells Fargo & Co.............. 190,545 8,766,975 1.3%
Other Securities.............. 96,106,241 13.9%
------------ -----
Total Financials.................. 132,487,197 19.3%
------------ -----
Health Care -- (6.4%)
Abbott Laboratories........... 46,047 1,806,884 0.3%
Aetna, Inc.................... 14,628 1,570,316 0.2%
Amgen, Inc.................... 14,700 2,075,052 0.3%
* Express Scripts Holding Co.... 32,987 2,223,324 0.3%
Medtronic P.L.C............... 27,831 2,282,699 0.3%
UnitedHealth Group, Inc....... 20,900 2,953,797 0.4%
Other Securities.............. 37,452,550 5.5%
------------ -----
Total Health Care................. 50,364,622 7.3%
------------ -----
14
U.S. SOCIAL CORE EQUITY 2 PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (11.8%)
Delta Air Lines, Inc.......................................... 40,560 $ 1,694,191 0.3%
FedEx Corp.................................................... 9,778 1,704,501 0.3%
Union Pacific Corp............................................ 30,819 2,717,619 0.4%
* United Continental Holdings, Inc.............................. 27,034 1,520,122 0.2%
United Technologies Corp...................................... 40,001 4,088,102 0.6%
Other Securities.............................................. 80,704,846 11.7%
------------ ------
Total Industrials................................................... 92,429,381 13.5%
------------ ------
Information Technology -- (17.1%)
* Alphabet, Inc. Class A........................................ 4,434 3,591,097 0.5%
* Alphabet, Inc. Class C........................................ 4,673 3,666,155 0.5%
Apple, Inc.................................................... 146,938 16,683,341 2.4%
Cisco Systems, Inc............................................ 209,576 6,429,792 0.9%
* Facebook, Inc. Class A........................................ 19,995 2,619,145 0.4%
Intel Corp.................................................... 220,182 7,677,746 1.1%
# International Business Machines Corp.......................... 11,642 1,789,259 0.3%
Microsoft Corp................................................ 134,171 8,039,526 1.2%
Oracle Corp................................................... 61,198 2,351,227 0.4%
QUALCOMM, Inc................................................. 61,441 4,222,226 0.6%
Visa, Inc. Class A............................................ 27,076 2,234,041 0.3%
Other Securities.............................................. 75,026,414 11.0%
------------ ------
Total Information Technology........................................ 134,329,969 19.6%
------------ ------
Materials -- (4.2%)
Dow Chemical Co. (The)........................................ 38,029 2,046,341 0.3%
Other Securities.............................................. 31,279,250 4.5%
------------ ------
Total Materials..................................................... 33,325,591 4.8%
------------ ------
Real Estate -- (0.4%)
Other Securities.............................................. 3,113,515 0.4%
------------ ------
Telecommunication Services -- (2.7%)
AT&T, Inc..................................................... 329,305 12,115,131 1.8%
Verizon Communications, Inc................................... 80,590 3,876,379 0.6%
Other Securities.............................................. 5,442,932 0.7%
------------ ------
Total Telecommunication Services.................................... 21,434,442 3.1%
------------ ------
Utilities -- (2.0%)
Other Securities.............................................. 16,058,506 2.3%
------------ ------
TOTAL COMMON STOCKS................................................. 681,806,703 99.2%
------------ ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 14,839 0.0%
------------ ------
TOTAL INVESTMENT SECURITIES......................................... 681,821,542
------------
TEMPORARY CASH INVESTMENTS -- (0.4%)
State Street Institutional U.S. Government Money Market Fund,
0.260%....................................................... 3,120,151 3,120,151 0.5%
------------ ------
SECURITIES LENDING COLLATERAL -- (12.8%)
(S)@ DFA Short Term Investment Fund................................ 8,720,719 100,916,158 14.7%
------------ ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $654,355,975)............................................. $785,857,851 114.4%
============ ======
15
U.S. SOCIAL CORE EQUITY 2 PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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......... $107,605,936 -- -- $107,605,936
Consumer Staples............... 39,810,265 -- -- 39,810,265
Energy......................... 50,847,279 -- -- 50,847,279
Financials..................... 132,487,197 -- -- 132,487,197
Health Care.................... 50,364,622 -- -- 50,364,622
Industrials.................... 92,429,381 -- -- 92,429,381
Information Technology......... 134,329,969 -- -- 134,329,969
Materials...................... 33,325,591 -- -- 33,325,591
Real Estate.................... 3,113,515 -- -- 3,113,515
Telecommunication Services..... 21,434,442 -- -- 21,434,442
Utilities...................... 16,058,506 -- -- 16,058,506
Rights/Warrants................. -- $ 14,839 -- 14,839
Temporary Cash Investments...... 3,120,151 -- -- 3,120,151
Securities Lending Collateral... -- 100,916,158 -- 100,916,158
------------ ------------ -- ------------
TOTAL........................... $684,926,854 $100,930,997 -- $785,857,851
============ ============ == ============
See accompanying Notes to Financial Statements.
16
U.S. SUSTAINABILITY CORE 1 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (88.3%)
Consumer Discretionary -- (14.9%)
* Amazon.com, Inc.................... 18,390 $ 14,524,790 1.9%
Comcast Corp. Class A.............. 137,048 8,472,307 1.1%
Home Depot, Inc. (The)............. 48,660 5,937,007 0.8%
* Priceline Group, Inc. (The)........ 1,876 2,765,655 0.4%
Time Warner, Inc................... 48,537 4,319,308 0.6%
Walt Disney Co. (The).............. 50,506 4,681,401 0.6%
Other Securities................... 84,584,458 11.3%
------------ -----
Total Consumer Discretionary........... 125,284,926 16.7%
------------ -----
Consumer Staples -- (6.6%)
Coca-Cola Co. (The)................ 133,728 5,670,067 0.8%
Costco Wholesale Corp.............. 22,833 3,376,316 0.5%
CVS Health Corp.................... 65,194 5,482,815 0.7%
PepsiCo, Inc....................... 33,124 3,550,893 0.5%
Procter & Gamble Co. (The)......... 69,720 6,051,696 0.8%
Wal-Mart Stores, Inc............... 76,148 5,331,883 0.7%
Walgreens Boots Alliance, Inc...... 36,548 3,023,616 0.4%
Other Securities................... 22,745,830 3.0%
------------ -----
Total Consumer Staples................. 55,233,116 7.4%
------------ -----
Energy -- (2.2%)
Schlumberger, Ltd.................. 49,701 3,888,109 0.5%
Other Securities................... 15,047,019 2.0%
------------ -----
Total Energy........................... 18,935,128 2.5%
------------ -----
Financials -- (15.1%)
American Express Co................ 44,013 2,923,343 0.4%
American International Group, Inc.. 53,363 3,292,497 0.5%
Bank of America Corp............... 216,885 3,578,602 0.5%
Citigroup, Inc..................... 74,257 3,649,732 0.5%
JPMorgan Chase & Co................ 83,630 5,792,214 0.8%
Wells Fargo & Co................... 105,842 4,869,790 0.7%
Other Securities................... 103,137,943 13.6%
------------ -----
Total Financials....................... 127,244,121 17.0%
------------ -----
Health Care -- (11.5%)
Aetna, Inc......................... 22,017 2,363,525 0.3%
Amgen, Inc......................... 20,692 2,920,883 0.4%
* Biogen, Inc........................ 8,854 2,480,714 0.3%
* Celgene Corp....................... 30,484 3,114,855 0.4%
* Express Scripts Holding Co......... 49,357 3,326,662 0.5%
Gilead Sciences, Inc............... 52,121 3,837,669 0.5%
Johnson & Johnson.................. 81,975 9,508,280 1.3%
Medtronic P.L.C.................... 35,276 2,893,338 0.4%
Merck & Co., Inc................... 43,966 2,581,684 0.4%
Pfizer, Inc........................ 236,828 7,509,816 1.0%
UnitedHealth Group, Inc............ 45,303 6,402,673 0.9%
Other Securities................... 50,013,519 6.5%
------------ -----
Total Health Care...................... 96,953,618 12.9%
------------ -----
17
U.S. SUSTAINABILITY CORE 1 PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (11.7%)
3M Co......................................................... 13,281 $ 2,195,349 0.3%
General Electric Co........................................... 151,967 4,422,240 0.6%
Honeywell International, Inc.................................. 24,923 2,733,555 0.4%
United Technologies Corp...................................... 29,603 3,025,427 0.4%
Other Securities.............................................. 86,697,607 11.5%
------------ ------
Total Industrials................................................... 99,074,178 13.2%
------------ ------
Information Technology -- (19.1%)
Accenture P.L.C. Class A...................................... 28,091 3,265,298 0.4%
* Alphabet, Inc. Class A........................................ 6,113 4,950,919 0.7%
* Alphabet, Inc. Class C........................................ 6,393 5,015,564 0.7%
Apple, Inc.................................................... 285,387 32,402,840 4.3%
Cisco Systems, Inc............................................ 199,157 6,110,137 0.8%
* Facebook, Inc. Class A........................................ 33,250 4,355,417 0.6%
Intel Corp.................................................... 144,256 5,030,207 0.7%
International Business Machines Corp.......................... 20,159 3,098,237 0.4%
Mastercard, Inc. Class A...................................... 44,614 4,774,590 0.6%
Microsoft Corp................................................ 255,343 15,300,153 2.1%
Oracle Corp................................................... 78,374 3,011,129 0.4%
QUALCOMM, Inc................................................. 63,266 4,347,639 0.6%
# Visa, Inc. Class A............................................ 76,120 6,280,661 0.8%
Other Securities.............................................. 63,391,015 8.4%
------------ ------
Total Information Technology........................................ 161,333,806 21.5%
------------ ------
Materials -- (3.1%)
Other Securities.............................................. 26,287,658 3.5%
------------ ------
Real Estate -- (0.2%)
Other Securities.............................................. 1,713,097 0.2%
------------ ------
Telecommunication Services -- (2.7%)
AT&T, Inc..................................................... 240,144 8,834,898 1.2%
Verizon Communications, Inc................................... 182,695 8,787,629 1.2%
Other Securities.............................................. 5,153,918 0.7%
------------ ------
Total Telecommunication Services.................................... 22,776,445 3.1%
------------ ------
Utilities -- (1.2%)
Other Securities.............................................. 10,385,562 1.4%
------------ ------
TOTAL COMMON STOCKS................................................. 745,221,655 99.4%
------------ ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 13,233 0.0%
------------ ------
TOTAL INVESTMENT SECURITIES......................................... 745,234,888
------------
TEMPORARY CASH INVESTMENTS -- (0.5%)
State Street Institutional U.S. Government Money Market Fund,
0.260%....................................................... 4,372,468 4,372,468 0.6%
------------ ------
SECURITIES LENDING COLLATERAL -- (11.2%)
(S)@ DFA Short Term Investment Fund................................ 8,131,561 94,098,425 12.5%
------------ ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $700,349,450)............................................. $843,705,781 112.5%
============ ======
18
U.S. SUSTAINABILITY CORE 1 PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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...... $125,284,926 -- -- $125,284,926
Consumer Staples............ 55,233,116 -- -- 55,233,116
Energy...................... 18,935,128 -- -- 18,935,128
Financials.................. 127,244,121 -- -- 127,244,121
Health Care................. 96,953,618 -- -- 96,953,618
Industrials................. 99,074,178 -- -- 99,074,178
Information Technology...... 161,333,806 -- -- 161,333,806
Materials................... 26,287,658 -- -- 26,287,658
Real Estate................. 1,713,097 -- -- 1,713,097
Telecommunication Services.. 22,776,445 -- -- 22,776,445
Utilities................... 10,385,562 -- -- 10,385,562
Rights/Warrants............... -- $ 13,233 -- 13,233
Temporary Cash Investments.... 4,372,468 -- -- 4,372,468
Securities Lending Collateral. -- 94,098,425 -- 94,098,425
------------ ----------- -- ------------
TOTAL......................... $749,594,123 $94,111,658 -- $843,705,781
============ =========== == ============
See accompanying Notes to Financial Statements.
19
INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (94.5%)
AUSTRALIA -- (5.2%)
Australia & New Zealand Banking Group, Ltd.. 86,015 $ 1,816,242 0.4%
Commonwealth Bank of Australia.............. 29,629 1,649,473 0.3%
National Australia Bank, Ltd................ 83,000 1,761,877 0.4%
Westpac Banking Corp........................ 98,718 2,282,847 0.5%
Other Securities............................ 20,529,466 3.8%
----------- ----
TOTAL AUSTRALIA................................. 28,039,905 5.4%
----------- ----
AUSTRIA -- (0.4%)
Other Securities............................ 2,205,980 0.4%
----------- ----
BELGIUM -- (0.9%)
Other Securities............................ 5,059,873 1.0%
----------- ----
CANADA -- (7.7%)
Bank of Montreal............................ 24,263 1,544,091 0.3%
Royal Bank of Canada........................ 27,579 1,723,045 0.3%
Toronto-Dominion Bank (The)................. 32,240 1,462,854 0.3%
Other Securities............................ 37,288,057 7.2%
----------- ----
TOTAL CANADA.................................... 42,018,047 8.1%
----------- ----
CHINA -- (0.0%)
Other Securities............................ 5,899 0.0%
----------- ----
DENMARK -- (2.0%)
Novo Nordisk A.S. Class B................... 70,271 2,503,438 0.5%
Other Securities............................ 8,430,435 1.6%
----------- ----
TOTAL DENMARK................................... 10,933,873 2.1%
----------- ----
FINLAND -- (1.6%)
Other Securities............................ 8,596,483 1.6%
----------- ----
FRANCE -- (8.1%)
Airbus Group SE............................. 23,821 1,414,488 0.3%
AXA SA...................................... 55,999 1,263,467 0.3%
BNP Paribas SA.............................. 33,452 1,939,656 0.4%
L'Oreal SA.................................. 11,601 2,078,425 0.4%
LVMH Moet Hennessy Louis Vuitton SE......... 11,439 2,082,597 0.4%
Sanofi...................................... 27,265 2,121,729 0.4%
Other Securities............................ 33,285,185 6.3%
----------- ----
TOTAL FRANCE.................................... 44,185,547 8.5%
----------- ----
GERMANY -- (6.6%)
Allianz SE.................................. 12,638 1,972,845 0.4%
BASF SE..................................... 38,026 3,356,858 0.7%
Bayerische Motoren Werke AG................. 15,698 1,369,579 0.3%
Daimler AG.................................. 32,772 2,338,019 0.5%
ProSiebenSat.1 Media SE..................... 28,578 1,231,659 0.3%
Other Securities............................ 25,384,133 4.7%
----------- ----
TOTAL GERMANY................................... 35,653,093 6.9%
----------- ----
20
INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
HONG KONG -- (1.8%)
AIA Group, Ltd........................ 231,400 $ 1,455,738 0.3%
Other Securities...................... 8,196,931 1.6%
------------ -----
TOTAL HONG KONG........................... 9,652,669 1.9%
------------ -----
IRELAND -- (0.4%)
Other Securities...................... 2,444,340 0.5%
------------ -----
ISRAEL -- (0.5%)
Other Securities...................... 2,688,968 0.5%
------------ -----
ITALY -- (2.5%)
Assicurazioni Generali SpA............ 121,247 1,566,189 0.3%
Other Securities...................... 11,907,965 2.3%
------------ -----
TOTAL ITALY............................... 13,474,154 2.6%
------------ -----
JAPAN -- (22.9%)
KDDI Corp............................. 63,900 1,942,123 0.4%
Mitsubishi UFJ Financial Group, Inc... 307,200 1,585,093 0.3%
SoftBank Group Corp................... 33,284 2,096,288 0.4%
Sumitomo Mitsui Financial Group, Inc.. 47,700 1,653,838 0.3%
Toyota Motor Corp..................... 62,119 3,603,319 0.7%
Toyota Motor Corp. Sponsored ADR...... 17,953 2,076,444 0.4%
Other Securities...................... 111,444,926 21.4%
------------ -----
TOTAL JAPAN............................... 124,402,031 23.9%
------------ -----
NETHERLANDS -- (3.5%)
Akzo Nobel NV......................... 20,136 1,301,008 0.3%
Koninklijke Ahold Delhaize NV......... 66,058 1,506,941 0.3%
Unilever NV........................... 46,987 1,964,996 0.4%
Other Securities...................... 14,259,228 2.7%
------------ -----
TOTAL NETHERLANDS......................... 19,032,173 3.7%
------------ -----
NEW ZEALAND -- (0.5%)
Other Securities...................... 2,546,696 0.5%
------------ -----
NORWAY -- (0.7%)
Other Securities...................... 3,879,704 0.7%
------------ -----
PORTUGAL -- (0.2%)
Other Securities...................... 1,247,980 0.2%
------------ -----
SINGAPORE -- (0.8%)
Other Securities...................... 4,237,939 0.8%
------------ -----
SPAIN -- (2.9%)
Banco Santander SA.................... 364,043 1,783,820 0.3%
Telefonica SA......................... 141,276 1,435,453 0.3%
Other Securities...................... 12,431,899 2.4%
------------ -----
TOTAL SPAIN............................... 15,651,172 3.0%
------------ -----
SWEDEN -- (3.5%)
Nordea Bank AB........................ 125,810 1,322,153 0.3%
Other Securities...................... 17,604,168 3.3%
------------ -----
TOTAL SWEDEN.............................. 18,926,321 3.6%
------------ -----
21
INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
SWITZERLAND -- (7.3%)
Adecco Group AG........................ 21,826 $ 1,296,027 0.3%
Givaudan SA............................ 722 1,396,397 0.3%
Novartis AG Sponsored ADR.............. 31,612 2,245,084 0.4%
Roche Holding AG....................... 27,409 6,295,341 1.2%
Sika AG................................ 270 1,297,743 0.3%
Swiss Re AG............................ 18,528 1,719,615 0.3%
Zurich Insurance Group AG.............. 5,173 1,354,066 0.3%
Other Securities....................... 23,872,229 4.5%
------------ -----
TOTAL SWITZERLAND.......................... 39,476,502 7.6%
------------ -----
UNITED KINGDOM -- (14.5%)
AstraZeneca P.L.C. Sponsored ADR....... 65,296 1,849,183 0.4%
BT Group P.L.C......................... 342,510 1,572,134 0.3%
Compass Group P.L.C.................... 81,621 1,476,877 0.3%
# Diageo P.L.C. Sponsored ADR............ 15,800 1,698,974 0.3%
Experian P.L.C......................... 66,214 1,272,933 0.3%
# GlaxoSmithKline P.L.C. Sponsored ADR... 43,653 1,746,557 0.3%
HSBC Holdings P.L.C. Sponsored ADR..... 92,623 3,485,403 0.7%
Reckitt Benckiser Group P.L.C.......... 21,651 1,936,909 0.4%
Unilever P.L.C. Sponsored ADR.......... 34,389 1,432,990 0.3%
Vodafone Group P.L.C................... 576,038 1,581,986 0.3%
Other Securities....................... 61,045,200 11.6%
------------ -----
TOTAL UNITED KINGDOM....................... 79,099,146 15.2%
------------ -----
UNITED STATES -- (0.0%)
Other Securities....................... 28,253 0.0%
------------ -----
TOTAL COMMON STOCKS........................ 513,486,748 98.7%
------------ -----
PREFERRED STOCKS -- (0.3%)
GERMANY -- (0.3%)
Other Securities....................... 1,687,847 0.4%
------------ -----
UNITED KINGDOM -- (0.0%)
Other Securities....................... 373 0.0%
------------ -----
TOTAL PREFERRED STOCKS..................... 1,688,220 0.4%
------------ -----
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities....................... 1,459 0.0%
------------ -----
SPAIN -- (0.0%)
Other Securities....................... 30,829 0.0%
------------ -----
SWEDEN -- (0.0%)
Other Securities....................... 13,462 0.0%
------------ -----
UNITED KINGDOM -- (0.0%)
Other Securities....................... 22,597 0.0%
------------ -----
TOTAL RIGHTS/WARRANTS...................... 68,347 0.0%
------------ -----
TOTAL INVESTMENT SECURITIES................ 515,243,315
------------
22
INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
SECURITIES LENDING COLLATERAL -- (5.2%)
(S)@ DFA Short Term Investment Fund.. 2,436,923 $ 28,200,075 5.4%
------------ ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $525,393,620)................ $543,443,390 104.5%
============ ======
Summary of the Portfolio's investments as of October 31, 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....................... $ 309,233 $ 27,730,672 -- $ 28,039,905
Austria......................... -- 2,205,980 -- 2,205,980
Belgium......................... -- 5,059,873 -- 5,059,873
Canada.......................... 42,015,606 2,441 -- 42,018,047
China........................... -- 5,899 -- 5,899
Denmark......................... 521,194 10,412,679 -- 10,933,873
Finland......................... 222,338 8,374,145 -- 8,596,483
France.......................... 241,813 43,943,734 -- 44,185,547
Germany......................... 2,513,283 33,139,810 -- 35,653,093
Hong Kong....................... 31,103 9,621,566 -- 9,652,669
Ireland......................... 415,249 2,029,091 -- 2,444,340
Israel.......................... 732,519 1,956,449 -- 2,688,968
Italy........................... 91,334 13,382,820 -- 13,474,154
Japan........................... 4,583,854 119,818,177 -- 124,402,031
Netherlands..................... 4,309,641 14,722,532 -- 19,032,173
New Zealand..................... 11,528 2,535,168 -- 2,546,696
Norway.......................... 44,810 3,834,894 -- 3,879,704
Portugal........................ -- 1,247,980 -- 1,247,980
Singapore....................... -- 4,237,939 -- 4,237,939
Spain........................... 1,594,487 14,056,685 -- 15,651,172
Sweden.......................... 327,800 18,598,521 -- 18,926,321
Switzerland..................... 3,998,904 35,477,598 -- 39,476,502
United Kingdom.................. 15,766,786 63,332,360 -- 79,099,146
United States................... -- 28,253 -- 28,253
Preferred Stocks
Germany......................... -- 1,687,847 -- 1,687,847
United Kingdom.................. -- 373 -- 373
Rights/Warrants
Australia....................... -- 1,459 -- 1,459
Spain........................... -- 30,829 -- 30,829
Sweden.......................... -- 13,462 -- 13,462
United Kingdom.................. -- 22,597 -- 22,597
Securities Lending Collateral.... -- 28,200,075 -- 28,200,075
----------- ------------ -- ------------
TOTAL............................ $77,731,482 $465,711,908 -- $543,443,390
=========== ============ == ============
See accompanying Notes to Financial Statements.
23
INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (94.1%)
AUSTRALIA -- (6.1%)
Australia & New Zealand Banking Group,
Ltd................................... 84,976 $ 1,794,303 0.3%
BHP Billiton, Ltd...................... 137,837 2,408,127 0.5%
National Australia Bank, Ltd........... 67,610 1,435,187 0.3%
Westpac Banking Corp................... 70,466 1,629,522 0.3%
Woodside Petroleum, Ltd................ 54,412 1,164,743 0.2%
Other Securities....................... 26,938,318 4.9%
------------- --------
TOTAL AUSTRALIA............................ 35,370,200 6.5%
------------- --------
AUSTRIA -- (0.7%)
Other Securities....................... 3,790,080 0.7%
------------- --------
BELGIUM -- (1.2%)
Other Securities....................... 6,651,910 1.2%
------------- --------
CANADA -- (10.7%)
Bank of Nova Scotia (The).............. 25,169 1,353,085 0.3%
Canadian Natural Resources, Ltd........ 53,582 1,699,085 0.3%
Potash Corp. of Saskatchewan, Inc...... 70,881 1,152,549 0.2%
Royal Bank of Canada................... 24,345 1,521,076 0.3%
# Suncor Energy, Inc..................... 71,552 2,147,991 0.4%
Toronto-Dominion Bank (The)............ 34,519 1,566,472 0.3%
Other Securities....................... 52,197,729 9.5%
------------- --------
TOTAL CANADA............................... 61,637,987 11.3%
------------- --------
CHINA -- (0.0%)
Other Securities....................... 118,959 0.0%
------------- --------
DENMARK -- (1.4%)
Other Securities....................... 7,895,594 1.4%
------------- --------
FINLAND -- (1.7%)
UPM-Kymmene Oyj........................ 60,611 1,409,903 0.3%
Other Securities....................... 8,287,316 1.5%
------------- --------
TOTAL FINLAND.............................. 9,697,219 1.8%
------------- --------
FRANCE -- (7.1%)
BNP Paribas SA......................... 32,547 1,887,181 0.4%
Carrefour SA........................... 50,364 1,319,987 0.2%
Cie Generale des Etablissements
Michelin.............................. 13,015 1,409,629 0.3%
Orange SA.............................. 91,089 1,433,163 0.3%
Total SA............................... 70,378 3,371,451 0.6%
Other Securities....................... 31,791,870 5.7%
------------- --------
TOTAL FRANCE............................... 41,213,281 7.5%
------------- --------
GERMANY -- (6.2%)
Allianz SE............................. 9,658 1,507,655 0.3%
BASF SE................................ 37,516 3,311,836 0.6%
Bayerische Motoren Werke AG............ 21,022 1,834,074 0.3%
Deutsche Telekom AG.................... 167,150 2,727,089 0.5%
E.ON SE................................ 179,908 1,318,520 0.3%
Siemens AG............................. 15,099 1,715,508 0.3%
Other Securities....................... 23,432,010 4.3%
------------- --------
TOTAL GERMANY.............................. 35,846,692 6.6%
------------- --------
24
INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
HONG KONG -- (2.6%)
AIA Group, Ltd.......................... 232,600 $ 1,463,287 0.3%
Other Securities........................ 13,362,221 2.4%
------------- --------
TOTAL HONG KONG.............................. 14,825,508 2.7%
------------- --------
IRELAND -- (0.6%)
CRH P.L.C. Sponsored ADR................ 42,454 1,371,264 0.3%
Other Securities........................ 1,809,480 0.3%
------------- --------
TOTAL IRELAND................................ 3,180,744 0.6%
------------- --------
ISRAEL -- (0.5%)
Other Securities........................ 2,795,916 0.5%
------------- --------
ITALY -- (2.2%)
Eni SpA................................. 94,489 1,371,249 0.3%
Other Securities........................ 11,514,172 2.1%
------------- --------
TOTAL ITALY.................................. 12,885,421 2.4%
------------- --------
JAPAN -- (21.3%)
Honda Motor Co., Ltd.................... 61,500 1,840,179 0.4%
Mitsubishi UFJ Financial Group, Inc..... 306,500 1,581,481 0.3%
NTT DOCOMO, Inc......................... 52,500 1,318,484 0.3%
Other Securities........................ 117,986,083 21.4%
------------- --------
TOTAL JAPAN.................................. 122,726,227 22.4%
------------- --------
NETHERLANDS -- (2.4%)
Akzo Nobel NV........................... 19,963 1,289,830 0.2%
Koninklijke Ahold Delhaize NV........... 90,521 2,064,995 0.4%
Other Securities........................ 10,708,255 2.0%
------------- --------
TOTAL NETHERLANDS............................ 14,063,080 2.6%
------------- --------
NEW ZEALAND -- (0.4%)
Other Securities........................ 2,595,342 0.5%
------------- --------
NORWAY -- (0.9%)
Other Securities........................ 5,359,044 1.0%
------------- --------
PORTUGAL -- (0.3%)
Other Securities........................ 1,790,472 0.3%
------------- --------
SINGAPORE -- (1.0%)
Other Securities........................ 5,567,226 1.0%
------------- --------
SPAIN -- (2.9%)
Banco Bilbao Vizcaya Argentaria SA...... 186,843 1,345,022 0.3%
Banco Santander SA...................... 456,641 2,237,553 0.4%
Other Securities........................ 12,921,574 2.3%
------------- --------
TOTAL SPAIN.................................. 16,504,149 3.0%
------------- --------
SWEDEN -- (2.6%)
Other Securities........................ 15,006,151 2.7%
------------- --------
SWITZERLAND -- (4.8%)
ABB, Ltd................................ 73,046 1,506,969 0.3%
Cie Financiere Richemont SA............. 18,138 1,166,090 0.2%
Credit Suisse Group AG Sponsored ADR.... 81,256 1,129,459 0.2%
25
INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
SWITZERLAND -- (Continued)
Syngenta AG............................ 3,528 $ 1,411,785 0.3%
Other Securities....................... 22,654,407 4.1%
------------- --------
TOTAL SWITZERLAND.......................... 27,868,710 5.1%
------------- --------
UNITED KINGDOM -- (16.5%)
BHP Billiton P.L.C. ADR................ 48,655 1,471,327 0.3%
BP P.L.C............................... 400,088 2,365,202 0.4%
BP P.L.C. Sponsored ADR................ 61,210 2,176,011 0.4%
HSBC Holdings P.L.C. Sponsored ADR..... 106,128 3,993,597 0.7%
Prudential P.L.C. ADR.................. 44,266 1,448,826 0.3%
# Rio Tinto P.L.C. Sponsored ADR......... 34,553 1,204,172 0.2%
Rolls-Royce Holdings P.L.C............. 130,476 1,158,185 0.2%
Royal Dutch Shell P.L.C. Class A....... 57,488 1,431,864 0.3%
Royal Dutch Shell P.L.C. Sponsored
ADR, Class A.......................... 72,698 3,621,087 0.7%
Royal Dutch Shell P.L.C. Sponsored
ADR, Class B.......................... 43,432 2,271,928 0.4%
* Tesco P.L.C............................ 600,117 1,545,713 0.3%
Unilever P.L.C. Sponsored ADR.......... 33,461 1,394,320 0.3%
Vodafone Group P.L.C................... 840,717 2,308,881 0.4%
Other Securities....................... 69,137,965 12.6%
------------- --------
TOTAL UNITED KINGDOM....................... 95,529,078 17.5%
------------- --------
UNITED STATES -- (0.0%)
Other Securities....................... 155,601 0.0%
------------- --------
TOTAL COMMON STOCKS........................ 543,074,591 99.3%
------------- --------
PREFERRED STOCKS -- (0.2%)
GERMANY -- (0.2%)
Other Securities....................... 1,032,951 0.2%
------------- --------
UNITED KINGDOM -- (0.0%)
Other Securities....................... 829 0.0%
------------- --------
TOTAL PREFERRED STOCKS..................... 1,033,780 0.2%
------------- --------
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities....................... 2,591 0.0%
------------- --------
CHINA -- (0.0%)
Other Securities....................... 241 0.0%
------------- --------
SPAIN -- (0.0%)
Other Securities....................... 33,892 0.0%
------------- --------
SWEDEN -- (0.0%)
Other Securities....................... 9,351 0.0%
------------- --------
UNITED KINGDOM -- (0.0%)
Other Securities....................... 41,162 0.0%
------------- --------
TOTAL RIGHTS/WARRANTS...................... 87,237 0.0%
------------- --------
TOTAL INVESTMENT SECURITIES................ 544,195,608
-------------
26
INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
SECURITIES LENDING COLLATERAL -- (5.7%)
(S)@ DFA Short Term Investment Fund......... 2,864,417 $ 33,147,035 6.1%
------------- --------
TOTAL INVESTMENTS -- (100.0%)
(Cost $591,210,754)........................ $ 577,342,643 105.6%
============= ========
Summary of the Portfolio's investments as of October 31, 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....................... $ 44,036 $ 35,326,164 -- $ 35,370,200
Austria......................... -- 3,790,080 -- 3,790,080
Belgium......................... 18,186 6,633,724 -- 6,651,910
Canada.......................... 61,637,987 -- -- 61,637,987
China........................... -- 118,959 -- 118,959
Denmark......................... -- 7,895,594 -- 7,895,594
Finland......................... -- 9,697,219 -- 9,697,219
France.......................... 140,347 41,072,934 -- 41,213,281
Germany......................... 728,262 35,118,430 -- 35,846,692
Hong Kong....................... -- 14,825,508 -- 14,825,508
Ireland......................... 1,371,264 1,809,480 -- 3,180,744
Israel.......................... 154,978 2,640,938 -- 2,795,916
Italy........................... 140,686 12,744,735 -- 12,885,421
Japan........................... 269,573 122,456,654 -- 122,726,227
Netherlands..................... 1,331,141 12,731,939 -- 14,063,080
New Zealand..................... 16,285 2,579,057 -- 2,595,342
Norway.......................... 68,437 5,290,607 -- 5,359,044
Portugal........................ -- 1,790,472 -- 1,790,472
Singapore....................... -- 5,567,226 -- 5,567,226
Spain........................... 39,191 16,464,958 -- 16,504,149
Sweden.......................... -- 15,006,151 -- 15,006,151
Switzerland..................... 2,325,839 25,542,871 -- 27,868,710
United Kingdom.................. 23,015,207 72,513,871 -- 95,529,078
United States................... 77,579 78,022 -- 155,601
Preferred Stocks
Germany......................... -- 1,032,951 -- 1,032,951
United Kingdom.................. -- 829 -- 829
Rights/Warrants
Australia....................... -- 2,591 -- 2,591
China........................... -- 241 -- 241
Spain........................... -- 33,892 -- 33,892
Sweden.......................... -- 9,351 -- 9,351
United Kingdom.................. -- 41,162 -- 41,162
Securities Lending Collateral.... -- 33,147,035 -- 33,147,035
----------- ------------ -- ------------
TOTAL............................ $91,378,998 $485,963,645 -- $577,342,643
=========== ============ == ============
See accompanying Notes to Financial Statements.
27
EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (92.8%)
BRAZIL -- (6.7%)
BRF SA............................. 170,974 $ 2,860,279 0.3%
Lojas Renner SA.................... 308,285 2,607,674 0.2%
* Petroleo Brasileiro SA Sponsored
ADR............................... 218,298 2,547,538 0.2%
Ultrapar Participacoes SA.......... 141,884 3,215,059 0.3%
Other Securities................... 63,201,046 5.9%
------------ -----
TOTAL BRAZIL........................... 74,431,596 6.9%
------------ -----
CHILE -- (1.7%)
Other Securities................... 18,756,227 1.7%
------------ -----
CHINA -- (13.1%)
Bank of China, Ltd. Class H........ 10,683,356 4,787,414 0.5%
China Construction Bank Corp.
Class H........................... 12,105,990 8,840,360 0.8%
China Mobile, Ltd. Sponsored ADR... 155,765 8,945,584 0.8%
CNOOC, Ltd. Sponsored ADR.......... 28,599 3,588,602 0.3%
Industrial & Commercial Bank of
China, Ltd. Class H............... 10,111,017 6,069,030 0.6%
Ping An Insurance Group Co. of
China, Ltd. Class H............... 813,000 4,279,238 0.4%
Tencent Holdings, Ltd.............. 658,300 17,446,478 1.6%
Other Securities................... 92,158,129 8.6%
------------ -----
TOTAL CHINA............................ 146,114,835 13.6%
------------ -----
COLOMBIA -- (0.5%)
Other Securities................... 5,517,260 0.5%
------------ -----
CZECH REPUBLIC -- (0.2%)
Other Securities................... 2,087,073 0.2%
------------ -----
EGYPT -- (0.1%)
Other Securities................... 1,210,315 0.1%
------------ -----
GREECE -- (0.2%)
Other Securities................... 2,652,342 0.3%
------------ -----
HONG KONG -- (0.0%)
Other Securities................... 134,824 0.0%
------------ -----
HUNGARY -- (0.4%)
Other Securities................... 3,976,559 0.4%
------------ -----
INDIA -- (11.0%)
HDFC Bank, Ltd..................... 193,056 3,618,070 0.4%
Infosys, Ltd....................... 492,849 7,391,249 0.7%
Tata Consultancy Services, Ltd..... 114,868 4,111,727 0.4%
Other Securities................... 107,886,554 9.9%
------------ -----
TOTAL INDIA............................ 123,007,600 11.4%
------------ -----
INDONESIA -- (3.5%)
Astra International Tbk PT......... 3,763,900 2,374,673 0.2%
Bank Central Asia Tbk PT........... 2,241,600 2,665,139 0.3%
Bank Rakyat Indonesia Persero Tbk
PT................................ 3,096,400 2,891,323 0.3%
Telekomunikasi Indonesia Persero
Tbk PT Sponsored ADR.............. 88,398 2,872,051 0.3%
Other Securities................... 28,377,574 2.5%
------------ -----
TOTAL INDONESIA........................ 39,180,760 3.6%
------------ -----
28
EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
MALAYSIA -- (3.5%)
Public Bank Bhd......................... 624,370 $ 2,955,315 0.3%
Other Securities........................ 35,757,061 3.3%
------------ -----
TOTAL MALAYSIA.............................. 38,712,376 3.6%
------------ -----
MEXICO -- (5.2%)
# Alfa S.A.B. de C.V. Class A............. 1,608,203 2,440,255 0.2%
# America Movil S.A.B. de C.V. Series L... 5,099,603 3,377,971 0.3%
Fomento Economico Mexicano S.A.B. de
C.V. Sponsored ADR..................... 35,574 3,403,365 0.3%
Grupo Financiero Banorte S.A.B. de C.V.
Class O................................ 596,835 3,520,824 0.3%
Grupo Mexico S.A.B. de C.V.
Series B.............................. 1,476,482 3,624,611 0.3%
# Grupo Televisa S.A.B.
Series CPO............................ 659,541 3,240,304 0.3%
Other Securities........................ 38,875,441 3.7%
------------ -----
TOTAL MEXICO................................ 58,482,771 5.4%
------------ -----
PERU -- (0.3%)
Credicorp, Ltd.......................... 16,147 2,400,736 0.3%
Other Securities........................ 374,953 0.0%
------------ -----
TOTAL PERU.................................. 2,775,689 0.3%
------------ -----
PHILIPPINES -- (1.6%)
Other Securities........................ 17,491,170 1.6%
------------ -----
POLAND -- (1.8%)
Polski Koncern Naftowy Orlen SA......... 145,677 2,886,201 0.3%
Other Securities........................ 16,952,916 1.5%
------------ -----
TOTAL POLAND................................ 19,839,117 1.8%
------------ -----
RUSSIA -- (1.3%)
Gazprom PJSC Sponsored ADR.............. 705,818 3,043,401 0.3%
Other Securities........................ 11,591,880 1.1%
------------ -----
TOTAL RUSSIA................................ 14,635,281 1.4%
------------ -----
SOUTH AFRICA -- (8.6%)
* AngloGold Ashanti, Ltd. Sponsored ADR... 320,438 4,402,818 0.4%
Barclays Africa Group, Ltd.............. 200,769 2,329,814 0.2%
FirstRand, Ltd.......................... 1,260,212 4,518,825 0.4%
Naspers, Ltd. Class N................... 36,568 6,124,417 0.6%
Sanlam, Ltd............................. 683,074 3,308,606 0.3%
Sasol, Ltd. Sponsored ADR............... 169,899 4,673,922 0.4%
Shoprite Holdings, Ltd.................. 200,768 2,962,819 0.3%
Standard Bank Group, Ltd................ 454,918 4,829,083 0.5%
Steinhoff International Holdings NV..... 647,431 3,492,675 0.3%
Other Securities........................ 59,701,782 5.6%
------------ -----
TOTAL SOUTH AFRICA.......................... 96,344,761 9.0%
------------ -----
SOUTH KOREA -- (14.3%)
AMOREPACIFIC Group...................... 19,332 2,495,551 0.3%
Hyundai Mobis Co., Ltd.................. 13,330 3,179,315 0.3%
NAVER Corp.............................. 4,652 3,480,465 0.3%
Samsung Electronics Co., Ltd............ 19,984 28,583,674 2.7%
Samsung Electronics Co., Ltd. GDR....... 16,921 11,904,113 1.1%
SK Hynix, Inc........................... 184,169 6,587,103 0.6%
Other Securities........................ 103,319,066 9.5%
------------ -----
TOTAL SOUTH KOREA........................... 159,549,287 14.8%
------------ -----
29
EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
TAIWAN -- (14.2%)
# Hon Hai Precision Industry Co.,
Ltd............................... 3,607,499 $ 9,744,438 0.9%
Taiwan Semiconductor Manufacturing
Co., Ltd.......................... 2,070,214 12,424,082 1.2%
Taiwan Semiconductor Manufacturing
Co., Ltd. Sponsored ADR........... 498,924 15,516,536 1.5%
Other Securities................... 120,695,274 11.1%
-------------- -----
TOTAL TAIWAN........................... 158,380,330 14.7%
-------------- -----
THAILAND -- (2.9%)
PTT PCL............................ 366,900 3,627,328 0.4%
Other Securities................... 28,924,014 2.6%
-------------- -----
TOTAL THAILAND......................... 32,551,342 3.0%
-------------- -----
TURKEY -- (1.7%)
Other Securities................... 18,579,915 1.7%
-------------- -----
TOTAL COMMON STOCKS.................... 1,034,411,430 96.0%
-------------- -----
PREFERRED STOCKS -- (3.2%)
BRAZIL -- (3.1%)
Banco Bradesco SA.................. 603,196 6,319,196 0.6%
Itau Unibanco Holding SA........... 837,956 10,080,674 0.9%
* Petroleo Brasileiro SA............. 499,269 2,766,939 0.3%
Other Securities................... 14,698,082 1.4%
-------------- -----
TOTAL BRAZIL........................... 33,864,891 3.2%
-------------- -----
CHILE -- (0.0%)
Other Securities................... 375,431 0.0%
-------------- -----
COLOMBIA -- (0.1%)
Other Securities................... 1,200,067 0.1%
-------------- -----
TOTAL PREFERRED STOCKS................. 35,440,389 3.3%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities................... 7,206 0.0%
-------------- -----
BRAZIL -- (0.0%)
Other Securities................... 271 0.0%
-------------- -----
INDIA -- (0.0%)
Other Securities................... 24,563 0.0%
-------------- -----
SOUTH KOREA -- (0.0%)
Other Securities................... 72,664 0.0%
-------------- -----
TAIWAN -- (0.0%)
Other Securities................... 106 0.0%
-------------- -----
THAILAND -- (0.0%)
Other Securities................... 23,049 0.0%
-------------- -----
TOTAL RIGHTS/WARRANTS.................. 127,859 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES............ 1,069,979,678
--------------
30
EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
SECURITIES LENDING COLLATERAL -- (4.0%)
(S)@ DFA Short Term Investment Fund..... 3,867,267 $ 44,752,009 4.2%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,032,746,261).................. $1,114,731,687 103.5%
============== ======
Summary of the Portfolio's investments as of October 31, 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............................ $ 74,431,596 -- -- $ 74,431,596
Chile............................. 7,023,030 $ 11,733,197 -- 18,756,227
China............................. 16,195,866 129,918,969 -- 146,114,835
Colombia.......................... 5,517,260 -- -- 5,517,260
Czech Republic.................... -- 2,087,073 -- 2,087,073
Egypt............................. -- 1,210,315 -- 1,210,315
Greece............................ -- 2,652,342 -- 2,652,342
Hong Kong......................... -- 134,824 -- 134,824
Hungary........................... -- 3,976,559 -- 3,976,559
India............................. 2,874,169 120,133,431 -- 123,007,600
Indonesia......................... 3,047,402 36,133,358 -- 39,180,760
Malaysia.......................... -- 38,712,376 -- 38,712,376
Mexico............................ 58,482,771 -- -- 58,482,771
Peru.............................. 2,775,689 -- -- 2,775,689
Philippines....................... 360,739 17,130,431 -- 17,491,170
Poland............................ -- 19,839,117 -- 19,839,117
Russia............................ 611,782 14,023,499 -- 14,635,281
South Africa...................... 13,133,188 83,211,573 -- 96,344,761
South Korea....................... 6,169,276 153,380,011 -- 159,549,287
Taiwan............................ 18,605,572 139,774,758 -- 158,380,330
Thailand.......................... 32,535,622 15,720 -- 32,551,342
Turkey............................ 198,479 18,381,436 -- 18,579,915
Preferred Stocks
Brazil............................ 33,864,891 -- -- 33,864,891
Chile............................. -- 375,431 -- 375,431
Colombia.......................... 1,200,067 -- -- 1,200,067
Rights/Warrants
Australia......................... -- 7,206 -- 7,206
Brazil............................ -- 271 -- 271
India............................. -- 24,563 -- 24,563
South Korea....................... -- 72,664 -- 72,664
Taiwan............................ -- 106 -- 106
Thailand.......................... -- 23,049 -- 23,049
Securities Lending Collateral...... -- 44,752,009 -- 44,752,009
------------ ------------ -- --------------
TOTAL.............................. $277,027,399 $837,704,288 -- $1,114,731,687
============ ============ == ==============
See accompanying Notes to Financial Statements.
31
DFA SOCIAL FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
FACE
AMOUNT VALUE+
------ ------
(000)
AGENCY OBLIGATIONS -- (3.3%)
Federal Home Loan Bank
1.875%, 03/13/20............................. $440 $ 450,068
5.750%, 06/12/26............................. 200 262,349
Federal Home Loan Mortgage Corp.
5.000%, 02/16/17............................. 100 101,322
1.000%, 07/28/17............................. 100 100,289
Federal National Mortgage Association
1.875%, 09/18/18............................. 220 223,937
6.250%, 05/15/29............................. 180 254,676
6.625%, 11/15/30............................. 200 298,064
Tennessee Valley Authority
2.875%, 09/15/24............................. 250 266,592
7.125%, 05/01/30............................. 500 754,108
----------
TOTAL AGENCY OBLIGATIONS......................... 2,711,405
----------
BONDS -- (59.4%)
21st Century Fox America, Inc.
3.000%, 09/15/22............................. 180 185,813
3.700%, 09/15/24............................. 200 211,218
3M Co.
1.625%, 06/15/19............................. 375 378,330
ABB Finance USA, Inc.
2.875%, 05/08/22............................. 100 103,564
Abbott Laboratories
2.550%, 03/15/22............................. 500 509,311
Adobe Systems, Inc.
3.250%, 02/01/25............................. 160 165,988
Advance Auto Parts, Inc.
4.500%, 12/01/23............................. 200 214,418
Aetna, Inc.
2.200%, 03/15/19............................. 200 202,467
3.500%, 11/15/24............................. 50 52,180
Aflac, Inc.
3.625%, 11/15/24............................. 250 267,161
3.250%, 03/17/25............................. 50 51,707
Ahold Finance USA LLC
6.875%, 05/01/29............................. 40 52,111
Allstate Corp. (The)
3.150%, 06/15/23............................. 500 525,157
Amazon.com, Inc.
2.600%, 12/05/19............................. 100 103,342
American Express Co.
2.650%, 12/02/22............................. 50 50,851
American Express Credit Corp.
2.250%, 05/05/21............................. 150 151,519
American Honda Finance Corp.
2.125%, 10/10/18............................. 45 45,692
American International Group, Inc.
4.125%, 02/15/24............................. 50 53,791
3.750%, 07/10/25............................. 150 156,651
Ameriprise Financial, Inc.
4.000%, 10/15/23............................. 30 32,484
3.700%, 10/15/24............................. 400 426,613
FACE
AMOUNT VALUE+
------ ------
(000)
BONDS -- (Continued)
Amgen, Inc.
3.125%, 05/01/25............................. $200 $203,271
Analog Devices, Inc.
3.900%, 12/15/25............................. 33 35,376
Anthem, Inc.
3.125%, 05/15/22............................. 30 30,984
3.500%, 08/15/24............................. 150 155,025
Aon P.L.C.
3.500%, 06/14/24............................. 275 285,761
Apple, Inc.
3.250%, 02/23/26............................. 250 261,631
Asian Development Bank
2.000%, 01/22/25............................. 150 150,337
AT&T, Inc.
3.875%, 08/15/21............................. 150 159,045
3.000%, 02/15/22............................. 50 50,716
3.950%, 01/15/25............................. 350 362,501
Autodesk, Inc.
3.600%, 12/15/22............................. 40 41,015
4.375%, 06/15/25............................. 150 156,390
Automatic Data Processing, Inc.
3.375%, 09/15/25............................. 100 107,464
AutoZone, Inc.
2.500%, 04/15/21............................. 70 70,876
Avnet, Inc.
4.625%, 04/15/26............................. 250 255,250
Bank Nederlandse Gemeenten NV
1.375%, 03/19/18............................. 50 50,183
Bank of America Corp.
3.300%, 01/11/23............................. 150 154,338
4.000%, 04/01/24............................. 250 267,203
Bank of Montreal
2.375%, 01/25/19............................. 100 101,606
Bank of New York Mellon Corp. (The)
3.650%, 02/04/24............................. 300 322,291
Bank of Nova Scotia (The)
2.050%, 10/30/18............................. 100 100,998
Barclays P.L.C.
4.375%, 01/12/26............................. 200 205,816
BB&T Corp.
2.450%, 01/15/20............................. 75 76,517
Bed Bath & Beyond, Inc.
3.749%, 08/01/24............................. 275 284,325
Bemis Co., Inc.
4.500%, 10/15/21............................. 100 108,436
Berkshire Hathaway Finance Corp.
1.300%, 05/15/18............................. 500 500,470
Berkshire Hathaway, Inc.
3.125%, 03/15/26............................. 407 422,567
BHP Billiton Finance USA, Ltd.
3.850%, 09/30/23............................. 400 434,081
32
DFA SOCIAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
BONDS -- (Continued)
Biogen, Inc.
3.625%, 09/15/22............................. $150 $159,891
4.050%, 09/15/25............................. 50 53,302
BlackRock, Inc.
3.375%, 06/01/22............................. 100 107,048
BMW U.S. Capital LLC
## 2.800%, 04/11/26............................. 75 75,680
Boston Scientific Corp.
6.000%, 01/15/20............................. 55 61,562
2.850%, 05/15/20............................. 300 308,140
BP Capital Markets P.L.C.
2.315%, 02/13/20............................. 150 152,361
3.245%, 05/06/22............................. 300 313,056
3.535%, 11/04/24............................. 50 52,325
BPCE SA
4.000%, 04/15/24............................. 500 543,215
British Columbia, Province of Canada
6.500%, 01/15/26............................. 200 265,793
British Telecommunications P.L.C.
2.350%, 02/14/19............................. 200 203,274
Brown & Brown, Inc.
4.200%, 09/15/24............................. 40 41,095
Burlington Northern Santa Fe LLC
3.000%, 04/01/25............................. 75 77,386
CA, Inc.
4.500%, 08/15/23............................. 100 107,414
Canadian Pacific Railway Co.
2.900%, 02/01/25............................. 50 50,898
Capital One Financial Corp.
3.750%, 04/24/24............................. 50 52,436
Cardinal Health, Inc.
1.700%, 03/15/18............................. 200 200,623
4.625%, 12/15/20............................. 75 82,515
CBS Corp.
3.500%, 01/15/25............................. 250 257,318
CenterPoint Energy Resources Corp.
4.500%, 01/15/21............................. 25 26,802
Chevron Corp.
2.419%, 11/17/20............................. 50 51,099
2.355%, 12/05/22............................. 500 503,442
Chubb INA Holdings, Inc.
3.350%, 05/15/24............................. 50 52,829
Cisco Systems, Inc.
1.650%, 06/15/18............................. 500 503,514
2.200%, 02/28/21............................. 50 50,860
Citigroup, Inc.
3.875%, 10/25/23............................. 180 191,493
CME Group, Inc.
3.000%, 03/15/25............................. 85 88,369
CMS Energy Corp.
3.875%, 03/01/24............................. 175 187,826
CNA Financial Corp.
3.950%, 05/15/24............................. 300 312,756
4.500%, 03/01/26............................. 30 32,245
Coach, Inc.
4.250%, 04/01/25............................. 300 308,425
FACE
AMOUNT VALUE+
------ ------
(000)
BONDS -- (Continued)
Coca-Cola Co. (The)
3.150%, 11/15/20............................. $ 48 $ 50,963
3.200%, 11/01/23............................. 1,000 1,063,117
Colgate-Palmolive Co.
3.250%, 03/15/24............................. 100 107,367
Comerica, Inc.
2.125%, 05/23/19............................. 75 75,499
Commonwealth Bank of Australia
2.400%, 11/02/20............................. 250 253,720
ConocoPhillips Co.
3.350%, 11/15/24............................. 300 304,926
Cooperatieve Rabobank UA
3.875%, 02/08/22............................. 50 54,238
Costco Wholesale Corp.
1.700%, 12/15/19............................. 30 30,251
CR Bard, Inc.
3.000%, 05/15/26............................. 200 200,336
Credit Suisse New York
3.625%, 09/09/24............................. 500 518,893
CSX Corp.
3.700%, 10/30/20............................. 70 74,611
CVS Health Corp.
2.750%, 12/01/22............................. 200 203,460
3.875%, 07/20/25............................. 67 71,384
Deere & Co.
5.375%, 10/16/29............................. 80 100,554
Deutsche Bank AG
3.700%, 05/30/24............................. 30 28,740
Deutsche Telekom International Finance BV
6.000%, 07/08/19............................. 175 194,431
Discovery Communications LLC
3.250%, 04/01/23............................. 75 75,240
Dollar General Corp.
3.250%, 04/15/23............................. 100 102,278
Dominion Gas Holdings LLC
2.800%, 11/15/20............................. 250 257,546
Dominion Resources, Inc.
3.625%, 12/01/24............................. 100 104,375
Dow Chemical Co. (The)
4.250%, 11/15/20............................. 150 161,530
3.000%, 11/15/22............................. 30 30,899
3.500%, 10/01/24............................. 200 209,352
Dr Pepper Snapple Group, Inc.
3.400%, 11/15/25............................. 250 262,230
Duke Energy Corp.
3.750%, 04/15/24............................. 275 292,316
Eaton Corp.
2.750%, 11/02/22............................. 207 210,976
eBay, Inc.
2.600%, 07/15/22............................. 175 174,895
Edwards Lifesciences Corp.
2.875%, 10/15/18............................. 75 76,685
EI du Pont de Nemours & Co.
2.800%, 02/15/23............................. 206 208,740
33
DFA SOCIAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
BONDS -- (Continued)
Electricite de France SA
## 2.350%, 10/13/20............................. $ 30 $ 30,487
Electronic Arts, Inc.
4.800%, 03/01/26............................. 50 54,701
Emerson Electric Co.
2.625%, 12/01/21............................. 500 520,825
Enterprise Products Operating LLC
3.900%, 02/15/24............................. 200 209,289
EOG Resources, Inc.
5.875%, 09/15/17............................. 100 103,856
4.150%, 01/15/26............................. 100 108,669
ERAC USA Finance LLC
## 3.850%, 11/15/24............................. 200 212,444
Eversource Energy
2.500%, 03/15/21............................. 100 101,451
Exelon Corp.
2.850%, 06/15/20............................. 150 154,394
2.450%, 04/15/21............................. 75 75,789
Express Scripts Holding Co.
2.250%, 06/15/19............................. 100 101,206
3.900%, 02/15/22............................. 75 80,118
3.500%, 06/15/24............................. 250 258,174
Exxon Mobil Corp.
2.222%, 03/01/21............................. 550 558,157
FedEx Corp.
2.625%, 08/01/22............................. 100 102,358
Fidelity National Information Services, Inc.
5.000%, 10/15/25............................. 225 253,320
Fifth Third Bancorp
3.500%, 03/15/22............................. 200 210,440
Ford Motor Credit Co. LLC
3.200%, 01/15/21............................. 200 204,355
4.375%, 08/06/23............................. 200 212,518
Georgia-Pacific LLC
7.750%, 11/15/29............................. 40 56,432
Gilead Sciences, Inc.
4.500%, 04/01/21............................. 30 32,949
4.400%, 12/01/21............................. 450 498,379
Goldcorp, Inc.
3.625%, 06/09/21............................. 190 198,324
Goldman Sachs Group, Inc. (The)
7.500%, 02/15/19............................. 250 281,071
Halliburton Co.
3.500%, 08/01/23............................. 200 204,434
Harley-Davidson Financial Services, Inc.
## 2.150%, 02/26/20............................. 100 100,542
Harris Corp.
1.999%, 04/27/18............................. 75 75,386
Hartford Financial Services Group, Inc. (The)
5.125%, 04/15/22............................. 50 56,585
Hasbro, Inc.
3.150%, 05/15/21............................. 97 100,451
FACE
AMOUNT VALUE+
------ ------
(000)
BONDS -- (Continued)
Home Depot, Inc. (The)
2.000%, 04/01/21............................. $100 $101,199
2.700%, 04/01/23............................. 75 77,162
HSBC Holdings P.L.C.
4.000%, 03/30/22............................. 350 370,829
Humana, Inc.
3.150%, 12/01/22............................. 400 412,373
Huntington Bancshares, Inc.
3.150%, 03/14/21............................. 75 77,398
2.300%, 01/14/22............................. 300 297,436
Hyatt Hotels Corp.
3.375%, 07/15/23............................. 100 101,530
Illinois Tool Works, Inc.
3.500%, 03/01/24............................. 100 107,839
ING Bank NV
## 2.050%, 08/15/21............................. 350 348,944
Intel Corp.
2.450%, 07/29/20............................. 30 30,914
Intercontinental Exchange, Inc.
4.000%, 10/15/23............................. 30 32,526
International Business Machines Corp.
1.875%, 05/15/19............................. 100 101,271
International Paper Co.
3.800%, 01/15/26............................. 75 79,066
ITC Holdings Corp.
3.650%, 06/15/24............................. 200 208,414
Janus Capital Group, Inc.
4.875%, 08/01/25............................. 75 80,239
JM Smucker Co. (The)
3.500%, 03/15/25............................. 70 73,656
JPMorgan Chase & Co.
6.300%, 04/23/19............................. 150 166,273
3.250%, 09/23/22............................. 150 155,982
3.900%, 07/15/25............................. 30 31,898
Kellogg Co.
2.750%, 03/01/23............................. 75 75,757
KeyCorp
2.900%, 09/15/20............................. 75 77,230
5.100%, 03/24/21............................. 174 195,003
Kimberly-Clark Corp.
2.400%, 06/01/23............................. 50 50,867
Kohl's Corp.
4.750%, 12/15/23............................. 300 323,282
4.250%, 07/17/25............................. 40 41,213
Kommunalbanken A.S.
1.750%, 05/28/19............................. 100 101,046
Kraft Heinz Foods Co.
3.500%, 06/06/22............................. 200 211,202
Kroger Co. (The)
3.850%, 08/01/23............................. 50 53,607
Legg Mason, Inc.
4.750%, 03/15/26............................. 30 32,290
Lincoln National Corp.
3.350%, 03/09/25............................. 75 77,003
Loews Corp.
2.625%, 05/15/23............................. 50 50,049
34
DFA SOCIAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
BONDS -- (Continued)
Lowe's Cos., Inc.
3.875%, 09/15/23............................. $ 50 $ 55,076
3.375%, 09/15/25............................. 125 133,266
LyondellBasell Industries NV
6.000%, 11/15/21............................. 200 232,892
Macy's Retail Holdings, Inc.
3.450%, 01/15/21............................. 30 31,054
2.875%, 02/15/23............................. 200 192,459
Manitoba, Province of Canada
1.750%, 05/30/19............................. 100 101,125
Marathon Petroleum Corp.
3.625%, 09/15/24............................. 100 100,011
Markel Corp.
5.350%, 06/01/21............................. 30 33,439
Marriott International, Inc.
2.875%, 03/01/21............................. 200 205,815
MasterCard, Inc.
2.000%, 04/01/19............................. 75 76,230
McDonald's Corp.
2.750%, 12/09/20............................. 30 30,889
3.700%, 01/30/26............................. 150 158,819
McKesson Corp.
3.796%, 03/15/24............................. 75 79,953
Mead Johnson Nutrition Co.
4.125%, 11/15/25............................. 48 51,235
Medtronic, Inc.
3.125%, 03/15/22............................. 50 52,550
MetLife, Inc.
3.600%, 04/10/24............................. 50 52,984
Mizuho Financial Group, Inc.
## 2.632%, 04/12/21............................. 200 201,981
Monsanto Co.
3.375%, 07/15/24............................. 200 205,556
Morgan Stanley
5.500%, 07/28/21............................. 100 113,527
3.875%, 04/29/24............................. 350 370,873
Mosaic Co. (The)
4.250%, 11/15/23............................. 50 51,313
Nasdaq, Inc.
4.250%, 06/01/24............................. 75 79,619
National Australia Bank, Ltd.
1.875%, 07/12/21............................. 500 496,145
Nationwide Building Society
## 3.900%, 07/21/25............................. 200 213,818
NetApp, Inc.
2.000%, 12/15/17............................. 30 30,151
NextEra Energy Capital Holdings, Inc.
2.400%, 09/15/19............................. 100 101,849
Noble Energy, Inc.
4.150%, 12/15/21............................. 200 212,189
Nomura Holdings, Inc.
2.750%, 03/19/19............................. 40 40,768
NRW Bank
1.875%, 07/01/19............................. 100 101,212
Nucor Corp.
4.000%, 08/01/23............................. 20 21,501
FACE
AMOUNT VALUE+
------ ------
(000)
BONDS -- (Continued)
Omnicom Group, Inc.
3.650%, 11/01/24............................. $100 $104,847
Oracle Corp.
1.200%, 10/15/17............................. 30 30,067
2.950%, 05/15/25............................. 400 408,678
Packaging Corp. of America
4.500%, 11/01/23............................. 200 218,722
Penske Truck Leasing Co. L.P. / PTL Finance Corp.
## 3.050%, 01/09/20............................. 51 52,201
PepsiCo, Inc.
2.750%, 03/05/22............................. 100 104,360
PG&E Corp.
2.400%, 03/01/19............................. 75 76,217
Phillips 66
4.300%, 04/01/22............................. 200 219,715
Phillips 66 Partners L.P.
3.550%, 10/01/26............................. 100 99,676
Pitney Bowes, Inc.
4.625%, 03/15/24............................. 300 308,735
PNC Bank NA
2.250%, 07/02/19............................. 400 406,763
PNC Financial Services Group, Inc. (The)
3.300%, 03/08/22............................. 75 79,466
Potash Corp. of Saskatchewan, Inc.
3.625%, 03/15/24............................. 300 309,427
Praxair, Inc.
2.200%, 08/15/22............................. 50 50,417
Precision Castparts Corp.
1.250%, 01/15/18............................. 100 100,051
Priceline Group, Inc. (The)
3.600%, 06/01/26............................. 350 363,881
Principal Financial Group, Inc.
3.125%, 05/15/23............................. 100 101,042
Province of Ontario Canada
1.875%, 05/21/20............................. 50 50,623
Province of Quebec Canada
3.500%, 07/29/20............................. 35 37,509
7.500%, 09/15/29............................. 500 739,546
Prudential Financial, Inc.
4.500%, 11/16/21............................. 100 111,153
PSEG Power LLC
5.125%, 04/15/20............................. 30 32,654
QUALCOMM, Inc.
3.450%, 05/20/25............................. 75 78,643
Reinsurance Group of America, Inc.
3.950%, 09/15/26............................. 100 103,299
Rio Tinto Finance USA P.L.C.
2.875%, 08/21/22............................. 22 22,758
Royal Bank of Canada
2.200%, 07/27/18............................. 100 101,257
Santander UK Group Holdings P.L.C.
2.875%, 10/16/20............................. 350 351,423
Santander UK P.L.C.
4.000%, 03/13/24............................. 50 53,913
35
DFA SOCIAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
BONDS -- (Continued)
Scripps Networks Interactive, Inc.
3.500%, 06/15/22............................. $ 50 $ 51,823
3.900%, 11/15/24............................. 150 155,520
Sempra Energy
3.550%, 06/15/24............................. 250 262,874
Shell International Finance BV
1.900%, 08/10/18............................. 500 504,979
2.125%, 05/11/20............................. 180 181,563
3.400%, 08/12/23............................. 30 31,578
Sherwin-Williams Co. (The)
1.350%, 12/15/17............................. 100 100,169
Societe Generale SA
## 2.500%, 04/08/21............................. 350 356,312
Southern California Edison Co.
6.650%, 04/01/29............................. 65 84,434
Southern Co. (The)
1.850%, 07/01/19............................. 300 301,735
Southern Power Co.
4.150%, 12/01/25............................. 50 53,513
St Jude Medical, Inc.
3.250%, 04/15/23............................. 50 51,318
Starbucks Corp.
2.000%, 12/05/18............................. 200 203,238
2.100%, 02/04/21............................. 100 101,435
State Street Corp.
4.375%, 03/07/21............................. 75 82,486
Statoil ASA
2.250%, 11/08/19............................. 200 203,510
2.650%, 01/15/24............................. 100 101,023
Stryker Corp.
2.000%, 03/08/19............................. 180 181,656
3.375%, 05/15/24............................. 200 208,168
Sumitomo Mitsui Financial Group, Inc.
2.934%, 03/09/21............................. 30 30,711
2.058%, 07/14/21............................. 350 345,016
Suncor Energy, Inc.
3.600%, 12/01/24............................. 200 207,813
SunTrust Banks, Inc.
2.500%, 05/01/19............................. 250 254,981
2.900%, 03/03/21............................. 75 77,430
SVB Financial Group
5.375%, 09/15/20............................. 100 110,445
Sysco Corp.
2.600%, 10/01/20............................. 30 30,723
Target Corp.
2.900%, 01/15/22............................. 270 281,240
2.500%, 04/15/26............................. 75 74,648
TCI Communications, Inc.
7.875%, 02/15/26............................. 140 195,962
TD Ameritrade Holding Corp.
3.625%, 04/01/25............................. 30 31,528
Telefonica Europe BV
8.250%, 09/15/30............................. 275 390,834
Texas Instruments, Inc.
1.650%, 08/03/19............................. 197 198,770
FACE
AMOUNT VALUE+
------ ------
(000)
BONDS -- (Continued)
Thomson Reuters Corp.
4.300%, 11/23/23............................. $100 $108,221
TIAA Asset Management Finance Co. LLC
## 4.125%, 11/01/24............................. 50 51,883
Time Warner, Inc.
3.550%, 06/01/24............................. 200 207,247
TJX Cos., Inc. (The)
2.750%, 06/15/21............................. 200 208,092
Toronto-Dominion Bank (The)
2.250%, 11/05/19............................. 500 508,879
2.125%, 04/07/21............................. 50 50,356
Total Capital Canada, Ltd.
1.450%, 01/15/18............................. 100 100,192
Total Capital SA
2.125%, 08/10/18............................. 100 101,195
Total System Services, Inc.
4.800%, 04/01/26............................. 30 33,330
TransCanada PipeLines, Ltd.
2.500%, 08/01/22............................. 300 299,108
U.S. Bancorp
2.200%, 04/25/19............................. 200 203,871
U.S. Bank NA
2.125%, 10/28/19............................. 300 305,057
UBS Group Funding Jersey, Ltd.
## 4.125%, 09/24/25............................. 200 208,462
Unilever Capital Corp.
2.200%, 03/06/19............................. 300 305,692
Union Pacific Corp.
3.750%, 03/15/24............................. 200 217,171
United Parcel Service, Inc.
2.450%, 10/01/22............................. 100 103,056
United Technologies Corp.
7.500%, 09/15/29............................. 40 58,797
UnitedHealth Group, Inc.
1.625%, 03/15/19............................. 75 75,376
3.750%, 07/15/25............................. 70 75,595
Unum Group
3.000%, 05/15/21............................. 350 355,303
US Bancorp
3.700%, 01/30/24............................. 75 80,951
Verizon Communications, Inc.
4.600%, 04/01/21............................. 30 32,983
5.150%, 09/15/23............................. 150 171,313
Viacom, Inc.
3.875%, 04/01/24............................. 50 51,590
Visa, Inc.
3.150%, 12/14/25............................. 75 78,269
Wal-Mart Stores, Inc.
2.550%, 04/11/23............................. 100 102,442
Walgreen Co.
3.100%, 09/15/22............................. 50 51,710
Walgreens Boots Alliance, Inc.
3.450%, 06/01/26............................. 150 152,962
Walt Disney Co. (The)
2.150%, 09/17/20............................. 78 79,713
36
DFA SOCIAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
BONDS -- (Continued)
Waste Management, Inc.
3.500%, 05/15/24............................. $ 60 $ 63,621
Wells Fargo & Co.
3.000%, 02/19/25............................. 50 50,090
3.000%, 04/22/26............................. 150 149,249
Westpac Banking Corp.
2.250%, 07/30/18............................. 100 101,254
4.875%, 11/19/19............................. 300 326,098
Wm Wrigley Jr Co.
## 2.900%, 10/21/19............................. 75 77,225
Wyndham Worldwide Corp.
3.900%, 03/01/23............................. 40 41,051
Xilinx, Inc.
3.000%, 03/15/21............................. 100 103,177
Zimmer Biomet Holdings, Inc.
2.700%, 04/01/20............................. 100 101,689
Zoetis, Inc.
1.875%, 02/01/18............................. 25 25,049
-----------
TOTAL BONDS...................................... 48,980,083
-----------
U.S. TREASURY OBLIGATIONS -- (37.2%)
U.S. Treasury Bonds
6.250%, 08/15/23............................. 1,810 2,356,747
6.625%, 02/15/27............................. 600 869,367
5.250%, 02/15/29............................. 870 1,181,943
6.125%, 08/15/29............................. 145 213,099
6.250%, 05/15/30............................. 130 195,752
5.375%, 02/15/31............................. 1,210 1,719,429
FACE
AMOUNT VALUE+
------ ------
(000)
U.S. TREASURY OBLIGATIONS -- (Continued)
U.S. Treasury Notes
0.875%, 03/31/18............................. $1,800 $ 1,802,250
0.750%, 08/15/19............................. 3,000 2,981,016
2.000%, 07/31/20............................. 2,465 2,540,587
1.250%, 03/31/21............................. 2,760 2,756,765
1.125%, 07/31/21............................. 5,000 4,955,860
1.500%, 03/31/23............................. 2,430 2,420,982
1.250%, 07/31/23............................. 3,300 3,227,684
2.750%, 02/15/24............................. 250 269,189
2.250%, 11/15/24............................. 300 312,082
1.500%, 08/15/26............................. 3,000 2,911,875
-----------
TOTAL U.S. TREASURY OBLIGATIONS.................... 30,714,627
-----------
TOTAL INVESTMENT SECURITIES........................ 82,406,115
-----------
SHARES
------ -
SECURITIES LENDING COLLATERAL -- (0.1%)
(S)@ DFA Short Term Investment Fund............... 9,338 108,055
-----------
TOTAL INVESTMENTS -- (100.0%)
(Cost $83,164,327)............................... $82,514,170
===========
Summary of the Portfolio's investments as of October 31, 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
------- ----------- ------- -----------
Agency Obligations................. -- $ 2,711,405 -- $ 2,711,405
Bonds.............................. -- 48,980,083 -- 48,980,083
U.S. Treasury Obligations.......... -- 30,714,627 -- 30,714,627
Securities Lending Collateral...... -- 108,055 -- 108,055
-- ----------- -- -----------
TOTAL.............................. -- $82,514,170 -- $82,514,170
== =========== == ===========
See accompanying Notes to Financial Statements.
37
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
U.S. INTERNATIONAL
U.S. SOCIAL SUSTAINABILITY SUSTAINABILITY
CORE EQUITY 2 CORE 1 CORE 1
PORTFOLIO* PORTFOLIO* PORTFOLIO*
------------- -------------- --------------
ASSETS:
Investments at Value (including $124,965, $115,612 and $27,601 of
securities on loan, respectively)................................................ $ 681,822 $ 745,235 $ 515,243
Temporary Cash Investments at Value & Cost........................................ 3,120 4,372 --
Collateral from Securities on Loan Invested in Affiliate at Value (including cost
of $100,900, $94,084 and $28,196)................................................ 100,916 94,098 28,200
Foreign Currencies at Value....................................................... -- -- 233
Cash.............................................................................. -- -- 3,028
Receivables:
Investment Securities Sold...................................................... 235 3,317 21
Dividends, Interest and Tax Reclaims............................................ 674 736 1,556
Securities Lending Income....................................................... 36 27 47
Fund Shares Sold................................................................ 1,457 725 269
Prepaid Expenses and Other Assets................................................. 13 9 7
------------ ------------ ------------
Total Assets................................................................. 788,273 848,519 548,604
------------ ------------ ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................................................ 100,899 94,083 28,195
Investment Securities Purchased................................................. 387 4,225 41
Fund Shares Redeemed............................................................ 80 165 42
Due to Advisor.................................................................. 147 130 108
Accrued Expenses and Other Liabilities............................................ 58 62 77
------------ ------------ ------------
Total Liabilities............................................................ 101,571 98,665 28,463
------------ ------------ ------------
NET ASSETS........................................................................ $ 686,702 $ 749,854 $ 520,141
============ ============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)........................................... 53,775,316 44,792,679 58,768,475
============ ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE............................................................................ $ 12.77 $ 16.74 $ 8.85
============ ============ ============
Investments at Cost............................................................... $ 550,336 $ 601,893 $ 497,198
============ ============ ============
Foreign Currencies at Cost........................................................ $ -- $ -- $ 233
============ ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital................................................................... $ 546,903 $ 598,069 $ 518,800
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income)............................................................... 797 1,349 1,213
Accumulated Net Realized Gain (Loss).............................................. 7,500 7,080 (17,878)
Net Unrealized Foreign Exchange Gain (Loss)....................................... -- -- (43)
Net Unrealized Appreciation (Depreciation)........................................ 131,502 143,356 18,049
------------ ------------ ------------
NET ASSETS........................................................................ $ 686,702 $ 749,854 $ 520,141
============ ============ ============
(1) NUMBER OF SHARES AUTHORIZED................................................... 300,000,000 300,000,000 300,000,000
============ ============ ============
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
38
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
INTERNATIONAL EMERGING
SOCIAL CORE MARKETS SOCIAL DFA SOCIAL
EQUITY CORE EQUITY FIXED INCOME
PORTFOLIO* PORTFOLIO* PORTFOLIO
------------- -------------- ------------
ASSETS:
Investments at Value (including $32,449, $72,900 and $105 of securities on
loan, respectively)......................................................... $ 544,196 $ 1,069,980 $ 82,406
Collateral from Securities on Loan Invested in Affiliate at Value (including
cost of $33,142, $44,745 and $108).......................................... 33,147 44,752 108
Foreign Currencies at Value.................................................. 439 720 --
Cash......................................................................... 397 2 1,046
Receivables:
Investment Securities Sold................................................. 55 124 --
Dividends, Interest and Tax Reclaims....................................... 1,572 803 566
Securities Lending Income.................................................. 60 208 --
Fund Shares Sold........................................................... 280 6,679 35
From Advisor............................................................... -- -- 18
Deferred Offering Costs...................................................... -- -- 30
Prepaid Expenses and Other Assets............................................ 16 12 2
------------ ------------ ------------
Total Assets............................................................ 580,162 1,123,280 84,211
------------ ------------ ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned........................................... 33,141 44,744 108
Investment Securities Purchased............................................ 47 9 370
Fund Shares Redeemed....................................................... 11 95 --
Due to Advisor............................................................. 172 500 --
Line of Credit............................................................. -- 850 --
Accrued Expenses and Other Liabilities....................................... 78 155 34
------------ ------------ ------------
Total Liabilities....................................................... 33,449 46,353 512
------------ ------------ ------------
NET ASSETS................................................................... $ 546,713 $ 1,076,927 $ 83,699
============ ============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)...................................... 49,092,575 91,573,742 8,357,857
============ ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE....................................................................... $ 11.14 $ 11.76 $ 10.01
============ ============ ============
Investments at Cost.......................................................... $ 558,069 $ 988,001 $ 83,056
============ ============ ============
Foreign Currencies at Cost................................................... $ 440 $ 770 $ --
============ ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital.............................................................. $ 562,762 $ 1,074,046 $ 84,279
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income).......................................................... 1,642 1,250 51
Accumulated Net Realized Gain (Loss)......................................... (3,777) (80,325) 19
Net Unrealized Foreign Exchange Gain (Loss).................................. (45) 20 --
Net Unrealized Appreciation (Depreciation)................................... (13,869) 81,936 (650)
------------ ------------ ------------
NET ASSETS................................................................... $ 546,713 $ 1,076,927 $ 83,699
============ ============ ============
(1) NUMBER OF SHARES AUTHORIZED.............................................. 100,000,000 500,000,000 100,000,000
============ ============ ============
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
39
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS)
U.S. INTERNATIONAL
U.S. SOCIAL SUSTAINABILITY SUSTAINABILITY
CORE EQUITY 2 CORE 1 CORE 1
PORTFOLIO PORTFOLIO PORTFOLIO
------------- -------------- --------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $2, $3 and $1,160,
respectively)....................................................... $12,120 $12,191 $ 12,753
Income from Securities Lending....................................... 459 334 549
------- ------- --------
Total Investment Income........................................... 12,579 12,525 13,302
------- ------- --------
EXPENSES
Investment Management Fees........................................... 1,517 1,853 1,817
Accounting & Transfer Agent Fees..................................... 31 39 37
Custodian Fees....................................................... -- 5 179
Filing Fees.......................................................... 42 61 53
Shareholders' Reports................................................ 22 23 15
Directors'/Trustees' Fees & Expenses................................. 4 4 3
Professional Fees.................................................... 13 15 13
Other................................................................ 52 25 37
------- ------- --------
Total Expenses.................................................... 1,681 2,025 2,154
------- ------- --------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor (Note C)....................................... -- (312) (256)
Fees Paid Indirectly (Note C)........................................ -- -- (11)
------- ------- --------
Net Expenses......................................................... 1,681 1,713 1,887
------- ------- --------
NET INVESTMENT INCOME (LOSS)......................................... 10,898 10,812 11,415
------- ------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold*........................................ 7,666 7,355 (14,614)
Foreign Currency Transactions...................................... -- -- (51)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency......................... 365 7,225 2,505
Translation of Foreign Currency Denominated Amounts................ -- -- (30)
------- ------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS).............................. 8,031 14,580 (12,190)
------- ------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........ $18,929 $25,392 $ (775)
======= ======= ========
----------
* Net of foreign capital gain taxes withheld of $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
40
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS)
EMERGING
INTERNATIONAL MARKETS
SOCIAL CORE SOCIAL CORE DFA SOCIAL
EQUITY EQUITY FIXED INCOME
PORTFOLIO PORTFOLIO PORTFOLIO(A)
------------- ----------- ------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $1,244, $3,189 and $0,
respectively)....................................................... $14,689 $ 25,057 $ --
Interest............................................................. -- 2 435
Income from Securities Lending....................................... 708 2,322 --
------- -------- -----
Total Investment Income........................................... 15,397 27,381 435
------- -------- -----
FUND EXPENSES
Investment Management Fees........................................... 1,735 5,452 47
Accounting & Transfer Agent Fees..................................... 39 68 3
Custodian Fees....................................................... 190 501 2
Filing Fees.......................................................... 43 67 11
Shareholders' Reports................................................ 21 29 2
Directors'/Trustees' Fees & Expenses................................. 3 7 --
Professional Fees.................................................... 11 96 11
Organizational & Offering Costs...................................... -- -- 41
Other................................................................ 54 83 15
------- -------- -----
Total Expenses.................................................... 2,096 6,303 132
------- -------- -----
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor (Note C)....................................... -- -- (69)
Fees Paid Indirectly (Note C)........................................ (6) (11) (2)
------- -------- -----
Net Expenses......................................................... 2,090 6,292 61
------- -------- -----
NET INVESTMENT INCOME (LOSS)......................................... 13,307 21,089 374
------- -------- -----
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold*........................................ (1,541) (47,636) 19
Futures............................................................ (9) 166 --
Foreign Currency Transactions...................................... 41 28 --
Forward Currency Contracts......................................... (5) (3) --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency......................... 1,388 151,807 (650)
Translation of Foreign Currency Denominated Amounts................ (40) 70 --
------- -------- -----
NET REALIZED AND UNREALIZED GAIN (LOSS).............................. (166) 104,432 (631)
------- -------- -----
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........ $13,141 $125,521 $(257)
======= ======== =====
----------
* Net of foreign capital gain taxes withheld of $0, $2 and $0, respectively.
(a)The Portfolio commenced operations on April 5th, 2016.
See accompanying Notes to Financial Statements.
41
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
INTERNATIONAL
U.S. SOCIAL CORE EQUITY 2 U.S. SUSTAINABILITY CORE 1 SUSTAINABILITY CORE 1
PORTFOLIO PORTFOLIO PORTFOLIO
------------------------ ------------------------- -------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2016 2015 2016 2015
--------- --------- -------- -------- --------- --------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)................. $ 10,898 $ 9,042 $ 10,812 $ 7,494 $ 11,415 $ 9,089
Net Realized Gain (Loss) on:
Investment Securities Sold*................ 7,666 11,312 7,355 5,908 (14,614) (2,212)
Futures.................................... -- (386) -- -- -- --
Foreign Currency Transactions.............. -- -- -- -- (51) (92)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.................................. 365 (18,252) 7,225 (435) 2,505 (10,463)
Translation of Foreign Currency
Denominated Amounts....................... -- -- -- -- (30) 2
--------- --------- -------- -------- --------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations................ 18,929 1,716 25,392 12,967 (775) (3,676)
--------- --------- -------- -------- --------- --------
Distributions From:
Net Investment Income........................ (10,502) (8,427) (10,043) (7,071) (10,814) (8,692)
Net Short-Term Gains......................... -- (288) -- -- -- --
Net Long-Term Gains.......................... (10,434) (9,855) (5,718) (5,862) -- --
--------- --------- -------- -------- --------- --------
Total Distributions....................... (20,936) (18,570) (15,761) (12,933) (10,814) (8,692)
--------- --------- -------- -------- --------- --------
Capital Share Transactions (1):
Shares Issued................................ 200,728 196,080 281,621 177,630 248,715 156,794
Shares Issued in Lieu of Cash
Distributions............................... 19,233 17,132 15,407 12,691 9,447 7,447
Shares Redeemed.............................. (137,775) (100,201) (97,412) (76,295) (127,481) (78,671)
--------- --------- -------- -------- --------- --------
Net Increase (Decrease) from Capital
Share Transactions....................... 82,186 113,011 199,616 114,026 130,681 85,570
--------- --------- -------- -------- --------- --------
Total Increase (Decrease) in Net
Assets................................... 80,179 96,157 209,247 114,060 119,092 73,202
NET ASSETS
Beginning of Year............................ 606,523 510,366 540,607 426,547 401,049 327,847
--------- --------- -------- -------- --------- --------
End of Year.................................. $ 686,702 $ 606,523 $749,854 $540,607 $ 520,141 $401,049
========= ========= ======== ======== ========= ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................ 16,085 15,028 17,385 10,652 28,541 16,882
Shares Issued in Lieu of Cash
Distributions............................... 1,560 1,364 945 787 1,098 794
Shares Redeemed.............................. (11,293) (7,693) (5,997) (4,632) (14,745) (8,450)
--------- --------- -------- -------- --------- --------
Net Increase (Decrease) from Shares
Issued and Redeemed...................... 6,352 8,699 12,333 6,807 14,894 9,226
========= ========= ======== ======== ========= ========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME)....................................... $ 797 $ 945 $ 1,349 $ 875 $ 1,213 $ 1,033
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
42
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA SOCIAL
INTERNATIONAL SOCIAL EMERGING MARKETS SOCIAL FIXED INCOME
CORE EQUITY PORTFOLIO CORE EQUITY PORTFOLIO PORTFOLIO
-------------------- --------------------- ------------
PERIOD
APRIL 5,
YEAR YEAR YEAR YEAR 2016(A)
ENDED ENDED ENDED ENDED TO
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2016 2015 2016
-------- -------- ---------- --------- ------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)........................... $ 13,307 $ 9,776 $ 21,089 $ 19,631 $ 374
Net Realized Gain (Loss) on:
Investment Securities Sold*.......................... (1,541) (2,181) (47,636) (21,990) 19
Futures.............................................. (9) -- 166 116 --
Foreign Currency Transactions........................ 41 (103) 28 (479) --
Forward Currency Contracts........................... (5) -- (3) -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........... 1,388 (12,421) 151,807 (150,423) (650)
Translation of Foreign Currency Denominated
Amounts............................................. (40) 11 70 (84) --
-------- -------- ---------- --------- -------
Net Increase (Decrease) in Net Assets Resulting
from Operations.................................... 13,141 (4,918) 125,521 (153,229) (257)
-------- -------- ---------- --------- -------
Distributions From:
Net Investment Income:
Net Investment Income.................................. (12,707) (9,093) (20,974) (19,669) (323)
Net Long-Term Gains.................................... -- (1,448) -- -- --
-------- -------- ---------- --------- -------
Total Distributions................................. (12,707) (10,541) (20,974) (19,669) (323)
-------- -------- ---------- --------- -------
Capital Share Transactions (1):
Shares Issued.......................................... 175,506 177,472 258,920 409,275 85,728
Shares Issued in Lieu of Cash Distributions............ 11,685 9,767 18,534 17,378 323
Shares Redeemed........................................ (65,310) (54,154) (265,020) (197,205) (1,772)
-------- -------- ---------- --------- -------
Net Increase (Decrease) from Capital Share
Transactions....................................... 121,881 133,085 12,434 229,448 84,279
-------- -------- ---------- --------- -------
Total Increase (Decrease) in Net Assets............. 122,315 117,626 116,981 56,550 83,699
NET ASSETS
Beginning of Period.................................... 424,398 306,772 959,946 903,396 --
-------- -------- ---------- --------- -------
End of Period.......................................... $546,713 $424,398 $1,076,927 $ 959,946 $83,699
======== ======== ========== ========= =======
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.......................................... 16,236 15,530 25,535 35,717 8,501
Shares Issued in Lieu of Cash Distributions............ 1,094 854 1,714 1,586 32
Shares Redeemed........................................ (6,030) (4,677) (25,868) (17,688) (175)
-------- -------- ---------- --------- -------
Net Increase (Decrease) from Shares Issued and
Redeemed........................................... 11,300 11,707 1,381 19,615 8,358
======== ======== ========== ========= =======
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN
EXCESS OF NET INVESTMENT INCOME)........................ $ 1,642 $ 1,298 $ 1,250 $ 1,952 $ 51
----------
See page 1 for the Definitions of Abbreviations and Footnotes.
* Net of foreign capital gain taxes withheld of $0, $0, $2, $0, and $0,
respectively.
See accompanying Notes to Financial Statements.
43
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. SOCIAL CORE EQUITY 2 PORTFOLIO
------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
----------------------------------------------------------------------------------
Net Asset Value, Beginning of
Year.......................... $ 12.79 $ 13.18 $ 12.10 $ 9.31 $ 8.32
-------- -------- -------- -------- --------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A).................. 0.22 0.21 0.19 0.18 0.14
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. 0.19 (0.15) 1.29 2.87 0.98
-------- -------- -------- -------- --------
Total from Investment
Operations................. 0.41 0.06 1.48 3.05 1.12
----------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income......... (0.21) (0.20) (0.17) (0.17) (0.13)
Net Realized Gains............ (0.22) (0.25) (0.23) (0.09) --
-------- -------- -------- -------- --------
Total Distributions......... (0.43) (0.45) (0.40) (0.26) (0.13)
----------------------------------------------------------------------------------
Net Asset Value, End of Year... $ 12.77 $ 12.79 $ 13.18 $ 12.10 $ 9.31
============================= ======== ======== ======== ======== ========
Total Return................... 3.40% 0.52% 12.50% 33.47% 13.63%
----------------------------------------------------------------------------------
Net Assets, End of Year
(thousands)................... $686,702 $606,523 $510,366 $411,025 $268,734
Ratio of Expenses to Average
Net Assets.................... 0.28% 0.29% 0.28% 0.30% 0.33%
Ratio of Expenses to Average
Net Assets (Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor and
Fees Paid Indirectly)......... 0.28% 0.29% 0.28% 0.30% 0.33%
Ratio of Net Investment
Income to Average Net Assets.. 1.80% 1.60% 1.47% 1.64% 1.60%
Portfolio Turnover Rate........ 17% 16% 11% 12% 13%
----------------------------------------------------------------------------------
U.S. SUSTAINABILITY CORE 1 PORTFOLIO
------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
---------------------------------------------------------------------------------
Net Asset Value, Beginning of
Year.......................... $ 16.65 $ 16.63 $ 14.81 $ 11.43 $ 10.13
-------- -------- -------- -------- --------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A).................. 0.28 0.26 0.23 0.21 0.18
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. 0.24 0.23 1.91 3.44 1.29
-------- -------- -------- -------- --------
Total from Investment
Operations................. 0.52 0.49 2.14 3.65 1.47
---------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income......... (0.26) (0.25) (0.21) (0.22) (0.17)
Net Realized Gains............ (0.17) (0.22) (0.11) (0.05) --
-------- -------- -------- -------- --------
Total Distributions......... (0.43) (0.47) (0.32) (0.27) (0.17)
---------------------------------------------------------------------------------
Net Asset Value, End of Year... $ 16.74 $ 16.65 $ 16.63 $ 14.81 $ 11.43
============================= ======== ======== ======== ======== ========
Total Return................... 3.21% 3.08% 14.66% 32.40% 14.60%
---------------------------------------------------------------------------------
Net Assets, End of Year
(thousands)................... $749,854 $540,607 $426,547 $297,661 $195,179
Ratio of Expenses to Average
Net Assets.................... 0.27% 0.32% 0.32% 0.33% 0.37%
Ratio of Expenses to Average
Net Assets (Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor and
Fees Paid Indirectly)......... 0.32% 0.32% 0.32% 0.33% 0.35%
Ratio of Net Investment
Income to Average Net Assets.. 1.69% 1.56% 1.44% 1.61% 1.63%
Portfolio Turnover Rate........ 26% 11% 7% 2% 9%
---------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
44
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO
---------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
-------------------------------------------------------------------------------------------
Net Asset Value, Beginning of
Period.............................. $ 9.14 $ 9.46 $ 9.79 $ 7.89 $ 7.73
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).... 0.23 0.23 0.30 0.23 0.23
Net Gains (Losses) on Securities
(Realized and Unrealized)......... (0.30) (0.33) (0.33) 1.90 0.15
-------- -------- -------- -------- --------
Total from Investment Operations.. (0.07) (0.10) (0.03) 2.13 0.38
-------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............... (0.22) (0.22) (0.28) (0.23) (0.21)
Net Realized Gains.................. -- -- (0.02) -- (0.01)
-------- -------- -------- -------- --------
Total Distributions............... (0.22) (0.22) (0.30) (0.23) (0.22)
-------------------------------------------------------------------------------------------
Net Asset Value, End of Period....... $ 8.85 $ 9.14 $ 9.46 $ 9.79 $ 7.89
=================================== ======== ======== ======== ======== ========
Total Return......................... (0.74)% (1.09)% (0.43)% 27.38% 5.18%
-------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)......................... $520,141 $401,049 $327,847 $206,602 $145,055
Ratio of Expenses to Average Net
Assets.............................. 0.44% 0.48% 0.49% 0.52% 0.57%
Ratio of Expenses to Average Net
Assets (Excluding Fees (Waived),
(Expenses Reimbursed), and/ or
Previously Waived Fees Recovered
by Advisor and Fees Paid
Indirectly)......................... 0.50% 0.48% 0.49% 0.50% 0.56%
Ratio of Net Investment Income to
Average Net Assets.................. 2.64% 2.46% 2.98% 2.57% 2.96%
Portfolio Turnover Rate.............. 24% 8% 3% 2% 11%
-------------------------------------------------------------------------------------------
INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO
----------------------------------------
PERIOD
NOV. 1,
YEAR YEAR YEAR 2012(A)
ENDED ENDED ENDED TO
OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013
-------------------------------------------------------------------------------------
Net Asset Value, Beginning of
Period.............................. $ 11.23 $ 11.76 $ 12.30 $ 10.00
-------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).... 0.31 0.30 0.35 0.27
Net Gains (Losses) on Securities
(Realized and Unrealized)......... (0.11) (0.50) (0.50) 2.27
-------- -------- -------- --------
Total from Investment Operations.. 0.20 (0.20) (0.15) 2.54
-------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............... (0.29) (0.28) (0.35) (0.24)
Net Realized Gains.................. -- (0.05) (0.04) --
-------- -------- -------- --------
Total Distributions............... (0.29) (0.33) (0.39) (0.24)
-------------------------------------------------------------------------------------
Net Asset Value, End of Period....... $ 11.14 $ 11.23 $ 11.76 $ 12.30
=================================== ======== ======== ======== ========
Total Return......................... 1.94% (1.67)% (1.40)% 25.81%(C)
-------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)......................... $546,713 $424,398 $306,772 $148,856
Ratio of Expenses to Average Net
Assets.............................. 0.45% 0.46% 0.53% 0.60%(B)(D)
Ratio of Expenses to Average Net
Assets (Excluding Fees (Waived),
(Expenses Reimbursed), and/ or
Previously Waived Fees Recovered
by Advisor and Fees Paid
Indirectly)......................... 0.45% 0.46% 0.50% 0.68%(B)(D)
Ratio of Net Investment Income to
Average Net Assets.................. 2.84% 2.58% 2.78% 2.44%(B)(D)
Portfolio Turnover Rate.............. 8% 7% 5% 14%(C)
-------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
45
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA SOCIAL
FIXED
INCOME
EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO PORTFOLIO
--------------------------------------------------- -------------
PERIOD
YEAR YEAR YEAR YEAR YEAR APRIL 5,
ENDED ENDED ENDED ENDED ENDED 2016(A)
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, TO
2016 2015 2014 2013 2012 OCT. 31, 2016
------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year... $ 10.64 $ 12.80 $ 12.92 $ 12.55 $ 12.33 $ 10.00
---------- -------- -------- -------- -------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).... 0.23 0.24 0.26 0.24 0.24 0.09
Net Gains (Losses) on Securities
(Realized and Unrealized)......... 1.12 (2.16) (0.13) 0.72 0.17 (0.02)
---------- -------- -------- -------- -------- -------
Total from Investment Operations.. 1.35 (1.92) 0.13 0.96 0.41 0.07
------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............... (0.23) (0.24) (0.25) (0.23) (0.19) (0.06)
Net Realized Gains.................. -- -- -- (0.36) -- --
---------- -------- -------- -------- -------- -------
Total Distributions............... (0.23) (0.24) (0.25) (0.59) (0.19) (0.06)
------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year......... $ 11.76 $ 10.64 $ 12.80 $ 12.92 $ 12.55 $ 10.01
=================================== ========== ======== ======== ======== ======== =============
Total Return......................... 12.87% (15.07)% 0.98% 7.74% 3.41% 0.75%(C)
------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).. $1,076,927 $959,946 $903,396 $764,187 $457,311 $83,699
Ratio of Expenses to Average Net
Assets.............................. 0.63% 0.65% 0.63% 0.66% 0.75% 0.26%(B)(D)
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% 0.65% 0.63% 0.66% 0.75% 0.56%(B)(D)
Ratio of Net Investment Income to
Average Net Assets.................. 2.13% 2.02% 2.04% 1.94% 1.92% 1.58%(B)(D)
Portfolio Turnover Rate.............. 12% 11% 10% 2% 44% 47%(C)
------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
46
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company whose shares are offered, without a sales charge, generally
to institutional investors and clients of registered investment advisors. The
Fund offers ninety-five operational portfolios, six of which, U.S. Social Core
Equity 2 Portfolio, U.S. Sustainability Core 1 Portfolio, International
Sustainability Core 1 Portfolio, International Social Core Equity Portfolio,
Emerging Markets Social Core Equity Portfolio, and DFA Social Fixed Income
Portfolio (the "Portfolios"), are included in this report. The remaining
eighty-nine portfolios are presented in separate reports. The Portfolios are
investment companies and, accordingly, follow the accounting and reporting
guidance under Financial Accounting Standards Board ("FASB") Accounting
Standards Certification ("ASC") Topic 946, "Financial Services-Investment
Companies."
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. SECURITY VALUATION: The Portfolios utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
Debt securities held by the DFA Social Fixed Income 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. These securities are generally categorized
as Level 2 in the hierarchy.
Securities held by U.S. Social Core Equity 2 Portfolio and U.S.
Sustainability Core 1 Portfolio (the "Domestic Equity Portfolios") and
International Sustainability Core 1 Portfolio, International Social Core Equity
Portfolio and Emerging Markets Social 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 management investment
companies are valued using their respective net asset values or public offering
47
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 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 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 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.
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
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
Portfolios recognize transfers between the levels as of the end of the period.
As of October 31, 2016, Emerging Markets Social Core Equity Portfolio had
significant transfers of securities with a total value of $91,404 (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 International Equity Portfolios and DFA Social Fixed Income
Portfolio whose values are initially expressed in foreign currencies are
translated to U.S. dollars using the mean between the most recent bid and asked
prices for the U.S. dollar as quoted by generally recognized reliable sources.
Dividend and interest income and certain expenses are translated to U.S.
dollars at the rate of exchange on their respective accrual dates. Receivables
and payables denominated in foreign currencies are marked-to-market daily based
on daily exchange rates and exchange gains or losses are realized upon ultimate
receipt or disbursement.
The International Equity Portfolios and DFA Social Fixed Income Portfolio 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
48
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 October 31, 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. 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.
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.
Emerging Markets Social 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.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolios.
For the year ended October 31, 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:
U.S. Social Core Equity 2 Portfolio......................... 0.25%
U.S. Sustainability Core 1 Portfolio........................ 0.29%
International Sustainability Core 1 Portfolio............... 0.42%
International Social Core Equity Portfolio.................. 0.37%
Emerging Markets Social Core Equity Portfolio............... 0.55%
DFA Social Fixed Income Portfolio........................... 0.20%
49
Pursuant to an Amended and Restated Fee Waiver and/or Expense Assumption
Agreement (the "Fee Waiver Agreement"), the Advisor has contractually agreed to
waive certain fees, including management fees, and in certain instances, assume
certain expenses of the Portfolios, as described below. The Fee Waiver
Agreement for the Portfolios described below will remain in effect through
February 28, 2017 (and February 28, 2018 with respect to the DFA Social Fixed
Income Portfolio), 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. The Fund, on
behalf of the Portfolios, is not obligated to reimburse the Advisor for fees
previously waived or expenses previously assumed by the Advisor more than
thirty-six months before the date of recovery.
PREVIOUSLY
RECOVERY WAIVED FEES/
OF PREVIOUSLY EXPENSES
WAIVED FEES/ ASSUMED
EXPENSE EXPENSES SUBJECT TO FUTURE
INSTITUTIONAL CLASS SHARES LIMITATION AMOUNT ASSUMED RECOVERY
-------------------------- ----------------- ------------- -----------------
U.S. Social Core Equity 2
Portfolio (1)............... 0.60% -- --
U.S. Sustainability Core 1
Portfolio (2)............... 0.25% $12 $312
International Sustainability
Core 1 Portfolio (2)........ 0.42% -- 256
International Social Core
Equity Portfolio (2)........ 0.60% -- --
Emerging Markets Social Core
Equity Portfolio (2)........ 0.85% -- --
DFA Social Fixed Income
Portfolio (3)............... 0.27% -- --
(1) The Advisor has contractually agreed to waive all or a portion of its
management fee to the extent necessary to reduce the Portfolio's ordinary
operating expenses (excluding expenses incurred through its investment in other
investment companies) ("Portfolio Expenses") of a class of the Portfolio so
that such Portfolio Expenses, on an annualized basis, do not exceed the rate
listed above as a percentage of a class of the Portfolio's average net assets
(the "Expense Limitation Amount"). At any time that the Portfolio Expenses of a
class of the U.S. Social Core Equity 2 Portfolio are less than the Expense
Limitation Amount of a class of the Portfolio, the Advisor retains the right to
recover fees previously waived and/or expenses previously assumed to the extent
that such reimbursement will not cause the annualized Portfolio Expenses for
such class of shares of the Portfolio to exceed the Expense Limitation Amount.
(2) 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 each of
the Portfolios listed above (excluding the expenses that the Portfolio incurs
indirectly through its investment in other investment companies) ("Portfolio
Expenses") to the extent necessary to limit the Portfolio Expenses of a class
of each Portfolio listed above, on an annualized basis, to the rates listed
above as a percentage of a class of the respective Portfolio's average net
assets (the "Expense Limitation Amount"). At any time that the Portfolio
Expenses of a class of a Portfolio are less than the Expense Limitation Amount
for such class of shares of the Portfolio, the Advisor retains the right to
recover for 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 identified above. Prior to February 29, 2016, the Expense
Limitation Amounts for the U.S. Sustainability Core 1 Portfolio and
International Sustainability Portfolio were 0.37% and 0.57%, respectively.
(3) The Advisor has contractually agreed to waive all or a portion of its
management fee and to assume the ordinary operating expenses of a class of the
Portfolio (excluding the expenses that the Portfolio incurs indirectly through
its investment in other investment companies) ("Portfolio Expenses") to the
extent necessary to limit the Portfolio Expenses of a class of the Portfolio on
an annualized basis, to the rate listed above as a percentage of a class of the
Portfolio's average net assets (the "Expense Limitation Amount"). At any time
that the Portfolio Expenses of a class of the Portfolio are less than the
Expense Limitation Amount of 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.
50
EARNED INCOME CREDIT:
In addition, the Portfolios have entered into arrangements with their
custodian whereby net interest earned on uninvested cash balances was used to
reduce a portion of each non-Domestic Portfolio's custody expenses. Custody
expense in the accompanying financial statements is presented before reduction
for credits. The impact of such credits is generally less than one basis point
of each Portfolio's net assets. During the year ended October 31, 2016,
expenses reduced were as follows (amounts in thousands):
FEES PAID
INDIRECTLY
----------
International Sustainability Core 1 Portfolio............... $11
International Social Core Equity Portfolio.................. 6
Emerging Markets Social Core Equity Portfolio............... 11
DFA Social Fixed Income Portfolio........................... 2
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 year ended October 31, 2016, the total related amounts paid by the Fund
to the CCO were $291 (in thousands). The total related amounts paid by each of
the Portfolios are included in Other Expenses on the Statement of Operations.
D. DEFERRED COMPENSATION:
At October 31, 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):
U.S. Social Core Equity 2 Portfolio......................... $ 9
U.S. Sustainability Core 1 Portfolio........................ 8
International Sustainability Core 1 Portfolio............... 6
International Social Core Equity Portfolio.................. 3
Emerging Markets Social Core Equity Portfolio............... 24
DFA Social Fixed Income Portfolio........................... --
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 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):
U.S. GOVERNMENT SECURITIES OTHER INVESTMENT SECURITIES
-------------------------- ---------------------------
PURCHASES SALES PURCHASES SALES
--------- ------- --------- --------
U.S. Social Core Equity 2 Portfolio......................... -- -- $181,150 $104,852
U.S. Sustainability Core 1 Portfolio........................ -- -- 362,252 165,666
International Sustainability Core 1 Portfolio............... -- -- 235,261 103,244
International Social Core Equity Portfolio.................. -- -- 160,970 35,870
Emerging Markets Social Core Equity Portfolio............... -- -- 130,518 120,753
DFA Social Fixed Income Portfolio........................... $54,716 $21,022 51,078 1,654
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.
51
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, 2016, primarily attributable to net foreign
currency gains/losses, foreign capital gains tax, tax equalization,
non-deductible expenses, and realized gains on securities considered to be
"passive foreign investment companies", were reclassified to the following
accounts. These reclassifications had no effect on net assets or net asset
value per share (amounts in thousands):
INCREASE INCREASE
(DECREASE) (DECREASE)
INCREASE UNDISTRIBUTED ACCUMULATED
(DECREASE) NET INVESTMENT NET REALIZED
PAID-IN CAPITAL INCOME GAINS (LOSSES)
--------------- -------------- --------------
U.S. Social Core Equity 2 Portfolio........... $ 677 $(544) $(133)
U.S. Sustainability Core 1 Portfolio.......... 528 (295) (233)
International Sustainability Core 1 Portfolio. 404 (421) 17
International Social Core Equity Portfolio.... 299 (256) (43)
Emerging Markets Social Core Equity Portfolio. 1,045 (817) (228)
DFA Social Fixed Income Portfolio............. -- -- --
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2015 and October 31, 2016 were as follows (amounts
in thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- -------
U.S. Social Core Equity 2 Portfolio
2015.......................................... $ 8,715 $ 9,855 $18,570
2016.......................................... 10,502 10,434 20,936
U.S. Sustainability Core 1 Portfolio
2015.......................................... 7,071 5,861 12,932
2016.......................................... 10,043 5,718 15,761
International Sustainability Core 1 Portfolio
2015.......................................... 8,692 -- 8,692
2016.......................................... 10,814 -- 10,814
International Social Core Equity Portfolio
2015.......................................... 9,094 1,447 10,541
2016.......................................... 12,707 -- 12,707
Emerging Markets Social Core Equity Portfolio
2015.......................................... 19,669 -- 19,669
2016.......................................... 20,974 -- 20,974
DFA Social Fixed Income Portfolio
2015.......................................... -- -- --
2016.......................................... 323 -- 323
52
At October 31, 2016, 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. Social Core Equity 2 Portfolio......................... $ (396) $(281) $ (677)
U.S. Sustainability Core 1 Portfolio........................ (313) (215) (528)
International Sustainability Core 1 Portfolio............... (404) -- (404)
International Social Core Equity Portfolio.................. (299) -- (299)
Emerging Markets Social Core Equity Portfolio............... (1,045) -- (1,045)
DFA Social Fixed Income Portfolio........................... -- -- --
At October 31, 2016, the components of distributable earnings (accumulated
losses) were as follows (amounts in thousands):
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED UNREALIZED EARNINGS
SHORT-TERM LONG-TERM CAPITAL LOSS APPRECIATION (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS CARRYFORWARDS (DEPRECIATION) LOSSES)
-------------- ------------- ------------- -------------- -------------
U.S. Social Core Equity 2 Portfolio.. $ 812 $7,378 -- $131,617 $139,807
U.S. Sustainability Core 1 Portfolio. 1,370 7,062 -- 143,361 151,793
International Sustainability Core 1
Portfolio.......................... 1,798 -- $(17,547) 17,096 1,347
International Social Core Equity
Portfolio.......................... 2,516 -- (3,629) (14,933) (16,046)
Emerging Markets Social Core Equity
Portfolio.......................... 3,867 -- (79,530) 78,568 2,905
DFA Social Fixed Income Portfolio.... 83 -- -- (663) (580)
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, 2016, the
Portfolios had the following capital loss carryforwards available to offset
future realized capital gains through the indicated expiration dates (amounts
in thousands):
UNLIMITED TOTAL
--------- -------
U.S. Social Core Equity 2 Portfolio........... -- --
U.S. Sustainability Core 1 Portfolio.......... -- --
International Sustainability Core 1 Portfolio. $17,547 $17,547
International Social Core Equity Portfolio.... 3,629 3,629
Emerging Markets Social Core Equity Portfolio. 79,530 79,530
DFA Social Fixed Income Portfolio............. -- --
53
At October 31, 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)
----------- ------------ ------------ --------------
U.S. Social Core Equity 2 Portfolio........... $ 654,241 $163,000 $ (31,383) $131,617
U.S. Sustainability Core 1 Portfolio.......... 700,368 150,377 (7,039) 143,338
International Sustainability Core 1 Portfolio. 526,304 59,057 (41,917) 17,140
International Social Core Equity Portfolio.... 592,230 52,807 (67,694) (14,887)
Emerging Markets Social Core Equity Portfolio. 1,036,132 207,434 (128,834) 78,600
DFA Social Fixed Income Portfolio............. 83,177 90 (753) (663)
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. FINANCIAL INSTRUMENTS:
In accordance with the Portfolios' investment objectives and policies, the
Portfolios may invest in certain financial instruments that have off-balance
sheet risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. FOREIGN MARKET RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States of America, including the possibility of future political and
economic developments and the level of foreign governmental supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of international
securities held by the Portfolios may be inhibited.
2. FUTURES CONTRACTS: The Equity 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 Equity 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 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.
3. FORWARD CURRENCY CONTRACTS: The International Social Core Equity
Portfolio and Emerging Markets Social Core Equity Portfolio may acquire and
sell forward foreign currency exchange contracts in order to attempt to
54
protect against uncertainty in the level of future foreign currency exchange
rates. Such Portfolios may enter into a forward contract in connection with the
purchase or sale of foreign equity securities, typically to "lock in" the value
of the transaction with respect to a different currency. In addition, such
Portfolios may, from time to time, enter into a forward contract to transfer
balances from one currency to another currency. 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.
The average volume (based on the open positions at each fiscal month-end) of
derivative activity for the year ended October 31, 2016 (amounts in thousands):
FORWARD
CURRENCY
CONTRACTS FUTURES
--------- -------
International Sustainability Core 1 Portfolio*. $95 --
International Social Core Equity Portfolio*.... 26 --
Emerging Markets Social Core Equity Portfolio*. -- $681
* The Portfolio had derivative activity during the period but it did not have
open positions at October 31, 2016.
The following is a summary of the location on the Portfolios' Statements of
Operations of realized and change in unrealized gains and losses from the
Portfolios' derivative instrument holdings through the year ended October 31,
2016:
DERIVATIVE TYPE LOCATION OF GAIN (LOSS) ON DERIVATIVES
--------------- --------------------------------------
Equity contracts Net Realized Gain (Loss) on: Futures
Foreign Exchange Contracts Net Realized Gain (Loss) on: Forward Currency Contacts
The following is a summary of the location of realized and change in
unrealized gains and losses from the Portfolios' derivative instrument holdings
categorized by primary risk exposure through the year ended October 31, 2016
(amounts in thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
------------------------
FOREIGN
EXCHANGE EQUITY
TOTAL CONTRACTS CONTRACTS
----- --------- ---------
International Social Core Equity Portfolio*....... $(14) $(5) $ (9)
Emerging Markets Social Core Equity Portfolio*.... 163 (3) 166
* As of October 31, 2016, there were no futures or forward currency contracts
outstanding. During the year ended October 31, 2016, the Portfolios had
limited activity in futures and forward currency 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.
55
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 year ended October 31, 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
------------- ------------ ------------ -------- ---------------
U.S. Social Core Equity 2 Portfolio............... 1.05% $3,318 28 $3 $11,480
International Sustainability Core 1 Portfolio..... 1.05% 1,765 35 2 9,221
International Social Core Equity Portfolio........ 1.11% 1,733 27 1 7,855
Emerging Markets Social Core Equity Portfolio..... 1.11% 2,909 69 6 12,784
* Number of Days Outstanding represents the total of single or consecutive days
during the year ended October 31, 2016, that each Portfolio's available line
of credit was utilized.
At October 31, 2016, Emerging Markets Social Core Equity Portfolio had loans
outstanding in the amount of $850 (in thousands).
Pursuant to an exemptive order issued by the SEC (the "Order"), the
Portfolios may participate in an interfund lending program among certain
portfolios managed by the Advisor (portfolios that operate as feeder funds do
not participate in the program). The program allows the participating
portfolios to borrow money from and loan money to each other for temporary or
emergency purposes, subject to the conditions in the Order. A loan can only be
made through the program if the interfund loan rate on that day is more
favorable to both the borrowing and lending portfolios as compared to rates
available through short-term bank loans or investments in overnight repurchase
agreements and money market funds, respectively, as detailed in the Order.
Further, a portfolio may participate in the program only if and to the extent
that such participation is consistent with its investment objectives and
limitations. Interfund loans have a maximum duration of seven days and may be
called on one business day's notice. The Portfolios did not utilize the
interfund lending program during the year ended October 31, 2016.
I. AFFILIATED TRADES:
Cross trades for the year ended October 31, 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 year ended October 31, 2016, cross trades by the Portfolios under Rule
17a-7 were as follows (amounts in thousands):
PORTFOLIO PURCHASES SALES REALIZED GAIN (LOSS)
--------- --------- ------- --------------------
U.S. Social Core Equity 2 Portfolio............... $11,111 $ 8,090 $ 507
U.S. Sustainability Core 1 Portfolio.............. 17,493 47,379 1,785
International Sustainability Core 1 Portfolio..... 11,397 16,351 (1,035)
International Social Core Equity Portfolio........ 9,632 10,348 (132)
Emerging Markets Social Core Equity Portfolio..... 1,027 1,654 (304)
56
J. SECURITIES LENDING:
As of October 31, 2016, the Portfolios had securities on loan to
brokers/dealers, for which each such Portfolio received cash collateral. The
non-cash collateral includes short- and/or long-term U.S. Treasuries and U.S.
Government agency securities as follows (amounts in thousands):
MARKET
VALUE
-------
U.S. Social Core Equity 2 Portfolio............... $27,165
U.S. Sustainability Core 1 Portfolio.............. 23,978
International Sustainability Core 1 Portfolio..... 1,824
International Social Core Equity Portfolio........ 2,177
Emerging Markets Social Core Equity Portfolio..... 35,513
The Portfolios invest the cash collateral, as described below, and record 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 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 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 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, the Portfolios
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 October 31, 2016:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF OCTOBER 31, 2016
---------------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
------------- -------- ------------ -------- ------------
SECURITIES LENDING TRANSACTIONS
U.S. SOCIAL CORE EQUITY 2 PORTFOLIO
Common Stocks, Rights/Warrants............... $100,916,158 -- -- -- $100,916,158
U.S. SUSTAINABILITY CORE 1 PORTFOLIO
Common Stocks, Rights/Warrants............... $ 94,098,425 -- -- -- $ 94,098,425
INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO
Common Stocks................................ $ 28,200,076 -- -- -- $ 28,200,076
57
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF OCTOBER 31, 2016
--------------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
------------- -------- ------------ -------- -----------
INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO
Common Stocks............................. $33,147,035 -- -- -- $33,147,035
EMERGING MARKETS SOCIAL CORE EQUITY
PORTFOLIO
Common Stocks............................. $44,752,009 -- -- -- $44,752,009
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 October 31, 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 OF
NUMBER OF OUTSTANDING
SHAREHOLDERS SHARES
------------ -------------
U.S. Social Core Equity 2 Portfolio............. 5 76%
U.S. Sustainability Core 1 Portfolio............ 4 84%
International Sustainability Core 1 Portfolio... 4 78%
International Social Core Equity Portfolio...... 4 50%
Emerging Markets Social Core Equity Portfolio... 4 46%
DFA Social Fixed Income Portfolio............... 3 98%
M. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the
Portfolios through the date that the financial statements were issued and has
determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
58
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of DFA Investment Dimensions Group Inc. and
Shareholders of the Portfolios, as defined:
In our opinion, the accompanying statements of assets and liabilities,
including the summary schedules of portfolio holdings, and the related
statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
U.S. Social Core Equity 2 Portfolio, U.S. Sustainability Core 1 Portfolio,
International Sustainability Core 1 Portfolio, International Social Core Equity
Portfolio, Emerging Markets Social Core Equity Portfolio and DFA Social Fixed
Income Portfolio (constituting portfolios within DFA Investment Dimensions
Group Inc., hereafter referred to as the "Portfolios") as of October 31, 2016,
the results of each of their operations, the changes in each of their net
assets and the financial highlights for each of the periods indicated, in
conformity with accounting principles generally accepted in the United States
of America. These financial statements and financial highlights (hereafter
referred to as "financial statements") are the responsibility of the
Portfolios' management. Our responsibility is to express an opinion on these
financial statements based on our audits. We conducted our audits of these
financial statements in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we
plan and perform the audit to obtain reasonable assurance about whether the
financial statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles used and
significant estimates made by management, and evaluating the overall financial
statement presentation. We believe that our audits, which included confirmation
of securities as of October 31, 2016 by correspondence with the custodians,
brokers and the transfer agent of the investee fund, provide a reasonable basis
for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 20, 2016
59
NOTIFICATION OF SOURCE OF DISTRIBUTIONS PURSUANT TO
RULE 19A-1 UNDER THE INVESTMENT COMPANY ACT OF 1940
(UNAUDITED)
As noted in the table provided below, the U.S. Sustainability Core 1
Portfolio, International Sustainability Core 1 Portfolio, and Emerging Markets
Social Core Equity Portfolio paid distributions to shareholders of record that
included amounts from net investment income and return of capital. Please note
that this information is being provided to satisfy certain notice requirements
under the Investment Company Act of 1940 and is not being provided for tax
reporting purposes. Each Portfolio will send (or has sent) shareholders a Form
1099-DIV (or a financial intermediary should provide (or has provided)
shareholders with similar information) for the relevant calendar year informing
shareholders how to report these distributions for federal income tax purposes.
% BREAKDOWN OF DISTRIBUTION SOURCES
-------------------------------------------------
NET NET REALIZED NET REALIZED
INVESTMENT CAPITAL GAINS: CAPITAL GAINS: RETURN OF
PORTFOLIO NAME INCOME SHORT-TERM LONG-TERM CAPITAL
-------------- ---------- -------------- -------------- ---------
U.S. Sustainability Core 1 Portfolio
December 16, 2015.......................... 97% 0% 0% 3%
International Sustainability Core 1 Portfolio
December 16, 2015.......................... 93% 0% 0% 7%
Emerging Markets Social Core Equity Portfolio
December 16, 2015.......................... 94% 0% 0% 6%
March 30, 2016............................. 54% 0% 0% 46%
Each Portfolio estimates that it has distributed more than the amount of net
investment income and net realized capital gains; therefore, a portion of the
distributions may be a return of capital. A return of capital may occur, for
example, when some or all of the shareholder's investment in a Portfolio is
returned to the shareholder. A return of capital does not necessarily reflect a
Portfolio's investment performance and should not be confused with yield or
income. When distributions exceed total return performance, the difference will
reduce a Portfolio's net asset value per share.
60
FUND MANAGEMENT
(UNAUDITED)
TRUSTEES/DIRECTORS
Each Board of Trustees/Directors (each, the "Board" and collectively, the
"Boards") of The DFA Investment Trust Company ("DFAITC"), DFA Investment
Dimensions Group Inc. ("DFAIDG"), Dimensional Investment Group Inc. ("DIG"),
and Dimensional Emerging Markets Value Fund ("DEM") (each, the "Fund" and
collectively, the "Funds") is responsible for establishing the Funds' policies
and for overseeing the management of the Funds. The Trustees/ Directors of the
Funds, including all of the disinterested Trustees/Directors, have adopted
written procedures to monitor potential conflicts of interest that might
develop between portfolios of the Funds (the "Feeder Portfolios") that invest
in certain series of DFAITC or DEM (the "Master Funds").
Each Board has three standing committees: an Audit Committee, a Nominating
Committee, and an Investment Strategy Committee (the "Strategy Committee"). The
Audit Committee is composed of George M. Constantinides, Roger G. Ibbotson, and
Abbie J. Smith. Each member of the Audit Committee is a disinterested
Trustee/Director. The Audit Committee oversees the Fund's accounting and
financial reporting policies and practices, the Fund's internal controls, the
Fund's financial statements and the independent audits thereof and performs
other oversight functions as requested by the Board. The Audit Committee
recommends the appointment of each Fund's independent registered certified
public accounting firm and also acts as a liaison between the Fund's
independent registered certified public accounting firm and the full Board.
There were two Audit Committee meetings held during the fiscal year ended
October 31, 2016.
Each Board's Nominating Committee is composed of George M. Constantinides, John
P. Gould, Roger G. Ibbotson, Myron S. Scholes, Edward P. Lazear, and Abbie J.
Smith. Each member of the Nominating Committee is a disinterested
Trustee/Director. The Nominating Committee for each Board makes recommendations
for nominations of disinterested and interested members on the Board to the
full Board. The Nominating Committee evaluates a candidate's qualification for
Board membership and the independence of such candidate from the Advisor and
other principal service providers. The Nominating Committee did not meet during
the fiscal year ended October 31, 2016.
Each Board's Strategy Committee consists of both interested and disinterested
Trustees/Directors. The Strategy Committee is composed of John P. Gould, Edward
P. Lazear, Myron S. Scholes, and Eduardo A. Repetto. The Strategy Committee
assists the Board in carrying out its fiduciary duties with respect to the
oversight of the Fund and its performance. At the request of the Board or the
Advisor, the Strategy Committee may (i) review the design of possible new
series of the Fund, (ii) review performance of existing portfolios of the Fund
and discuss and recommend possible enhancements to the portfolios' investment
strategies, (iii) review proposals by the Advisor to modify or enhance the
investment strategies or policies of each portfolio, and (iv) consider issues
relating to investment services for each portfolio of the Fund. The Strategy
Committee was formed on December 17, 2010, and there were three Strategy
Committee meetings held during the fiscal year ended October 31, 2016.
Certain biographical information for each disinterested Trustee/Director and
each interested Trustee/Director of the Funds is set forth in the tables below,
including a description of each Trustee/Director's experience as a Trustee/
Director of the Funds and as a director or trustee of other funds, as well as
other recent professional experience.
The statements of additional information (together, "SAI") of the Funds include
additional information about each Trustee/Director. You may obtain copies of
the SAI and prospectus of each Fund advised by Dimensional Fund Advisors LP by
calling collect (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746.
Prospectuses are also available at http://us.dimensional.com.
61
NAME, POSITION PORTFOLIOS WITHIN THE
WITH THE FUND, TERM OF OFFICE/1/ AND DFA FUND COMPLEX/2/ PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND
ADDRESS AND YEAR OF BIRTH LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD
-------------------------------------------------------------------------------------------------------------------------------
DISINTERESTED TRUSTEES/DIRECTORS
-------------------------------------------------------------------------------------------------------------------------------
George M. Constantinides Since Inception 122 portfolios in 4 Leo Melamed Professor of Finance, The University
Director of DFAIDG and investment companies of Chicago Booth School of Business.
DIG.
Trustee of DFAITC and
DEM.
The University of Chicago
Booth School of Business
5807 S. Woodlawn
Avenue
Chicago, IL 60637
1947
-------------------------------------------------------------------------------------------------------------------------------
John P. Gould DFAIDG-Since 1986 122 portfolios in 4 Steven G. Rothmeier Professor and Distinguished
Director of DFAIDG and DIG-Since 1993 investment companies Service Professor of Economics, University of
DIG DFAITC-Since 1992 Chicago Booth School of Business (since 1965).
Trustee of DFAITC and DEM-Since 1993 Member and Chair, Competitive Markets Advisory
DEM Council, Chicago Mercantile Exchange (futures
The University of Chicago trading exchange) (since 2004). Trustee, Harbor
Booth School of Business Fund (registered investment company) (29 Portfolios)
5807 S. Woodlawn Avenue (since 1994). Formerly, Member of the Board of
Chicago, IL 60637 Milwaukee Insurance Company (1997-2010).
1939
-------------------------------------------------------------------------------------------------------------------------------
Roger G. Ibbotson DFAIDG-Since 1981 122 portfolios in 4 Professor in Practice of Finance, Yale School of
Director of DFAIDG and DIG-Since 1993 investment companies Management (since 1984). Chairman, CIO and
DIG DFAITC-Since 1992 Partner, Zebra Capital Management, LLC (hedge
Trustee of DFAITC and DEM-Since 1993 fund and asset manager) (since 2001). Consultant
DEM to Morningstar Inc. (since 2006). Formerly, Director,
Yale School of BIRR Portfolio Analysis, Inc. (sofware Products)
Management (1990- 2010).
P.O. Box 208200
New Haven, CT 06520-
8200
1943
-------------------------------------------------------------------------------------------------------------------------------
Edward P. Lazear DFAIDG-Since 2010 122 portfolios in 4 Morris Arnold Cox Senior Fellow, Hoover Institution
Director of DFAIDG and DIG-Since 2010 investment companies (since 2002). Jack Steele Parker Professor of Human
DIG DFAITC-Since 2010 Resources Management and Economics, Graduate
Trustee of DFAITC and DEM-Since 2010 School of Business, Stanford University (since 1995).
DEM Cornerstone Research (expert testimony and
Stanford University economic and financial analysis) (since 2009).
Graduate Formerly, Chairman of the President George W.
School of Business Bush's Council of Economic Advisors, State of
434 Galvez Mall California (2005-2006). Formerly, Commissioner,
Stanford, CA 94305 White House Panel on Tax Reform (2005)
1948
-------------------------------------------------------------------------------------------------------------------------------
Myron S. Scholes DFAIDG-Since 1981 122 portfolios in 4 Chief Investment Strategist, Janus Capital Group
Director of DFAIDG and DIG-Since 1993 investment companies Inc. (since 2014). Frank E. Buck Professor of
DIG DFAITC-Since 1992 Finance Emeritus, Graduate School of Business,
Trustee of DFAITC and DEM-Since 1993 Stanford University (since 1981). Chairman,
DEM Ruapay Inc. (since 2013). Formerly, Chairman,
c/o Dimensional Fund Platinum Grove Asset Management, L.P. (hedge
Advisers, LP fund) (formerly, Oak Hill Platinum Partners) (1999-
6300 Bee Cave Road 2009). Formerly, Director, American Centruy Fund
Building 1 Complex (registered investment companies) (43
Austin, TX 78746 Portfolios) (1980-2014).
1941
-------------------------------------------------------------------------------------------------------------------------------
Abbie J. Smith DFAIDG-Since 2000 122 portfolios in 4 Boris and Irene Stern Distinguished Service Professor
Director of DFAIDG and DIG-Since 2000 investment companies of Accounting, University of Chicago Booth School of
DIG DFAITC-Since 2000 Business (since 1980). Director, HNI Corporation
Trustee of DFAITC and DEM-Since 2000 (formerly known as HON Industries Inc.) (office
DEM furniture) (since 2000). Director, Ryder System Inc.
The University of Chicago (transportation, logistics and supply-chain
Booth School of Business management) (since 2003). Trustee, UBS Funds (4
5807 S. Woodlawn Avenue investment companies within the fund complex) (33
Chicago, IL 60637 portfolios) (since 2009). Formerly, Co-Director
1953 Investment Research, Fundamental Investment
Advisors (hedge fund) (2008-2011).
62
NAME, POSITION PORTFOLIOS WITHIN THE
WITH THE FUND, TERM OF OFFICE/1/ AND DFA FUND COMPLEX/2/ PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND
ADDRESS AND YEAR OF BIRTH LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD
---------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES/DIRECTORS*
---------------------------------------------------------------------------------------------------------------------------------
David G. Booth DFAIDG-Since 1981 122 portfolios in 4 Chairman, Director/Trustee, President, Co-Chief
Chairman, DIG-Since 1992 investment companies Executive Officer and formerly, Chief Executive
Director/Trustee, DFAITC-Since 1992 Officer (until 1/1/2010) of the following companies:
President and Co-Chief DEM-Since 1993 Dimensional Holdings Inc., Dimensional Fund
Executive Officer Advisors LP, DFA Securities LLC, DEM, DFAIDG,
6300 Bee Cave Road DIG and DFAITC (collectively, the "DFA Entities").
Building One Director of Dimensional Fund Advisors Ltd. and
Austin, TX 78746 formerly, Chief Investment Officer. Director of DFA
1946 Australia Limited and formerly, President and Chief
Investment Officer. Director of Dimensional Advisors
Ltd., Dimensional Funds plc and Dimensional Funds
II plc. Formerly, President, Dimensional SmartNest
(US) LLC (2009- 2014). Formerly, Limited Partner,
Oak Hill Partners (2001-2010). Limited Partner, VSC
Investors, LLC (since 2007). Trustee, University of
Chicago. Trustee, University of Kansas Endowment
Association. Formerly, Director, SA Funds
(registered investment company). Chairman, Director
and Co-Chief Executive Officer of Dimensional Fund
Advisors Canada ULC. Director and President (since
2012) of Dimensional Japan Ltd. Chairman, Director,
President, and Co-Chief Executive Officer of
Dimensional Cayman Commodity Fund I Ltd. (since
2010).
---------------------------------------------------------------------------------------------------------------------------------
Eduardo A. Repetto DFAIDG-Since 2009 122 portfolios in 4 Co-Chief Executive Officer (beginning January 2010),
Director/Trustee, Co-Chief DIG-Since 2009 investment companies Co-Chief Investment Officer (since June 2014),
Executive Officer and Co- DFAITC-Since 2009 Director/Trustee, and formerly, Chief Investment
Chief Investment Officer DEM-Since 2009 Officer (March 2007-June 2014) of the DFA Entities.
6300 Bee Cave Road, Director, Co-Chief Executive Officer and Chief
Building One Investment Officer (since 2010) of Dimensional
Austin, TX 78746 Cayman Commodity Fund I Ltd. Director, Co-Chief
1967 Executive Officer, President and Co-Chief
Investment Officer of Dimensional Fund Advisors
Canada ULC and formerly, Chief Investment Officer
(until April 2014). Co-Chief Investment Officer, Vice
President, and Director of DFA Australia Limited and
formerly, Chief Investment Officer (until April 2014).
Director of Dimensional Fund Advisors Ltd.,
Dimensional Funds plc, Dimensional Funds II plc
and Dimensional Advisors Ltd. Formerly, Vice
President of the DFA Entities and Dimensional Fund
Advisors Canada ULC. Director and Chief
Investment Officer (since December 2012) of
Dimensional Japan Ltd.
/1/ Each Trustee/Director holds office for an indefinite term until his or her
successor is elected and qualified.
/2/ Each Trustee/Director is a director or trustee of each of the four
registered investment companies within the DFA Fund Complex, which includes
the DFAIDG, DIG, DFAITC and DEM. Each disinterested Trustee/Director also
serves on the Independent Review Committee of the Dimensional Funds, mutual
funds registered in the provinces of Canada and managed by an affiliate of
Dimensional Fund Advisors LP (the "Advisor"), Dimensional Fund Advisors
Canada ULC.
* Interested Trustees/Directors are described as such because they are deemed
to be "interested persons," as that term is defined under the Investment
Company Act of 1940, as amended, due to their positions with the Advisor.
63
OFFICERS
Below is the name, year of birth, information regarding positions with the
Funds and the principal occupation for each officer of the Funds. The address
of each officer is 6300 Bee Cave Road, Building One, Austin, TX 78746. Each of
the officers listed below holds the same office (except as otherwise noted) in
the DFA Entities.
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
----------------------------------------------------------------------------------------------------------------------
April A. Aandal Vice President Since 2008 Vice President of all the DFA Entities.
1963
----------------------------------------------------------------------------------------------------------------------
Robyn G. Alcorta Vice President Since 2012 Vice President of all the DFA Entities. Formerly, Vice
1974 President, Business Development at Capson
Physicians Insurance Company (2010-2012).
----------------------------------------------------------------------------------------------------------------------
Magdalia S. Armstrong Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1977 Regional Director for Dimensional Fund Advisors LP
(January 2011-January 2016).
----------------------------------------------------------------------------------------------------------------------
Darryl D. Avery Vice President Since 2005 Vice President of all the DFA Entities.
1966
----------------------------------------------------------------------------------------------------------------------
Arthur H. Barlow Vice President Since 1993 Vice President of all the DFA Entities. Director and
1955 Managing Director of Dimensional Fund Advisors Ltd
(since September 2013). Director of Dimensional
Funds plc and Dimensional Funds II plc (since
November 2013).
----------------------------------------------------------------------------------------------------------------------
Lana Bergstein Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1974 Client Service Manager for Dimensional Fund
Advisors LP (February 2008-January 2014).
----------------------------------------------------------------------------------------------------------------------
Stanley W. Black Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1970 Senior Research Associate (January 2012-January
2014) and Research Associate (2006-2011) for
Dimensional Fund Advisors LP.
----------------------------------------------------------------------------------------------------------------------
Aaron T. Borders Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1973 Regional Director for Dimensional Fund Advisors LP
(April 2008-January 2014).
----------------------------------------------------------------------------------------------------------------------
Scott A. Bosworth Vice President Since 2007 Vice President of all the DFA Entities.
1968
----------------------------------------------------------------------------------------------------------------------
Valerie A. Brown Vice President and Since 2001 Vice President and Assistant Secretary of all the
1967 Assistant Secretary DFA Entities, DFA Australia Limited, Dimensional
Fund Advisors Ltd., Dimensional Cayman
Commodity Fund I Ltd., Dimensional Fund Advisors
Pte. and Dimensional Hong Kong Limited. Director,
Vice President, Director and Assistant Secretary of
Dimensional Fund Advisors Canada ULC.
----------------------------------------------------------------------------------------------------------------------
David P. Butler Vice President Since 2007 Vice President of all the DFA Entities. Head of
1964 Global Financial Services for Dimensional Fund
Advisors LP (since 2008).
----------------------------------------------------------------------------------------------------------------------
Douglas M. Byrkit Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1970 Regional Director for Dimensional Fund Advisors LP
(December 2010-January 2012).
----------------------------------------------------------------------------------------------------------------------
Hunt M. Cairns Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1973 Regional Director (January 2010-January 2014) for
Dimensional Fund Advisors LP.
----------------------------------------------------------------------------------------------------------------------
David K. Campbell Vice President Since 2016 Vice President of all the DFA Entities. Formerly, DC
1966 Relationship Manager for Dimensional Fund
Advisors LP (October 2010-January 2016).
----------------------------------------------------------------------------------------------------------------------
Dennis M. Chamberlain Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1972 Regional Director (January 2012-January 2015) for
Dimensional Fund Advisors LP; Principal for
Chamberlain Financial Group (October 2010-
December 2011).
64
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
--------------------------------------------------------------------------------------------------------------------
Ryan J. Chaplinski Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1971 Regional Director (June 2011-January 2015) for
Dimensional Fund Advisors LP; Sales Executive for
Vanguard (2004-June 2011).
--------------------------------------------------------------------------------------------------------------------
James G. Charles Vice President Since 2011 Vice President of all the DFA Entities.
1956
--------------------------------------------------------------------------------------------------------------------
Joseph H. Chi Vice President Since 2009 Vice President of all the DFA Entities. Co-Head of
1966 Portfolio Management (since March 2012) and
Senior Portfolio Manager (since January 2012) for
Dimensional Fund Advisors LP. Vice President of
Dimensional Fund Advisors Canada ULC (since April
2016). Formerly, Portfolio Manager for Dimensional
Fund Advisors LP (October 2005 to January 2012).
--------------------------------------------------------------------------------------------------------------------
Pil Sun Choi Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1972 Counsel for Dimensional Fund Advisors LP (April
2012-January 2014); Vice President and Counsel for
AllianceBernstein L.P. (2006-2012).
--------------------------------------------------------------------------------------------------------------------
Stephen A. Clark Vice President Since 2004 Vice President of all the DFA Entities. Director and
1972 Vice President of Dimensional Japan Ltd (since
February 2016). President and Director of
Dimensional Fund Advisors Canada ULC (since
February 2016), Vice President of DFA Australia
Limited (since April 2008) and Director (since Oct
2016). Director of Dimensional Advisors Ltd,
Dimensional Fund Advisors Pte. Ltd., and
Dimensional Hong Kong Limited, (since April 2016),
Vice President of Dimensional Fund Advisors Pte
Ltd. (since June 2016), Head of Global Institutional
Services for Dimensional Fund Advisors LP (since
January 2014). Formerly, Vice President of
Dimensional Fund Advisors Canada ULC (December
2010-February 2016); Head of Institutional, North
America (March 2012 to December 2013) and Head
of Portfolio Management (January 2006 to March
2012) for Dimensional Fund Advisors LP.
--------------------------------------------------------------------------------------------------------------------
Matthew B. Cobb Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1971 Regional Director for Dimensional Fund Advisors LP
(September 2011-March 2013); Vice President at
MullinTBG (2005-2011).
--------------------------------------------------------------------------------------------------------------------
Rose C. Cooke Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1971 Regional Director for Dimensional Fund Advisors LP
(August 2010-March 2014).
--------------------------------------------------------------------------------------------------------------------
Ryan Cooper Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1979 Regional Director for Dimensional Fund Advisors LP
(2003-March 2014).
--------------------------------------------------------------------------------------------------------------------
Jeffrey D. Cornell Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1976 Regional Director for Dimensional Fund Advisors LP
(August 2002-January 2012).
--------------------------------------------------------------------------------------------------------------------
Robert P. Cornell Vice President Since 2007 Vice President of all the DFA Entities.
1949
--------------------------------------------------------------------------------------------------------------------
John W. Crill (Wes) Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1982 Senior Associate, Research (January 2015-January
2016); Associate, Research (January 2014-January
2015); Analyst, Research (July 2010-January 2014)
for Dimensional Fund Advisors LP.
--------------------------------------------------------------------------------------------------------------------
Christopher S. Crossan Vice President and Since 2004 Vice President and Global Chief Compliance Officer
1965 Global Chief of all the DFA Entities, DFA Australia Limited and
Compliance Officer Dimensional Fund Advisors Ltd. Chief Compliance
Officer and Chief Privacy Officer of Dimensional
Fund Advisors Canada ULC, Chief Compliance
Officer of Dimensional Fund Advisors Pte. Ltd.
Formerly, Vice President and Global Chief
Compliance Officer for Dimensional SmartNest (US)
LLC (October 2010-2014).
65
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
---------------------------------------------------------------------------------------------------------------------
John T. Curnutte Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1980 Manager, Research Systems (November 2012-
January 2016) for Dimensional Fund Advisors LP;
Assistant Vice President, Oaktree Capital
Management (April 2011-October 2012.
---------------------------------------------------------------------------------------------------------------------
John Dashtara Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1980 Regional Director (July 2013-January 2015) for
Dimensional Fund Advisors LP; Relationship
Manager for Blackrock, Inc. (July 2011-July 2013);
Vice President for Towers Watson (formerly,
WellsCanning) (June 2009-July 2011).
---------------------------------------------------------------------------------------------------------------------
James L. Davis Vice President Since 1999 Vice President of all the DFA Entities.
1956
---------------------------------------------------------------------------------------------------------------------
Robert T. Deere Vice President Since 1994 Vice President of all the DFA Entities, DFA Australia
1957 Limited and Dimensional Fund Advisors Canada
ULC.
---------------------------------------------------------------------------------------------------------------------
Johnathon K. DeKinder Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1979 Regional Director (January 2012-January 2014) and
Senior Associate (August 2010-December 2011) for
Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------------
Mark J. Dennis Vice President Since 2015 Vice President of all DFA Entities. Formerly,
1976 Regional Director (May 2011-January 2015) for
Dimensional Fund Advisors LP; Vice President,
Portfolio Specialist (January 2007-May 2011) for
Morgan Stanley Investment Management.
---------------------------------------------------------------------------------------------------------------------
Massimiliano DeSantis Vice President Since 2015 Vice President of all DFA Entities. Formerly, Senior
1971 Associate, Research (November 2012-January
2015) for Dimensional Fund Advisors LP; Senior
Consultant, NERA Economic Consulting, New York
(May 2010-November 2012).
---------------------------------------------------------------------------------------------------------------------
Peter F. Dillard Vice President Since 2010 Vice President of all the DFA Entities. Chief Data
1972 Officer for Dimensional Fund Advisors LP (since
January 2016).
---------------------------------------------------------------------------------------------------------------------
Robert W. Dintzner Vice President Since 2001 Vice President of all the DFA Entities.
1970
---------------------------------------------------------------------------------------------------------------------
Karen M. Dolan Vice President Since 2014 Vice President of all the DFA Entities. Head of
1979 Marketing for Dimensional Fund Advisors LP (since
February 2013). Formerly, Senior Manager of
Research and Marketing for Dimensional Fund
Advisors LP (June 2012-January 2013); Director of
Mutual Fund Analysis at Morningstar (January 2008-
May 2012).
---------------------------------------------------------------------------------------------------------------------
L. Todd Erskine Vice President Since 2015 Vice President of all DFA Entities. Formerly,
1959 Regional Director (May 2008-January 2015) for
Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------------
Richard A. Eustice Vice President and Since 1998 Vice President and Assistant Secretary of all the
1965 Assistant Secretary DFA Entities and DFA Australia Limited. Chief
Operating Officer for Dimensional Fund Advisors
Pte. Ltd. (since April 2013). Formerly, Chief
Operating Officer for Dimensional Fund Advisors Ltd.
(July 2008-March 2013).
---------------------------------------------------------------------------------------------------------------------
Gretchen A. Flicker Vice President Since 2004 Vice President of all the DFA Entities.
1971
---------------------------------------------------------------------------------------------------------------------
Jed S. Fogdall Vice President Since 2008 Vice President of all the DFA Entities. Co-Head of
1974 Portfolio Management (since March 2012) and
Senior Portfolio Manager (since January 2012) of
Dimensional Fund Advisors LP. Vice President of
Dimensional Fund Advisors Canada ULC (since April
2016). Formerly, Portfolio Manager of Dimensional
Fund Advisors LP (September 2004-January 2012).
66
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
------------------------------------------------------------------------------------------------------------------------
Edward A. Foley Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1976 Regional Director for Dimensional Fund Advisors LP
(August 2011-January 2014); Senior Vice President
of First Trust Advisors L.P. (2007-July 2011).
------------------------------------------------------------------------------------------------------------------------
Deborah J.G. Foster Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1959 Senior Associate (May 2011-January 2015) for
Dimensional Fund Advisors LP.
------------------------------------------------------------------------------------------------------------------------
Jeremy P. Freeman Vice President Since 2009 Vice President of all the DFA Entities.
1970
------------------------------------------------------------------------------------------------------------------------
Kimberly A. Ginsburg Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Vice
1970 President for Dimensional SmartNest (US) LLC
(January 2012-November 2014); Senior Vice
President for Morningstar (July 2004-July 2011).
------------------------------------------------------------------------------------------------------------------------
Mark R. Gochnour Vice President Since 2007 Vice President of all the DFA Entities.
1967
------------------------------------------------------------------------------------------------------------------------
Tom M. Goodrum Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1968 Managing Director at BlackRock (2004-January
2012).
------------------------------------------------------------------------------------------------------------------------
Henry F. Gray Vice President Since 2000 Vice President of all the DFA Entities.
1967
------------------------------------------------------------------------------------------------------------------------
John T. Gray Vice President Since 2007 Vice President of all the DFA Entities.
1974
------------------------------------------------------------------------------------------------------------------------
Christian Gunther Vice President Since 2011 Vice President of all the DFA Entities. Senior Trader
1975 for Dimensional Fund Advisors LP (since 2012).
Formerly, Senior Trader (2009-2012).
------------------------------------------------------------------------------------------------------------------------
Robert W. Hawkins Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1974 Counsel for Dimensional Fund Advisors LP (January
2011-January 2014).
------------------------------------------------------------------------------------------------------------------------
Joel H. Hefner Vice President Since 2007 Vice President of all the DFA Entities.
1967
------------------------------------------------------------------------------------------------------------------------
Kevin B. Hight Vice President Since 2005 Vice President of all the DFA Entities.
1967
------------------------------------------------------------------------------------------------------------------------
Gregory K. Hinkle Vice President, Chief Since 2016 Vice President, Chief Financial Officer, and
1958 Financial Officer, and Treasurer of all the DFA Entities. Interim Chief
Treasurer Financial Officer, interim Treasurer and Vice
President of Dimensional Advisors Ltd., Dimensional
Hong Kong Limited, Dimensional Cayman
Commodity Fund I Ltd., Dimensional Fund Advisors
Canada ULC, Dimensional Fund Advisors Pte. Ltd,
DFA Australia Ltd. Formerly, interim Chief Financial
Officer and interim Treasurer (April 2016-September
2016), and Controller (August 2015-September
2016) of all the DFA Entities); Vice President of T.
Rowe Price Group, Inc. and Director of Investment
Treasury and Treasurer of the T. Rowe Price Funds
(March 2008-July 2015).
------------------------------------------------------------------------------------------------------------------------
Christine W. Ho Vice President Since 2004 Vice President of all the DFA Entities.
1967
------------------------------------------------------------------------------------------------------------------------
Michael C. Horvath Vice President Since 2011 Vice President of all the DFA Entities. Formerly,
1960 Managing Director, Co-Head Global Consultant
Relations at BlackRock (2004-2011).
------------------------------------------------------------------------------------------------------------------------
Mark A. Hunter Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1971 Senior Compliance Officer (November 2010-January
2015) for Dimensional Fund Advisors LP.
------------------------------------------------------------------------------------------------------------------------
Alan R. Hutchison Vice President Since 2016 Vice President of all the DFA Entities. Portfolio
1977 Manager for Dimensional Fund Advisors LP (January
2013-Present). Formerly, Investment Associate for
Dimensional Fund Advisors LP (January 2010-
January 2013).
67
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
-----------------------------------------------------------------------------------------------------------------
Shahryar S. Jaberzadeh Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1983 Regional Director for Dimensional Fund Advisors LP
(April 2006-January 2016).
-----------------------------------------------------------------------------------------------------------------
Jeremy R. James Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1977 Manager, IT Service Management (October 2014-
January 2016); Manager, Managed DC Systems
(October 2005-October 2014) for Dimensional Fund
Advisors LP.
-----------------------------------------------------------------------------------------------------------------
Jeff J. Jeon Vice President Since 2004 Vice President of all the DFA Entities and
1973 Dimensional Cayman Commodity Fund I Ltd.
-----------------------------------------------------------------------------------------------------------------
Garret D. Jones Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1971 Manager of Sales and Marketing Systems (January
2011-January 2014) for Dimensional Fund Advisors
LP.
-----------------------------------------------------------------------------------------------------------------
Stephen W. Jones Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1968 Facilities Manager for Dimensional Fund Advisors
LP (October 2008-January 2012).
-----------------------------------------------------------------------------------------------------------------
Scott P. Kaup Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1975 Senior Manager, Investment Operations (January
2014-January 2015) and Investment Operations
Manager (May 2008-January 2014) for Dimensional
Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------------
David M. Kavanaugh Vice President Since 2014 Vice President of all the DFA Entities. Head of
1978 Operations for Financial Advisor Services for
Dimensional Fund Advisors LP (since July 2014).
Formerly, Counsel of Dimensional Fund Advisors LP
(August 2011-January 2014); Associate at Andrews
Kurth LLP (2006-2011).
-----------------------------------------------------------------------------------------------------------------
Patrick M. Keating Vice President Since 2003 Vice President of DFAIDG, DIG, DFAITC, DEM,
1954 Dimensional Holdings Inc., Dimensional Fund
Advisors LP and Dimensional Japan Ltd. Chief
Operating Officer and Director of Dimensional Japan
Ltd. Formerly, Vice President of DFA Securities LLC,
Dimensional Cayman Commodity Fund I Ltd. and
Dimensional Advisors Ltd (until February 2015);
Chief Operating Officer of Dimensional Holdings Inc.,
DFA Securities LLC, Dimensional Fund Advisors LP,
Dimensional Cayman Commodity Fund I Ltd.,
Dimensional Advisors Ltd. and Dimensional Fund
Advisors Pte. Ltd. (until February 2015); Director,
Vice President, and Chief Privacy Officer of
Dimensional Fund Advisors Canada ULC (until
February 2015); Director of DFA Australia Limited,
Dimensional Fund Advisors Ltd. and Dimensional
Advisors Ltd. (until February 2015); and Director and
Vice President of Dimensional Hong Kong Limited
and Dimensional Fund Advisors Pte. Ltd. (until
February 2015).
-----------------------------------------------------------------------------------------------------------------
Andrew K. Keiper Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1977 Regional Director for Dimensional Fund Advisors LP
(October 2004-January 2013).
-----------------------------------------------------------------------------------------------------------------
David M. Kershner Vice President Since 2010 Vice President of all the DFA Entities. Portfolio
1971 Manager for Dimensional Fund Advisors LP (since
June 2004).
-----------------------------------------------------------------------------------------------------------------
Arun C. Keswani Vice President Since 2016 Vice President of all the DFA Entities. Senior
1975 Portfolio Manager for Dimensional Fund Advisors LP
(January 2015-Present). Formerly, Portfolio Manager
(January 2013-January 2015) and Investment
Associate (October 2011-January 2013) for
Dimensional Fund Advisors LP; Investment Banking
Associate at Morgan Stanley (August 2010-
September 2011).
68
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
---------------------------------------------------------------------------------------------------------------
Kimberly L. Kiser Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1972 Creative Director for Dimensional Fund Advisors LP
(September 2012-January 2014); Vice President and
Global Creative Director at Morgan Stanley (2007-
2012); Visiting Assistant Professor, Graduate
Communications Design at Pratt Institute (2004-
2012).
---------------------------------------------------------------------------------------------------------------
Natalia Y. Knych Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1971 Manager, RFP, Institutional (January 2015-January
2016); Senior Associate, Institutional (April 2007-
January 2015) for Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------
Timothy R. Kohn Vice President Since 2011 Vice President of all the DFA Entities. Head of
1971 Defined Contribution Sales for Dimensional Fund
Advisors LP (since August 2010).
---------------------------------------------------------------------------------------------------------------
Joseph F. Kolerich Vice President Since 2004 Vice President of all the DFA Entities. Senior
1971 Portfolio Manager of Dimensional Fund Advisors LP
(since January 2012). Formerly, Portfolio Manager
for Dimensional (April 2001-January 2012).
---------------------------------------------------------------------------------------------------------------
Mark D. Krasniewski Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1981 Senior Associate, Investment Analytics and Data
(January 2012-December 2012) and Systems
Developer (June 2007-December 2011) for
Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------
Kahne L. Krause Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1966 Regional Director (May 2010-January 2014) for
Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------
Stephen W. Kurad Vice President Since 2011 Vice President of all the DFA Entities.
1968
---------------------------------------------------------------------------------------------------------------
Michael F. Lane Vice President Since 2004 Vice President of all the DFA Entities. Formerly,
1967 Chief Executive Officer for Dimensional SmartNest
(US) LLC (July 2012-November 2014).
---------------------------------------------------------------------------------------------------------------
Francis R. Lao Vice President Since 2011 Vice President of all the DFA Entities. Formerly, Vice
1969 President -- Global Operations at Janus Capital
Group (2005-2011).
---------------------------------------------------------------------------------------------------------------
David F. LaRusso Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1978 Senior Trader (January 2010-December 2012) for
Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------
Juliet H. Lee Vice President Since 2005 Vice President of all the DFA Entities.
1971
---------------------------------------------------------------------------------------------------------------
Marlena I. Lee Vice President Since 2011 Vice President of all the DFA Entities.
1980
---------------------------------------------------------------------------------------------------------------
Paul A. Lehman Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1971 Regional Director (July 2013-January 2015) for
Dimensional Fund Advisors LP; Chief Investment
Officer (April 2005-April 2013) for First Citizens
Bancorporation.
---------------------------------------------------------------------------------------------------------------
John B. Lessley Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1960 Regional Director for Dimensional Fund Advisors LP
(January 2008-January 2013).
---------------------------------------------------------------------------------------------------------------
Joy L. Lopez Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1971 Senior Tax Manager (February 2013-January 2015)
for Dimensional Fund Advisors LP; Vice President
and Tax Manager, North America (August 2006-April
2012) for Pacific Investment Management Company.
---------------------------------------------------------------------------------------------------------------
Apollo D. Lupescu Vice President Since 2009 Vice President of all the DFA Entities.
1969
69
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
--------------------------------------------------------------------------------------------------------------------------
Timothy P. Luyet Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1972 Senior Manager, Marketing Operations (January
2014-January 2015), Manager, Client Systems
(October 2011-January 2014) and RFP Manager
(April 2010-October 2011) for Dimensional Fund
Advisors LP.
--------------------------------------------------------------------------------------------------------------------------
Peter Magnusson Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1969 Regional Director for Dimensional Fund Advisors LP
(January 2011-January 2014).
--------------------------------------------------------------------------------------------------------------------------
Kenneth M. Manell Vice President Since 2010 Vice President of all the DFA Entities and
1972 Dimensional Cayman Commodity Fund I Ltd.
--------------------------------------------------------------------------------------------------------------------------
Aaron M. Marcus Vice President Since 2008 Vice President of all DFA Entities and Head of
1970 Global Human Resources for Dimensional Fund
Advisors LP.
--------------------------------------------------------------------------------------------------------------------------
Duane R. Mattson Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1965 Senior Compliance Officer (May 2012-January 2015)
for Dimensional Fund Advisors LP; Chief
Compliance Officer (April 2010-April 2012) for Al
Frank Asset Management.
--------------------------------------------------------------------------------------------------------------------------
Bryan R. McClune Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1975 Regional Director of Dimensional Fund Advisors LP
(January 2009-January 2014).
--------------------------------------------------------------------------------------------------------------------------
Philip P. McInnis Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1984 Regional Director (January 2009-January 2014) and
Senior Associate (2011) for Dimensional Fund
Advisors LP.
--------------------------------------------------------------------------------------------------------------------------
Francis L. McNamara Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1959 Manager, Project Management Office for
Dimensional Fund Advisors LP (October 2006-
January 2016).
--------------------------------------------------------------------------------------------------------------------------
Travis A. Meldau Vice President Since 2015 Vice President of all the DFA Entities. Portfolio
1981 Manager (since September 2011) for Dimensional
Fund Advisors LP. Formerly, Portfolio Manager for
Wells Capital Management (October 2004-
September 2011).
--------------------------------------------------------------------------------------------------------------------------
Tracy R. Mitchell Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1974 Regional Director for Dimensional Fund Advisors LP
(September 2013-January 2016); Managing Director,
Client Services, Charles Schwab (December 2009-
August 2013).
--------------------------------------------------------------------------------------------------------------------------
Jonathan G. Nelson Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1971 Manager, Investment Systems (2011-January 2013)
for Dimensional Fund Advisors LP.
--------------------------------------------------------------------------------------------------------------------------
Catherine L. Newell Vice President and Vice President since 1997 Vice President and Secretary of all the DFA Entities.
1964 Secretary and Secretary since 2000 Director, Vice President and Secretary of DFA
Australia Limited and Dimensional Fund Advisors
Ltd. (since February 2002, April 1997, and May
2002, respectively). Vice President and Secretary of
Dimensional Fund Advisors Canada ULC (since
June 2003), Dimensional Cayman Commodity Fund I
Ltd., Dimensional Japan Ltd (since February 2012),
Dimensional Advisors Ltd (since March 2012),
Dimensional Fund Advisors Pte. Ltd. (since June
2012). Director of Dimensional Funds plc and
Dimensional Funds II plc (since 2002 and 2006,
respectively). Director of Dimensional Japan Ltd.,
Dimensional Advisors Ltd., Dimensional Fund
Advisors Pte. Ltd. and Dimensional Hong Kong
Limited (since August 2012 and July 2012).
Formerly, Vice President and Secretary of
Dimensional SmartNest (US) LLC (October 2010-
November 2014).
70
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
----------------------------------------------------------------------------------------------------------------------------
John R. Nicholson Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1977 Regional Director (June 2011-January 2015) for
Dimensional Fund Advisors LP; Sales Executive for
Vanguard (July 2008-May 2011).
----------------------------------------------------------------------------------------------------------------------------
Pamela B. Noble Vice President Since 2011 Vice President of all the DFA Entities. Formerly,
1964 Portfolio Manager for Dimensional Fund Advisors LP
(2008-2010).
----------------------------------------------------------------------------------------------------------------------------
Selwyn Notelovitz Vice President and Since 2013 Vice President and Deputy Chief Compliance Officer
1961 Deputy Chief of all the DFA Entities. Deputy Chief Compliance
Compliance Officer Officer of Dimensional Fund Advisors LP (since
December 2012). Formerly, Chief Compliance
Officer of Wellington Management Company, LLP
(2004-2011).
----------------------------------------------------------------------------------------------------------------------------
Carolyn L. O Vice President Since 2010 Vice President of all the DFA Entities, Dimensional
1974 Cayman Commodity Fund I Ltd., and Dimensional
Fund Advisors Canada ULC (since April 2016).
Deputy General Counsel, Funds (since 2011).
----------------------------------------------------------------------------------------------------------------------------
Gerard K. O'Reilly Vice President and Co- Vice President since 2007 Vice President and Co-Chief Investment Officer of all
1976 Chief Investment and Co-Chief Investment the DFA Entities, Dimensional Fund Advisors
Officer Officer since 2014 Canada ULC, and Dimensional Japan Ltd. Director
of Dimensional Funds plc and Dimensional Fund II
plc.
----------------------------------------------------------------------------------------------------------------------------
Randy C. Olson Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1980 Senior Compliance Officer for Dimensional Fund
Advisors LP (July 2014-January 2016); Vice
President Regional Head of Investment Compliance,
Asia, PIMCO Asia Private Limited (July 2012-July
2014); Country Compliance Officer, Janus Capital,
Singapore Private Limited (May 2011-June 2012).
----------------------------------------------------------------------------------------------------------------------------
Daniel C. Ong Vice President Since 2009 Vice President of all the DFA Entities. Portfolio
1973 Manager for Dimensional Fund Advisors LP (since
July 2005).
----------------------------------------------------------------------------------------------------------------------------
Kyle K. Ozaki Vice President Since 2010 Vice President of all the DFA Entities.
1978
----------------------------------------------------------------------------------------------------------------------------
Matthew A. Pawlak Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1977 Regional Director for Dimensional Fund Advisors LP
(2012-January 2013); Senior Consultant (June 2011-
December 2011) and Senior Investment Analyst and
Consultant (July 2008-June 2011) at Hewitt
EnnisKnupp.
----------------------------------------------------------------------------------------------------------------------------
Mary T. Phillips Vice President Since 2016 Vice President of all the DFA Entities. Senior
1981 Portfolio Manager (January 2015-present). Formerly,
Portfolio Manager (April 2014-January 2015) and
Investment Associate for Dimensional Fund Advisors
LP (July 2012-March 2014).
----------------------------------------------------------------------------------------------------------------------------
Jeffrey L. Pierce Vice President Since 2015 Vice President of all the DFA Entities. Senior
1984 Manager, Advisor Benchmarking (since January
2015) for Dimensional Fund Advisors LP. Formerly,
Manager, Advisor Benchmarking (April 2012-
December 2014) for Dimensional Fund Advisors LP;
Senior Manager, Research and Consulting (October
2010-April 2012) for Crain Communications Inc.
----------------------------------------------------------------------------------------------------------------------------
Olivian T. Pitis Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1974 Regional Director (May 2011-January 2015) for
Dimensional Fund Advisors LP.
----------------------------------------------------------------------------------------------------------------------------
Brian P. Pitre Vice President Since 2015 Vice President of all the DFA Entities. Counsel for
1976 Dimensional Fund Advisors LP (since February
2015). Formerly, Chief Financial Officer and General
Counsel for Relentless (March 2014-January 2015);
Vice President of all the DFA Entities (January 2013-
March 2014); Counsel for Dimensional Fund
Advisors LP (January 2009-March 2014).
71
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
---------------------------------------------------------------------------------------------------------------
David A. Plecha Vice President Since 1993 Vice President of all the DFA Entities, DFA Australia
1961 Limited, Dimensional Fund Advisors Ltd. and
Dimensional Fund Advisors Canada ULC.
---------------------------------------------------------------------------------------------------------------
Allen Pu Vice President Since 2011 Vice President of all the DFA Entities. Senior
1970 Portfolio Manager for Dimensional Fund Advisors LP
(since January 2015). Formerly, Portfolio Manager
for Dimensional Fund Advisors LP (2006-January
2015).
---------------------------------------------------------------------------------------------------------------
David J. Rapozo Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1967 Regional Director for Dimensional Fund Advisors LP
(January 2011-January 2014).
---------------------------------------------------------------------------------------------------------------
Mark A. Regier Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1969 Planning and Analysis Manager for Dimensional
Fund Advisors LP (July 2007-January 2014).
---------------------------------------------------------------------------------------------------------------
Cory T. Riedberger Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1979 Regional Director (March 2011-January 2015) for
Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------
Savina B. Rizova Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1981 Research Associate (June 2011-January 2012) for
Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------
Michael F. Rocque Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1968 Senior Fund Accounting Manager (July 2013-
January 2015) for Dimensional Fund Advisors LP;
Senior Financial Consultant and Chief Accounting
Officer (July 2002-July 2013) for MFS Investment
Management.
---------------------------------------------------------------------------------------------------------------
L. Jacobo Rodriguez Vice President Since 2005 Vice President of all the DFA Entities.
1971
---------------------------------------------------------------------------------------------------------------
Austin S. Rosenthal Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Vice
1978 President for Dimensional SmartNest (US) LLC
(September 2010-November 2014).
---------------------------------------------------------------------------------------------------------------
Oliver J. Rowe Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1960 Senior Manager, Human Resources for Dimensional
Fund Advisors LP (January 2012-January 2014);
Director of Human Resources at Spansion, Inc.
(March 2009-December 2011).
---------------------------------------------------------------------------------------------------------------
Joseph S. Ruzicka Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1987 Manager Investment Analytics and Data (January
2014-January 2015), Senior Associate, Investment
Analytics and Data (January 2013-January 2014),
Associate, Investment Analytics and Data (January
2012-January 2013), and Investment Data Analyst
(April 2010-January 2012) for Dimensional Fund
Advisors LP.
---------------------------------------------------------------------------------------------------------------
Julie A. Saft Vice President Since 2010 Vice President of all the DFA Entities.
1959
---------------------------------------------------------------------------------------------------------------
Joel P. Schneider Vice President Since 2015 Vice President of all the DFA Entities. Portfolio
1980 Manager (since 2013) for Dimensional Fund
Advisors LP. Formerly, Investment Associate (April
2011-January 2013) for Dimensional Fund Advisors
LP.
---------------------------------------------------------------------------------------------------------------
Ashish Shrestha Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1978 Regional Director (September 2009-January 2015)
for Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------
Bruce A. Simmons Vice President Since 2009 Vice President of all the DFA Entities.
1965
---------------------------------------------------------------------------------------------------------------
Ted R. Simpson Vice President Since 2007 Vice President of all the DFA Entities.
1968
72
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
---------------------------------------------------------------------------------------------------------------
Bhanu P. Singh Vice President Since 2014 Vice President of all the DFA Entities. Senior
1981 Portfolio Manager for Dimensional Fund Advisors LP
(since January 2015). Formerly, Portfolio Manager
(January 2012-January 2015) and Investment
Associate for Dimensional Fund Advisors LP (August
2010-December 2011).
---------------------------------------------------------------------------------------------------------------
Bryce D. Skaff Vice President Since 2007 Vice President of all the DFA Entities.
1975
---------------------------------------------------------------------------------------------------------------
Lukas J. Smart Vice President Since 2014 Vice President of all the DFA Entities. Portfolio
1977 Manager of Dimensional Fund Advisors LP (since
January 2010).
---------------------------------------------------------------------------------------------------------------
Andrew D. Smith Vice President Since 2011 Vice President of all the DFA Entities.
1968
---------------------------------------------------------------------------------------------------------------
Grady M. Smith Vice President Since 2004 Vice President of all the DFA Entities and
1956 Dimensional Fund Advisors Canada ULC.
---------------------------------------------------------------------------------------------------------------
Matthew Snider Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1976 Regional Director for Dimensional Fund Advisors LP
(September 2011-January 2016); Sales Executive,
Vanguard (May 2008-August 2011).
---------------------------------------------------------------------------------------------------------------
Lawrence R. Spieth Vice President Since 2004 Vice President of all the DFA Entities.
1947
---------------------------------------------------------------------------------------------------------------
Charlene L. St. John Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1965 Senior Manager for Dimensional Fund Advisors LP
(September 2014-January 2016); Vice President of
Marketing, Forward Management/Salient (January
2008-February 2014).
---------------------------------------------------------------------------------------------------------------
Brent M. Stone Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1971 Project Manager (September 2012-December 2015)
and Manager, Corporate Systems for Dimensional
Fund Advisors LP (January 2011-September 2012).
---------------------------------------------------------------------------------------------------------------
Richard H. Tatlow V Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1971 Regional Director for Dimensional Fund Advisors LP
(April 2010-January 2013).
---------------------------------------------------------------------------------------------------------------
Blake T. Tatsuta Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1973 Manager, Investment Analytics and Data (2012-
January 2013) and Research Assistant (2002-2011)
for Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------
James J. Taylor Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1983 Accounting Manager for Dimensional Fund Advisors
LP (November 2009-January 2016).
---------------------------------------------------------------------------------------------------------------
Erik T. Totten Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1980 Regional Director (2010-January 2013) for
Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------
John H. Totten Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1978 Regional Director for Dimensional Fund Advisors LP
(January 2008-January 2012).
---------------------------------------------------------------------------------------------------------------
Robert C. Trotter Vice President Since 2009 Vice President of all the DFA Entities.
1958
---------------------------------------------------------------------------------------------------------------
Dave C. Twardowski Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1982 Research Associate (June 2011-January 2015) for
Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------
Karen E. Umland Vice President Since 1997 Vice President of all the DFA Entities, DFA Australia
1966 Limited, Dimensional Fund Advisors Ltd., and
Dimensional Fund Advisors Canada ULC.
---------------------------------------------------------------------------------------------------------------
Benjamin C. Walker Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1979 Regional Director for Dimensional Fund Advisors LP
(September 2008-January 2014).
73
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
-------------------------------------------------------------------------------------------------------------
Brian J. Walsh Vice President Since 2009 Vice President of all the DFA Entities. Portfolio
1970 Manager for Dimensional Fund Advisors LP (since
2004).
-------------------------------------------------------------------------------------------------------------
Jessica Walton Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1974 Regional Director (January 2012-January 2015) for
Dimensional Fund Advisors LP; Director of Marketing
and Investor Relations for Treaty Oak Capital
Management (July 2011-October 2011); Vice
President for Rockspring Capital (October 2010-July
2011).
-------------------------------------------------------------------------------------------------------------
Griffin S. Watkins Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1985 Regional Director (January 2014-January 2016) and
Senior Associate (January 2011-December 2013) for
Dimensional Fund Advisors LP.
-------------------------------------------------------------------------------------------------------------
Timothy P. Wei Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1968 Counsel for Dimensional Fund Advisors LP (July
2014-January 2016); Assistant General Counsel,
Teacher Retirement System of Texas (October
2008-June 2014).
-------------------------------------------------------------------------------------------------------------
Weston J. Wellington Vice President Since 1997 Vice President of all the DFA Entities.
1951
-------------------------------------------------------------------------------------------------------------
Ryan J. Wiley Vice President Since 2007 Vice President of all the DFA Entities.
1976
-------------------------------------------------------------------------------------------------------------
Kristina M. Williams Vice President Since 2016 Vice President of all the DFDA Entities. Formerly,
1975 Client Service Supervisor for Dowling & Yahnke
(July 2014-January 2016); Head of Operations for
The Elements Financial Group (January 2013-June
2014); Head of Operations for Vericimetry Advisors
LLC (July 2011-December 2012).
-------------------------------------------------------------------------------------------------------------
Jeremy J. Willis Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1976 Manager, Client Systems for Dimensional Fund
Advisors LP (May 2012-January 2016); Vice
President, Implementations, Citigroup
(August 2006-October 2011).
-------------------------------------------------------------------------------------------------------------
Stacey E. Winning Vice President Since 2015 Vice President of all the DFA Entities. Head of
1981 Global Recruiting and Development (since June
2014) for Dimensional Fund Advisors LP. Formerly,
Senior Manager, Recruiting (December 2012-June
2014) for Dimensional Fund Advisors LP; Co-Head
of Global Recruiting (May 2009-November 2012) for
Two Sigma Investments.
-------------------------------------------------------------------------------------------------------------
Cecelia K. Wong Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1981 Client Service Manager for Dimensional Fund
Advisors LP (June 2005-January 2016).
-------------------------------------------------------------------------------------------------------------
Craig A. Wright Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1982 Accounting Manager for Dimensional Fund Advisors
LP (November 2011-January 2016); Senior
Associate, PricewaterhouseCoopers LP (July 2009-
November 2011).
-------------------------------------------------------------------------------------------------------------
Joseph L. Young Vice President Since 2011 Vice President of all the DFA Entities.
1978
74
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.
75
NOTICE TO SHAREHOLDERS
(UNAUDITED)
For shareholders that do not have an October 31, 2016 tax year end, this
notice is for informational purposes only. For shareholders with an October 31,
2016 tax year end, please consult your tax advisor as to the pertinence of this
notice. For the fiscal year November 1, 2015 to October 31, 2016, each
Portfolio is designating the following items with regard to distributions paid
during the fiscal year. All designations are based on financial information
available as of the date of this annual report and, accordingly are subject to
change. For each item, it is the intention of the Portfolio to designate the
maximum amount permitted under the Internal Revenue Code and the regulations
thereunder.
QUALIFYING
FOR
NET CORPORATE
INVESTMENT SHORT-TERM LONG-TERM DIVIDENDS QUALIFYING
DFA INVESTMENT DIMENSIONS GROUP INCOME CAPITAL GAIN CAPITAL GAIN TOTAL RECEIVED DIVIDEND
INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DEDUCTION (1) INCOME (2)
------------------------------- ------------- ------------- ------------- ------------- ------------- ----------
U.S. Social Core Equity 2 Portfolio. 50% -- 50% 100% 100% 100%
U.S. Sustainability Core 1
Portfolio.......................... 64% -- 36% 100% 100% 100%
International Sustainability Core 1
Portfolio.......................... 100% -- -- 100% 100% 100%
DFA Social Fixed Income.............
Portfolio........................... 100% -- -- 100% -- --
International Social Core Equity
Portfolio.......................... 100% -- -- 100% 100% 100%
Emerging Markets Social Core
Equity Portfolio................... 100% -- -- 100% 100% 100%
QUALIFYING
U.S. FOREIGN QUALIFYING SHORT-TERM
DFA INVESTMENT DIMENSIONS GROUP GOVERNMENT FOREIGN TAX SOURCE INTEREST CAPITAL
INC. INTEREST (3) CREDIT (4) INCOME (5) INCOME (6) GAIN (7)
------------------------------- ------------ ----------- ---------- ---------- ----------
U.S. Social Core Equity 2 Portfolio. -- -- -- 100% 100%
U.S. Sustainability Core 1
Portfolio.......................... -- -- -- 100% 100%
International Sustainability Core 1
Portfolio.......................... -- 6% 100% 100% 100%
DFA Social Fixed Income.............
Portfolio........................... 37% -- 100% 100% 100%
International Social Core Equity
Portfolio.......................... -- 6% 100% 100% 100%
Emerging Markets Social Core
Equity Portfolio................... -- 6% 100% 100% 100%
----------
(1)Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
income distributions (the total of short-term capital gain and net
investment income distributions).
(2)The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
Please note that these percentages are designated only, refer to your 1099
for actual qualified dividend income.
(3)"U.S. Government Interest" represents the amount of interest that was
derived from direct U.S. Government obligations and distributed during the
fiscal year. This amount is reflected as a percentage of total ordinary
income distributions (the total of short-term capital gain and net
investment income distributions). Generally, interest from direct U.S.
Government obligations is exempt from state income tax.
(4)"Foreign Tax Credit" represents dividends which qualify for the foreign tax
credit pass through and is reflected as a percentage of investment company
taxable income.
(5)"Foreign Source Income" represents the portion of dividends derived from
foreign sources, and is reflected as a percentage of investment company
taxable income.
(6)The percentage in this column represents the amount of "Qualifying Interest
Income" as created by The American Jobs Creation Act of 2004. The
information is reflected as a percentage ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
(7)The percentage in this column represents the amount of "Qualifying
Short-Term Capital Gain" as created by The American Jobs Creation Act of
2004. The information is reflected as a percentage of ordinary income
distributions (the total of short-term capital gain and net investment
income distributions).
76
DFA103116-014A
[LOGO] 00185763
[LOGO]
ANNUAL REPORT
year ended: October 31, 2016
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
December 2016
Dear Fellow Shareholder,
On behalf of our team at Dimensional, I want to thank you for trusting us with
your investments. We recognize the important role those investments play in
your future plans, and we take the responsibility implied by this trust with
the utmost dedication and seriousness that it deserves.
Dimensional is focused on offering consistent ways to access the performance
delivered by securities in different markets and asset classes through
well-diversified, efficiently managed portfolios. The importance of the word
CONSISTENCY cannot be overemphasized. By being consistent in our investment
approach and the quality of our implementation, we create opportunities for you
to combine funds into an asset allocation that fits your goals and preferences
-- enabling you to be a long-term investor in control of your investments.
We recognize markets are full of uncertainties, which highlights the importance
of having efficiently managed funds focused on delivering value to investors as
part of an overall asset allocation that can help overcome those uncertainties.
We are fortunate to work with clients who are committed to a long-term
investment philosophy. We remain committed to managing investments for our
clients with the same dedication, transparency, efficiency, and consistency we
have for more than 35 years.
Sincerely,
/s/ Eduardo A. Repetto
Eduardo A. Repetto
CO-CHIEF EXECUTIVE OFFICER AND CO-CHIEF INVESTMENT OFFICER
ANNUAL REPORT
TABLE OF CONTENTS
PAGE
----
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES............................ 1
DFA INVESTMENT DIMENSIONS GROUP INC.
Performance Charts................................................. 2
Management's Discussion and Analysis............................... 6
Disclosure of Fund Expenses........................................ 10
Disclosure of Portfolio Holdings................................... 12
Schedule of Investments/Summary Schedules of Portfolio Holdings
Tax-Managed U.S. Marketwide Value Portfolio.................... 14
Tax-Managed U.S. Equity Portfolio.............................. 15
Tax-Managed U.S. Targeted Value Portfolio...................... 18
Tax-Managed U.S. Small Cap Portfolio........................... 21
T.A. U.S. Core Equity 2 Portfolio.............................. 24
Tax-Managed DFA International Value Portfolio.................. 27
T.A. World ex U.S. Core Equity Portfolio....................... 31
Statements of Assets and Liabilities............................... 37
Statements of Operations........................................... 39
Statements of Changes in Net Assets................................ 41
Financial Highlights............................................... 43
Notes to Financial Statements...................................... 47
Report of Independent Registered Public Accounting Firm............ 62
Section 19(a) Notice............................................... 63
THE DFA INVESTMENT TRUST COMPANY - THE TAX-MANAGED U.S. MARKETWIDE
VALUE SERIES
Performance Chart.................................................. 64
Management's Discussion and Analysis............................... 65
Disclosure of Fund Expenses........................................ 66
Disclosure of Portfolio Holdings................................... 67
Summary Schedule of Portfolio Holdings............................. 68
Statement of Assets and Liabilities................................ 71
Statement of Operations............................................ 72
Statements of Changes in Net Assets................................ 73
Financial Highlights............................................... 74
Notes to Financial Statements...................................... 75
Report of Independent Registered Public Accounting Firm............ 82
FUND MANAGEMENT....................................................... 83
VOTING PROXIES ON FUND PORTFOLIO SECURITIES........................... 97
NOTICE TO SHAREHOLDERS................................................ 98
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.
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.
REIT Real Estate Investment Trust
SEC Securities and Exchange Commission
1
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO VS.
RUSSELL 3000(R) VALUE INDEX
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
Tax-Managed U.S. Marketwide Russell 3000/R/
Value Portfolio Value Index
--------------------------- ----------------
10/2006 $10,000 $10,000
11/2006 10,243 10,233
12/2006 10,441 10,450
01/2007 10,709 10,586
02/2007 10,575 10,424
03/2007 10,693 10,582
04/2007 11,073 10,948
05/2007 11,593 11,343
06/2007 11,345 11,078
07/2007 10,724 10,529
08/2007 10,665 10,655
09/2007 10,934 10,995
10/2007 10,940 11,006
11/2007 10,299 10,445
12/2007 10,253 10,345
01/2008 9,845 9,930
02/2008 9,485 9,515
03/2008 9,317 9,460
04/2008 9,840 9,908
05/2008 10,057 9,920
06/2008 8,946 8,971
07/2008 8,874 8,976
08/2008 9,055 9,151
09/2008 8,286 8,499
10/2008 6,433 7,008
11/2008 5,795 6,481
12/2008 5,989 6,595
01/2009 5,208 5,821
02/2009 4,507 5,041
03/2009 4,981 5,473
04/2009 5,840 6,083
05/2009 6,279 6,438
06/2009 6,196 6,393
07/2009 6,824 6,933
08/2009 7,278 7,293
09/2009 7,608 7,582
10/2009 7,240 7,328
11/2009 7,577 7,727
12/2009 7,850 7,898
01/2010 7,631 7,675
02/2010 7,982 7,926
03/2010 8,611 8,454
04/2010 8,943 8,704
05/2010 8,178 7,987
06/2010 7,552 7,517
07/2010 8,156 8,028
08/2010 7,621 7,664
09/2010 8,378 8,276
10/2010 8,700 8,530
11/2010 8,719 8,505
12/2010 9,544 9,179
01/2011 9,778 9,370
02/2011 10,331 9,727
03/2011 10,395 9,773
04/2011 10,636 10,025
05/2011 10,471 9,913
06/2011 10,287 9,706
07/2011 9,847 9,384
08/2011 9,025 8,779
09/2011 8,108 8,092
10/2011 9,235 9,037
11/2011 9,164 8,992
12/2011 9,251 9,170
01/2012 9,734 9,538
02/2012 10,250 9,899
03/2012 10,465 10,193
04/2012 10,271 10,086
05/2012 9,547 9,492
06/2012 10,049 9,962
07/2012 10,133 10,050
08/2012 10,516 10,275
09/2012 10,896 10,604
10/2012 10,928 10,546
11/2012 10,993 10,544
12/2012 11,307 10,779
01/2013 12,057 11,475
02/2013 12,241 11,638
03/2013 12,848 12,100
04/2013 12,934 12,268
05/2013 13,356 12,587
06/2013 13,273 12,481
07/2013 14,080 13,165
08/2013 13,663 12,659
09/2013 14,161 13,008
10/2013 14,831 13,566
11/2013 15,441 13,957
12/2013 15,865 14,303
01/2014 15,238 13,791
02/2014 15,798 14,390
03/2014 16,025 14,721
04/2014 16,065 14,819
05/2014 16,439 15,027
06/2014 16,863 15,440
07/2014 16,595 15,123
08/2014 17,206 15,687
09/2014 16,763 15,306
10/2014 17,052 15,704
11/2014 17,275 15,995
12/2014 17,440 16,119
01/2015 16,567 15,472
02/2015 17,764 16,218
03/2015 17,591 16,036
04/2015 17,767 16,147
05/2015 18,039 16,336
06/2015 17,851 16,036
07/2015 17,899 16,064
08/2015 16,768 15,121
09/2015 16,239 14,659
10/2015 17,518 15,742
11/2015 17,553 15,833
12/2015 16,962 15,453
01/2016 15,874 14,636
02/2016 15,840 14,640
03/2016 16,949 15,707
04/2016 17,371 16,037
05/2016 17,571 16,289
06/2016 17,554 16,424
07/2016 18,027 16,931
08/2016 18,214 17,083 Past performance is not predictive of
09/2016 18,291 17,060 future performance.
10/2016 17,984 16,774 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell
--------------------------------------------------- Investment Group 1995-2016, all rights
2.66% 14.26% 6.04% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
TAX-MANAGED U.S. EQUITY PORTFOLIO VS.
RUSSELL 3000(R) INDEX
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
Tax-Managed U.S. Equity Russell 3000/R/
Portfolio Index
--------------------------- ----------------
10/2006 $10,000 $10,000
11/2006 10,194 10,218
12/2006 10,330 10,340
01/2007 10,510 10,537
02/2007 10,343 10,364
03/2007 10,463 10,472
04/2007 10,881 10,890
05/2007 11,278 11,287
06/2007 11,092 11,076
07/2007 10,714 10,698
08/2007 10,861 10,851
09/2007 11,246 11,247
10/2007 11,436 11,453
11/2007 10,930 10,938
12/2007 10,872 10,872
01/2008 10,216 10,213
02/2008 9,919 9,895
03/2008 9,866 9,837
04/2008 10,355 10,329
05/2008 10,567 10,540
06/2008 9,733 9,671
07/2008 9,676 9,593
08/2008 9,825 9,742
09/2008 8,929 8,826
10/2008 7,400 7,261
11/2008 6,886 6,688
12/2008 7,009 6,816
01/2009 6,425 6,244
02/2009 5,775 5,590
03/2009 6,249 6,079
04/2009 6,764 6,719
05/2009 7,091 7,078
06/2009 7,127 7,102
07/2009 7,660 7,654
08/2009 7,886 7,928
09/2009 8,205 8,260
10/2009 8,015 8,048
11/2009 8,461 8,505
12/2009 8,702 8,747
01/2010 8,385 8,432
02/2010 8,665 8,718
03/2010 9,206 9,267
04/2010 9,391 9,467
05/2010 8,652 8,719
06/2010 8,161 8,218
07/2010 8,732 8,789
08/2010 8,309 8,375
09/2010 9,100 9,166
10/2010 9,465 9,524
11/2010 9,525 9,579
12/2010 10,164 10,228
01/2011 10,381 10,452
02/2011 10,756 10,832
03/2011 10,805 10,881
04/2011 11,128 11,205
05/2011 10,993 11,077
06/2011 10,810 10,878
07/2011 10,561 10,629
08/2011 9,928 9,991
09/2011 9,191 9,216
10/2011 10,214 10,277
11/2011 10,207 10,249
12/2011 10,284 10,333
01/2012 10,780 10,855
02/2012 11,253 11,314
03/2012 11,588 11,663
04/2012 11,504 11,586
05/2012 10,785 10,870
06/2012 11,198 11,296
07/2012 11,321 11,408
08/2012 11,605 11,692
09/2012 11,919 11,999
10/2012 11,703 11,792
11/2012 11,795 11,884
12/2012 11,928 12,029
01/2013 12,581 12,689
02/2013 12,745 12,858
03/2013 13,244 13,361
04/2013 13,447 13,580
05/2013 13,806 13,900
06/2013 13,637 13,720
07/2013 14,389 14,472
08/2013 13,982 14,068
09/2013 14,492 14,591
10/2013 15,113 15,211
11/2013 15,594 15,652
12/2013 16,003 16,065
01/2014 15,457 15,558
02/2014 16,177 16,296
03/2014 16,279 16,382
04/2014 16,287 16,402
05/2014 16,644 16,760
06/2014 17,053 17,180
07/2014 16,718 16,841
08/2014 17,412 17,548
09/2014 17,083 17,182
10/2014 17,515 17,655
11/2014 17,939 18,083
12/2014 17,922 18,083
01/2015 17,367 17,579
02/2015 18,429 18,597
03/2015 18,208 18,408
04/2015 18,337 18,491
05/2015 18,595 18,747
06/2015 18,288 18,434
07/2015 18,580 18,742
08/2015 17,461 17,610
09/2015 16,946 17,097
10/2015 18,298 18,448
11/2015 18,396 18,550
12/2015 18,004 18,169
01/2016 17,021 17,144
02/2016 17,012 17,139
03/2016 18,168 18,345
04/2016 18,275 18,459
05/2016 18,596 18,789
06/2016 18,589 18,828
07/2016 19,309 19,575 Past performance is not predictive of
08/2016 19,383 19,625 future performance.
09/2016 19,412 19,656 The returns shown do not reflect the
10/2016 19,038 19,230 deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell
----------------------------------------------------- Investment Group 1995-2016, all rights
4.05% 13.26% 6.65% reserved.
--------------------------------------------------------------------------------
2
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO VS.
RUSSELL 2000(R) VALUE INDEX
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
Tax-Managed U.S. Targeted Russell 2000/R/
Value Portfolio Value Index
--------------------------- -----------------
10/2006 $10,000 $10,000
11/2006 10,258 10,285
12/2006 10,379 10,375
01/2007 10,593 10,530
02/2007 10,540 10,401
03/2007 10,667 10,526
04/2007 10,874 10,636
05/2007 11,290 11,026
06/2007 11,120 10,769
07/2007 10,309 9,852
08/2007 10,297 10,049
09/2007 10,301 10,095
10/2007 10,392 10,205
11/2007 9,583 9,440
12/2007 9,492 9,360
01/2008 9,039 8,976
02/2008 8,795 8,620
03/2008 8,875 8,749
04/2008 9,142 9,026
05/2008 9,519 9,335
06/2008 8,622 8,439
07/2008 8,680 8,872
08/2008 8,979 9,294
09/2008 8,212 8,858
10/2008 6,435 7,088
11/2008 5,600 6,267
12/2008 5,908 6,653
01/2009 5,106 5,703
02/2009 4,398 4,910
03/2009 4,798 5,346
04/2009 5,697 6,195
05/2009 5,927 6,329
06/2009 5,901 6,309
07/2009 6,594 7,038
08/2009 6,911 7,372
09/2009 7,277 7,741
10/2009 6,782 7,227
11/2009 7,009 7,457
12/2009 7,541 8,022
01/2010 7,354 7,787
02/2010 7,777 8,148
03/2010 8,408 8,826
04/2010 9,031 9,443
05/2010 8,262 8,645
06/2010 7,514 7,891
07/2010 8,102 8,454
08/2010 7,464 7,818
09/2010 8,346 8,657
10/2010 8,711 8,993
11/2010 9,048 9,221
12/2010 9,835 9,988
01/2011 9,877 9,993
02/2011 10,436 10,500
03/2011 10,628 10,646
04/2011 10,816 10,819
05/2011 10,559 10,626
06/2011 10,349 10,364
07/2011 10,024 10,022
08/2011 9,015 9,136
09/2011 7,943 8,139
10/2011 9,197 9,311
11/2011 9,178 9,293
12/2011 9,268 9,438
01/2012 9,863 10,066
02/2012 10,232 10,215
03/2012 10,441 10,532
04/2012 10,271 10,380
05/2012 9,518 9,746
06/2012 9,895 10,215
07/2012 9,858 10,111
08/2012 10,302 10,423
09/2012 10,635 10,794
10/2012 10,612 10,659
11/2012 10,816 10,691
12/2012 11,204 11,142
01/2013 11,965 11,806
02/2013 12,181 11,941
03/2013 12,769 12,438
04/2013 12,669 12,426
05/2013 13,282 12,797
06/2013 13,188 12,745
07/2013 14,123 13,564
08/2013 13,601 12,964
09/2013 14,364 13,713
10/2013 14,921 14,159
11/2013 15,670 14,711
12/2013 16,119 14,988
01/2014 15,332 14,408
02/2014 16,094 15,068
03/2014 16,313 15,255
04/2014 16,021 14,862
05/2014 16,244 14,956
06/2014 16,908 15,618
07/2014 16,079 14,674
08/2014 16,923 15,311
09/2014 15,955 14,278
10/2014 16,576 15,276
11/2014 16,557 15,205
12/2014 16,796 15,620
01/2015 16,076 14,970
02/2015 17,211 15,665
03/2015 17,520 15,930
04/2015 17,271 15,590
05/2015 17,562 15,719
06/2015 17,583 15,739
07/2015 17,343 15,305
08/2015 16,609 14,553
09/2015 15,975 14,050
10/2015 16,889 14,836
11/2015 17,229 15,258
12/2015 16,240 14,454
01/2016 15,129 13,483
02/2016 15,298 13,575
03/2016 16,483 14,700
04/2016 16,652 15,011
05/2016 16,832 15,286
06/2016 16,613 15,333
07/2016 17,374 16,160 Past performance is not predictive of
08/2016 17,604 16,562 future performance.
09/2016 17,750 16,692 The returns shown do not reflect the
10/2016 17,262 16,144 deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell
------------------------------------------------------ Investment Group 1995-2016, all rights
2.21% 13.42% 5.61% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
TAX-MANAGED U.S. SMALL CAP PORTFOLIO VS.
RUSSELL 2000(R) INDEX
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
Tax-Managed U.S. Small Russell 2000/R/
Cap Portfolio Index
--------------------------- ----------------
10/2006 $10,000 $10,000
11/2006 10,298 10,263
12/2006 10,358 10,297
01/2007 10,547 10,470
02/2007 10,523 10,387
03/2007 10,667 10,498
04/2007 10,911 10,686
05/2007 11,367 11,124
06/2007 11,250 10,961
07/2007 10,577 10,212
08/2007 10,652 10,443
09/2007 10,828 10,622
10/2007 11,061 10,927
11/2007 10,201 10,142
12/2007 10,190 10,136
01/2008 9,446 9,445
02/2008 9,200 9,095
03/2008 9,201 9,133
04/2008 9,491 9,515
05/2008 9,928 9,952
06/2008 9,145 9,186
07/2008 9,370 9,526
08/2008 9,600 9,870
09/2008 8,717 9,084
10/2008 6,882 7,194
11/2008 6,013 6,343
12/2008 6,273 6,711
01/2009 5,537 5,965
02/2009 4,858 5,240
03/2009 5,330 5,708
04/2009 6,204 6,590
05/2009 6,392 6,789
06/2009 6,549 6,889
07/2009 7,169 7,552
08/2009 7,301 7,769
09/2009 7,693 8,217
10/2009 7,156 7,659
11/2009 7,324 7,899
12/2009 7,921 8,535
01/2010 7,661 8,221
02/2010 8,000 8,591
03/2010 8,641 9,290
04/2010 9,206 9,816
05/2010 8,491 9,072
06/2010 7,838 8,369
07/2010 8,395 8,944
08/2010 7,732 8,282
09/2010 8,693 9,313
10/2010 9,060 9,694
11/2010 9,450 10,031
12/2010 10,186 10,827
01/2011 10,177 10,799
02/2011 10,759 11,391
03/2011 11,093 11,687
04/2011 11,324 11,995
05/2011 11,089 11,770
06/2011 10,910 11,499
07/2011 10,568 11,083
08/2011 9,603 10,119
09/2011 8,535 8,985
10/2011 9,831 10,345
11/2011 9,795 10,307
12/2011 9,877 10,375
01/2012 10,543 11,108
02/2012 10,803 11,374
03/2012 11,111 11,665
04/2012 10,959 11,485
05/2012 10,252 10,725
06/2012 10,700 11,260
07/2012 10,624 11,104
08/2012 10,988 11,475
09/2012 11,368 11,852
10/2012 11,202 11,594
11/2012 11,323 11,656
12/2012 11,709 12,071
01/2013 12,417 12,827
02/2013 12,567 12,968
03/2013 13,153 13,567
04/2013 13,048 13,517
05/2013 13,707 14,058
06/2013 13,713 13,986
07/2013 14,736 14,964
08/2013 14,267 14,489
09/2013 15,172 15,414
10/2013 15,632 15,801
11/2013 16,443 16,434
12/2013 16,787 16,758
01/2014 16,065 16,294
02/2014 16,773 17,061
03/2014 16,888 16,945
04/2014 16,357 16,288
05/2014 16,440 16,419
06/2014 17,142 17,292
07/2014 16,129 16,245
08/2014 16,908 17,051
09/2014 16,006 16,020
10/2014 16,974 17,076
11/2014 16,993 17,091
12/2014 17,438 17,578
01/2015 16,692 17,013
02/2015 17,767 18,022
03/2015 18,101 18,336
04/2015 17,701 17,869
05/2015 17,997 18,277
06/2015 18,187 18,414
07/2015 17,900 18,200
08/2015 17,028 17,056
09/2015 16,398 16,219
10/2015 17,366 17,133
11/2015 17,819 17,690
12/2015 16,840 16,802
01/2016 15,779 15,325
02/2016 15,918 15,324
03/2016 17,096 16,547
04/2016 17,255 16,807
05/2016 17,468 17,185
06/2016 17,400 17,174
07/2016 18,237 18,200 Past performance is not predictive of
08/2016 18,506 18,522 future performance.
09/2016 18,601 18,728 The returns shown do not reflect the
10/2016 18,017 17,838 deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell
----------------------------------------------------- Investment Group 1995-2016, all rights
3.75% 12.88% 6.06% reserved.
--------------------------------------------------------------------------------
3
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
T.A. U.S. CORE EQUITY 2 PORTFOLIO VS.
RUSSELL 3000(R) INDEX
OCTOBER 4, 2007-OCTOBER 31, 2016
[CHART]
T.A. U.S. Core Equity Russell 3000/R/
2 Portfolio Index
------------------------- -----------------
10/2007 $10,000 $10,000
10/2007 9,950 10,057
11/2007 9,400 9,604
12/2007 9,305 9,546
01/2008 8,874 8,968
02/2008 8,613 8,689
03/2008 8,525 8,637
04/2008 8,937 9,069
05/2008 9,189 9,255
06/2008 8,339 8,491
07/2008 8,420 8,424
08/2008 8,642 8,555
09/2008 7,905 7,750
10/2008 6,377 6,376
11/2008 5,810 5,872
12/2008 5,991 5,985
01/2009 5,370 5,482
02/2009 4,748 4,908
03/2009 5,221 5,338
04/2009 5,927 5,900
05/2009 6,183 6,215
06/2009 6,188 6,236
07/2009 6,743 6,721
08/2009 7,021 6,961
09/2009 7,363 7,253
10/2009 7,043 7,066
11/2009 7,363 7,468
12/2009 7,710 7,681
01/2010 7,461 7,404
02/2010 7,772 7,655
03/2010 8,327 8,137
04/2010 8,638 8,313
05/2010 7,942 7,656
06/2010 7,384 7,216
07/2010 7,936 7,717
08/2010 7,457 7,354
09/2010 8,243 8,048
10/2010 8,557 8,363
11/2010 8,703 8,411
12/2010 9,380 8,981
01/2011 9,570 9,177
02/2011 10,001 9,511
03/2011 10,123 9,554
04/2011 10,365 9,839
05/2011 10,197 9,726
06/2011 9,996 9,552
07/2011 9,658 9,333
08/2011 8,929 8,773
09/2011 8,082 8,092
10/2011 9,154 9,024
11/2011 9,122 8,999
12/2011 9,197 9,073
01/2012 9,698 9,531
02/2012 10,125 9,934
03/2012 10,367 10,241
04/2012 10,261 10,174
05/2012 9,555 9,545
06/2012 9,933 9,919
07/2012 9,976 10,017
08/2012 10,298 10,267
09/2012 10,607 10,536
10/2012 10,510 10,355
11/2012 10,618 10,435
12/2012 10,846 10,563
01/2013 11,542 11,142
02/2013 11,673 11,290
03/2013 12,166 11,732
04/2013 12,264 11,924
05/2013 12,711 12,206
06/2013 12,596 12,047
07/2013 13,351 12,708
08/2013 12,935 12,353
09/2013 13,490 12,812
10/2013 14,039 13,356
11/2013 14,512 13,744
12/2013 14,919 14,107
01/2014 14,373 13,661
02/2014 15,052 14,309
03/2014 15,214 14,385
04/2014 15,136 14,402
05/2014 15,415 14,717
06/2014 15,896 15,086
07/2014 15,448 14,788
08/2014 16,098 15,409
09/2014 15,583 15,087
10/2014 15,988 15,503
11/2014 16,269 15,878
12/2014 16,345 15,878
01/2015 15,749 15,436
02/2015 16,769 16,330
03/2015 16,705 16,164
04/2015 16,740 16,237
05/2015 16,958 16,462
06/2015 16,745 16,186
07/2015 16,745 16,457
08/2015 15,799 15,463
09/2015 15,252 15,013
10/2015 16,330 16,199
11/2015 16,480 16,288
12/2015 15,932 15,954
01/2016 14,964 15,054
02/2016 15,069 15,049
03/2016 16,144 16,109
04/2016 16,284 16,208
05/2016 16,542 16,498
06/2016 16,460 16,532
07/2016 17,130 17,188
08/2016 17,271 17,232 Past performance is not predictive of
09/2016 17,300 17,259 future performance.
10/2016 16,910 16,886 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE SINCE redemption of fund shares.
TOTAL RETURN YEAR YEARS INCEPTION Russell data copyright (C) Russell
----------------------------------------------------- Investment Group 1995-2016, all rights
3.55% 13.06% 5.96% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
Tax-Managed DFA International MSCI World ex USA
Value Portfolio Index (net dividends)
----------------------------- ---------------------
10/2006 $10,000 $10,000
11/2006 10,337 10,298
12/2006 10,735 10,593
01/2007 10,941 10,658
02/2007 10,925 10,743
03/2007 11,289 11,018
04/2007 11,844 11,520
05/2007 12,241 11,775
06/2007 12,142 11,787
07/2007 11,817 11,624
08/2007 11,679 11,456
09/2007 12,302 12,107
10/2007 12,901 12,633
11/2007 12,147 12,139
12/2007 11,893 11,911
01/2008 10,901 10,837
02/2008 10,743 11,033
03/2008 10,897 10,876
04/2008 11,372 11,480
05/2008 11,378 11,655
06/2008 10,275 10,748
07/2008 10,007 10,366
08/2008 9,583 9,965
09/2008 8,553 8,526
10/2008 6,610 6,753
11/2008 6,178 6,386
12/2008 6,615 6,723
01/2009 5,732 6,096
02/2009 5,009 5,479
03/2009 5,508 5,840
04/2009 6,500 6,593
05/2009 7,466 7,427
06/2009 7,366 7,350
07/2009 8,225 8,040
08/2009 8,670 8,425
09/2009 9,093 8,773
10/2009 8,743 8,632
11/2009 9,002 8,845
12/2009 9,114 8,986
01/2010 8,574 8,565
02/2010 8,600 8,557
03/2010 9,250 9,107
04/2010 9,094 8,972
05/2010 8,031 7,982
06/2010 7,895 7,866
07/2010 8,834 8,593
08/2010 8,411 8,336
09/2010 9,308 9,136
10/2010 9,647 9,462
11/2010 9,189 9,061
12/2010 10,045 9,790
01/2011 10,472 10,001
02/2011 10,819 10,372
03/2011 10,532 10,164
04/2011 11,081 10,718
05/2011 10,659 10,400
06/2011 10,483 10,252
07/2011 10,150 10,083
08/2011 9,075 9,231
09/2011 8,092 8,304
10/2011 8,893 9,111
11/2011 8,612 8,690
12/2011 8,366 8,595
01/2012 8,926 9,059
02/2012 9,416 9,557
03/2012 9,336 9,487
04/2012 8,990 9,326
05/2012 7,869 8,262
06/2012 8,428 8,804
07/2012 8,386 8,913
08/2012 8,731 9,168
09/2012 9,034 9,446
10/2012 9,140 9,512
11/2012 9,274 9,712
12/2012 9,734 10,006
01/2013 10,211 10,498
02/2013 9,890 10,393
03/2013 9,907 10,476
04/2013 10,386 10,953
05/2013 10,243 10,708
06/2013 9,876 10,307
07/2013 10,536 10,855
08/2013 10,464 10,715
09/2013 11,265 11,472
10/2013 11,643 11,857
11/2013 11,687 11,930
12/2013 11,938 12,110
01/2014 11,499 11,621
02/2014 12,143 12,255
03/2014 12,060 12,200
04/2014 12,239 12,392
05/2014 12,372 12,584
06/2014 12,526 12,763
07/2014 12,239 12,536
08/2014 12,231 12,546
09/2014 11,683 12,030
10/2014 11,493 11,839
11/2014 11,486 11,985
12/2014 11,038 11,586
01/2015 10,962 11,545
02/2015 11,747 12,235
03/2015 11,491 12,030
04/2015 12,110 12,551
05/2015 12,110 12,442
06/2015 11,766 12,089
07/2015 11,649 12,280
08/2015 10,788 11,386
09/2015 10,032 10,811
10/2015 10,811 11,624
11/2015 10,671 11,439
12/2015 10,329 11,234
01/2016 9,529 10,461
02/2016 9,215 10,315
03/2016 9,911 11,015
04/2016 10,400 11,369
05/2016 10,203 11,241
06/2016 9,828 10,899
07/2016 10,261 11,435
08/2016 10,534 11,446 Past performance is not predictive of
09/2016 10,650 11,585 future performance.
10/2016 10,779 11,360 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
--------------------------------------------------------- MSCI data copyright MSCI 2016, all
-0.30% 3.92% 0.75% rights reserved.
--------------------------------------------------------------------------------
4
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO VS.
MSCI ALL COUNTRY WORLD EX USA INDEX (NET DIVIDENDS)
MARCH 6, 2008-OCTOBER 31, 2016
[CHART]
T.A. World Ex U.S. Core MSCI ALL Country World ex
Equity Portfolio USA Index (net dividends)
--------------------------- -------------------------
03/2008 $10,000 $10,000
03/2008 10,160 9,940
04/2008 10,630 10,541
05/2008 10,750 10,708
06/2008 9,681 9,828
07/2008 9,357 9,474
08/2008 8,942 9,031
09/2008 7,757 7,674
10/2008 5,929 5,985
11/2008 5,584 5,638
12/2008 6,015 5,960
01/2009 5,382 5,433
02/2009 4,841 4,926
03/2009 5,344 5,321
04/2009 6,193 6,046
05/2009 7,186 6,865
06/2009 7,119 6,789
07/2009 7,884 7,453
08/2009 8,205 7,729
09/2009 8,681 8,126
10/2009 8,442 8,025
11/2009 8,743 8,255
12/2009 8,924 8,430
01/2010 8,486 8,018
02/2010 8,528 8,018
03/2010 9,183 8,563
04/2010 9,152 8,488
05/2010 8,129 7,595
06/2010 8,051 7,497
07/2010 8,874 8,174
08/2010 8,579 7,950
09/2010 9,531 8,741
10/2010 9,859 9,038
11/2010 9,488 8,689
12/2010 10,314 9,370
01/2011 10,431 9,462
02/2011 10,644 9,711
03/2011 10,649 9,689
04/2011 11,182 10,162
05/2011 10,851 9,869
06/2011 10,663 9,726
07/2011 10,490 9,593
08/2011 9,530 8,771
09/2011 8,278 7,795
10/2011 9,115 8,617
11/2011 8,799 8,177
12/2011 8,560 8,086
01/2012 9,294 8,634
02/2012 9,809 9,119
03/2012 9,721 8,994
04/2012 9,502 8,852
05/2012 8,405 7,847
06/2012 8,878 8,309
07/2012 8,867 8,427
08/2012 9,123 8,603
09/2012 9,494 8,925
10/2012 9,561 8,959
11/2012 9,729 9,130
12/2012 10,221 9,446
01/2013 10,581 9,830
02/2013 10,480 9,726
03/2013 10,548 9,746
04/2013 10,886 10,104
05/2013 10,638 9,870
06/2013 10,191 9,442
07/2013 10,704 9,856
08/2013 10,556 9,720
09/2013 11,347 10,395
10/2013 11,749 10,777
11/2013 11,760 10,795
12/2013 11,919 10,890
01/2014 11,433 10,396
02/2014 12,058 10,918
03/2014 12,110 10,946
04/2014 12,238 11,090
05/2014 12,412 11,306
06/2014 12,634 11,496
07/2014 12,399 11,382
08/2014 12,517 11,445
09/2014 11,837 10,891
10/2014 11,719 10,783
11/2014 11,684 10,861
12/2014 11,327 10,469
01/2015 11,315 10,454
02/2015 11,944 11,013
03/2015 11,742 10,835
04/2015 12,431 11,382
05/2015 12,336 11,204
06/2015 12,008 10,892
07/2015 11,791 10,862
08/2015 10,999 10,031
09/2015 10,581 9,566
10/2015 11,234 10,278
11/2015 11,113 10,066
12/2015 10,923 9,877
01/2016 10,254 9,205
02/2016 10,072 9,100
03/2016 10,963 9,839
04/2016 11,231 10,098
05/2016 11,073 9,928
06/2016 10,924 9,776
07/2016 11,492 10,260
08/2016 11,578 10,324 Past performance is not predictive of
09/2016 11,786 10,452 future performance.
10/2016 11,625 10,301 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE SINCE would pay on fund distributions or the
TOTAL RETURN YEAR YEARS INCEPTION redemption of fund shares.
---------------------------------------------------------- MSCI data copyright MSCI 2016, all
3.48% 4.99% 1.76% rights reserved.
--------------------------------------------------------------------------------
5
DFA INVESTMENT DIMENSIONS GROUP INC.
MANAGEMENT'S DISCUSSION AND ANALYSIS
(UNAUDITED)
U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2016
Most U.S. equities had positive returns during the period. The broad U.S.
equity market, as measured by the Russell 3000(R) Index, gained approximately
4.2%. Large-cap stocks outperformed small-cap stocks as measured by the Russell
indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2016
-------------------------------------------------
Russell 3000(R) Index............................. 4.24%
Russell Microcap(R) Index (micro-cap stocks)...... 1.54%
Russell 2000(R) Index (small-cap stocks).......... 4.11%
Russell 1000(R) Index (large-cap stocks).......... 4.26%
Dow Jones U.S. Select REIT Index/SM/.............. 4.96%
Value stocks outperformed growth stocks as measured by the Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2016
-------------------------------------------------
Russell 2000(R) Value Index (small-cap value stocks)........ 8.81%
Russell 2000(R) Growth Index (small-cap growth stocks)...... -0.49%
Russell 1000(R) Value Index (large-cap value stocks)........ 6.37%
Russell 1000(R) Growth Index (large-cap growth stocks)...... 2.28%
----------
Source: Frank Russell Company is the source and owner of the trademarks,
service marks, and copyrights related to the Russell Indexes.
MASTER-FEEDER STRUCTURE
Certain portfolios described below, called "Feeder Funds," do not buy
individual securities directly; instead, these portfolios invest in
corresponding funds called "Master Funds." Master Funds, in turn, purchase
stocks and/or other securities directly.
DOMESTIC EQUITY PORTFOLIOS' PERFORMANCE OVERVIEW
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO
The Tax-Managed U.S. Marketwide Value Portfolio invests in a broadly
diversified group of U.S. value stocks by purchasing shares of The Tax-Managed
U.S. Marketwide Value Series, a Master Fund that invests in such stocks while
considering the federal tax implications of investment decisions. Value is
measured primarily by book-to-market ratio. The investment strategy is process
driven, emphasizing broad diversification. As of October 31, 2016, the Master
Fund held approximately 1,000 securities. In general, average cash exposure
throughout the year was less than 1% of the Master Fund's assets.
For the 12 months ended October 31, 2016, total returns were 2.66% for the
Portfolio and 6.55% for the Russell 3000(R) Value Index, the Portfolio's
Benchmark. As a result of the Master Fund's diversified investment approach,
performance was determined principally by broad trends in the U.S. equity
market rather than the behavior of a limited number of stocks. As compared to
the benchmark, the Master Fund places more emphasis on lower relative price
securities, which detracted from the Portfolio's performance relative to the
benchmark as the lowest relative price quartile of such securities
underperformed. The Master Fund's exclusion of real estate investment trusts
(REITs) and utilities detracted from relative performance as REITs and
utilities outperformed most other sectors during the period.
TAX-MANAGED U.S. EQUITY PORTFOLIO
The Tax-Managed U.S. Equity Portfolio invests in a broadly diversified group
of U.S. securities while considering the federal tax implications of investment
decisions. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2016, the Portfolio held approximately 2,300
securities. In general, average cash exposure throughout the year was less than
1% of the Portfolio's assets.
6
For the 12 months ended October 31, 2016, total returns were 4.05% for the
Portfolio and 4.24% for the Russell 3000(R) Index, the Portfolio's benchmark.
As a result of the Portfolio's diversified investment approach, performance was
determined principally by broad trends in the U.S. equity market, rather than
the behavior of a limited number of stocks. The Portfolio's exclusion of real
estate investment trusts (REITs) detracted from its performance relative to the
Benchmark as REITs outperformed most other sectors during the period.
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO
The Tax-Managed U.S. Targeted Value Portfolio invests in a broadly
diversified group of U.S. small and mid-capitalization value stocks. Value is
measured primarily by book-to-market ratio. The Tax-Managed U.S. Targeted Value
Portfolio also may consider profitability in the Portfolio's construction. In
assessing profitability, the Advisor may consider such factors as earnings or
profits from operations relative to book value or assets. The tax management
strategies employed by the Portfolio are designed to maximize the after-tax
value of a shareholder's investment. The investment strategy is process driven,
emphasizing broad diversification. As of October 31, 2016, the Portfolio held
approximately 1,500 securities. In general, average cash exposure throughout
the year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2016, total returns were 2.21% for the
Portfolio and 8.81% for the Russell 2000(R) Value Index, the Portfolio's
benchmark. As a result of the Portfolio's diversified investment approach,
performance was determined principally by broad trends in the U.S. equity
market, rather than the behavior of a limited number of stocks. The Portfolio
had a greater allocation than the benchmark to mid-cap stocks and a lower
allocation to small-cap stocks. Mid-cap stocks underperformed small-caps during
the period and detracted from the Portfolio's performance relative to the
benchmark. Within small-cap and mid-cap value stocks, the Portfolio's greater
emphasis on higher profitability stocks detracted from relative performance as
these stocks underperformed lower profitability stocks during the period. The
Portfolio's exclusion of real estate investment trusts (REITs) and utilities
detracted from relative performance as these sectors outperformed most other
sectors during the period.
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
The Tax-Managed U.S. Small Cap Portfolio invests in a broadly diversified
group of U.S. small company stocks. The tax management strategies employed by
the Portfolio are designed to maximize the after-tax value of a shareholder's
investment. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2016, the Portfolio held approximately 1,700
securities. In general, average cash exposure throughout the year was less than
1% of the Portfolio's assets.
For the 12 months ended October 31, 2016, total returns were 3.75% for the
Portfolio and 4.11% for the Russell 2000(R) Index, the Portfolio's benchmark.
As a result of the Portfolio's diversified investment approach, performance was
determined principally by broad trends in the U.S. equity market, rather than
the behavior of a limited number of stocks. The Portfolio's exclusion of real
estate investment trusts (REITs) detracted from its performance relative to the
benchmark as REITs outperformed most other sectors during the period. Within
small-cap stocks, the Portfolio excluded certain stocks with lower
profitability and higher relative price, which benefited the Portfolio's
performance. These excluded stocks generally underperformed the benchmark
return during the period.
T.A. U.S. CORE EQUITY 2 PORTFOLIO
The T.A. U.S. Core Equity 2 Portfolio invests in a broadly diversified group
of U.S. securities with increased exposure to smaller company stocks, value
stocks, and higher profitability stocks relative to the market while
considering federal tax implications of investment decisions. Value is measured
primarily by book-to-market ratio. The investment strategy is process driven,
emphasizing broad diversification. As of October 31, 2016, the Portfolio held
approximately 2,600 securities. In general, average cash exposure throughout
the year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2016, total returns were 3.55% for the
Portfolio and 4.24% for the Russell 3000(R) Index, the Portfolio's benchmark.
As a result of the Portfolio's diversified investment approach, performance was
determined principally by broad trends in the U.S. equity market, rather than
the behavior of a limited number of stocks. The Portfolio had a greater
allocation than the benchmark to lower total market capitalization stocks,
which detracted from the Portfolio's performance as mid-cap stocks
underperformed. The Portfolio also had a lesser allocation to large cap growth
stocks, which outperformed.
7
INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2016
Performance of non-U.S. developed markets was varied for the period.
Small-cap stocks had positive returns, while large-cap stocks had negative
returns. As measured by the MSCI World ex USA indices, small-cap stocks
outperformed large-cap stocks, and value stocks outperformed growth stocks.
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
RETURN IN U.S. DOLLARS
- ----------------------
MSCI World ex USA Index........................... -2.27%
MSCI World ex USA Small Cap Index................. 3.96%
MSCI World ex USA Value Index..................... -2.07%
MSCI World ex USA Growth Index.................... -2.58%
During the period, the performance of the U.S. dollar was mixed when
compared against the currencies of other developed markets. In particular,
while the U.S. dollar appreciated significantly against the British pound, it
depreciated significantly against the Japanese yen. Overall, currency
fluctuations detracted from USD-denominated returns in developed markets.
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
TEN LARGEST FOREIGN DEVELOPED MARKETS
BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLARS
------------------------------------- ------------ ----------------------
Japan................................... -10.14% 3.19%
United Kingdom.......................... 13.55% -10.24%
France.................................. -4.31% -5.04%
Switzerland............................. -8.27% -8.57%
Canada.................................. 11.55% 8.90%
Germany................................. -2.14% -2.89%
Australia............................... 5.52% 12.55%
Hong Kong............................... 8.52% 8.45%
Spain................................... -8.40% -9.10%
Netherlands............................. 0.63% -0.20%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2016, all rights reserved.
Emerging markets had stronger performance over the period than non-U.S.
developed markets. As measured by the MSCI emerging markets indices, small-cap
stocks underperformed large-cap stocks, and growth stocks outperformed value
stocks.
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
RETURN IN U.S. DOLLAR
- ---------------------
MSCI Emerging Markets Index....................... 9.27%
MSCI Emerging Markets Small Cap Index............. 4.78%
MSCI Emerging Markets Value Index................. 8.60%
MSCI Emerging Markets Growth Index................ 9.81%
During the period, the performance of the U.S. dollar was mixed when
compared against the currencies of emerging markets. In particular, while the
U.S. dollar appreciated significantly against the Mexican peso, it also
depreciated significantly against the Brazilian real. Overall, currency
fluctuations benefited from USD-denominated returns in emerging markets.
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
TEN LARGEST EMERGING MARKETS BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLAR
------------------------------------------ ------------ ---------------------
China........................ 1.62% 1.54%
Korea........................ 5.56% 5.17%
Taiwan....................... 14.56% 17.85%
India........................ 6.28% 3.99%
South Africa................. -0.92% 1.46%
8
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
TEN LARGEST EMERGING MARKETS BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLAR
------------------------------------------ ------------ ---------------------
Brazil..................... 40.59% 70.69%
Mexico..................... 8.65% -4.51%
Russia..................... 17.86% 18.61%
Malaysia................... 4.44% 6.95%
Indonesia.................. 26.13% 32.31%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2016, all rights reserved.
For funds investing in non-US equities traded outside of the U.S. market time
zone, differences in the valuation timing and methodology between a fund and
its benchmark index may impact relative performance over the referenced period.
The funds price foreign exchange rates at the closing of the U.S. market while
their benchmark indices use rates at 4 pm London time. The funds also may use
fair value pricing to price certain portfolio securities at the closing of the
U.S. market, while benchmark indices may use local market closing prices. For
the one-year period ended October 31, 2016, these differences generally
benefitted the funds' relative performance.
INTERNATIONAL EQUITY PORTFOLIOS' PERFORMANCE OVERVIEW
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
The Tax-Managed DFA International Value Portfolio invests in a broadly
diversified group of developed ex U.S. large company value stocks. Value is
measured primarily by price-to-book ratio. The tax-managed strategies employed
by the Portfolio are designed to maximize the after-tax value of a
shareholder's investment. The investment strategy is process driven,
emphasizing broad diversification. As of October 31, 2016, the Portfolio held
approximately 460 securities in 22 eligible developed markets. In general,
average cash exposure throughout the year was less than 1% of the Portfolio's
assets.
For the 12 months ended October 31, 2016, total returns were -0.30% for the
Portfolio and -2.27% for the MSCI World ex USA Index (net dividends), the
Portfolio's benchmark. As a result of the Portfolio's diversified investment
approach, performance was determined principally by broad trends in developed
ex U.S. equity markets rather than by the behavior of a limited number of
stocks. The Portfolio invests primarily in value stocks, while the benchmark is
neutral with regard to value or growth stocks. The Portfolio's emphasis on deep
value stocks contributed positively to its performance, relative to the
benchmark as that segment of the market outperformed for the year. The
Portfolio's emphasis on mid-cap stocks also contributed positively to relative
performance, as those stocks outperformed for the period.
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
The T.A. World ex U.S. Core Equity Portfolio is designed to capture the
returns of a broadly diversified group of stocks in developed ex U.S. and
emerging markets, with increased exposure to stocks with smaller market
capitalization, lower relative price, and higher profitability, while
considering potential federal tax implications of investment decisions. The
investment strategy is process driven, emphasizing broad diversification. As of
October 31, 2016, the Portfolio held approximately 7,600 securities in 43
eligible developed and emerging markets. In general, average cash exposure
throughout the year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2016, total returns were 3.48% for the
Portfolio and 0.22% for the MSCI All Country World ex USA Index (net
dividends), the Portfolio's benchmark. As a result of the Portfolio's
diversified investment approach, performance was determined principally by
broad trends in developed ex U.S. and emerging equity markets rather than by
the behavior of a limited number of stocks. The Portfolio invests in stocks
across all size categories, while the benchmark primarily holds large- and
mid-cap stocks. With developed ex U.S. and emerging markets small-cap stocks
generally outperforming large-cap stocks during the period, the Portfolio's
inclusion of small-cap stocks contributed positively to its performance
relative to the benchmark. To a lesser extent, the Portfolio's greater emphasis
than the benchmark on low relative price (value) stocks also had a positive
impact on the Portfolio's relative performance, as value stocks outperformed
during the period.
9
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2016
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/16 10/31/16 RATIO* PERIOD*
--------- --------- ---------- --------
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO**
---------------------------------------------
Actual Fund Return............................ $1,000.00 $1,035.30 0.37% $1.89
Hypothetical 5% Annual Return................. $1,000.00 $1,023.28 0.37% $1.88
TAX-MANAGED U.S. EQUITY PORTFOLIO
---------------------------------
Actual Fund Return............................ $1,000.00 $1,041.80 0.22% $1.13
Hypothetical 5% Annual Return................. $1,000.00 $1,024.03 0.22% $1.12
10
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/16 10/31/16 RATIO* PERIOD*
--------- --------- ---------- --------
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO
-----------------------------------------
Actual Fund Return............................ $1,000.00 $1,036.60 0.44% $2.25
Hypothetical 5% Annual Return................. $1,000.00 $1,022.92 0.44% $2.24
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
------------------------------------
Actual Fund Return............................ $1,000.00 $1,044.20 0.52% $2.67
Hypothetical 5% Annual Return................. $1,000.00 $1,022.52 0.52% $2.64
T.A. U.S. CORE EQUITY 2 PORTFOLIO
---------------------------------
Actual Fund Return............................ $1,000.00 $1,038.40 0.24% $1.23
Hypothetical 5% Annual Return................. $1,000.00 $1,023.93 0.24% $1.22
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
---------------------------------------------
Actual Fund Return............................ $1,000.00 $1,036.40 0.53% $2.71
Hypothetical 5% Annual Return................. $1,000.00 $1,022.47 0.53% $2.69
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
----------------------------------------
Actual Fund Return............................ $1,000.00 $1,035.10 0.45% $2.30
Hypothetical 5% Annual Return................. $1,000.00 $1,022.87 0.45% $2.29
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then divided
by the number of days in the year (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 underlying Fund (Affiliated Investment Company).
11
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on September 28, 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....................... 13.2%
Consumer Staples............................. 9.5%
Energy....................................... 7.0%
Financials................................... 14.3%
Health Care.................................. 13.7%
Industrials.................................. 11.0%
Information Technology....................... 21.9%
Materials.................................... 3.3%
Real Estate.................................. 0.1%
Telecommunication Services................... 2.4%
Utilities.................................... 3.6%
-----
100.0%
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO
Consumer Discretionary....................... 13.1%
Consumer Staples............................. 4.4%
Energy....................................... 6.2%
Financials................................... 28.3%
Health Care.................................. 5.2%
Industrials.................................. 20.2%
Information Technology....................... 13.7%
Materials.................................... 7.0%
Real Estate.................................. 0.3%
Telecommunication Services................... 1.2%
Utilities.................................... 0.4%
-----
100.0%
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
Consumer Discretionary....................... 15.5%
Consumer Staples............................. 4.5%
Energy....................................... 4.5%
Financials................................... 21.4%
Health Care.................................. 8.0%
Industrials.................................. 19.1%
Information Technology....................... 15.9%
Materials.................................... 5.7%
Real Estate.................................. 0.5%
Telecommunication Services................... 1.0%
Utilities.................................... 3.9%
-----
100.0%
12
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
T.A. U.S. CORE EQUITY 2 PORTFOLIO
Consumer Discretionary....................... 14.8%
Consumer Staples............................. 7.5%
Energy....................................... 6.2%
Financials................................... 17.9%
Health Care.................................. 10.7%
Industrials.................................. 14.3%
Information Technology....................... 18.6%
Materials.................................... 4.6%
Real Estate.................................. 0.3%
Telecommunication Services................... 3.0%
Utilities.................................... 2.1%
-----
100.0%
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
Consumer Discretionary....................... 13.0%
Consumer Staples............................. 2.5%
Energy....................................... 16.1%
Financials................................... 29.5%
Health Care.................................. 1.2%
Industrials.................................. 11.2%
Information Technology....................... 3.3%
Materials.................................... 14.3%
Real Estate.................................. 2.3%
Telecommunication Services................... 4.3%
Utilities.................................... 2.3%
-----
100.0%
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
Consumer Discretionary....................... 14.9%
Consumer Staples............................. 8.0%
Energy....................................... 7.0%
Financials................................... 17.3%
Health Care.................................. 5.1%
Industrials.................................. 16.3%
Information Technology....................... 8.8%
Materials.................................... 13.1%
Real Estate.................................. 3.1%
Telecommunication Services................... 3.2%
Utilities.................................... 3.2%
-----
100.0%
13
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
VALUE+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Tax-Managed U.S. Marketwide Value Series
of The DFA Investment Trust Company....................... $4,013,723,088
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$2,466,427,961)........................................ $4,013,723,088
==============
Summary of the Portfolio's Master Fund's investments as of October 31, 2016,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
14
TAX-MANAGED U.S. EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (91.0%)
Consumer Discretionary -- (12.0%)
* Amazon.com, Inc................... 50,065 $ 39,542,338 1.5%
Comcast Corp. Class A............. 302,685 18,711,987 0.7%
Home Depot, Inc. (The)............ 153,483 18,726,461 0.7%
McDonald's Corp................... 108,260 12,186,828 0.5%
Walt Disney Co. (The)............. 191,438 17,744,388 0.7%
Other Securities.................. 237,313,454 9.0%
------------ ------
Total Consumer Discretionary.......... 344,225,456 13.1%
------------ ------
Consumer Staples -- (8.7%)
Altria Group, Inc................. 240,541 15,904,571 0.6%
Coca-Cola Co. (The)............... 511,158 21,673,099 0.8%
CVS Health Corp................... 129,652 10,903,733 0.4%
PepsiCo, Inc...................... 179,615 19,254,728 0.7%
Philip Morris International, Inc.. 195,465 18,850,645 0.7%
Procter & Gamble Co. (The)........ 299,138 25,965,178 1.0%
Wal-Mart Stores, Inc.............. 195,872 13,714,958 0.5%
Other Securities.................. 123,300,303 4.8%
------------ ------
Total Consumer Staples................ 249,567,215 9.5%
------------ ------
Energy -- (6.3%)
Chevron Corp...................... 238,001 24,930,605 1.0%
Exxon Mobil Corp.................. 518,802 43,226,583 1.7%
Schlumberger, Ltd................. 173,581 13,579,242 0.5%
Other Securities.................. 100,164,048 3.7%
------------ ------
Total Energy.......................... 181,900,478 6.9%
------------ ------
Financials -- (13.0%)
Bank of America Corp.............. 1,287,004 21,235,566 0.8%
* Berkshire Hathaway, Inc. Class B.. 237,325 34,245,997 1.3%
Citigroup, Inc.................... 366,966 18,036,379 0.7%
JPMorgan Chase & Co............... 461,903 31,991,402 1.2%
Wells Fargo & Co.................. 607,461 27,949,281 1.1%
Other Securities.................. 239,781,768 9.1%
------------ ------
Total Financials...................... 373,240,393 14.2%
------------ ------
Health Care -- (12.4%)
AbbVie, Inc....................... 200,934 11,208,099 0.4%
* Allergan P.L.C.................... 49,768 10,398,526 0.4%
Amgen, Inc........................ 92,185 13,012,835 0.5%
Bristol-Myers Squibb Co........... 207,633 10,570,596 0.4%
* Celgene Corp...................... 95,793 9,788,129 0.4%
Gilead Sciences, Inc.............. 163,687 12,052,274 0.5%
Johnson & Johnson................. 342,345 39,708,597 1.5%
Medtronic P.L.C................... 174,527 14,314,705 0.6%
Merck & Co., Inc.................. 344,743 20,243,309 0.8%
Pfizer, Inc....................... 758,897 24,064,624 0.9%
UnitedHealth Group, Inc........... 118,981 16,815,585 0.7%
Other Securities.................. 174,715,356 6.4%
------------ ------
Total Health Care..................... 356,892,635 13.5%
------------ ------
Industrials -- (10.0%)
3M Co............................. 74,683 12,345,100 0.5%
Boeing Co. (The).................. 75,185 10,708,600 0.4%
15
TAX-MANAGED U.S. EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (Continued)
General Electric Co........................................... 1,136,991 $ 33,086,438 1.3%
Honeywell International, Inc.................................. 89,764 9,845,316 0.4%
United Technologies Corp...................................... 99,010 10,118,822 0.4%
Other Securities.............................................. 212,047,213 7.9%
-------------- ------
Total Industrials................................................... 288,151,489 10.9%
-------------- ------
Information Technology -- (20.0%)
* Alphabet, Inc. Class A........................................ 36,621 29,659,348 1.1%
* Alphabet, Inc. Class C........................................ 38,652 30,324,040 1.2%
Apple, Inc.................................................... 672,110 76,311,369 2.9%
Cisco Systems, Inc............................................ 625,096 19,177,945 0.7%
* Facebook, Inc. Class A........................................ 290,154 38,007,272 1.5%
Intel Corp.................................................... 591,714 20,633,067 0.8%
International Business Machines Corp.......................... 113,377 17,424,911 0.7%
Mastercard, Inc. Class A...................................... 120,753 12,922,986 0.5%
Microsoft Corp................................................ 921,569 55,220,414 2.1%
Oracle Corp................................................... 384,590 14,775,948 0.6%
QUALCOMM, Inc................................................. 185,425 12,742,406 0.5%
# Visa, Inc. Class A............................................ 233,803 19,291,086 0.7%
Other Securities.............................................. 226,993,539 8.5%
-------------- ------
Total Information Technology........................................ 573,484,331 21.8%
-------------- ------
Materials -- (3.0%)
Other Securities.............................................. 85,419,244 3.2%
-------------- ------
Real Estate -- (0.1%)
Other Securities.............................................. 3,254,839 0.1%
-------------- ------
Telecommunication Services -- (2.2%)
AT&T, Inc..................................................... 775,692 28,537,709 1.1%
Verizon Communications, Inc................................... 510,632 24,561,399 0.9%
Other Securities.............................................. 10,538,150 0.4%
-------------- ------
Total Telecommunication Services.................................... 63,637,258 2.4%
-------------- ------
Utilities -- (3.3%)
Other Securities.............................................. 92,945,573 3.5%
-------------- ------
TOTAL COMMON STOCKS................................................. 2,612,718,911 99.1%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 46,159 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES......................................... 2,612,765,070
--------------
TEMPORARY CASH INVESTMENTS -- (0.8%)
State Street Institutional U.S. Government Money Market Fund,
0.260%....................................................... 22,381,273 22,381,273 0.8%
-------------- ------
SECURITIES LENDING COLLATERAL -- (8.2%)
(S)@ DFA Short Term Investment Fund................................ 20,372,178 235,746,845 9.0%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,671,540,219)........................................... $2,870,893,188 108.9%
============== ======
16
TAX-MANAGED U.S. EQUITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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............................................... $ 344,225,456 -- -- $ 344,225,456
Consumer Staples..................................................... 249,567,215 -- -- 249,567,215
Energy............................................................... 181,900,478 -- -- 181,900,478
Financials........................................................... 373,240,393 -- -- 373,240,393
Health Care.......................................................... 356,892,635 -- -- 356,892,635
Industrials.......................................................... 288,151,489 -- -- 288,151,489
Information Technology............................................... 573,484,331 -- -- 573,484,331
Materials............................................................ 85,419,244 -- -- 85,419,244
Real Estate.......................................................... 3,254,839 -- -- 3,254,839
Telecommunication Services........................................... 63,637,258 -- -- 63,637,258
Utilities............................................................ 92,945,573 -- -- 92,945,573
Rights/Warrants....................................................... -- $ 46,159 -- 46,159
Temporary Cash Investments............................................ 22,381,273 -- -- 22,381,273
Securities Lending Collateral......................................... -- 235,746,845 -- 235,746,845
Futures Contracts**................................................... (507,195) -- -- (507,195)
-------------- ------------ -- --------------
TOTAL................................................................. $2,634,592,989 $235,793,004 -- $2,870,385,993
============== ============ == ==============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note G)
See accompanying Notes to Financial Statements.
17
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (87.3%)
Consumer Discretionary -- (11.4%)
* Cabela's, Inc............................................... 208,284 $ 12,832,377 0.3%
# CalAtlantic Group, Inc...................................... 385,075 12,445,624 0.3%
PulteGroup, Inc............................................. 1,176,019 21,873,953 0.6%
Service Corp. International................................. 469,211 12,011,802 0.3%
* Toll Brothers, Inc.......................................... 526,217 14,439,394 0.4%
# Wendy's Co. (The)........................................... 1,307,950 14,178,178 0.4%
Other Securities............................................ 404,283,389 10.7%
-------------- ------
Total Consumer Discretionary.................................... 492,064,717 13.0%
-------------- ------
Consumer Staples -- (3.8%)
Fresh Del Monte Produce, Inc................................ 253,809 15,317,373 0.4%
Ingredion, Inc.............................................. 176,275 23,121,992 0.6%
* Post Holdings, Inc.......................................... 241,751 18,428,679 0.5%
Other Securities............................................ 106,765,430 2.8%
-------------- ------
Total Consumer Staples.......................................... 163,633,474 4.3%
-------------- ------
Energy -- (5.5%)
# Helmerich & Payne, Inc...................................... 299,637 18,910,091 0.5%
Other Securities............................................ 215,132,330 5.7%
-------------- ------
Total Energy.................................................... 234,042,421 6.2%
-------------- ------
Financials -- (24.7%)
Allied World Assurance Co. Holdings AG...................... 454,224 19,522,548 0.5%
American Financial Group, Inc............................... 370,385 27,593,682 0.7%
Aspen Insurance Holdings, Ltd............................... 254,728 12,290,626 0.3%
Assurant, Inc............................................... 319,133 25,696,589 0.7%
Assured Guaranty, Ltd....................................... 448,331 13,400,614 0.4%
Axis Capital Holdings, Ltd.................................. 318,918 18,168,758 0.5%
CNO Financial Group, Inc.................................... 1,201,584 18,119,887 0.5%
Endurance Specialty Holdings, Ltd........................... 348,737 32,066,367 0.9%
Old Republic International Corp............................. 782,838 13,198,649 0.4%
# People's United Financial, Inc.............................. 1,096,518 17,807,452 0.5%
Reinsurance Group of America, Inc........................... 249,518 26,913,011 0.7%
RenaissanceRe Holdings, Ltd................................. 143,959 17,892,664 0.5%
Validus Holdings, Ltd....................................... 273,291 13,965,170 0.4%
# WR Berkley Corp............................................. 223,655 12,770,700 0.3%
# Zions Bancorporation........................................ 770,717 24,824,795 0.7%
Other Securities............................................ 769,291,305 20.2%
-------------- ------
Total Financials................................................ 1,063,522,817 28.2%
-------------- ------
Health Care -- (4.5%)
* LifePoint Health, Inc....................................... 217,249 13,002,353 0.3%
Other Securities............................................ 181,781,307 4.9%
-------------- ------
Total Health Care............................................... 194,783,660 5.2%
-------------- ------
Industrials -- (17.6%)
#* AECOM....................................................... 470,894 13,114,398 0.4%
AGCO Corp................................................... 253,258 12,936,419 0.3%
AMERCO...................................................... 68,098 21,954,114 0.6%
Curtiss-Wright Corp......................................... 162,945 14,603,131 0.4%
#* Dycom Industries, Inc....................................... 161,441 12,419,656 0.3%
* Jacobs Engineering Group, Inc............................... 430,715 22,216,280 0.6%
* JetBlue Airways Corp........................................ 1,104,346 19,303,968 0.5%
18
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (Continued)
Owens Corning................................................. 367,806 $ 17,941,577 0.5%
* Quanta Services, Inc.......................................... 464,124 13,343,565 0.4%
Ryder System, Inc............................................. 233,530 16,204,647 0.4%
Other Securities.............................................. 593,734,702 15.7%
-------------- ------
Total Industrials................................................... 757,772,457 20.1%
-------------- ------
Information Technology -- (12.0%)
* Arrow Electronics, Inc........................................ 351,633 21,491,809 0.6%
Avnet, Inc.................................................... 451,226 18,928,931 0.5%
* CACI International, Inc. Class A.............................. 127,408 12,466,873 0.3%
# Convergys Corp................................................ 496,845 14,507,874 0.4%
#* First Solar, Inc.............................................. 303,312 12,281,103 0.3%
* Flex, Ltd..................................................... 906,966 12,869,848 0.4%
Ingram Micro, Inc. Class A.................................... 553,452 20,588,414 0.6%
# Jabil Circuit, Inc............................................ 577,300 12,319,582 0.3%
Marvell Technology Group, Ltd................................. 1,099,220 14,322,837 0.4%
# SYNNEX Corp................................................... 181,005 18,560,253 0.5%
* Tech Data Corp................................................ 163,716 12,609,406 0.3%
Other Securities.............................................. 344,039,512 9.0%
-------------- ------
Total Information Technology........................................ 514,986,442 13.6%
-------------- ------
Materials -- (6.1%)
Reliance Steel & Aluminum Co.................................. 236,532 16,268,671 0.4%
Steel Dynamics, Inc........................................... 585,303 16,072,420 0.4%
Other Securities.............................................. 230,978,828 6.2%
-------------- ------
Total Materials..................................................... 263,319,919 7.0%
-------------- ------
Real Estate -- (0.3%)
Other Securities.............................................. 13,042,658 0.3%
-------------- ------
Telecommunication Services -- (1.0%)
# Frontier Communications Corp.................................. 3,786,474 15,221,625 0.4%
Other Securities.............................................. 28,698,318 0.8%
-------------- ------
Total Telecommunication Services.................................... 43,919,943 1.2%
-------------- ------
Utilities -- (0.4%)
Other Securities.............................................. 16,507,805 0.4%
TOTAL COMMON STOCKS................................................. 3,757,596,313 99.5%
-------------- ------
TOTAL INVESTMENT SECURITIES......................................... 3,757,596,313
--------------
TEMPORARY CASH INVESTMENTS -- (0.3%)
State Street Institutional U.S. Government Money Market Fund,
0.260%....................................................... 12,957,374 12,957,374 0.3%
-------------- ------
SECURITIES LENDING COLLATERAL -- (12.4%)
(S)@ DFA Short Term Investment Fund................................ 46,012,851 532,460,710 14.2%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,992,392,282)........................................... $4,303,014,397 114.0%
============== ======
19
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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...... $ 492,064,717 -- -- $ 492,064,717
Consumer Staples............ 163,633,474 -- -- 163,633,474
Energy...................... 234,042,421 -- -- 234,042,421
Financials.................. 1,063,522,817 -- -- 1,063,522,817
Health Care................. 194,783,660 -- -- 194,783,660
Industrials................. 757,772,457 -- -- 757,772,457
Information Technology...... 514,986,442 -- -- 514,986,442
Materials................... 263,319,919 -- -- 263,319,919
Real Estate................. 13,042,658 -- -- 13,042,658
Telecommunication Services.. 43,919,943 -- -- 43,919,943
Utilities................... 16,507,805 -- -- 16,507,805
Temporary Cash Investments.... 12,957,374 -- -- 12,957,374
Securities Lending Collateral. -- $532,460,710 -- 532,460,710
-------------- ------------ -- --------------
TOTAL......................... $3,770,553,687 $532,460,710 -- $4,303,014,397
============== ============ == ==============
See accompanying Notes to Financial Statements.
20
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (83.1%)
Consumer Discretionary -- (12.9%)
# Brinker International, Inc......... 108,953 $ 5,364,846 0.2%
Thor Industries, Inc............... 99,761 7,912,045 0.4%
Vail Resorts, Inc.................. 32,782 5,226,762 0.2%
Other Securities................... 336,460,850 14.7%
------------ ------
Total Consumer Discretionary........... 354,964,503 15.5%
------------ ------
Consumer Staples -- (3.8%)
Fresh Del Monte Produce, Inc....... 91,010 5,492,453 0.2%
Lancaster Colony Corp.............. 38,638 5,048,055 0.2%
#* Post Holdings, Inc................. 73,932 5,635,836 0.2%
Other Securities................... 87,846,473 3.9%
------------ ------
Total Consumer Staples................. 104,022,817 4.5%
------------ ------
Energy -- (3.7%)
Nabors Industries, Ltd............. 406,068 4,832,209 0.2%
* Parsley Energy, Inc. Class A....... 176,689 5,813,068 0.3%
# Patterson-UTI Energy, Inc.......... 258,733 5,816,318 0.3%
#* PDC Energy, Inc.................... 86,705 5,317,618 0.2%
Other Securities................... 80,525,992 3.5%
------------ ------
Total Energy........................... 102,305,205 4.5%
------------ ------
Financials -- (17.7%)
Aspen Insurance Holdings, Ltd...... 107,094 5,167,285 0.2%
Associated Banc-Corp............... 252,334 5,122,380 0.2%
# Bank of Hawaii Corp................ 78,053 5,865,683 0.3%
Cathay General Bancorp............. 196,272 5,878,346 0.3%
CNO Financial Group, Inc........... 336,171 5,069,459 0.2%
Endurance Specialty Holdings, Ltd.. 111,425 10,245,529 0.5%
# First Horizon National Corp........ 360,615 5,557,077 0.2%
# FNB Corp........................... 409,087 5,346,767 0.2%
Fulton Financial Corp.............. 353,155 5,262,009 0.2%
# Home BancShares, Inc............... 237,604 5,110,862 0.2%
MarketAxess Holdings, Inc.......... 48,452 7,304,624 0.3%
PrivateBancorp, Inc................ 127,334 5,760,590 0.3%
# UMB Financial Corp................. 77,529 4,810,674 0.2%
Washington Federal, Inc............ 213,015 5,804,659 0.3%
# Webster Financial Corp............. 144,207 5,825,963 0.3%
* Western Alliance Bancorp........... 163,870 6,122,183 0.3%
Other Securities................... 395,538,573 17.1%
------------ ------
Total Financials....................... 489,792,663 21.3%
------------ ------
Health Care -- (6.6%)
Cantel Medical Corp................ 83,217 5,927,547 0.3%
Hill-Rom Holdings, Inc............. 87,296 4,837,071 0.2%
* Prestige Brands Holdings, Inc...... 110,081 4,984,468 0.2%
Other Securities................... 167,782,209 7.3%
------------ ------
Total Health Care...................... 183,531,295 8.0%
------------ ------
Industrials -- (15.9%)
AMERCO............................. 15,026 4,844,232 0.2%
Curtiss-Wright Corp................ 57,577 5,160,051 0.2%
#* Dycom Industries, Inc.............. 72,056 5,543,268 0.2%
EMCOR Group, Inc................... 113,450 6,859,187 0.3%
21
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (Continued)
* Hawaiian Holdings, Inc........................................ 137,064 $ 6,171,307 0.3%
John Bean Technologies Corp................................... 62,171 4,964,354 0.2%
Other Securities.............................................. 404,008,508 17.6%
-------------- ------
Total Industrials................................................... 437,550,907 19.0%
-------------- ------
Information Technology -- (13.2%)
* Cirrus Logic, Inc............................................. 125,945 6,798,511 0.3%
# Convergys Corp................................................ 170,395 4,975,534 0.2%
Fair Isaac Corp............................................... 47,990 5,791,433 0.3%
* Finisar Corp.................................................. 183,794 5,032,280 0.2%
Mentor Graphics Corp.......................................... 201,971 5,836,962 0.3%
# Monolithic Power Systems, Inc................................. 65,929 5,195,864 0.2%
SYNNEX Corp................................................... 51,712 5,302,548 0.2%
* Tech Data Corp................................................ 67,291 5,182,753 0.2%
Other Securities.............................................. 321,138,264 14.0%
-------------- ------
Total Information Technology........................................ 365,254,149 15.9%
-------------- ------
Materials -- (4.7%)
* Chemtura Corp................................................. 175,823 5,766,994 0.3%
Sensient Technologies Corp.................................... 73,966 5,511,207 0.2%
# United States Steel Corp...................................... 315,227 6,096,490 0.3%
Other Securities.............................................. 113,541,500 4.9%
-------------- ------
Total Materials..................................................... 130,916,191 5.7%
-------------- ------
Real Estate -- (0.4%)
Other Securities.............................................. 11,087,275 0.5%
-------------- ------
Telecommunication Services -- (0.9%)
Other Securities.............................................. 23,688,302 1.0%
-------------- ------
Utilities -- (3.3%)
IDACORP, Inc.................................................. 64,563 5,061,094 0.2%
New Jersey Resources Corp..................................... 145,601 4,943,154 0.2%
Southwest Gas Corp............................................ 70,456 5,105,242 0.2%
WGL Holdings, Inc............................................. 82,214 5,185,237 0.2%
Other Securities.............................................. 70,081,888 3.1%
-------------- ------
Total Utilities..................................................... 90,376,615 3.9%
-------------- ------
TOTAL COMMON STOCKS................................................. 2,293,489,922 99.8%
-------------- ------
TOTAL INVESTMENT SECURITIES......................................... 2,293,489,922
--------------
TEMPORARY CASH INVESTMENTS -- (0.1%)
State Street Institutional U.S. Government Money Market Fund,
0.260%....................................................... 2,227,761 2,227,761 0.1%
-------------- ------
SECURITIES LENDING COLLATERAL -- (16.8%)
(S)@ DFA Short Term Investment Fund................................ 40,009,241 462,986,936 20.2%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,871,698,670)........................................... $2,758,704,619 120.1%
============== ======
22
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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...... $ 354,964,503 -- -- $ 354,964,503
Consumer Staples............ 104,022,817 -- -- 104,022,817
Energy...................... 102,305,205 -- -- 102,305,205
Financials.................. 489,792,663 -- -- 489,792,663
Health Care................. 183,531,295 -- -- 183,531,295
Industrials................. 437,550,907 -- -- 437,550,907
Information Technology...... 365,254,149 -- -- 365,254,149
Materials................... 130,916,191 -- -- 130,916,191
Real Estate................. 11,087,275 -- -- 11,087,275
Telecommunication Services.. 23,688,302 -- -- 23,688,302
Utilities................... 90,376,615 -- -- 90,376,615
Temporary Cash Investments.... 2,227,761 -- -- 2,227,761
Securities Lending Collateral. -- $462,986,936 -- 462,986,936
-------------- ------------ -- --------------
TOTAL......................... $2,295,717,683 $462,986,936 -- $2,758,704,619
============== ============ == ==============
See accompanying Notes to Financial Statements.
23
T.A. U.S. CORE EQUITY 2 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (89.6%)
Consumer Discretionary -- (13.3%)
* Amazon.com, Inc............................................. 31,906 $ 25,199,997 0.4%
#* Charter Communications, Inc. Class A........................ 76,071 19,009,382 0.3%
Comcast Corp. Class A....................................... 977,932 60,455,756 1.0%
Ford Motor Co............................................... 1,604,855 18,840,998 0.3%
General Motors Co........................................... 614,834 19,428,754 0.3%
Time Warner, Inc............................................ 259,315 23,076,442 0.4%
Walt Disney Co. (The)....................................... 365,590 33,886,537 0.6%
Other Securities............................................ 720,123,078 11.5%
-------------- ------
Total Consumer Discretionary.................................... 920,020,944 14.8%
-------------- ------
Consumer Staples -- (6.7%)
Coca-Cola Co. (The)......................................... 377,704 16,014,650 0.3%
CVS Health Corp............................................. 339,252 28,531,093 0.5%
Mondelez International, Inc. Class A........................ 418,428 18,804,154 0.3%
PepsiCo, Inc................................................ 155,127 16,629,614 0.3%
Procter & Gamble Co. (The).................................. 458,732 39,817,938 0.6%
Wal-Mart Stores, Inc........................................ 646,740 45,284,735 0.7%
Walgreens Boots Alliance, Inc............................... 238,315 19,715,800 0.3%
Other Securities............................................ 280,065,116 4.5%
-------------- ------
Total Consumer Staples.......................................... 464,863,100 7.5%
-------------- ------
Energy -- (5.5%)
Chevron Corp................................................ 342,238 35,849,430 0.6%
Exxon Mobil Corp............................................ 956,696 79,711,911 1.3%
Schlumberger, Ltd........................................... 268,580 21,011,013 0.3%
Other Securities............................................ 245,852,259 4.0%
-------------- ------
Total Energy.................................................... 382,424,613 6.2%
-------------- ------
Financials -- (16.1%)
American Express Co......................................... 326,464 21,683,739 0.4%
American International Group, Inc........................... 269,115 16,604,395 0.3%
Bank of America Corp........................................ 1,783,765 29,432,122 0.5%
* Berkshire Hathaway, Inc. Class B............................ 153,292 22,120,036 0.4%
Citigroup, Inc.............................................. 538,405 26,462,606 0.4%
JPMorgan Chase & Co......................................... 971,264 67,269,745 1.1%
Synchrony Financial......................................... 534,264 15,274,608 0.3%
U.S. Bancorp................................................ 445,407 19,936,417 0.3%
Wells Fargo & Co............................................ 1,244,058 57,239,109 0.9%
Other Securities............................................ 835,428,059 13.3%
-------------- ------
Total Financials................................................ 1,111,450,836 17.9%
-------------- ------
Health Care -- (9.6%)
Amgen, Inc.................................................. 109,613 15,472,971 0.3%
* Express Scripts Holding Co.................................. 239,873 16,167,440 0.3%
Johnson & Johnson........................................... 415,345 48,175,867 0.8%
Medtronic P.L.C............................................. 210,279 17,247,084 0.3%
Merck & Co., Inc............................................ 600,469 35,259,540 0.6%
Pfizer, Inc................................................. 1,302,894 41,314,769 0.7%
UnitedHealth Group, Inc..................................... 220,408 31,150,263 0.5%
Other Securities............................................ 461,191,696 7.2%
-------------- ------
Total Health Care............................................... 665,979,630 10.7%
-------------- ------
24
T.A. U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (12.8%)
FedEx Corp.................................................... 96,271 $ 16,781,961 0.3%
General Electric Co........................................... 1,383,002 40,245,358 0.7%
Union Pacific Corp............................................ 237,535 20,945,836 0.4%
United Technologies Corp...................................... 262,064 26,782,941 0.4%
Other Securities.............................................. 779,332,465 12.4%
-------------- ------
Total Industrials................................................... 884,088,561 14.2%
-------------- ------
Information Technology -- (16.6%)
* Alphabet, Inc. Class A........................................ 34,523 27,960,178 0.5%
* Alphabet, Inc. Class C........................................ 35,189 27,607,178 0.5%
Apple, Inc.................................................... 1,125,427 127,780,982 2.1%
Cisco Systems, Inc............................................ 1,665,198 51,088,275 0.8%
* Facebook, Inc. Class A........................................ 127,617 16,716,551 0.3%
Intel Corp.................................................... 1,852,635 64,601,382 1.0%
Microsoft Corp................................................ 1,187,445 71,151,704 1.2%
Oracle Corp................................................... 475,083 18,252,689 0.3%
QUALCOMM, Inc................................................. 467,869 32,151,958 0.5%
# Visa, Inc. Class A............................................ 285,324 23,542,083 0.4%
Other Securities.............................................. 689,157,193 10.9%
-------------- ------
Total Information Technology........................................ 1,150,010,173 18.5%
-------------- ------
Materials -- (4.2%)
Dow Chemical Co. (The)........................................ 290,047 15,607,429 0.3%
Other Securities.............................................. 272,183,435 4.3%
-------------- ------
Total Materials..................................................... 287,790,864 4.6%
-------------- ------
Real Estate -- (0.3%)
Other Securities.............................................. 21,423,442 0.3%
-------------- ------
Telecommunication Services -- (2.6%)
AT&T, Inc..................................................... 2,688,993 98,928,052 1.6%
Verizon Communications, Inc................................... 832,077 40,022,904 0.7%
Other Securities.............................................. 43,993,251 0.6%
-------------- ------
Total Telecommunication Services.................................... 182,944,207 2.9%
-------------- ------
Utilities -- (1.9%)
Other Securities.............................................. 129,631,326 2.1%
-------------- ------
TOTAL COMMON STOCKS................................................. 6,200,627,696 99.7%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 119,434 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES......................................... 6,200,747,130
--------------
TEMPORARY CASH INVESTMENTS -- (0.2%)
State Street Institutional U.S. Government Money Market Fund,
0.260%....................................................... 16,066,072 16,066,072 0.3%
-------------- ------
SECURITIES LENDING COLLATERAL -- (10.2%)
(S)@ DFA Short Term Investment Fund................................ 61,028,336 706,219,906 11.3%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,738,462,568)........................................... $6,923,033,108 111.3%
============== ======
25
T.A. U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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..................................... $ 920,020,944 -- -- $ 920,020,944
Consumer Staples........................................... 464,863,100 -- -- 464,863,100
Energy..................................................... 382,424,613 -- -- 382,424,613
Financials................................................. 1,111,450,836 -- -- 1,111,450,836
Health Care................................................ 665,979,630 -- -- 665,979,630
Industrials................................................ 884,088,561 -- -- 884,088,561
Information Technology..................................... 1,150,010,173 -- -- 1,150,010,173
Materials.................................................. 287,790,864 -- -- 287,790,864
Real Estate................................................ 21,423,442 -- -- 21,423,442
Telecommunication Services................................. 182,944,207 -- -- 182,944,207
Utilities.................................................. 129,631,326 -- -- 129,631,326
Rights/Warrants............................................. -- $ 119,434 -- 119,434
Temporary Cash Investments.................................. 16,066,072 -- -- 16,066,072
Securities Lending Collateral............................... -- 706,219,906 -- 706,219,906
-------------- ------------ -- --------------
TOTAL....................................................... $6,216,693,768 $706,339,340 -- $6,923,033,108
============== ============ == ==============
See accompanying Notes to Financial Statements.
26
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (97.5%)
AUSTRALIA -- (6.3%)
Australia & New Zealand Banking Group, Ltd.. 1,695,432 $ 35,799,738 1.2%
BHP Billiton, Ltd........................... 1,639,623 28,645,572 1.0%
# BHP Billiton, Ltd. Sponsored ADR............ 593,811 20,795,261 0.7%
Newcrest Mining, Ltd........................ 796,982 13,954,707 0.5%
Woodside Petroleum, Ltd..................... 864,632 18,508,302 0.6%
Other Securities............................ 72,045,452 2.3%
------------ ------
TOTAL AUSTRALIA................................. 189,749,032 6.3%
------------ ------
AUSTRIA -- (0.1%)
Other Securities............................ 3,375,685 0.1%
------------ ------
BELGIUM -- (1.4%)
Other Securities............................ 41,609,869 1.4%
------------ ------
CANADA -- (7.9%)
Bank of Montreal............................ 550,366 35,003,278 1.2%
Canadian Natural Resources, Ltd............. 505,767 16,037,872 0.5%
Suncor Energy, Inc.......................... 1,023,634 30,717,418 1.0%
Other Securities............................ 155,188,320 5.2%
------------ ------
TOTAL CANADA.................................... 236,946,888 7.9%
------------ ------
DENMARK -- (1.9%)
Vestas Wind Systems A.S..................... 248,599 19,916,717 0.6%
Other Securities............................ 37,132,172 1.3%
------------ ------
TOTAL DENMARK................................... 57,048,889 1.9%
------------ ------
FINLAND -- (0.8%)
Other Securities............................ 24,050,881 0.8%
------------ ------
FRANCE -- (9.5%)
BNP Paribas SA.............................. 488,045 28,298,438 0.9%
Cie de Saint-Gobain......................... 540,393 23,995,163 0.8%
Engie SA.................................... 1,220,619 17,603,422 0.6%
Orange SA................................... 1,778,494 27,982,211 0.9%
Renault SA.................................. 252,522 21,959,774 0.7%
Societe Generale SA......................... 590,348 23,028,001 0.8%
Total SA.................................... 1,335,488 63,976,420 2.1%
Other Securities............................ 79,048,113 2.7%
------------ ------
TOTAL FRANCE.................................... 285,891,542 9.5%
------------ ------
GERMANY -- (7.0%)
Allianz SE.................................. 217,369 33,932,220 1.1%
Bayerische Motoren Werke AG................. 291,133 25,400,030 0.8%
Daimler AG.................................. 739,542 52,760,385 1.8%
E.ON SE..................................... 2,644,329 19,379,904 0.6%
Other Securities............................ 79,470,561 2.7%
------------ ------
TOTAL GERMANY................................... 210,943,100 7.0%
------------ ------
HONG KONG -- (2.8%)
CK Hutchison Holdings, Ltd.................. 1,519,848 18,767,131 0.6%
Sun Hung Kai Properties, Ltd................ 949,434 14,138,138 0.5%
Other Securities............................ 50,886,545 1.7%
------------ ------
TOTAL HONG KONG................................. 83,791,814 2.8%
------------ ------
27
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
IRELAND -- (0.3%)
Other Securities...................... $ 9,235,151 0.3%
------------ ------
ISRAEL -- (0.4%)
Other Securities...................... 13,014,779 0.4%
------------ ------
ITALY -- (0.9%)
Other Securities...................... 26,597,250 0.9%
------------ ------
JAPAN -- (22.5%)
Hitachi, Ltd.......................... 3,457,000 18,428,895 0.6%
Honda Motor Co., Ltd.................. 1,200,200 35,911,909 1.2%
ITOCHU Corp........................... 1,171,200 14,790,725 0.5%
Mitsubishi UFJ Financial Group, Inc... 3,959,034 20,427,857 0.7%
Mizuho Financial Group, Inc........... 16,891,000 28,440,255 1.0%
Nissan Motor Co., Ltd................. 1,904,600 19,374,511 0.7%
Sumitomo Mitsui Financial Group, Inc.. 900,727 31,229,702 1.0%
Other Securities...................... 510,093,859 16.9%
------------ ------
TOTAL JAPAN............................... 678,697,713 22.6%
------------ ------
NETHERLANDS -- (3.2%)
ING Groep NV.......................... 1,774,374 23,292,227 0.8%
Koninklijke Ahold Delhaize NV......... 588,721 13,430,135 0.4%
Koninklijke DSM NV.................... 221,673 14,247,923 0.5%
Koninklijke Philips NV................ 599,067 18,051,186 0.6%
Other Securities...................... 27,727,978 0.9%
------------ ------
TOTAL NETHERLANDS......................... 96,749,449 3.2%
------------ ------
NEW ZEALAND -- (0.2%)
Other Securities...................... 4,701,474 0.2%
------------ ------
NORWAY -- (0.7%)
Other Securities...................... 20,214,348 0.7%
------------ ------
PORTUGAL -- (0.0%)
Other Securities...................... 1,297,966 0.1%
------------ ------
SINGAPORE -- (0.9%)
Other Securities...................... 26,744,921 0.9%
------------ ------
SPAIN -- (2.6%)
Banco Santander SA.................... 10,227,554 50,115,277 1.7%
Other Securities...................... 28,839,143 0.9%
------------ ------
TOTAL SPAIN............................... 78,954,420 2.6%
------------ ------
SWEDEN -- (2.3%)
Nordea Bank AB........................ 1,558,706 16,380,637 0.6%
Other Securities...................... 52,987,458 1.7%
------------ ------
TOTAL SWEDEN.............................. 69,368,095 2.3%
------------ ------
SWITZERLAND -- (8.1%)
ABB, Ltd.............................. 1,795,508 37,042,080 1.2%
Cie Financiere Richemont SA........... 432,894 27,830,702 0.9%
Novartis AG........................... 374,729 26,593,611 0.9%
Swiss Re AG........................... 347,731 32,273,509 1.1%
UBS Group AG.......................... 1,117,685 15,801,449 0.5%
Zurich Insurance Group AG............. 111,445 29,171,455 1.0%
Other Securities...................... 75,300,422 2.5%
------------ ------
TOTAL SWITZERLAND......................... 244,013,228 8.1%
------------ ------
28
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
UNITED KINGDOM -- (17.7%)
BP P.L.C. Sponsored ADR..................................... 3,379,207 $ 120,130,818 4.0%
* Glencore P.L.C.............................................. 10,231,265 31,318,984 1.0%
HSBC Holdings P.L.C......................................... 2,954,817 22,253,131 0.7%
HSBC Holdings P.L.C. Sponsored ADR.......................... 1,591,771 59,898,343 2.0%
Royal Dutch Shell P.L.C. Sponsored ADR, Class A............. 1,265,352 63,027,170 2.1%
# Royal Dutch Shell P.L.C. Sponsored ADR, Class B............. 1,146,218 59,958,664 2.0%
Vodafone Group P.L.C........................................ 23,523,365 64,602,795 2.2%
# Vodafone Group P.L.C. Sponsored ADR......................... 653,411 18,190,952 0.6%
Other Securities............................................ 95,960,074 3.2%
-------------- ------
TOTAL UNITED KINGDOM.............................................. 535,340,931 17.8%
-------------- ------
UNITED STATES -- (0.0%)
Other Securities............................................ 316,540 0.0%
-------------- ------
TOTAL COMMON STOCKS............................................... 2,938,653,965 97.8%
-------------- ------
PREFERRED STOCKS -- (0.9%)
GERMANY -- (0.9%)
Volkswagen AG............................................... 154,664 21,324,380 0.7%
Other Securities............................................ 6,483,602 0.3%
-------------- ------
TOTAL GERMANY..................................................... 27,807,982 1.0%
-------------- ------
TOTAL PREFERRED STOCKS............................................ 27,807,982 1.0%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
SPAIN -- (0.0%)
Other Securities............................................ 572,592 0.0%
-------------- ------
SWEDEN -- (0.0%)
Other Securities............................................ 55,925 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS............................................. 628,517 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES....................................... 2,967,090,464
--------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (1.6%)
(S)@ DFA Short Term Investment Fund.............................. 4,261,821 49,317,792 1.6%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,069,346,026)........................................... $3,016,408,256 100.4%
============== ======
29
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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................... $ 22,853,105 $ 166,895,927 -- $ 189,749,032
Austria..................... -- 3,375,685 -- 3,375,685
Belgium..................... -- 41,609,869 -- 41,609,869
Canada...................... 236,946,888 -- -- 236,946,888
Denmark..................... -- 57,048,889 -- 57,048,889
Finland..................... -- 24,050,881 -- 24,050,881
France...................... 8,384,224 277,507,318 -- 285,891,542
Germany..................... 19,649,606 191,293,494 -- 210,943,100
Hong Kong................... -- 83,791,814 -- 83,791,814
Ireland..................... 4,783,501 4,451,650 -- 9,235,151
Israel...................... 1,264,548 11,750,231 -- 13,014,779
Italy....................... 1,331,833 25,265,417 -- 26,597,250
Japan....................... 11,088,304 667,609,409 -- 678,697,713
Netherlands................. 8,886,874 87,862,575 -- 96,749,449
New Zealand................. -- 4,701,474 -- 4,701,474
Norway...................... 2,649,215 17,565,133 -- 20,214,348
Portugal.................... -- 1,297,966 -- 1,297,966
Singapore................... -- 26,744,921 -- 26,744,921
Spain....................... 9,922 78,944,498 -- 78,954,420
Sweden...................... -- 69,368,095 -- 69,368,095
Switzerland................. 3,402,505 240,610,723 -- 244,013,228
United Kingdom.............. 342,552,811 192,788,120 -- 535,340,931
United States............... -- 316,540 -- 316,540
Preferred Stocks
Germany..................... -- 27,807,982 -- 27,807,982
Rights/Warrants
Spain....................... -- 572,592 -- 572,592
Sweden...................... -- 55,925 -- 55,925
Securities Lending Collateral -- 49,317,792 -- 49,317,792
Futures Contracts**......... (799,793) -- -- (799,793)
------------ -------------- -- --------------
TOTAL......................... $663,003,543 $2,352,604,920 -- $3,015,608,463
============ ============== == ==============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note G)
See accompanying Notes to Financial Statements.
30
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (96.7%)
AUSTRALIA -- (4.8%)
Australia & New Zealand Banking Group, Ltd.......... 218,548 $ 4,614,730 0.2%
BHP Billiton, Ltd................................... 328,023 5,730,834 0.3%
Macquarie Group, Ltd................................ 70,545 4,264,414 0.2%
National Australia Bank, Ltd........................ 208,492 4,425,750 0.2%
Westpac Banking Corp................................ 208,931 4,831,516 0.2%
Woodside Petroleum, Ltd............................. 193,020 4,131,784 0.2%
Other Securities.................................... 89,760,672 3.6%
------------ ------
TOTAL AUSTRALIA......................................... 117,759,700 4.9%
------------ ------
AUSTRIA -- (0.4%)
Other Securities.................................... 10,780,844 0.5%
------------ ------
BELGIUM -- (1.1%)
Anheuser-Busch InBev SA............................. 45,871 5,264,605 0.2%
Other Securities.................................... 22,120,394 0.9%
------------ ------
TOTAL BELGIUM........................................... 27,384,999 1.1%
------------ ------
BRAZIL -- (1.6%)
Other Securities.................................... 39,038,642 1.6%
------------ ------
CANADA -- (6.3%)
Royal Bank of Canada................................ 69,446 4,338,986 0.2%
Suncor Energy, Inc.................................. 140,413 4,213,540 0.2%
Toronto-Dominion Bank (The)......................... 92,478 4,196,087 0.2%
Other Securities.................................... 141,853,503 5.8%
------------ ------
TOTAL CANADA............................................ 154,602,116 6.4%
------------ ------
CHILE -- (0.3%)
Other Securities.................................... 7,481,594 0.3%
------------ ------
CHINA -- (5.1%)
China Construction Bank Corp. Class H............... 10,006,200 7,306,995 0.3%
China Mobile, Ltd. Sponsored ADR.................... 73,952 4,247,063 0.2%
Industrial & Commercial Bank of China, Ltd. Class H. 10,068,460 6,043,486 0.3%
Tencent Holdings, Ltd............................... 150,500 3,988,599 0.2%
Other Securities.................................... 104,202,079 4.2%
------------ ------
TOTAL CHINA............................................. 125,788,222 5.2%
------------ ------
COLOMBIA -- (0.1%)
Other Securities.................................... 1,724,228 0.1%
------------ ------
CZECH REPUBLIC -- (0.0%)
Other Securities.................................... 574,663 0.0%
------------ ------
DENMARK -- (1.3%)
Other Securities.................................... 31,045,945 1.3%
------------ ------
EGYPT -- (0.0%)
Other Securities.................................... 170,921 0.0%
------------ ------
FINLAND -- (1.4%)
UPM-Kymmene Oyj..................................... 210,965 4,907,364 0.2%
Other Securities.................................... 28,132,155 1.2%
------------ ------
TOTAL FINLAND........................................... 33,039,519 1.4%
------------ ------
31
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
FRANCE -- (5.3%)
BNP Paribas SA........................... 65,207 $ 3,780,914 0.2%
Cie Generale des Etablissements Michelin. 36,347 3,936,672 0.2%
Orange SA................................ 252,114 3,966,675 0.2%
Total SA................................. 219,419 10,511,245 0.5%
Other Securities......................... 106,776,619 4.3%
------------ ------
TOTAL FRANCE................................. 128,972,125 5.4%
------------ ------
GERMANY -- (5.1%)
BASF SE.................................. 97,349 8,593,771 0.4%
Bayerische Motoren Werke AG.............. 57,820 5,044,532 0.2%
Daimler AG............................... 140,117 9,996,223 0.4%
Deutsche Telekom AG...................... 235,891 3,848,613 0.2%
Fresenius SE & Co. KGaA.................. 58,466 4,319,889 0.2%
Siemens AG............................... 43,047 4,890,886 0.2%
Other Securities......................... 87,679,341 3.6%
------------ ------
TOTAL GERMANY................................ 124,373,255 5.2%
------------ ------
GREECE -- (0.1%)
Other Securities......................... 1,927,209 0.1%
------------ ------
HONG KONG -- (2.3%)
AIA Group, Ltd........................... 729,000 4,586,140 0.2%
Other Securities......................... 51,308,641 2.1%
------------ ------
TOTAL HONG KONG.............................. 55,894,781 2.3%
------------ ------
HUNGARY -- (0.1%)
Other Securities......................... 1,921,581 0.1%
------------ ------
INDIA -- (2.6%)
Other Securities......................... 64,782,698 2.7%
------------ ------
INDONESIA -- (0.7%)
Other Securities......................... 16,538,589 0.7%
------------ ------
IRELAND -- (0.4%)
Other Securities......................... 8,691,386 0.4%
------------ ------
ISRAEL -- (0.5%)
Other Securities......................... 11,927,814 0.5%
------------ ------
ITALY -- (1.7%)
Other Securities......................... 42,574,781 1.8%
------------ ------
JAPAN -- (18.2%)
Hitachi, Ltd............................. 727,000 3,875,559 0.2%
Honda Motor Co., Ltd..................... 146,500 4,383,515 0.2%
NTT DOCOMO, Inc.......................... 149,700 3,759,563 0.2%
Sumitomo Mitsui Financial Group, Inc..... 110,183 3,820,228 0.2%
Toyota Motor Corp........................ 163,873 9,505,734 0.4%
Toyota Motor Corp. Sponsored ADR......... 41,028 4,745,298 0.2%
Other Securities......................... 414,354,889 17.1%
------------ ------
TOTAL JAPAN.................................. 444,444,786 18.5%
------------ ------
MALAYSIA -- (0.7%)
Other Securities......................... 17,345,827 0.7%
------------ ------
32
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
MEXICO -- (1.1%)
Other Securities.................. $25,728,392 1.1%
----------- ------
NETHERLANDS -- (2.1%)
Koninklijke Ahold Delhaize NV..... 233,772 5,332,900 0.2%
Koninklijke DSM NV................ 65,323 4,198,604 0.2%
Other Securities.................. 40,718,167 1.7%
----------- ------
TOTAL NETHERLANDS..................... 50,249,671 2.1%
----------- ------
NEW ZEALAND -- (0.4%)
Other Securities.................. 10,085,145 0.4%
----------- ------
NORWAY -- (0.7%)
Other Securities.................. 15,833,706 0.7%
----------- ------
PERU -- (0.0%)
Other Securities.................. 594,218 0.0%
----------- ------
PHILIPPINES -- (0.3%)
Other Securities.................. 8,067,896 0.3%
----------- ------
POLAND -- (0.3%)
Other Securities.................. 7,779,196 0.3%
----------- ------
PORTUGAL -- (0.2%)
Other Securities.................. 5,049,721 0.2%
----------- ------
RUSSIA -- (0.3%)
Other Securities.................. 7,020,964 0.3%
----------- ------
SINGAPORE -- (0.8%)
Other Securities.................. 19,863,621 0.8%
----------- ------
SOUTH AFRICA -- (1.8%)
Other Securities.................. 44,959,560 1.9%
----------- ------
SOUTH KOREA -- (4.0%)
Samsung Electronics Co., Ltd...... 5,671 8,111,379 0.4%
Samsung Electronics Co., Ltd. GDR. 8,033 5,651,305 0.3%
Other Securities.................. 84,836,910 3.4%
----------- ------
TOTAL SOUTH KOREA..................... 98,599,594 4.1%
----------- ------
SPAIN -- (1.8%)
Banco Santander SA................ 889,571 4,358,921 0.2%
Other Securities.................. 39,399,209 1.6%
----------- ------
TOTAL SPAIN........................... 43,758,130 1.8%
----------- ------
SWEDEN -- (2.1%)
Other Securities.................. 51,690,776 2.1%
----------- ------
SWITZERLAND -- (4.9%)
ABB, Ltd.......................... 219,337 4,525,014 0.2%
Nestle SA......................... 261,736 18,979,490 0.8%
Novartis AG Sponsored ADR......... 117,451 8,341,370 0.4%
Roche Holding AG.................. 19,398 4,455,363 0.2%
Syngenta AG....................... 10,331 4,134,114 0.2%
33
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
SWITZERLAND -- (Continued)
Other Securities................................ $ 80,501,915 3.2%
-------------- ------
TOTAL SWITZERLAND................................... 120,937,266 5.0%
-------------- ------
TAIWAN -- (3.7%)
Other Securities................................ 89,363,692 3.7%
-------------- ------
THAILAND -- (0.6%)
Other Securities................................ 15,569,158 0.6%
-------------- ------
TURKEY -- (0.3%)
Other Securities................................ 8,084,690 0.3%
-------------- ------
UNITED KINGDOM -- (11.2%)
BP P.L.C. Sponsored ADR......................... 463,297 16,470,211 0.7%
HSBC Holdings P.L.C. Sponsored ADR.............. 139,986 5,267,673 0.2%
Rio Tinto P.L.C. Sponsored ADR.................. 112,860 3,933,171 0.2%
Royal Dutch Shell P.L.C. Class A................ 161,511 4,022,751 0.2%
Royal Dutch Shell P.L.C. Sponsored ADR, Class A. 165,003 8,218,786 0.4%
# Royal Dutch Shell P.L.C. Sponsored ADR, Class B. 149,242 7,806,849 0.3%
Vodafone Group P.L.C. Sponsored ADR............. 137,812 3,836,699 0.2%
Other Securities................................ 224,802,115 9.2%
-------------- ------
TOTAL UNITED KINGDOM................................ 274,358,255 11.4%
-------------- ------
UNITED STATES -- (0.0%)
Other Securities................................ 413,534 0.0%
-------------- ------
TOTAL COMMON STOCKS................................. 2,366,793,410 98.3%
-------------- ------
PREFERRED STOCKS -- (0.9%)
BRAZIL -- (0.6%)
Itau Unibanco Holding SA........................ 311,792 3,750,882 0.2%
Other Securities................................ 11,245,482 0.5%
-------------- ------
TOTAL BRAZIL........................................ 14,996,364 0.7%
-------------- ------
CHILE -- (0.0%)
Other Securities................................ 72,567 0.0%
-------------- ------
COLOMBIA -- (0.0%)
Other Securities................................ 299,061 0.0%
-------------- ------
GERMANY -- (0.3%)
Other Securities................................ 7,633,211 0.3%
-------------- ------
SOUTH KOREA -- (0.0%)
Other Securities................................ 70,513 0.0%
-------------- ------
UNITED KINGDOM -- (0.0%)
Other Securities................................ 1,422 0.0%
-------------- ------
TOTAL PREFERRED STOCKS.............................. 23,073,138 1.0%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities................................ 10,450 0.0%
-------------- ------
BRAZIL -- (0.0%)
Other Securities................................ 40 0.0%
-------------- ------
34
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
CHINA -- (0.0%)
Other Securities............... $ 702 0.0%
-------------- ------
HONG KONG -- (0.0%)
Other Securities............... 150 0.0%
-------------- ------
INDIA -- (0.0%)
Other Securities............... 17,745 0.0%
-------------- ------
SOUTH KOREA -- (0.0%)
Other Securities............... 63,806 0.0%
-------------- ------
SPAIN -- (0.0%)
Other Securities............... 62,993 0.0%
-------------- ------
SWEDEN -- (0.0%)
Other Securities............... 37,597 0.0%
-------------- ------
TAIWAN -- (0.0%)
Other Securities............... 383 0.0%
-------------- ------
UNITED KINGDOM -- (0.0%)
Other Securities............... 176,859 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS................ 370,725 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES.......... 2,390,237,273
--------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (2.4%)
(S)@ DFA Short Term Investment Fund. 5,029,975 58,206,865 2.4%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,211,078,246)............ $2,448,444,138 101.7%
============== ======
Summary of the Portfolio's investments as of October 31, 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...... $ 2,180,342 $115,579,358 -- $117,759,700
Austria........ -- 10,780,844 -- 10,780,844
Belgium........ 6,850,976 20,534,023 -- 27,384,999
Brazil......... 39,038,642 -- -- 39,038,642
Canada......... 154,574,334 27,782 -- 154,602,116
Chile.......... 2,507,911 4,973,683 -- 7,481,594
China.......... 11,381,746 114,406,476 -- 125,788,222
Colombia....... 1,724,228 -- -- 1,724,228
Czech Republic. -- 574,663 -- 574,663
Denmark........ 739,943 30,306,002 -- 31,045,945
Egypt.......... -- 170,921 -- 170,921
Finland........ 52,500 32,987,019 -- 33,039,519
France......... 3,133,552 125,838,573 -- 128,972,125
Germany........ 5,870,160 118,503,095 -- 124,373,255
Greece......... -- 1,927,209 -- 1,927,209
Hong Kong...... 330,970 55,563,811 -- 55,894,781
35
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
--------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------------ -------------- ------- --------------
Common Stocks (Continued)
Hungary..................... $ 34,385 $ 1,887,196 -- $ 1,921,581
India....................... 2,108,500 62,674,198 -- 64,782,698
Indonesia................... 415,040 16,123,549 -- 16,538,589
Ireland..................... 2,224,727 6,466,659 -- 8,691,386
Israel...................... 3,755,367 8,172,447 -- 11,927,814
Italy....................... 1,540,331 41,034,450 -- 42,574,781
Japan....................... 14,941,034 429,503,752 -- 444,444,786
Malaysia.................... -- 17,345,827 -- 17,345,827
Mexico...................... 25,728,392 -- -- 25,728,392
Netherlands................. 9,525,279 40,724,392 -- 50,249,671
New Zealand................. 94,976 9,990,169 -- 10,085,145
Norway...................... 1,065,809 14,767,897 -- 15,833,706
Peru........................ 594,218 -- -- 594,218
Philippines................. 96,004 7,971,892 -- 8,067,896
Poland...................... -- 7,779,196 -- 7,779,196
Portugal.................... -- 5,049,721 -- 5,049,721
Russia...................... 527,824 6,493,140 -- 7,020,964
Singapore................... 169 19,863,452 -- 19,863,621
South Africa................ 6,373,762 38,585,798 -- 44,959,560
South Korea................. 5,291,198 93,308,396 -- 98,599,594
Spain....................... 3,504,579 40,253,551 -- 43,758,130
Sweden...................... 440,735 51,250,041 -- 51,690,776
Switzerland................. 13,948,167 106,989,099 -- 120,937,266
Taiwan...................... 4,070,095 85,293,597 -- 89,363,692
Thailand.................... 15,565,966 3,192 -- 15,569,158
Turkey...................... 73,439 8,011,251 -- 8,084,690
United Kingdom.............. 69,366,519 204,991,736 -- 274,358,255
United States............... 190,012 223,522 -- 413,534
Preferred Stocks
Brazil...................... 14,996,364 -- -- 14,996,364
Chile....................... -- 72,567 -- 72,567
Colombia.................... 299,061 -- -- 299,061
Germany..................... -- 7,633,211 -- 7,633,211
South Korea................. 70,513 -- -- 70,513
United Kingdom.............. -- 1,422 -- 1,422
Rights/Warrants
Australia................... -- 10,450 -- 10,450
Brazil...................... -- 40 -- 40
China....................... -- 702 -- 702
Hong Kong................... -- 150 -- 150
India....................... -- 17,745 -- 17,745
South Korea................. -- 63,806 -- 63,806
Spain....................... -- 62,993 -- 62,993
Sweden...................... -- 37,597 -- 37,597
Taiwan...................... -- 383 -- 383
United Kingdom.............. -- 176,859 -- 176,859
Securities Lending Collateral. -- 58,206,865 -- 58,206,865
------------ -------------- -- --------------
TOTAL......................... $425,227,769 $2,023,216,369 -- $2,448,444,138
============ ============== == ==============
See accompanying Notes to Financial Statements.
36
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2016
(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....... $ 4,013,723 -- -- --
Investments at Value (including $0, $283,054, $591,089
and $507,052 of securities on loan, respectively).......... -- $ 2,612,765 $ 3,757,596 $ 2,293,490
Temporary Cash Investments at Value & Cost.................. -- 22,381 12,957 2,228
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $0, $235,714, $532,372 and
$462,913).................................................. -- 235,747 532,461 462,987
Segregated Cash for Futures Contracts....................... -- 788 -- --
Receivables:
Investment Securities/Affiliated Investment Company
Sold..................................................... -- 44 18,102 1,906
Dividends, Interest and Tax Reclaims...................... -- 2,851 1,197 681
Securities Lending Income................................. -- 77 192 199
Fund Shares Sold.......................................... 999 736 1,075 708
Prepaid Expenses and Other Assets........................... 30 24 40 29
------------ ------------ ------------ ------------
Total Assets........................................... 4,014,752 2,875,413 4,323,620 2,762,228
------------ ------------ ------------ ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......................... -- 235,709 532,362 462,911
Investment Securities/Affiliated Investment Company
Purchased................................................ -- 1,515 15,318 769
Fund Shares Redeemed...................................... 1,609 1,050 1,015 703
Due to Advisor............................................ 515 462 1,368 991
Futures Margin Variation.................................. -- 32 -- --
Accrued Expenses and Other Liabilities...................... 153 206 255 160
------------ ------------ ------------ ------------
Total Liabilities...................................... 2,277 238,974 550,318 465,534
------------ ------------ ------------ ------------
NET ASSETS.................................................. $ 4,012,475 $ 2,636,439 $ 3,773,302 $ 2,296,694
============ ============ ============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)..................... 155,609,784 114,978,806 119,917,763 63,620,552
============ ============ ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE............................................ $ 25.79 $ 22.93 $ 31.47 $ 36.10
============ ============ ============ ============
Investments in Affiliated Investment Company at Cost........ $ 2,466,428 $ -- $ -- $ --
============ ============ ============ ============
Investments at Cost......................................... $ -- $ 1,413,445 $ 2,447,063 $ 1,406,558
============ ============ ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 2,358,701 $ 1,666,478 $ 2,336,344 $ 1,356,777
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... 5,630 4,408 586 547
Accumulated Net Realized Gain (Loss)........................ 100,849 (233,293) 125,750 52,364
Net Unrealized Appreciation (Depreciation).................. 1,547,295 1,198,846 1,310,622 887,006
------------ ------------ ------------ ------------
NET ASSETS.................................................. $ 4,012,475 $ 2,636,439 $ 3,773,302 $ 2,296,694
============ ============ ============ ============
(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.
37
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2016
(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 $832,384, $44,965 and $73,382 of
securities on loan, respectively)........................................... $ 6,200,747 $ 2,967,090 $ 2,390,237
Temporary Cash Investments at Value & Cost................................... 16,066 -- --
Collateral from Securities on Loan Invested in Affiliate at Value (including
cost of $706,103, $49,312 and $58,200)...................................... 706,220 49,318 58,207
Segregated Cash for Futures Contracts........................................ -- 1,179 --
Foreign Currencies at Value.................................................. -- 20,972 5,178
Cash......................................................................... -- 6,842 6,553
Receivables:
Investment Securities Sold................................................. 4,621 3,969 87
Dividends, Interest and Tax Reclaims....................................... 5,748 11,893 6,167
Securities Lending Income.................................................. 263 32 186
Fund Shares Sold........................................................... 3,403 1,044 914
Prepaid Expenses and Other Assets............................................ 49 50 28
-------------- ------------ ------------
Total Assets............................................................ 6,937,117 3,062,389 2,467,557
-------------- ------------ ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned........................................... 706,094 49,311 58,199
Investment Securities Purchased............................................ 8,351 3,640 135
Fund Shares Redeemed....................................................... 1,863 2,888 833
Due to Advisor............................................................. 1,170 1,262 818
Futures Margin Variation................................................... -- 22 --
Unrealized Loss on Foreign Currency Contracts................................ -- 19 --
Accrued Expenses and Other Liabilities....................................... 367 222 224
-------------- ------------ ------------
Total Liabilities....................................................... 717,845 57,364 60,209
-------------- ------------ ------------
NET ASSETS................................................................... $ 6,219,272 $ 3,005,025 $ 2,407,348
============== ============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)...................................... 434,006,014 224,785,728 256,557,633
============== ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE....................................................................... $ 14.33 $ 13.37 $ 9.38
============== ============ ============
Investments at Cost.......................................................... $ 4,016,294 $ 3,020,034 $ 2,152,879
============== ============ ============
Foreign Currencies at Cost................................................... $ -- $ 20,965 $ 5,183
============== ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital.............................................................. $ 4,026,475 $ 3,158,904 $ 2,219,492
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income).......................................................... 9,703 7,613 6,348
Accumulated Net Realized Gain (Loss)......................................... (1,476) (107,379) (55,685)
Net Unrealized Foreign Exchange Gain (Loss).................................. -- (382) (167)
Net Unrealized Appreciation (Depreciation)................................... 2,184,570 (53,731) 237,360
-------------- ------------ ------------
NET ASSETS................................................................... $ 6,219,272 $ 3,005,025 $ 2,407,348
============== ============ ============
(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.
38
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2016
(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 $3, $0, $0 and
$0, respectively)............................................ $ 86,602 -- -- --
Interest...................................................... 101 -- -- --
Income from Securities Lending................................ 658 -- -- --
Expenses Allocated from Affiliated Investment Company......... (8,160) -- -- --
--------- -------- -------- -------
Total Net Investment Income Received from Affiliated
Investment Company.......................................... 79,201 -- -- --
--------- -------- -------- -------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0, $4, $17 and
$6, respectively).............................................. -- $ 52,123 $ 55,180 $31,185
Income from Securities Lending.................................. -- 966 2,734 2,787
--------- -------- -------- -------
Total Investment Income...................................... -- 53,089 57,914 33,972
--------- -------- -------- -------
FUND EXPENSES
Investment Management Fees...................................... 13,492 5,087 15,117 10,926
Accounting & Transfer Agent Fees................................ 26 142 201 124
Custodian Fees.................................................. -- 16 35 13
Filing Fees..................................................... 88 66 121 70
Shareholders' Reports........................................... 81 44 75 53
Directors'/Trustees' Fees & Expenses............................ 27 18 25 15
Professional Fees............................................... 12 53 74 46
Other........................................................... 23 87 121 76
--------- -------- -------- -------
Total Expenses............................................... 13,749 5,513 15,769 11,323
--------- -------- -------- -------
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor (Note C)...................... (7,710) 82 -- --
--------- -------- -------- -------
Net Expenses.................................................... 6,039 5,595 15,769 11,323
--------- -------- -------- -------
NET INVESTMENT INCOME (LOSS).................................... 73,162 47,494 42,145 22,649
--------- -------- -------- -------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**.................................. 137,584 88,808 126,974 54,458
Futures....................................................... 4,341 1,284 4,185 259
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities......................................... (108,432) (30,585) (81,804) 9,515
Futures....................................................... -- (507) -- --
--------- -------- -------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS)......................... 33,493 59,000 49,355 64,232
--------- -------- -------- -------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS....................................................... $ 106,655 $106,494 $ 91,500 $86,881
========= ======== ======== =======
----------
* Investment Income and Realized and Unrealized Gain (Loss) were allocated from
the Portfolio's Master Fund (Affiliated Investment Company).
**Net of foreign capital gain taxes withheld of $0, $0, $0, and $0,
respectively.
See accompanying Notes to Financial Statements.
39
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2016
(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 $19, $8,797 and $6,201,
respectively)....................................................... $115,690 $ 106,385 $ 64,033
Income from Securities Lending....................................... 3,548 1,495 2,253
-------- --------- --------
Total Investment Income........................................... 119,238 107,880 66,286
-------- --------- --------
FUND EXPENSES
Investment Management Fees........................................... 12,731 14,022 8,772
Accounting & Transfer Agent Fees..................................... 321 167 134
Custodian Fees....................................................... 48 267 537
Filing Fees.......................................................... 211 165 137
Shareholders' Reports................................................ 85 79 53
Directors'/Trustees' Fees & Expenses................................. 40 20 15
Professional Fees.................................................... 115 109 140
Other................................................................ 187 135 122
-------- --------- --------
Total Expenses.................................................... 13,738 14,964 9,910
-------- --------- --------
Fees Paid Indirectly (Note C)........................................ -- (64) (27)
-------- --------- --------
Net Expenses......................................................... 13,738 14,900 9,883
-------- --------- --------
NET INVESTMENT INCOME (LOSS)......................................... 105,500 92,980 56,403
-------- --------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold *....................................... (4,863) (82,213) (25,607)
Futures............................................................ 5,040 2,620 --
Foreign Currency Transactions...................................... -- 434 344
Forward Currency Contracts......................................... -- (20) 6
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency......................... 119,407 (19,773) 50,075
Futures............................................................ -- (800) --
Translation of Foreign Currency Denominated Amounts................ -- (301) (113)
-------- --------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS).............................. 119,584 (100,053) 24,705
-------- --------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........ $225,084 $ (7,073) $ 81,108
======== ========= ========
----------
* Net of foreign capital gain taxes withheld of $0, $0, and $1, Respectively.
See accompanying Notes to Financial Statements.
40
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
TAX-MANAGED U.S. TAX-MANAGED U.S. EQUITY TAX-MANAGED U.S. TARGETED
MARKETWIDE VALUE PORTFOLIO PORTFOLIO VALUE PORTFOLIO
-------------------------- ---------------------- ------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2016 2015 2016 2015
---------- ---------- ---------- ---------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)........ $ 73,162 $ 62,974 $ 47,494 $ 43,201 $ 42,145 $ 43,342
Net Realized Gain (Loss) on:
Investment Securities Sold/
Affiliated Investment
Company Sold*..................... 137,584 62,518 88,808 42,709 126,974 135,620
Futures............................ 4,341 -- 1,284 -- 4,185 (2,054)
Change in Unrealized
Appreciation (Depreciation) of:
Investment Securities/Affiliated
Investment Company................ (108,432) (23,233) (30,585) 20,870 (81,804) (114,884)
Futures............................ -- -- (507) -- -- --
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in
Net Assets Resulting
from Operations.................. 106,655 102,259 106,494 106,780 91,500 62,024
---------- ---------- ---------- ---------- ---------- ----------
Distributions From:
Net Investment Income............... (72,925) (60,761) (48,479) (42,330) (43,827) (40,745)
Net Short-Term Gains................ -- -- -- -- -- (76)
Net Long-Term Gains................. -- -- -- -- (128,578) (125,781)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions............... (72,925) (60,761) (48,479) (42,330) (172,405) (166,602)
---------- ---------- ---------- ---------- ---------- ----------
Capital Share Transactions (1):
Shares Issued....................... 604,274 548,871 373,342 326,467 699,094 498,985
Shares Issued in Lieu of Cash
Distributions...................... 71,818 59,551 46,609 39,973 170,363 164,498
Shares Redeemed..................... (558,218) (453,223) (335,680) (248,188) (685,722) (460,740)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease)
from Capital Share
Transactions..................... 117,874 155,199 84,271 118,252 183,735 202,743
---------- ---------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in
Net Assets....................... 151,604 196,697 142,286 182,702 102,830 98,165
NET ASSETS
Beginning of Year................... 3,860,871 3,664,174 2,494,153 2,311,451 3,670,472 3,572,307
---------- ---------- ---------- ---------- ---------- ----------
End of Year......................... $4,012,475 $3,860,871 $2,636,439 $2,494,153 $3,773,302 $3,670,472
========== ========== ========== ========== ========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued....................... 24,749 21,617 17,067 14,775 24,009 15,381
Shares Issued in Lieu of Cash
Distributions...................... 2,864 2,373 2,081 1,830 5,626 5,326
Shares Redeemed..................... (22,805) (17,856) (15,202) (11,187) (23,205) (14,363)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease)
from Shares Issued and
Redeemed......................... 4,808 6,134 3,946 5,418 6,430 6,344
========== ========== ========== ========== ========== ==========
UNDISTRIBUTED NET INVESTMENT
INCOME (DISTRIBUTIONS IN
EXCESS OF NET INVESTMENT
INCOME).............................. $ 5,630 $ 7,827 $ 4,408 $ 5,563 $ 586 $ 3,851
TAX-MANAGED U.S. SMALL
CAP PORTFOLIO
----------------------
YEAR YEAR
ENDED ENDED
OCT. 31, OCT. 31,
2016 2015
---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)........ $ 22,649 $ 20,857
Net Realized Gain (Loss) on:
Investment Securities Sold/
Affiliated Investment
Company Sold*..................... 54,458 98,224
Futures............................ 259 (328)
Change in Unrealized
Appreciation (Depreciation) of:
Investment Securities/Affiliated
Investment Company................ 9,515 (72,674)
Futures............................ -- --
---------- ----------
Net Increase (Decrease) in
Net Assets Resulting
from Operations.................. 86,881 46,079
---------- ----------
Distributions From:
Net Investment Income............... (22,742) (19,869)
Net Short-Term Gains................ -- --
Net Long-Term Gains................. (94,181) (38,979)
---------- ----------
Total Distributions............... (116,923) (58,848)
---------- ----------
Capital Share Transactions (1):
Shares Issued....................... 416,890 310,541
Shares Issued in Lieu of Cash
Distributions...................... 114,492 57,581
Shares Redeemed..................... (394,954) (257,603)
---------- ----------
Net Increase (Decrease)
from Capital Share
Transactions..................... 136,428 110,519
---------- ----------
Total Increase (Decrease) in
Net Assets....................... 106,386 97,750
NET ASSETS
Beginning of Year................... 2,190,308 2,092,558
---------- ----------
End of Year......................... $2,296,694 $2,190,308
========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued....................... 12,370 8,383
Shares Issued in Lieu of Cash
Distributions...................... 3,318 1,619
Shares Redeemed..................... (11,643) (6,992)
---------- ----------
Net Increase (Decrease)
from Shares Issued and
Redeemed......................... 4,045 3,010
========== ==========
UNDISTRIBUTED NET INVESTMENT
INCOME (DISTRIBUTIONS IN
EXCESS OF NET INVESTMENT
INCOME).............................. $ 547 $ 1,473
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0, $0, $0 and
$0, respectively.
See accompanying Notes to Financial Statements.
41
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
T.A. U.S. CORE EQUITY 2 TAX-MANAGED DFA T.A. WORLD EX U.S. CORE
PORTFOLIO INTERNATIONAL VALUE PORTFOLIO EQUITY PORTFOLIO
----------------------- ---------------------------- ----------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2016 2015 2016 2015
----------- ---------- ----------- ---------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)............ $ 105,500 $ 88,750 $ 92,980 $ 92,671 $ 56,403 $ 51,365
Net Realized Gain (Loss) on:
Investment Securities Sold............ (4,863) (24) (82,213) (21,424) (25,607) (19,292)
Futures............................... 5,040 -- 2,620 -- -- --
Foreign Currency Transactions......... -- -- 434 (2,134) 344 (877)
Forward Currency Contracts............ -- -- (20) -- 6 --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................. 119,407 16,434 (19,773) (256,082) 50,075 (129,015)
Futures............................... -- -- (800) -- -- --
Translation of Foreign Currency
Denominated Amounts.................. -- -- (301) 202 (113) 68
----------- ---------- ----------- ---------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.......................... 225,084 105,160 (7,073) (186,767) 81,108 (97,751)
----------- ---------- ----------- ---------- ---------- ----------
Distributions From:
Net Investment Income................... (104,283) (85,159) (92,814) (85,979) (56,154) (50,580)
Net Long-Term Gains..................... (166) (65,625) -- (2,413) -- --
----------- ---------- ----------- ---------- ---------- ----------
Total Distributions.................. (104,449) (150,784) (92,814) (88,392) (56,154) (50,580)
----------- ---------- ----------- ---------- ---------- ----------
Capital Share Transactions (1):
Shares Issued........................... 1,468,327 1,219,843 1,176,415 951,472 917,900 839,761
Shares Issued in Lieu of Cash
Distributions.......................... 103,804 150,133 91,799 87,115 55,965 50,399
Shares Redeemed......................... (1,022,647) (831,410) (1,158,233) (745,754) (715,784) (613,016)
----------- ---------- ----------- ---------- ---------- ----------
Net Increase (Decrease) from
Capital Share Transactions.......... 549,484 538,566 109,981 292,833 258,081 277,144
----------- ---------- ----------- ---------- ---------- ----------
Total Increase (Decrease) in Net
Assets.............................. 670,119 492,942 10,094 17,674 283,035 128,813
NET ASSETS
Beginning of Year....................... 5,549,153 5,056,211 2,994,931 2,977,257 2,124,313 1,995,500
----------- ---------- ----------- ---------- ---------- ----------
End of Year............................. $ 6,219,272 $5,549,153 $ 3,005,025 $2,994,931 $2,407,348 $2,124,313
=========== ========== =========== ========== ========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................... 108,691 86,397 94,213 66,366 104,147 87,442
Shares Issued in Lieu of Cash
Distributions.......................... 7,436 10,899 7,334 5,863 6,257 5,244
Shares Redeemed......................... (75,853) (59,495) (92,625) (52,624) (82,262) (65,047)
----------- ---------- ----------- ---------- ---------- ----------
Net Increase (Decrease) from
Shares Issued and
Redeemed............................ 40,274 37,801 8,922 19,605 28,142 27,639
=========== ========== =========== ========== ========== ==========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)....................... $ 9,703 $ 10,700 $ 7,613 $ 10,536 $ 6,348 $ 6,297
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $1, and $0,
Respectively.
See accompanying Notes to Financial Statements.
42
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO
----------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year................ $ 25.60 $ 25.33 $ 22.35 $ 16.76 $ 14.42
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................ 0.47 0.43 0.35 0.32 0.28
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... 0.19 0.25 2.98 5.60 2.33
---------- ---------- ---------- ---------- ----------
Total from Investment Operations............... 0.66 0.68 3.33 5.92 2.61
------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................... (0.47) (0.41) (0.35) (0.33) (0.27)
---------- ---------- ---------- ---------- ----------
Total Distributions............................ (0.47) (0.41) (0.35) (0.33) (0.27)
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year...................... $ 25.79 $ 25.60 $ 25.33 $ 22.35 $ 16.76
================================================= ========== ========== ========== ========== ==========
Total Return...................................... 2.66% 2.73% 14.98% 35.71% 18.34%
------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)............... $4,012,475 $3,860,871 $3,664,174 $3,110,436 $2,345,296
Ratio of Expenses to Average Net Assets........... 0.37%(B) 0.37%(B) 0.37%(B) 0.37%(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) 0.43%(B) 0.37%(B) 0.37%(B) 0.38%(B)
Ratio of Net Investment Income to Average Net
Assets........................................... 1.90% 1.65% 1.45% 1.66% 1.83%
Portfolio Turnover Rate........................... N/A N/A N/A N/A N/A
------------------------------------------------------------------------------------------------------------------------------
TAX-MANAGED U.S. EQUITY PORTFOLIO
----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
--------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year................ $ 22.46 $ 21.89 $ 19.20 $ 15.16 $ 13.48
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................ 0.42 0.40 0.34 0.32 0.27
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... 0.48 0.56 2.69 4.05 1.67
---------- ---------- ---------- ---------- ----------
Total from Investment Operations............... 0.90 0.96 3.03 4.37 1.94
--------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................... (0.43) (0.39) (0.34) (0.33) (0.26)
---------- ---------- ---------- ---------- ----------
Total Distributions............................ (0.43) (0.39) (0.34) (0.33) (0.26)
--------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year...................... $ 22.93 $ 22.46 $ 21.89 $ 19.20 $ 15.16
================================================= ========== ========== ========== ========== ==========
Total Return...................................... 4.05% 4.47% 15.89% 29.15% 14.57%
--------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)............... $2,636,439 $2,494,153 $2,311,451 $1,991,461 $1,522,411
Ratio of Expenses to Average Net Assets........... 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% 0.22% 0.22% 0.22% 0.22%
Ratio of Net Investment Income to Average Net
Assets........................................... 1.87% 1.79% 1.66% 1.89% 1.87%
Portfolio Turnover Rate........................... 4% 1% 2% 3% 7%
--------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
43
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO
----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year........................... $ 32.34 $ 33.34 $ 31.06 $ 22.89 $ 20.02
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.36 0.39 0.26 0.33 0.21
Net Gains (Losses) on Securities (Realized and Unrealized). 0.28 0.16 3.11 8.69 2.85
---------- ---------- ---------- ---------- ----------
Total from Investment Operations.......................... 0.64 0.55 3.37 9.02 3.06
--------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.37) (0.37) (0.27) (0.34) (0.19)
Net Realized Gains......................................... (1.14) (1.18) (0.82) (0.51) --
---------- ---------- ---------- ---------- ----------
Total Distributions....................................... (1.51) (1.55) (1.09) (0.85) (0.19)
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................. $ 31.47 $ 32.34 $ 33.34 $ 31.06 $ 22.89
============================================================= ========== ========== ========== ========== ==========
Total Return................................................. 2.21% 1.89% 11.10% 40.60% 15.39%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $3,773,302 $3,670,472 $3,572,307 $3,201,053 $2,378,567
Ratio of Expenses to Average Net Assets...................... 0.44% 0.44% 0.43% 0.44% 0.44%
Ratio of Net Investment Income to Average Net Assets......... 1.17% 1.19% 0.80% 1.24% 0.98%
Portfolio Turnover Rate...................................... 20% 14% 7% 6% 12%
--------------------------------------------------------------------------------------------------------------------------
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,
2016 2015 2014 2013 2012
-------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year........................... $ 36.77 $ 36.99 $ 34.31 $ 24.93 $ 22.07
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.36 0.36 0.25 0.35 0.21
Net Gains (Losses) on Securities (Realized and Unrealized). 0.92 0.45 2.69 9.40 2.85
---------- ---------- ---------- ---------- ----------
Total from Investment Operations.......................... 1.28 0.81 2.94 9.75 3.06
-------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.37) (0.34) (0.26) (0.37) (0.20)
Net Realized Gains......................................... (1.58) (0.69) -- -- --
---------- ---------- ---------- ---------- ----------
Total Distributions....................................... (1.95) (1.03) (0.26) (0.37) (0.20)
-------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................. $ 36.10 $ 36.77 $ 36.99 $ 34.31 $ 24.93
============================================================= ========== ========== ========== ========== ==========
Total Return................................................. 3.75% 2.31% 8.58% 39.55% 13.95%
-------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $2,296,694 $2,190,308 $2,092,558 $1,872,935 $1,331,266
Ratio of Expenses to Average Net Assets...................... 0.52% 0.52% 0.52% 0.52% 0.53%
Ratio of Net Investment Income to Average Net Assets......... 1.04% 0.96% 0.70% 1.20% 0.90%
Portfolio Turnover Rate...................................... 10% 8% 7% 7% 17%
-------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
44
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
T.A. U.S. CORE EQUITY 2 PORTFOLIO
----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year................................ $ 14.09 $ 14.21 $ 12.78 $ 9.75 $ 8.63
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................ 0.25 0.24 0.20 0.19 0.16
Net Gains (Losses) on Securities (Realized and Unrealized)...... 0.24 0.05 1.55 3.04 1.11
---------- ---------- ---------- ---------- ----------
Total from Investment Operations............................... 0.49 0.29 1.75 3.23 1.27
-------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................................... (0.25) (0.23) (0.20) (0.19) (0.15)
Net Realized Gains.............................................. -- (0.18) (0.12) (0.01) --
---------- ---------- ---------- ---------- ----------
Total Distributions............................................ (0.25) (0.41) (0.32) (0.20) (0.15)
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year...................................... $ 14.33 $ 14.09 $ 14.21 $ 12.78 $ 9.75
================================================================== ========== ========== ========== ========== ==========
Total Return...................................................... 3.55% 2.14% 13.88% 33.58% 14.82%
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)............................... $6,219,272 $5,549,153 $5,056,211 $4,103,753 $2,853,234
Ratio of Expenses to Average Net Assets........................... 0.24% 0.24% 0.24% 0.24% 0.24%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived),
(Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor and Fees Paid Indirectly)................... 0.24% 0.24% 0.24% 0.24% 0.24%
Ratio of Net Investment Income to Average Net Assets.............. 1.82% 1.65% 1.51% 1.72% 1.71%
Portfolio Turnover Rate........................................... 7% 7% 7% 2% 6%
-------------------------------------------------------------------------------------------------------------------------------
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
-------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year................................ $ 13.87 $ 15.17 $ 15.99 $ 12.91 $ 12.99
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................ 0.42 0.44 0.66 0.39 0.42
Net Gains (Losses) on Securities (Realized and Unrealized)...... (0.50) (1.32) (0.83) 3.09 (0.10)
---------- ---------- ---------- ---------- ----------
Total from Investment Operations............................... (0.08) (0.88) (0.17) 3.48 0.32
---------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................................... (0.42) (0.41) (0.65) (0.40) (0.40)
Net Realized Gains.............................................. -- (0.01) -- -- --
---------- ---------- ---------- ---------- ----------
Total Distributions............................................ (0.42) (0.42) (0.65) (0.40) (0.40)
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year...................................... $ 13.37 $ 13.87 $ 15.17 $ 15.99 $ 12.91
================================================================== ========== ========== ========== ========== ==========
Total Return...................................................... (0.30)% (5.93)% (1.29)% 27.39% 2.77%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)............................... $3,005,025 $2,994,931 $2,977,257 $2,758,384 $1,971,388
Ratio of Expenses to Average Net Assets........................... 0.53% 0.53% 0.53% 0.53% 0.55%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived),
(Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor and Fees Paid Indirectly)................... 0.53% 0.53% 0.53% 0.53% 0.55%
Ratio of Net Investment Income to Average Net Assets.............. 3.32% 2.99% 4.13% 2.70% 3.32%
Portfolio Turnover Rate........................................... 18% 25% 13% 12% 18%
---------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
45
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
-------------------------------------------------------------------------------------------
Net Asset Value, Beginning
of Year..................... $ 9.30 $ 9.94 $ 10.25 $ 8.56 $ 8.39
---------- ---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)................ 0.23 0.24 0.28 0.23 0.23
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... 0.08 (0.65) (0.30) 1.70 0.16
---------- ---------- ---------- ---------- ----------
Total from Investment
Operations............... 0.31 (0.41) (0.02) 1.93 0.39
-------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income....... (0.23) (0.23) (0.27) (0.24) (0.22)
Net Realized Gains.......... -- -- (0.02) -- --
---------- ---------- ---------- ---------- ----------
Total Distributions....... (0.23) (0.23) (0.29) (0.24) (0.22)
-------------------------------------------------------------------------------------------
Net Asset Value, End of Year. $ 9.38 $ 9.30 $ 9.94 $ 10.25 $ 8.56
============================ ========== ========== ========== ========== ==========
Total Return................. 3.48% (4.15)% (0.25)% 22.88% 4.90%
-------------------------------------------------------------------------------------------
Net Assets, End of Year
(thousands)................. $2,407,348 $2,124,313 $1,995,500 $1,725,895 $1,240,607
Ratio of Expenses to
Average Net Assets.......... 0.45% 0.45% 0.45% 0.46% 0.49%
Ratio of Expenses to
Average Net Assets
(Excluding Fees (Waived),
(Expenses Reimbursed),
and/or Previously Waived
Fees Recovered by Advisor
and Fees Paid Indirectly)... 0.45% 0.45% 0.45% 0.46% 0.49%
Ratio of Net Investment
Income to Average Net
Assets...................... 2.57% 2.42% 2.71% 2.45% 2.77%
Portfolio Turnover Rate...... 7% 5% 8% 2% 3%
-------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
46
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of 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. The Portfolios are investment companies and, accordingly,
follow the accounting and reporting guidance under Financial Accounting
Standards Board ("FASB") Accounting Standards Certification ("ASC") Topic 946,
"Financial Services-Investment Companies."
Tax-Managed U.S. Marketwide Value Portfolio (the "Feeder Fund") primarily
invests its assets in The Tax-Managed U.S. Marketwide Value Series (the
"Series"), a corresponding series of The DFA Investment Trust Company. At
October 31, 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.
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 Nasdaq Official Closing
Price ("NOCP"). If there is no last reported sale price or NOCP for the day,
the Domestic
47
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 management
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 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 October 31, 2016, T.A. World Ex US Core Equity Portfolio had significant
transfers of securities with a total value of $45,938 (in thousands), that
transferred from Level 2 to Level 1 because fair value procedures were no
longer applied. At October 31, 2016, the fair market values of certain
securities were adjusted due to developments which occurred between the time of
the close of the foreign markets on which they trade and the close of business
on the NYSE which resulted in their Level 2 classification.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and
liabilities of the International Equity Portfolios whose values are initially
expressed in foreign currencies are translated to U.S. dollars using the mean
48
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 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 October 31, 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
49
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.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolios. For the year ended October 31, 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 year ended October
31, 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/
EXPENSE OF PREVIOUSLY EXPENSES ASSUMED
LIMITATION WAIVED FEES/ SUBJECT TO FUTURE
INSTITUTIONAL CLASS SHARES AMOUNT EXPENSES ASSUMED RECOVERY
-------------------------- ---------- ---------------- -----------------
Tax-Managed U.S. Marketwide Value Portfolio(1). 0.35% -- --
Tax-Managed U.S. Equity Portfolio(2)........... 0.22% $92 $42
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.
50
(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.
(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 investment of its securities lending cash
collateral in The DFA Short Term Investment Fund and 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 year ended October 31, 2016, expenses
reduced were as follows (amounts in thousands):
FEES PAID
INDIRECTLY
- ----------
Tax-Managed DFA International Value Portfolio. $64
T.A. World ex U.S. Core Equity Portfolio...... 27
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 year ended October 31, 2016, the total related amounts paid to the CCO
by the Fund were $291 (in thousands). The total related amounts paid by each of
the Portfolios are included in Other Expenses on the Statement of Operations.
51
D. DEFERRED COMPENSATION:
At October 31, 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... $101
Tax-Managed U.S. Equity Portfolio............. 108
Tax-Managed U.S. Targeted Value Portfolio..... 104
Tax-Managed U.S. Small Cap Portfolio.......... 61
T.A. U.S. Core Equity 2 Portfolio............. 111
Tax-Managed DFA International Value Portfolio. 90
T.A. World ex U.S. Core Equity Portfolio...... 46
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 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............. $ 206,302 $ 92,648
Tax-Managed U.S. Targeted Value Portfolio..... 792,827 709,341
Tax-Managed U.S. Small Cap Portfolio.......... 352,728 219,541
T.A. U.S. Core Equity 2 Portfolio............. 1,100,207 380,889
Tax-Managed DFA International Value Portfolio. 608,793 514,734
T.A. World ex U.S. Core Equity Portfolio...... 416,412 157,840
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, 2016, 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... $5,919 $(2,434) $(3,485)
Tax-Managed U.S. Equity Portfolio............. -- (170) 170
Tax-Managed U.S. Targeted Value Portfolio..... 6,572 (1,583) (4,989)
Tax-Managed U.S. Small Cap Portfolio.......... 2,896 (833) (2,063)
T.A. U.S. Core Equity 2 Portfolio............. 985 (2,214) 1,229
Tax-Managed DFA International Value Portfolio. 3,896 (3,089) (807)
T.A. World ex U.S. Core Equity Portfolio...... 2,159 (198) (1,961)
52
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2015 and October 31, 2016 were as follows (amounts
in thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- --------
Tax-Managed U.S. Marketwide Value Portfolio
2015.......................................... $ 60,761 -- $ 60,761
2016.......................................... 72,925 -- 72,925
Tax-Managed U.S. Equity Portfolio
2015.......................................... 42,330 -- 42,330
2016.......................................... 48,479 -- 48,479
Tax-Managed U.S. Targeted Value Portfolio
2015.......................................... 40,821 $125,781 166,602
2016.......................................... 43,823 128,582 172,405
Tax-Managed U.S. Small Cap Portfolio
2015.......................................... 19,870 38,979 58,849
2016.......................................... 22,739 94,184 116,923
T.A. U.S. Core Equity 2 Portfolio
2015.......................................... 85,159 65,625 150,784
2016.......................................... 104,283 166 104,449
Tax-Managed DFA International Value Portfolio
2015.......................................... 85,981 2,411 88,392
2016.......................................... 92,814 -- 92,814
T.A. World ex U.S. Core Equity Portfolio
2015.......................................... 50,580 -- 50,580
2016.......................................... 56,154 -- 56,154
At October 31, 2016, 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... $(2,434) $(3,485) $(5,919)
Tax-Managed U.S. Equity Portfolio............. -- -- --
Tax-Managed U.S. Targeted Value Portfolio..... (1,582) (4,990) (6,572)
Tax-Managed U.S. Small Cap Portfolio.......... (832) (2,064) (2,896)
T.A. U.S. Core Equity 2 Portfolio............. (983) (2) (985)
Tax-Managed DFA International Value Portfolio. (3,896) -- (3,896)
T.A. World ex U.S. Core Equity Portfolio...... (2,159) -- (2,159)
At October 31, 2016, 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....................... $5,798 $101,284 -- $1,546,859 $1,653,941
Tax-Managed U.S. Equity Portfolio. 4,514 -- $(233,619) 1,199,305 970,200
53
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. Targeted Value
Portfolio.............................. $ 689 $127,981 -- $1,308,391 $1,437,061
Tax-Managed U.S. Small Cap Portfolio..... 608 54,087 -- 885,283 939,978
T.A. U.S. Core Equity 2 Portfolio........ 9,817 230 -- 2,182,863 2,192,910
Tax-Managed DFA International Value
Portfolio.............................. 7,935 -- $(94,040) (67,685) (153,790)
T.A. World ex U.S. Core Equity Portfolio. 7,652 -- (52,905) 233,156 187,903
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, 2016, 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 UNLIMITED TOTAL
-------- --------- --------
Tax-Managed U.S. Marketwide Value Portfolio... -- -- --
Tax-Managed U.S. Equity Portfolio............. $233,619 -- $233,619
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. -- $94,040 94,040
T.A. World ex U.S. Core Equity Portfolio...... -- 52,905 52,905
During the year ended October 31, 2016, 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. $37,141
Tax-Managed U.S. Equity Portfolio........... 89,351
At October 31, 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)
---------- ------------ ------------ --------------
Tax-Managed U.S. Marketwide Value Portfolio... $2,466,864 $1,546,859 -- $1,546,859
Tax-Managed U.S. Equity Portfolio............. 1,671,589 1,244,477 $ (45,173) 1,199,304
Tax-Managed U.S. Targeted Value Portfolio..... 2,994,623 1,430,717 (122,326) 1,308,391
Tax-Managed U.S. Small Cap Portfolio.......... 1,873,422 958,432 (73,149) 885,283
T.A. U.S. Core Equity 2 Portfolio............. 4,740,170 2,265,640 (82,777) 2,182,863
Tax-Managed DFA International Value Portfolio. 3,083,719 321,739 (389,050) (67,311)
T.A. World ex U.S. Core Equity Portfolio...... 2,215,117 509,028 (275,701) 233,327
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.
54
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. FINANCIAL INSTRUMENTS:
In accordance with the Portfolios' investment objectives and policies, the
Portfolios may invest in certain financial instruments that have off-balance
sheet risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. FOREIGN MARKET RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States of America, including the possibility of future political and
economic developments and the level of foreign governmental supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of international
securities held by the Portfolios may be inhibited.
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Portfolios.
2. FUTURES CONTRACTS: The Portfolios may 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, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Portfolios could lose more than
the initial margin requirements. The Portfolios entering into stock index
futures are subject to equity price risk from those futures contracts.
Counterparty credit risk related to exchange-traded futures is minimal because
the exchange's clearinghouse, as counterparty to all exchange-traded futures,
guarantees the futures against default.
At October 31, 2016, the following Portfolios had outstanding futures
contracts (dollar amounts in thousands):
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS* VALUE GAIN (LOSS) COLLATERAL
----------------------- ---------- ---------- -------- ----------- ----------
Tax-Managed U.S. Equity
Portfolio............. S&P 500 Emini Index(R) 12/16/16 175 $18,551 $(507) $788
------- ----- ----
$18,551 $(507) $788
======= ===== ====
55
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS* VALUE GAIN (LOSS) COLLATERAL
------------------------ ---------- ---------- -------- ----------- ----------
Tax-Managed DFA International
Value Portfolio............. Mini MSCI EAFE Index(R) 12/16/16 120 $ 9,994 $(365) $ 455
Tax-Managed DFA International
Value Portfolio............. S&P 500 Emini Index(R) 12/16/16 150 15,901 (435) 724
------- ----- ------
$25,895 $(800) $1,179
======= ===== ======
3. FORWARD CURRENCY CONTRACTS: The T.A. World ex U.S. Core 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 decision to hedge the T.A. World ex U.S. Core Equity
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 T.A.
World ex U.S. Core Equity 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
T.A. World ex U.S. Core Equity Portfolio records a realized gain or loss equal
to the change in the value of the contract when it was opened and the value at
the time it was closed or offset. This is presented in the Statements of
Operations as a net realized gain or loss on foreign currency transactions. At
October 31, 2016, the T.A. World ex U.S. Core Equity Portfolio had no
outstanding forward currency contracts.
The average volume (based on the open positions at each fiscal month-end) of
derivative activity for the year ended October 31, 2016 (amounts in thousands):
FORWARD
CURRENCY
CONTRACTS FUTURES
--------- -------
Tax-Managed U.S. Equity Portfolio............. -- $10,775
Tax-Managed U.S. Targeted Value Portfolio*.... -- 14,926
T.A. U.S. Core Equity 2 Portfolio*............ -- 21,544
Tax-Managed DFA International Value Portfolio. -- 19,905
T.A. World ex U.S. Core Equity Portfolio*..... $454 --
* The Portfolio had derivative activity during the period but it did not have
open positions at October 31, 2016.
The following is a summary of the location of derivatives on the Portfolios'
Statements of Assets and Liabilities as of October 31, 2016:
LOCATION ON THE
STATEMENTS OF ASSETS AND
LIABILITIES
------------------------
DERIVATIVE TYPE LIABILITY DERIVATIVES
--------------- ------------------------
Equity contracts Payables: Futures Margin
Variation
The following is a summary of the Portfolios' derivative instrument holdings
categorized by primary risk exposure as of October 31, 2016 (amounts in
thousands):
LIABILITY DERIVATIVES VALUE
- -------------------------
TOTAL VALUE
AT EQUITY
OCTOBER 31, 2016 CONTRACTS
---------------- ---------
Tax-Managed U.S. Equity Portfolio............. $(507) $(507)
Tax-Managed DFA International Value Portfolio. (800) (800)
56
The following is a summary of the location on the Portfolios' Statements of
Operations of realized gains and losses from the Portfolios' derivative
instrument holdings through the year ended October 31, 2016:
DERIVATIVE TYPE LOCATION OF GAIN (LOSS) ON DERIVATIVES
--------------- --------------------------------------
Foreign exchange contracts Net Realized Gain (Loss) on: Forward Currency Contracts
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 year ended October 31, 2016 (amounts in thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
-----------------------------
FOREIGN
EXCHANGE EQUITY
TOTAL CONTRACTS CONTRACTS
------ --------- ---------
Tax-Managed U.S. Marketwide Value Portfolio... $4,341 -- $4,341
Tax-Managed U.S. Equity Portfolio............. 1,284 -- 1,284
Tax-Managed U.S. Targeted Value Portfolio..... 4,185 -- 4,185
Tax-Managed U.S. Small Cap Portfolio.......... 259 -- 259
T.A. U.S. Core Equity 2 Portfolio............. 5,040 -- 5,040
Tax-Managed DFA International Value Portfolio. 2,600 $(20) 2,620
T.A. World ex U.S. Core Equity Portfolio...... 6 6 --
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES
-----------------------------
FOREIGN
EXCHANGE EQUITY
TOTAL CONTRACTS CONTRACTS
------ --------- ---------
Tax-Managed U.S. Equity Portfolio............. $ (507) -- $ (507)
Tax-Managed DFA International Value Portfolio. (800) -- (800)
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.
57
For the year ended October 31, 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
------------- ------------ ------------ -------- ---------------
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..... 1.10% 3,325 15 2 9,539
T.A. U.S. Core Equity 2 Portfolio........ 1.07% 3,711 10 1 18,165
Tax-Managed DFA International Value
Portfolio.............................. 0.96% 5,859 28 4 28,128
T.A. World ex U.S. Core Equity Portfolio. 1.00% 16,507 33 16 43,743
* Number of Days Outstanding represents the total of single or consecutive days
during the year ended October 31, 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 October 31, 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 year
ended October 31, 2016.
I. AFFILIATED TRADES:
Cross trades for the year ended October 31, 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 year ended October 31, 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............. $30,540 $ 3,037 $ 2,057
Tax-Managed U.S. Targeted Value Portfolio..... 54,623 66,532 (1,586)
Tax-Managed U.S. Small Cap Portfolio.......... 26,981 37,033 2,894
T.A. U.S. Core Equity 2 Portfolio............. 62,466 96,820 (32,974)
Tax-Managed DFA International Value Portfolio. 25,271 43,477 (5,365)
T.A. World ex U.S. Core Equity Portfolio...... 9,481 23,624 105
58
J. SECURITIES LENDING:
As of October 31, 2016, some of the Portfolios had securities on loan to
brokers/dealers, for which each such Portfolios received cash collateral. The
non-cash collateral includes short-and/or long-term U.S. Treasuries and U.S.
government agency securities as follows (amounts in thousands):
MARKET
VALUE
--------
Tax-Managed U.S. Equity Portfolio............. $ 53,503
Tax-Managed U.S. Targeted Value Portfolio..... 73,869
Tax-Managed U.S. Small Cap Portfolio.......... 55,365
T.A. U.S. Core Equity 2 Portfolio............. 146,354
Tax-Managed DFA International Value Portfolio. 41
T.A. World ex U.S. Core Equity Portfolio...... 23,628
The Tax-Managed U.S. Marketwide Value Series.. 85,241
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
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.
59
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 October 31, 2016:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF OCTOBER 31, 2016
---------------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
------------- -------- ------------ -------- ------------
SECURITIES LENDING TRANSACTIONS
TAX-MANAGED U.S. EQUITY PORTFOLIO
Common Stocks, Rights/Warrants........... $235,746,845 -- -- -- $235,746,845
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO
Common Stocks............................ $532,460,710 -- -- -- $532,460,710
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
Common Stocks, Rights/Warrants........... $462,986,936 -- -- -- $462,986,936
T.A. U.S. CORE EQUITY 2 PORTFOLIO
Common Stocks, Rights/Warrants........... $706,219,906 -- -- -- $706,219,906
TAX-MANAGED DFA INTERNATIONAL VALUE
PORTFOLIO
Common Stocks............................ $ 49,317,792 -- -- -- $ 49,317,792
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
Common Stocks............................ $ 58,206,865 -- -- -- $ 58,206,865
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 October 31, 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
------------ --------------
Tax-Managed U.S. Marketwide Value Portfolio... 3 91%
Tax-Managed U.S. Equity Portfolio............. 3 89%
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 89%
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
60
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 respective 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 through the date that the financial statements were issued and has
determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
61
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of DFA Investment Dimensions Group Inc. and
Shareholders of the Portfolios, as defined:
In our opinion, the accompanying statements of assets and liabilities,
including the schedule of investments/summary schedules of portfolio holdings,
and the related statements of operations and of changes in net assets and the
financial highlights present fairly, in all material respects, the financial
position of Tax-Managed U.S. Marketwide Value Portfolio, Tax-Managed U.S.
Equity Portfolio, Tax-Managed U.S. Targeted Value Portfolio, Tax-Managed U.S.
Small Cap Portfolio, T.A. U.S. Core Equity 2 Portfolio, Tax-Managed DFA
International Value Portfolio and T.A. World ex U.S. Core Equity Portfolio
(constituting portfolios within DFA Investment Dimensions Group Inc., hereafter
referred to as the "Portfolios") as of October 31, 2016, the results of each of
their operations for the year then ended, the changes in each of their net
assets for each of the two years in the period then ended and the financial
highlights for each of the five years in the period then ended, in conformity
with accounting principles generally accepted in the United States of America.
These financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Portfolios' management.
Our responsibility is to express an opinion on these financial statements based
on our audits. We conducted our audits of these financial statements in
accordance with the standards of the Public Company Accounting Oversight Board
(United States). Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities as of October 31, 2016 by
correspondence with the custodians, brokers and transfer agents of the investee
funds, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 20, 2016
62
NOTIFICATION OF SOURCE OF DISTRIBUTIONS PURSUANT TO
RULE 19A-1 UNDER THE INVESTMENT COMPANY ACT OF 1940
(UNAUDITED)
As noted in the table provided below, the following Portfolios paid
distributions to shareholders of record that included amounts from net
investment income and return of capital. Please note that this information is
being provided to satisfy certain notice requirements under the Investment
Company Act of 1940 and is not being provided for tax reporting purposes. Each
Portfolio will send (or has sent) shareholders a Form 1099-DIV (or a financial
intermediary should provide (or has provided) shareholders with similar
information) for the relevant calendar year informing shareholders how to
report these distributions for federal income tax purposes.
% BREAKDOWN OF DISTRIBUTION SOURCES
-------------------------------------------------
NET NET REALIZED NET REALIZED
INVESTMENT CAPITAL GAINS: CAPITAL GAINS: RETURN OF
PORTFOLIO NAME INCOME SHORT-TERM LONG-TERM CAPITAL
-------------- ---------- -------------- -------------- ---------
Tax-Managed U.S. Marketwide Value Portfolio
December 16, 2015.......................... 90% 0% 0% 10%
Tax-Managed U.S. Targeted Value Portfolio
December 16, 2015.......................... 88% 0% 0% 12%
Tax-Managed U.S. Equity Portfolio
December 16, 2015.......................... 90% 0% 0% 10%
Tax-Managed U.S. Small Cap Portfolio
December 16, 2015.......................... 88% 0% 0% 12%
T.A. U.S. Core Equity 2 Portfolio
December 16, 2015.......................... 91% 0% 0% 9%
Tax-Managed DFA International Value Portfolio
December 16, 2015.......................... 89% 0% 0% 11%
T.A. World ex U.S. Core Equity Portfolio
December 16, 2015.......................... 76% 0% 0% 24%
Each Portfolio estimates that it has distributed more than the amount of net
investment income and net realized capital gains; therefore, a portion of the
distributions may be a return of capital. A return of capital may occur, for
example, when some or all of the shareholder's investment in a Portfolio is
returned to the shareholder. A return of capital does not necessarily reflect a
Portfolio's investment performance and should not be confused with yield or
income. When distributions exceed total return performance, the difference will
reduce a Portfolio's net asset value per share.
63
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES VS.
RUSSELL 3000(R) VALUE INDEX
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
The Tax-Managed U.S. Marketwide Russell 3000/R/
Value Series Value Index
------------------------------- -------------------
10/2006 $10,000 $10,000
11/2006 10,248 10,233
12/2006 10,443 10,450
01/2007 10,718 10,586
02/2007 10,580 10,424
03/2007 10,702 10,582
04/2007 11,082 10,948
05/2007 11,604 11,343
06/2007 11,356 11,078
07/2007 10,739 10,529
08/2007 10,681 10,655
09/2007 10,950 10,995
10/2007 10,960 11,006
11/2007 10,317 10,445
12/2007 10,274 10,345
01/2008 9,868 9,930
02/2008 9,509 9,515
03/2008 9,335 9,460
04/2008 9,863 9,908
05/2008 10,084 9,920
06/2008 8,971 8,971
07/2008 8,902 8,976
08/2008 9,082 9,151
09/2008 8,311 8,499
10/2008 6,454 7,008
11/2008 5,815 6,481
12/2008 6,011 6,595
01/2009 5,230 5,821
02/2009 4,528 5,041
03/2009 5,003 5,473
04/2009 5,868 6,083
05/2009 6,311 6,438
06/2009 6,222 6,393
07/2009 6,860 6,933
08/2009 7,314 7,293
09/2009 7,641 7,582
10/2009 7,277 7,328
11/2009 7,615 7,727
12/2009 7,894 7,898
01/2010 7,673 7,675
02/2010 8,026 7,926
03/2010 8,660 8,454
04/2010 8,997 8,704
05/2010 8,227 7,987
06/2010 7,599 7,517
07/2010 8,206 8,028
08/2010 7,668 7,664
09/2010 8,433 8,276
10/2010 8,760 8,530
11/2010 8,781 8,505
12/2010 9,609 9,179
01/2011 9,847 9,370
02/2011 10,401 9,727
03/2011 10,470 9,773
04/2011 10,718 10,025
05/2011 10,549 9,913
06/2011 10,364 9,706
07/2011 9,926 9,384
08/2011 9,098 8,779
09/2011 8,174 8,092
10/2011 9,314 9,037
11/2011 9,240 8,992
12/2011 9,335 9,170
01/2012 9,821 9,538
02/2012 10,338 9,899
03/2012 10,559 10,193
04/2012 10,364 10,086
05/2012 9,636 9,492
06/2012 10,142 9,962
07/2012 10,232 10,050
08/2012 10,617 10,275
09/2012 10,997 10,604
10/2012 11,034 10,546
11/2012 11,103 10,544
12/2012 11,425 10,779
01/2013 12,179 11,475
02/2013 12,369 11,638
03/2013 12,982 12,100
04/2013 13,071 12,268
05/2013 13,499 12,587
06/2013 13,420 12,481
07/2013 14,237 13,165
08/2013 13,815 12,659
09/2013 14,322 13,008
10/2013 14,997 13,566
11/2013 15,620 13,957
12/2013 16,053 14,303
01/2014 15,420 13,791
02/2014 15,984 14,390
03/2014 16,222 14,721
04/2014 16,259 14,819
05/2014 16,644 15,027
06/2014 17,071 15,440
07/2014 16,807 15,123
08/2014 17,425 15,687
09/2014 16,982 15,306
10/2014 17,272 15,704
11/2014 17,499 15,995
12/2014 17,673 16,119
01/2015 16,786 15,472
02/2015 18,005 16,218
03/2015 17,831 16,036
04/2015 18,016 16,147
05/2015 18,290 16,336
06/2015 18,100 16,036
07/2015 18,153 16,064
08/2015 17,008 15,121
09/2015 16,475 14,659
10/2015 17,778 15,742
11/2015 17,810 15,833
12/2015 17,214 15,453
01/2016 16,116 14,636
02/2016 16,079 14,640
03/2016 17,208 15,707
04/2016 17,641 16,037
05/2016 17,847 16,289
06/2016 17,826 16,424
07/2016 18,311 16,931
08/2016 18,501 17,083 Past performance is not predictive of
09/2016 18,586 17,060 future performance.
10/2016 18,274 16,774 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell
-------------------------------------------------------- Investment Group 1995-2016, all rights
2.79% 14.43% 6.21% reserved.
--------------------------------------------------------------------------------
64
THE DFA INVESTMENT TRUST COMPANY
MANAGEMENT'S DISCUSSION AND ANALYSIS
(UNAUDITED)
U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2016
Most U.S. equities had positive returns during the period. The broad U.S.
equity market, as measured by the Russell 3000(R) Index, gained approximately
4.2%. Large-cap stocks outperformed small-cap stocks as measured by the Russell
indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2016
-------------------------------------------------
Russell 3000(R) Index............................. 4.24%
Russell Microcap(R) Index (micro-cap stocks)...... 1.54%
Russell 2000(R) Index (small-cap stocks).......... 4.11%
Russell 1000(R) Index (large-cap stocks).......... 4.26%
Dow Jones U.S. Select REIT Index/SM/.............. 4.96%
Value stocks outperformed growth stocks as measured by the Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2016
-------------------------------------------------
Russell 2000(R) Value Index (small-cap value stocks)........ 8.81%
Russell 2000(R) Growth Index (small-cap growth stocks)...... -0.49%
Russell 1000(R) Value Index (large-cap value stocks)........ 6.37%
Russell 1000(R) Growth Index (large-cap growth stocks)...... 2.28%
----------
Source: Frank Russell Company is the source and owner of the trademarks,
service marks, and copyrights related to the Russell Indexes.
DOMESTIC EQUITY SERIES' PERFORMANCE OVERVIEW
TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
The Tax-Managed U.S. Marketwide Value Series invests in a broadly
diversified group of U.S. value stocks while considering the federal tax
implications of investment decisions. Value is measured primarily by
book-to-market ratio. The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2016, the Series held approximately
1,000 securities. In general, average cash exposure throughout the year was
less than 1% of the Series' assets.
For the 12 months ended October 31, 2016, total returns were 2.79% for the
Series and 6.55% for the Russell 3000(R) Value Index the Series' benchmark. As
a result of the Series' diversified investment approach, performance was
determined principally by broad trends in the U.S. equity market rather than
the behavior of a limited number of stocks. As compared to the benchmark, the
Series places more emphasis on lower relative price securities, which detracted
from the Series' performance relative to the benchmark as the lowest relative
price quartile of those securities underperformed. The Series' exclusion of
real estate investment trusts (REITs) and utilities detracted from its
performance relative to the Benchmark as REITs and utilities outperformed most
other sectors during the period.
65
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2016
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/16 10/31/16 RATIO* PERIOD*
--------- --------- ---------- --------
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
--------------------------------------------
Actual Fund Return........................... $1,000.00 $1,035.90 0.21% $1.07
Hypothetical 5% Annual Return................ $1,000.00 $1,024.08 0.21% $1.07
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then divided
by the number of days in the year (366) to reflect the six-month period.
66
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. The DFA Investment Trust Company filed its most recent Form
N-Q with the SEC on September 29, 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....................... 15.3%
Consumer Staples............................. 8.7%
Energy....................................... 13.6%
Financials................................... 20.6%
Health Care.................................. 11.1%
Industrials.................................. 12.1%
Information Technology....................... 12.0%
Materials.................................... 2.1%
Real Estate.................................. 0.1%
Telecommunication Services................... 4.3%
Utilities.................................... 0.1%
-----
100.0%
67
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (94.6%)
Consumer Discretionary -- (14.5%)
#* Charter Communications, Inc. Class A... 339,394 $ 84,811,167 1.5%
Comcast Corp. Class A.................. 3,644,823 225,322,958 4.1%
Ford Motor Co.......................... 2,562,394 30,082,505 0.6%
General Motors Co...................... 1,063,145 33,595,382 0.6%
Time Warner, Inc....................... 1,534,860 136,587,191 2.5%
Twenty-First Century Fox, Inc. Class A. 1,287,383 33,819,551 0.6%
Other Securities....................... 305,379,188 5.4%
-------------- ------
Total Consumer Discretionary............... 849,597,942 15.3%
-------------- ------
Consumer Staples -- (8.2%)
Archer-Daniels-Midland Co.............. 813,476 35,443,149 0.6%
CVS Health Corp........................ 1,510,745 127,053,654 2.3%
Mondelez International, Inc. Class A... 2,081,099 93,524,589 1.7%
Tyson Foods, Inc. Class A.............. 405,030 28,696,375 0.5%
Wal-Mart Stores, Inc................... 679,033 47,545,891 0.9%
Walgreens Boots Alliance, Inc.......... 394,449 32,632,766 0.6%
Other Securities....................... 115,015,718 2.0%
-------------- ------
Total Consumer Staples..................... 479,912,142 8.6%
-------------- ------
Energy -- (12.9%)
Anadarko Petroleum Corp................ 475,268 28,249,930 0.5%
Chevron Corp........................... 1,154,064 120,888,204 2.2%
ConocoPhillips......................... 1,601,249 69,574,269 1.3%
Exxon Mobil Corp....................... 2,448,223 203,985,940 3.7%
Marathon Petroleum Corp................ 903,936 39,402,570 0.7%
Phillips 66............................ 883,414 71,689,046 1.3%
Schlumberger, Ltd...................... 603,242 47,191,622 0.9%
Valero Energy Corp..................... 605,899 35,893,457 0.7%
Other Securities....................... 135,755,749 2.3%
-------------- ------
Total Energy............................... 752,630,787 13.6%
-------------- ------
Financials -- (19.5%)
American International Group, Inc...... 838,781 51,752,788 0.9%
Bank of America Corp................... 5,636,194 92,997,201 1.7%
Capital One Financial Corp............. 373,787 27,675,189 0.5%
Citigroup, Inc......................... 1,870,326 91,926,523 1.7%
CME Group, Inc......................... 414,385 41,479,938 0.8%
Goldman Sachs Group, Inc. (The)........ 209,155 37,279,787 0.7%
JPMorgan Chase & Co.................... 2,695,925 186,719,765 3.4%
MetLife, Inc........................... 958,812 45,025,812 0.8%
Morgan Stanley......................... 1,036,923 34,809,505 0.6%
Prudential Financial, Inc.............. 497,625 42,193,624 0.8%
Synchrony Financial.................... 914,357 26,141,467 0.5%
Wells Fargo & Co....................... 1,956,746 90,029,883 1.6%
Other Securities....................... 373,012,093 6.6%
-------------- ------
Total Financials........................... 1,141,043,575 20.6%
-------------- ------
Health Care -- (10.5%)
Aetna, Inc............................. 558,462 59,950,896 1.1%
Anthem, Inc............................ 504,640 61,495,430 1.1%
* Express Scripts Holding Co............. 493,239 33,244,309 0.6%
Humana, Inc............................ 236,814 40,620,705 0.8%
68
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Health Care -- (Continued)
Medtronic P.L.C............................................... 764,960 $ 62,742,019 1.1%
Pfizer, Inc................................................... 4,874,915 154,583,555 2.8%
Thermo Fisher Scientific, Inc................................. 499,520 73,444,426 1.3%
Other Securities.............................................. 128,339,616 2.3%
-------------- ------
Total Health Care................................................... 614,420,956 11.1%
-------------- ------
Industrials -- (11.4%)
CSX Corp...................................................... 1,242,950 37,922,404 0.7%
General Electric Co........................................... 3,873,888 112,730,141 2.1%
Norfolk Southern Corp......................................... 545,229 50,706,297 0.9%
Southwest Airlines Co......................................... 645,761 25,862,728 0.5%
Union Pacific Corp............................................ 888,128 78,315,127 1.4%
Other Securities.............................................. 362,719,252 6.5%
-------------- ------
Total Industrials................................................... 668,255,949 12.1%
-------------- ------
Information Technology -- (11.4%)
Activision Blizzard, Inc...................................... 982,162 42,399,934 0.8%
Cisco Systems, Inc............................................ 4,149,274 127,299,726 2.3%
Intel Corp.................................................... 4,407,379 153,685,306 2.8%
QUALCOMM, Inc................................................. 1,059,256 72,792,072 1.3%
* Yahoo!, Inc................................................... 1,048,770 43,576,393 0.8%
Other Securities.............................................. 224,356,216 4.0%
-------------- ------
Total Information Technology........................................ 664,109,647 12.0%
-------------- ------
Materials -- (2.0%)
Other Securities.............................................. 115,737,121 2.1%
-------------- ------
Real Estate -- (0.1%)
Other Securities.............................................. 2,975,594 0.1%
-------------- ------
Telecommunication Services -- (4.0%)
AT&T, Inc..................................................... 5,474,287 201,399,019 3.6%
Other Securities.............................................. 34,832,133 0.7%
-------------- ------
Total Telecommunication Services.................................... 236,231,152 4.3%
-------------- ------
Utilities -- (0.1%)
Other Securities.............................................. 5,629,847 0.1%
-------------- ------
TOTAL COMMON STOCKS................................................. 5,530,544,712 99.9%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 167,859 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES......................................... 5,530,712,571
--------------
TEMPORARY CASH INVESTMENTS -- (0.2%)
State Street Institutional U.S. Government Money Market Fund,
0.260%....................................................... 11,204,446 11,204,446 0.2%
-------------- ------
SECURITIES LENDING COLLATERAL -- (5.2%)
(S)@ DFA Short Term Investment Fund................................ 26,327,188 304,658,223 5.5%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,671,390,515)........................................... $5,846,575,240 105.6%
============== ======
69
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Summary of the Series' investments as of October 31, 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...... $ 849,597,942 -- -- $ 849,597,942
Consumer Staples............ 479,912,142 -- -- 479,912,142
Energy...................... 752,630,787 -- -- 752,630,787
Financials.................. 1,141,043,575 -- -- 1,141,043,575
Health Care................. 614,420,956 -- -- 614,420,956
Industrials................. 668,255,949 -- -- 668,255,949
Information Technology...... 664,109,647 -- -- 664,109,647
Materials................... 115,737,121 -- -- 115,737,121
Real Estate................. 2,975,594 -- -- 2,975,594
Telecommunication Services.. 236,231,152 -- -- 236,231,152
Utilities................... 5,629,847 -- -- 5,629,847
Rights/Warrants............... -- $ 167,859 -- 167,859
Temporary Cash Investments.... 11,204,446 -- -- 11,204,446
Securities Lending Collateral. -- 304,658,223 -- 304,658,223
-------------- ------------ -- --------------
TOTAL......................... $5,541,749,158 $304,826,082 -- $5,846,575,240
============== ============ == ==============
See accompanying Notes to Financial Statements.
70
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS)
ASSETS:
Investments at Value (including $379,738 of securities on loan)*............................... $5,530,713
Temporary Cash Investments at Value & Cost..................................................... 11,204
Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $304,624). 304,658
Receivables:
Investment Securities Sold................................................................... 7,297
Dividends and Interest....................................................................... 6,133
Securities Lending Income.................................................................... 63
----------
Total Assets.............................................................................. 5,860,068
----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............................................................. 304,621
Investment Securities Purchased.............................................................. 15,799
Due to Advisor............................................................................... 947
Accrued Expenses and Other Liabilities......................................................... 297
----------
Total Liabilities......................................................................... 321,664
----------
NET ASSETS..................................................................................... $5,538,404
==========
Investments at Cost............................................................................ $3,355,562
==========
----------
* See Note I in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
71
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS)
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $4)............... $ 119,737
Income from Securities Lending................................ 909
---------
Total Investment Income.................................... 120,646
---------
EXPENSES
Investment Management Fees.................................... 10,647
Accounting & Transfer Agent Fees.............................. 262
Custodian Fees................................................ 47
Shareholders' Reports......................................... 22
Directors'/Trustees' Fees & Expenses.......................... 37
Professional Fees............................................. 100
Other......................................................... 154
---------
Total Expenses............................................. 11,269
---------
Net Expenses.................................................. 11,269
---------
NET INVESTMENT INCOME (LOSS).................................. 109,377
---------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**................................ 194,648
Futures..................................................... 5,998
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities....................................... (153,025)
---------
NET REALIZED AND UNREALIZED GAIN (LOSS)....................... 47,621
---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS. $ 156,998
=========
**Net of foreign capital gain taxes withheld of $0.
See accompanying Notes to Financial Statements.
72
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
YEAR YEAR
ENDED ENDED
OCT. 31, OCT. 31,
2016 2015
---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......................................... $ 109,377 $ 96,469
Net Realized Gain (Loss) on:
Investment Securities Sold*......................................... 194,648 88,248
Futures............................................................. 5,998 --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities............................................... (153,025) (36,271)
---------- ----------
Net Increase (Decrease) in Net Assets Resulting from Operations.... 156,998 148,446
---------- ----------
Transactions in Interest:
Contributions......................................................... 280,866 247,754
Withdrawals........................................................... (247,872) (191,765)
---------- ----------
Net Increase (Decrease) from Transactions in Interest.............. 32,994 55,989
---------- ----------
Total Increase (Decrease) in Net Assets............................ 189,992 204,435
NET ASSETS
Beginning of Year..................................................... 5,348,412 5,143,977
---------- ----------
End of Year........................................................... $5,538,404 $5,348,412
========== ==========
----------
* Net of foreign capital gain taxes withheld of $0 and $0, respectively.
See accompanying Notes to Financial Statements.
73
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
FINANCIAL HIGHLIGHTS
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
-----------------------------------------------------------------------------------------------------------------
Total Return......................................... 2.79% 2.93% 15.17% 35.92% 18.47%
-----------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).................. $5,538,404 $5,348,412 $5,143,977 $4,389,755 $3,306,476
Ratio of Expenses to Average Net Assets.............. 0.21% 0.21% 0.21% 0.21% 0.22%
Ratio of Net Investment Income to Average Net Assets. 2.05% 1.82% 1.61% 1.82% 1.99%
Portfolio Turnover Rate.............................. 9% 6% 2% 5% 10%
-----------------------------------------------------------------------------------------------------------------
See accompanying Notes to Financial Statements.
74
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven operational portfolios, one of which, The Tax-Managed
U.S. Marketwide Value Series (the "Series"), is presented in this section of
the report. The remaining ten operational portfolios are presented in separate
reports. The Series is an investment company and, accordingly, follows the
accounting and reporting guidance under Financial Accounting Standards Board
("FASB") Accounting Standards Certification ("ASC") Topic 946, "Financial
Services-Investment Companies."
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 management 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.
75
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.
For the year ended October 31, 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 October 31, 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 $142 (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 October 31, 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 year ended October 31, 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 year ended October 31, 2016, the total related amounts paid to the CCO by
the Trust were $83 (in thousands). The total related amounts paid by the Series
is included in Other Expenses on the Statement of Operations.
76
D. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 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. $717,048 $486,818
There were no purchases or sales of long-term U.S. government securities.
E. FEDERAL INCOME TAXES:
The Series is treated as a partnership for federal income tax purposes and
therefore, no provision for federal income taxes is required. Any net
investment income and realized and unrealized gains and losses have been deemed
to have been "passed down" to its partners.
At October 31, 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. $3,671,391 $2,270,875 $(95,691) $2,175,184
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.
77
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.
The average volume (based on the open positions at each fiscal month-end) of
derivative activity for the year ended October 31, 2016 (amounts in thousands):
FUTURES
-------
The Tax-Managed U.S. Marketwide Value Series*. $19,306
* The Series had derivative activity during the period but it did not have open
positions at October 31, 2016.
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 year ended October
31, 2016:
DERIVATIVE TYPE LOCATION OF GAIN (LOSS) ON DERIVATIVES RECOGNIZED IN INCOME
--------------- -----------------------------------------------------------
Equity contracts Net Realized Gain (Loss) on: Futures
The following is a summary of the realized and change in unrealized gains
and losses from the Series' derivative instrument holdings categorized by
primary risk exposure through the year ended October 31, 2016 (amounts in
thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
-----------------------
EQUITY
TOTAL CONTRACTS
------ ---------
The Tax-Managed U.S. Marketwide Value Series. $5,998 $5,998
G. 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.
78
For the year ended October 31, 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 Tax-Managed U.S. Marketwide Value
Series.............................. 1.05% $3,676 20 $2 $13,333
* Number of Days Outstanding represents the total of single or consecutive days
during the year ended October 31, 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 October 31, 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 year ended October 31, 2016.
H. AFFILIATED TRADES:
Cross trades for the year ended October 31, 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.
For the year ended October 31, 2016, cross trades by the Series under Rule
17a-7 were as follows (amounts in thousands):
PORTFOLIO PURCHASES SALES REALIZED GAIN (LOSS)
--------- --------- ------- --------------------
The Tax-Managed U.S. Marketwide Value Series. $46,069 $25,777 $6,766
I. SECURITIES LENDING:
As of October 31, 2016, the Series had securities on loan to
brokers/dealers, for which the Series received cash collateral. The non-cash
collateral includes short-and/or long-term U.S. Treasuries and U.S. government
agency securities with a market value of $85,241 (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
79
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 October 31, 2016:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF OCTOBER 31, 2016
---------------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
------------- -------- ------------ -------- ------------
SECURITIES LENDING TRANSACTIONS
TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
Common Stocks, Rights/Warrants.......... $304,658,223 -- -- -- $304,658,223
J. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Trust's organizational documents, its officers and trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust. In the normal course of business, the Trust enters into
contracts that contain a variety of representations and warranties 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.
K. 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
80
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.
L. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the Series
through the date that the financial statements were issued and has determined
that there are no subsequent events requiring recognition or disclosure in the
financial statements.
81
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of The DFA Investment Trust Company and
Shareholders of The Tax-Managed U.S. Marketwide Value Series:
In our opinion, the accompanying statement of assets and liabilities, including
the summary schedule of portfolio holdings, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of The Tax-Managed
U.S. Marketwide Value Series (constituting a portfolio within The DFA
Investment Trust Company, hereafter referred to as the "Series") as of October
31, 2016, the results of its operations for the year then ended, the changes in
its net assets for each of the two years in the period then ended and the
financial highlights for each of the five years in the period then ended, in
conformity with accounting principles generally accepted in the United States
of America. These financial statements and financial highlights (hereafter
referred to as "financial statements") are the responsibility of the Series'
management. Our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits of these financial
statements in accordance with the standards of the Public Company Accounting
Oversight Board (United States). Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement
presentation. We believe that our audits, which included confirmation of
securities as of October 31, 2016 by correspondence with the custodian, broker
and the transfer agent of the investee fund, provide a reasonable basis for our
opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 20, 2016
82
FUND MANAGEMENT
(UNAUDITED)
TRUSTEES/DIRECTORS
Each Board of Trustees/Directors (each, the "Board" and collectively, the
"Boards") of The DFA Investment Trust Company ("DFAITC"), DFA Investment
Dimensions Group Inc. ("DFAIDG"), Dimensional Investment Group Inc. ("DIG"),
and Dimensional Emerging Markets Value Fund ("DEM") (each, the "Fund" and
collectively, the "Funds") is responsible for establishing the Funds' policies
and for overseeing the management of the Funds. The Trustees/ Directors of the
Funds, including all of the disinterested Trustees/Directors, have adopted
written procedures to monitor potential conflicts of interest that might
develop between portfolios of the Funds (the "Feeder Portfolios") that invest
in certain series of DFAITC or DEM (the "Master Funds").
Each Board has three standing committees: an Audit Committee, a Nominating
Committee, and an Investment Strategy Committee (the "Strategy Committee"). The
Audit Committee is composed of George M. Constantinides, Roger G. Ibbotson, and
Abbie J. Smith. Each member of the Audit Committee is a disinterested
Trustee/Director. The Audit Committee oversees the Fund's accounting and
financial reporting policies and practices, the Fund's internal controls, the
Fund's financial statements and the independent audits thereof and performs
other oversight functions as requested by the Board. The Audit Committee
recommends the appointment of each Fund's independent registered certified
public accounting firm and also acts as a liaison between the Fund's
independent registered certified public accounting firm and the full Board.
There were two Audit Committee meetings held during the fiscal year ended
October 31, 2016.
Each Board's Nominating Committee is composed of George M. Constantinides, John
P. Gould, Roger G. Ibbotson, Myron S. Scholes, Edward P. Lazear, and Abbie J.
Smith. Each member of the Nominating Committee is a disinterested
Trustee/Director. The Nominating Committee for each Board makes recommendations
for nominations of disinterested and interested members on the Board to the
full Board. The Nominating Committee evaluates a candidate's qualification for
Board membership and the independence of such candidate from the Advisor and
other principal service providers. The Nominating Committee did not meet during
the fiscal year ended October 31, 2016.
Each Board's Strategy Committee consists of both interested and disinterested
Trustees/Directors. The Strategy Committee is composed of John P. Gould, Edward
P. Lazear, Myron S. Scholes, and Eduardo A. Repetto. The Strategy Committee
assists the Board in carrying out its fiduciary duties with respect to the
oversight of the Fund and its performance. At the request of the Board or the
Advisor, the Strategy Committee may (i) review the design of possible new
series of the Fund, (ii) review performance of existing portfolios of the Fund
and discuss and recommend possible enhancements to the portfolios' investment
strategies, (iii) review proposals by the Advisor to modify or enhance the
investment strategies or policies of each portfolio, and (iv) consider issues
relating to investment services for each portfolio of the Fund. The Strategy
Committee was formed on December 17, 2010, and there were three Strategy
Committee meetings held during the fiscal year ended October 31, 2016.
Certain biographical information for each disinterested Trustee/Director and
each interested Trustee/Director of the Funds is set forth in the tables below,
including a description of each Trustee/Director's experience as a Trustee/
Director of the Funds and as a director or trustee of other funds, as well as
other recent professional experience.
The statements of additional information (together, "SAI") of the Funds include
additional information about each Trustee/Director. You may obtain copies of
the SAI and prospectus of each Fund advised by Dimensional Fund Advisors LP by
calling collect (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746.
Prospectuses are also available at http://us.dimensional.com.
83
NAME, POSITION PORTFOLIOS WITHIN THE PRINCIPAL OCCUPATION(S) DURING PAST 5
WITH THE FUND, TERM OF OFFICE/1/ AND DFA FUND COMPLEX/2/ YEARS AND OTHER DIRECTORSHIPS OF PUBLIC
ADDRESS AND YEAR OF BIRTH LENGTH OF SERVICE OVERSEEN COMPANIES HELD
------------------------------------------------------------------------------------------------------------------------
DISINTERESTED TRUSTEES/DIRECTORS
------------------------------------------------------------------------------------------------------------------------
George M. Constantinides Since Inception 122 portfolios in 4 Leo Melamed Professor of Finance, The
Director of DFAIDG and DIG. investment companies University of Chicago Booth School of
Trustee of DFAITC and DEM. Business.
The University of Chicago
Booth School of Business
5807 S. Woodlawn Avenue
Chicago, IL 60637
1947
------------------------------------------------------------------------------------------------------------------------
John P. Gould DFAIDG-Since 1986 122 portfolios in 4 Steven G. Rothmeier Professor and
Director of DFAIDG and DIG DIG-Since 1993 investment companies Distinguished Service Professor of
Trustee of DFAITC and DEM DFAITC-Since 1992 Economics, University of Chicago Booth
The University of Chicago DEM-Since 1993 School of Business (since 1965). Member
Booth School of Business and Chair, Competitive Markets Advisory
5807 S. Woodlawn Avenue Council, Chicago Mercantile Exchange
Chicago, IL 60637 (futures trading exchange) (since
1939 2004). Trustee, Harbor Fund (registered
investment company) (29 Portfolios)
(since 1994). Formerly, Member of the
Board of Milwaukee Insurance Company
(1997-2010).
------------------------------------------------------------------------------------------------------------------------
Roger G. Ibbotson DFAIDG-Since 1981 122 portfolios in 4 Professor in Practice of Finance, Yale
Director of DFAIDG and DIG DIG-Since 1993 investment companies School of Management (since 1984).
Trustee of DFAITC and DEM DFAITC-Since 1992 Chairman, CIO and Partner, Zebra
Yale School of Management DEM-Since 1993 Capital Management, LLC (hedge fund and
P.O. Box 208200 asset manager) (since 2001). Consultant
New Haven, CT 06520-8200 to Morningstar Inc. (since 2006).
1943 Formerly, Director, BIRR Portfolio
Analysis, Inc. (sofware Products)
(1990- 2010).
------------------------------------------------------------------------------------------------------------------------
Edward P. Lazear DFAIDG-Since 2010 122 portfolios in 4 Morris Arnold Cox Senior Fellow, Hoover
Director of DFAIDG and DIG DIG-Since 2010 investment companies Institution (since 2002). Jack Steele
Trustee of DFAITC and DEM DFAITC-Since 2010 Parker Professor of Human Resources
Stanford University Graduate DEM-Since 2010 Management and Economics, Graduate
School of Business School of Business, Stanford University
434 Galvez Mall (since 1995). Cornerstone Research
Stanford, CA 94305 (expert testimony and economic and
1948 financial analysis) (since 2009).
Formerly, Chairman of the President
George W. Bush's Council of Economic
Advisors, State of California
(2005-2006). Formerly, Commissioner,
White House Panel on Tax Reform (2005)
------------------------------------------------------------------------------------------------------------------------
Myron S. Scholes DFAIDG-Since 1981 122 portfolios in 4 Chief Investment Strategist, Janus
Director of DFAIDG and DIG DIG-Since 1993 investment companies Capital Group Inc. (since 2014). Frank
Trustee of DFAITC and DEM DFAITC-Since 1992 E. Buck Professor of Finance Emeritus,
c/o Dimensional Fund DEM-Since 1993 Graduate School of Business, Stanford
Advisers, LP University (since 1981). Chairman,
6300 Bee Cave Road Ruapay Inc. (since 2013). Formerly,
Building 1 Chairman, Platinum Grove Asset
Austin, TX 78746 Management, L.P. (hedge fund)
1941 (formerly, Oak Hill Platinum Partners)
(1999-2009). Formerly, Director,
American Centruy Fund Complex
(registered investment companies)
(43 Portfolios) (1980-2014).
------------------------------------------------------------------------------------------------------------------------
Abbie J. Smith DFAIDG-Since 2000 122 portfolios in 4 Boris and Irene Stern Distinguished
Director of DFAIDG and DIG DIG-Since 2000 investment companies Service Professor of Accounting,
Trustee of DFAITC and DEM DFAITC-Since 2000 University of Chicago Booth School of
The University of Chicago DEM-Since 2000 Business (since 1980). Director, HNI
Booth School of Business Corporation (formerly known as HON
5807 S. Woodlawn Avenue Industries Inc.) (office furniture)
Chicago, IL 60637 (since 2000). Director, Ryder System
1953 Inc. (transportation, logistics and
supply-chain management) (since 2003).
Trustee, UBS Funds (4 investment
companies within the fund complex) (33
portfolios) (since 2009). Formerly,
Co-Director Investment Research,
Fundamental Investment Advisors (hedge
fund) (2008-2011).
84
NAME, POSITION PORTFOLIOS WITHIN THE PRINCIPAL OCCUPATION(S) DURING PAST 5
WITH THE FUND, TERM OF OFFICE/1/ AND DFA FUND COMPLEX/2/ YEARS AND OTHER DIRECTORSHIPS OF PUBLIC
ADDRESS AND YEAR OF BIRTH LENGTH OF SERVICE OVERSEEN COMPANIES HELD
-----------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES/DIRECTORS*
-----------------------------------------------------------------------------------------------------------------------
David G. Booth DFAIDG-Since 1981 122 portfolios in 4 Chairman, Director/Trustee, President,
Chairman, Director/Trustee, DIG-Since 1992 investment companies Co-Chief Executive Officer and
President and Co-Chief DFAITC-Since 1992 formerly, Chief Executive Officer
Executive Officer DEM-Since 1993 (until 1/1/2010) of the following
6300 Bee Cave Road companies: Dimensional Holdings Inc.,
Building One Dimensional Fund Advisors LP, DFA
Austin, TX 78746 Securities LLC, DEM, DFAIDG, DIG and
1946 DFAITC (collectively, the "DFA
Entities"). Director of Dimensional
Fund Advisors Ltd. and formerly, Chief
Investment Officer. Director of DFA
Australia Limited and formerly,
President and Chief Investment Officer.
Director of Dimensional Advisors Ltd.,
Dimensional Funds plc and Dimensional
Funds II plc. Formerly, President,
Dimensional SmartNest (US) LLC (2009-
2014). Formerly, Limited Partner, Oak
Hill Partners (2001-2010). Limited
Partner, VSC Investors, LLC (since
2007). Trustee, University of Chicago.
Trustee, University of Kansas Endowment
Association. Formerly, Director, SA
Funds (registered investment company).
Chairman, Director and Co-Chief
Executive Officer of Dimensional Fund
Advisors Canada ULC. Director and
President (since 2012) of Dimensional
Japan Ltd. Chairman, Director,
President, and Co-Chief Executive
Officer of Dimensional Cayman Commodity
Fund I Ltd. (since 2010).
-----------------------------------------------------------------------------------------------------------------------
Eduardo A. Repetto DFAIDG-Since 2009 122 portfolios in 4 Co-Chief Executive Officer (beginning
Director/Trustee, Co-Chief DIG-Since 2009 investment companies January 2010), Co-Chief Investment
Executive Officer and Co- DFAITC-Since 2009 Officer (since June 2014),
Chief Investment Officer DEM-Since 2009 Director/Trustee, and formerly, Chief
6300 Bee Cave Road, Investment Officer (March 2007-June
Building One 2014) of the DFA Entities. Director,
Austin, TX 78746 Co-Chief Executive Officer and Chief
1967 Investment Officer (since 2010) of
Dimensional Cayman Commodity Fund I
Ltd. Director, Co-Chief Executive
Officer, President and Co-Chief
Investment Officer of Dimensional Fund
Advisors Canada ULC and formerly, Chief
Investment Officer (until April 2014).
Co-Chief Investment Officer, Vice
President, and Director of DFA
Australia Limited and formerly, Chief
Investment Officer (until April 2014).
Director of Dimensional Fund Advisors
Ltd., Dimensional Funds plc,
Dimensional Funds II plc and
Dimensional Advisors Ltd. Formerly,
Vice President of the DFA Entities and
Dimensional Fund Advisors Canada ULC.
Director and Chief Investment Officer
(since December 2012) of Dimensional
Japan Ltd.
/1/ Each Trustee/Director holds office for an indefinite term until his or her
successor is elected and qualified.
/2/ Each Trustee/Director is a director or trustee of each of the four
registered investment companies within the DFA Fund Complex, which includes
the DFAIDG, DIG, DFAITC and DEM. Each disinterested Trustee/Director also
serves on the Independent Review Committee of the Dimensional Funds, mutual
funds registered in the provinces of Canada and managed by an affiliate of
Dimensional Fund Advisors LP (the "Advisor"), Dimensional Fund Advisors
Canada ULC.
* Interested Trustees/Directors are described as such because they are deemed
to be "interested persons," as that term is defined under the Investment
Company Act of 1940, as amended, due to their positions with the Advisor.
85
OFFICERS
Below is the name, year of birth, information regarding positions with the
Funds and the principal occupation for each officer of the Funds. The address
of each officer is 6300 Bee Cave Road, Building One, Austin, TX 78746. Each of
the officers listed below holds the same office (except as otherwise noted) in
the DFA Entities.
TERM OF OFFICE/1/
AND LENGTH OF
NAME AND YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
---------------------------------------------------------------------------------------------------------------------
April A. Aandal Vice President Since 2008 Vice President of all the DFA Entities.
1963
---------------------------------------------------------------------------------------------------------------------
Robyn G. Alcorta Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1974 Vice President, Business Development at Capson
Physicians Insurance Company (2010-2012).
---------------------------------------------------------------------------------------------------------------------
Magdalia S. Armstrong Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1977 Regional Director for Dimensional Fund Advisors LP
(January 2011-January 2016).
---------------------------------------------------------------------------------------------------------------------
Darryl D. Avery Vice President Since 2005 Vice President of all the DFA Entities.
1966
---------------------------------------------------------------------------------------------------------------------
Arthur H. Barlow Vice President Since 1993 Vice President of all the DFA Entities. Director and
1955 Managing Director of Dimensional Fund Advisors Ltd
(since September 2013). Director of Dimensional
Funds plc and Dimensional Funds II plc (since
November 2013).
---------------------------------------------------------------------------------------------------------------------
Lana Bergstein Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1974 Client Service Manager for Dimensional Fund
Advisors LP (February 2008-January 2014).
---------------------------------------------------------------------------------------------------------------------
Stanley W. Black Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1970 Senior Research Associate (January 2012-January
2014) and Research Associate (2006-2011) for
Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------------
Aaron T. Borders Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1973 Regional Director for Dimensional Fund Advisors LP
(April 2008-January 2014).
---------------------------------------------------------------------------------------------------------------------
Scott A. Bosworth Vice President Since 2007 Vice President of all the DFA Entities.
1968
---------------------------------------------------------------------------------------------------------------------
Valerie A. Brown Vice President and Since 2001 Vice President and Assistant Secretary of all the
1967 Assistant Secretary DFA Entities, DFA Australia Limited, Dimensional
Fund Advisors Ltd., Dimensional Cayman
Commodity Fund I Ltd., Dimensional Fund Advisors
Pte. and Dimensional Hong Kong Limited. Director,
Vice President, Director and Assistant Secretary of
Dimensional Fund Advisors Canada ULC.
---------------------------------------------------------------------------------------------------------------------
David P. Butler Vice President Since 2007 Vice President of all the DFA Entities. Head of
1964 Global Financial Services for Dimensional Fund
Advisors LP (since 2008).
---------------------------------------------------------------------------------------------------------------------
Douglas M. Byrkit Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1970 Regional Director for Dimensional Fund Advisors LP
(December 2010-January 2012).
---------------------------------------------------------------------------------------------------------------------
Hunt M. Cairns Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1973 Regional Director (January 2010-January 2014) for
Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------------
David K. Campbell Vice President Since 2016 Vice President of all the DFA Entities. Formerly, DC
1966 Relationship Manager for Dimensional Fund
Advisors LP (October 2010-January 2016).
---------------------------------------------------------------------------------------------------------------------
Dennis M. Chamberlain Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1972 Regional Director (January 2012-January 2015) for
Dimensional Fund Advisors LP; Principal for
Chamberlain Financial Group (October 2010-
December 2011).
---------------------------------------------------------------------------------------------------------------------
86
TERM OF OFFICE/1/
AND LENGTH OF
NAME AND YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
---------------------------------------------------------------------------------------------------------------------
Ryan J. Chaplinski Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1971 Regional Director (June 2011-January 2015) for
Dimensional Fund Advisors LP; Sales Executive for
Vanguard (2004-June 2011).
---------------------------------------------------------------------------------------------------------------------
James G. Charles Vice President Since 2011 Vice President of all the DFA Entities.
1956
---------------------------------------------------------------------------------------------------------------------
Joseph H. Chi Vice President Since 2009 Vice President of all the DFA Entities. Co-Head of
1966 Portfolio Management (since March 2012) and
Senior Portfolio Manager (since January 2012) for
Dimensional Fund Advisors LP. Vice President of
Dimensional Fund Advisors Canada ULC (since April
2016). Formerly, Portfolio Manager for Dimensional
Fund Advisors LP (October 2005 to January 2012).
---------------------------------------------------------------------------------------------------------------------
Pil Sun Choi Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1972 Counsel for Dimensional Fund Advisors LP (April
2012-January 2014); Vice President and Counsel for
AllianceBernstein L.P. (2006-2012).
---------------------------------------------------------------------------------------------------------------------
Stephen A. Clark Vice President Since 2004 Vice President of all the DFA Entities. Director and
1972 Vice President of Dimensional Japan Ltd (since
February 2016). President and Director of
Dimensional Fund Advisors Canada ULC (since
February 2016), Vice President of DFA Australia
Limited (since April 2008) and Director (since
Oct 2016). Director of Dimensional Advisors Ltd,
Dimensional Fund Advisors Pte. Ltd., and
Dimensional Hong Kong Limited, (since April 2016),
Vice President of Dimensional Fund Advisors Pte
Ltd. (since June 2016), Head of Global Institutional
Services for Dimensional Fund Advisors LP (since
January 2014). Formerly, Vice President of
Dimensional Fund Advisors Canada ULC (December
2010-February 2016); Head of Institutional, North
America (March 2012 to December 2013) and Head
of Portfolio Management (January 2006 to March
2012) for Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------------
Matthew B. Cobb Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1971 Regional Director for Dimensional Fund Advisors LP
(September 2011-March 2013); Vice President at
MullinTBG (2005-2011).
---------------------------------------------------------------------------------------------------------------------
Rose C. Cooke Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1971 Regional Director for Dimensional Fund Advisors LP
(August 2010-March 2014).
---------------------------------------------------------------------------------------------------------------------
Ryan Cooper Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1979 Regional Director for Dimensional Fund Advisors LP
(2003-March 2014).
---------------------------------------------------------------------------------------------------------------------
Jeffrey D. Cornell Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1976 Regional Director for Dimensional Fund Advisors LP
(August 2002-January 2012).
---------------------------------------------------------------------------------------------------------------------
Robert P. Cornell Vice President Since 2007 Vice President of all the DFA Entities.
1949
---------------------------------------------------------------------------------------------------------------------
John W. Crill (Wes) Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1982 Senior Associate, Research (January 2015-January
2016); Associate, Research (January 2014-January
2015); Analyst, Research (July 2010-January 2014)
for Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------------
Christopher S. Crossan Vice President and Since 2004 Vice President and Global Chief Compliance Officer
1965 Global Chief of all the DFA Entities, DFA Australia Limited and
Compliance Officer Dimensional Fund Advisors Ltd. Chief Compliance
Officer and Chief Privacy Officer of Dimensional Fund
Advisors Canada ULC, Chief Compliance Officer of
Dimensional Fund Advisors Pte. Ltd. Formerly, Vice
President and Global Chief Compliance Officer for
Dimensional SmartNest (US) LLC (October 2010-
2014).
---------------------------------------------------------------------------------------------------------------------
87
TERM OF OFFICE/1/
AND LENGTH OF
NAME AND YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
----------------------------------------------------------------------------------------------------------------------
John T. Curnutte Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1980 Manager, Research Systems (November 2012-
January 2016) for Dimensional Fund Advisors LP;
Assistant Vice President, Oaktree Capital
Management (April 2011-October 2012).
----------------------------------------------------------------------------------------------------------------------
John Dashtara Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1980 Regional Director (July 2013-January 2015) for
Dimensional Fund Advisors LP; Relationship
Manager for Blackrock, Inc. (July 2011-July 2013);
Vice President for Towers Watson (formerly,
WellsCanning) (June 2009-July 2011).
----------------------------------------------------------------------------------------------------------------------
James L. Davis Vice President Since 1999 Vice President of all the DFA Entities.
1956
----------------------------------------------------------------------------------------------------------------------
Robert T. Deere Vice President Since 1994 Vice President of all the DFA Entities, DFA Australia
1957 Limited and Dimensional Fund Advisors Canada
ULC.
----------------------------------------------------------------------------------------------------------------------
Johnathon K. DeKinder Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1979 Regional Director (January 2012-January 2014) and
Senior Associate (August 2010-December 2011) for
Dimensional Fund Advisors LP.
----------------------------------------------------------------------------------------------------------------------
Mark J. Dennis Vice President Since 2015 Vice President of all DFA Entities. Formerly,
1976 Regional Director (May 2011-January 2015) for
Dimensional Fund Advisors LP; Vice President,
Portfolio Specialist (January 2007-May 2011) for
Morgan Stanley Investment Management.
----------------------------------------------------------------------------------------------------------------------
Massimiliano DeSantis Vice President Since 2015 Vice President of all DFA Entities. Formerly, Senior
1971 Associate, Research (November 2012-January
2015) for Dimensional Fund Advisors LP; Senior
Consultant, NERA Economic Consulting, New York
(May 2010-November 2012).
----------------------------------------------------------------------------------------------------------------------
Peter F. Dillard Vice President Since 2010 Vice President of all the DFA Entities. Chief Data
1972 Officer for Dimensional Fund Advisors LP (since
January 2016).
----------------------------------------------------------------------------------------------------------------------
Robert W. Dintzner Vice President Since 2001 Vice President of all the DFA Entities.
1970
----------------------------------------------------------------------------------------------------------------------
Karen M. Dolan Vice President Since 2014 Vice President of all the DFA Entities. Head of
1979 Marketing for Dimensional Fund Advisors LP (since
February 2013). Formerly, Senior Manager of
Research and Marketing for Dimensional Fund
Advisors LP (June 2012-January 2013); Director of
Mutual Fund Analysis at Morningstar (January 2008-
May 2012).
----------------------------------------------------------------------------------------------------------------------
L. Todd Erskine Vice President Since 2015 Vice President of all DFA Entities. Formerly,
1959 Regional Director (May 2008-January 2015) for
Dimensional Fund Advisors LP.
----------------------------------------------------------------------------------------------------------------------
Richard A. Eustice Vice President and Since 1998 Vice President and Assistant Secretary of all the
1965 Assistant Secretary DFA Entities and DFA Australia Limited. Chief
Operating Officer for Dimensional Fund Advisors
Pte. Ltd. (since April 2013). Formerly, Chief
Operating Officer for Dimensional Fund Advisors Ltd.
(July 2008-March 2013).
----------------------------------------------------------------------------------------------------------------------
Gretchen A. Flicker Vice President Since 2004 Vice President of all the DFA Entities.
1971
----------------------------------------------------------------------------------------------------------------------
Jed S. Fogdall Vice President Since 2008 Vice President of all the DFA Entities. Co-Head of
1974 Portfolio Management (since March 2012) and
Senior Portfolio Manager (since January 2012) of
Dimensional Fund Advisors LP. Vice President of
Dimensional Fund Advisors Canada ULC (since April
2016). Formerly, Portfolio Manager of Dimensional
Fund Advisors LP (September 2004-January 2012).
----------------------------------------------------------------------------------------------------------------------
88
TERM OF OFFICE/1/
AND LENGTH OF
NAME AND YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
-------------------------------------------------------------------------------------------------------------------------
Edward A. Foley Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1976 Regional Director for Dimensional Fund Advisors LP
(August 2011-January 2014); Senior Vice President
of First Trust Advisors L.P. (2007-July 2011).
-------------------------------------------------------------------------------------------------------------------------
Deborah J.G. Foster Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1959 Senior Associate (May 2011-January 2015) for
Dimensional Fund Advisors LP.
-------------------------------------------------------------------------------------------------------------------------
Jeremy P. Freeman Vice President Since 2009 Vice President of all the DFA Entities.
1970
-------------------------------------------------------------------------------------------------------------------------
Kimberly A. Ginsburg Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1970 Vice President for Dimensional SmartNest (US) LLC
(January 2012-November 2014); Senior Vice
President for Morningstar (July 2004-July 2011).
-------------------------------------------------------------------------------------------------------------------------
Mark R. Gochnour Vice President Since 2007 Vice President of all the DFA Entities.
1967
-------------------------------------------------------------------------------------------------------------------------
Tom M. Goodrum Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1968 Managing Director at BlackRock (2004-January
2012).
-------------------------------------------------------------------------------------------------------------------------
Henry F. Gray Vice President Since 2000 Vice President of all the DFA Entities.
1967
-------------------------------------------------------------------------------------------------------------------------
John T. Gray Vice President Since 2007 Vice President of all the DFA Entities.
1974
-------------------------------------------------------------------------------------------------------------------------
Christian Gunther Vice President Since 2011 Vice President of all the DFA Entities. Senior Trader
1975 for Dimensional Fund Advisors LP (since 2012).
Formerly, Senior Trader (2009-2012).
-------------------------------------------------------------------------------------------------------------------------
Robert W. Hawkins Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1974 Counsel for Dimensional Fund Advisors LP (January
2011-January 2014).
-------------------------------------------------------------------------------------------------------------------------
Joel H. Hefner Vice President Since 2007 Vice President of all the DFA Entities.
1967
-------------------------------------------------------------------------------------------------------------------------
Kevin B. Hight Vice President Since 2005 Vice President of all the DFA Entities.
1967
-------------------------------------------------------------------------------------------------------------------------
Gregory K. Hinkle Vice President, Chief Since 2016 Vice President, Chief Financial Officer, and
1958 Financial Officer, and Treasurer of all the DFA Entities. Interim Chief
Treasurer Financial Officer, interim Treasurer and Vice
President of Dimensional Advisors Ltd., Dimensional
Hong Kong Limited, Dimensional Cayman
Commodity Fund I Ltd., Dimensional Fund Advisors
Canada ULC, Dimensional Fund Advisors Pte. Ltd,
DFA Australia Ltd. Formerly, interim Chief Financial
Officer and interim Treasurer (April 2016-September
2016), and Controller (August 2015-September
2016) of all the DFA Entities); Vice President of T.
Rowe Price Group, Inc. and Director of Investment
Treasury and Treasurer of the T. Rowe Price Funds
(March 2008-July 2015).
-------------------------------------------------------------------------------------------------------------------------
Christine W. Ho Vice President Since 2004 Vice President of all the DFA Entities.
1967
-------------------------------------------------------------------------------------------------------------------------
Michael C. Horvath Vice President Since 2011 Vice President of all the DFA Entities. Formerly,
1960 Managing Director, Co-Head Global Consultant
Relations at BlackRock (2004-2011).
-------------------------------------------------------------------------------------------------------------------------
Mark A. Hunter Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1971 Senior Compliance Officer (November 2010-January
2015) for Dimensional Fund Advisors LP.
-------------------------------------------------------------------------------------------------------------------------
Alan R. Hutchison Vice President Since 2016 Vice President of all the DFA Entities. Portfolio
1977 Manager for Dimensional Fund Advisors LP (January
2013-Present). Formerly, Investment Associate for
Dimensional Fund Advisors LP (January 2010-
January 2013).
-------------------------------------------------------------------------------------------------------------------------
89
TERM OF OFFICE/1/
AND LENGTH OF
NAME AND YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
-----------------------------------------------------------------------------------------------------------------
Shahryar S. Jaberzadeh Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1983 Regional Director for Dimensional Fund Advisors LP
(April 2006-January 2016).
-----------------------------------------------------------------------------------------------------------------
Jeremy R. James Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1977 Manager, IT Service Management (October 2014-
January 2016); Manager, Managed DC Systems
(October 2005-October 2014) for Dimensional Fund
Advisors LP.
-----------------------------------------------------------------------------------------------------------------
Jeff J. Jeon Vice President Since 2004 Vice President of all the DFA Entities and
1973 Dimensional Cayman Commodity Fund I Ltd.
-----------------------------------------------------------------------------------------------------------------
Garret D. Jones Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1971 Manager of Sales and Marketing Systems
(January 2011-January 2014) for Dimensional Fund
Advisors LP.
-----------------------------------------------------------------------------------------------------------------
Stephen W. Jones Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1968 Facilities Manager for Dimensional Fund Advisors
LP (October 2008-January 2012).
-----------------------------------------------------------------------------------------------------------------
Scott P. Kaup Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1975 Senior Manager, Investment Operations
(January 2014-January 2015) and Investment
Operations Manager (May 2008-January 2014) for
Dimensional Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------------
David M. Kavanaugh Vice President Since 2014 Vice President of all the DFA Entities. Head of
1978 Operations for Financial Advisor Services for
Dimensional Fund Advisors LP (since
July 2014). Formerly, Counsel of Dimensional Fund
Advisors LP (August 2011-January 2014); Associate
at Andrews Kurth LLP (2006-2011).
-----------------------------------------------------------------------------------------------------------------
Patrick M. Keating Vice President Since 2003 Vice President of DFAIDG, DIG, DFAITC, DEM,
1954 Dimensional Holdings Inc., Dimensional Fund
Advisors LP and Dimensional Japan Ltd.
Chief Operating Officer and Director of Dimensional
Japan Ltd. Formerly, Vice President of DFA
Securities LLC, Dimensional Cayman Commodity
Fund I Ltd. and Dimensional Advisors Ltd (until
February 2015); Chief Operating Officer of
Dimensional Holdings Inc., DFA Securities LLC,
Dimensional Fund Advisors LP, Dimensional
Cayman Commodity Fund I Ltd., Dimensional
Advisors Ltd. and Dimensional Fund Advisors Pte.
Ltd. (until February 2015); Director, Vice President,
and Chief Privacy Officer of Dimensional Fund
Advisors Canada ULC (until February 2015); Director
of DFA Australia Limited, Dimensional Fund
Advisors Ltd. and Dimensional Advisors Ltd. (until
February 2015); and Director and Vice President of
Dimensional Hong Kong Limited and Dimensional
Fund Advisors Pte. Ltd. (until February 2015).
-----------------------------------------------------------------------------------------------------------------
Andrew K. Keiper Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1977 Regional Director for Dimensional Fund Advisors LP
(October 2004-January 2013).
-----------------------------------------------------------------------------------------------------------------
David M. Kershner Vice President Since 2010 Vice President of all the DFA Entities. Portfolio
1971 Manager for Dimensional Fund Advisors LP (since
June 2004).
-----------------------------------------------------------------------------------------------------------------
Arun C. Keswani Vice President Since 2016 Vice President of all the DFA Entities. Senior
1975 Portfolio Manager for Dimensional Fund Advisors LP
(January 2015-Present). Formerly, Portfolio Manager
(January 2013-January 2015) and Investment
Associate (October 2011-January 2013) for
Dimensional Fund Advisors LP; Investment Banking
Associate at Morgan Stanley (August 2010-
September 2011).
-----------------------------------------------------------------------------------------------------------------
90
TERM OF OFFICE/1/
AND LENGTH OF
NAME AND YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
------------------------------------------------------------------------------------------------------------------
Kimberly L. Kiser Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1972 Creative Director for Dimensional Fund Advisors LP
(September 2012-January 2014); Vice President and
Global Creative Director at Morgan Stanley (2007-
2012); Visiting Assistant Professor, Graduate
Communications Design at Pratt Institute (2004-
2012).
------------------------------------------------------------------------------------------------------------------
Natalia Y. Knych Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1971 Manager, RFP, Institutional (January 2015-
January 2016); Senior Associate, Institutional (April
2007-January 2015) for Dimensional Fund Advisors
LP.
------------------------------------------------------------------------------------------------------------------
Timothy R. Kohn Vice President Since 2011 Vice President of all the DFA Entities. Head of
1971 Defined Contribution Sales for Dimensional Fund
Advisors LP (since August 2010).
------------------------------------------------------------------------------------------------------------------
Joseph F. Kolerich Vice President Since 2004 Vice President of all the DFA Entities. Senior
1971 Portfolio Manager of Dimensional Fund Advisors LP
(since January 2012). Formerly, Portfolio Manager
for Dimensional (April 2001-January 2012).
------------------------------------------------------------------------------------------------------------------
Mark D. Krasniewski Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1981 Senior Associate, Investment Analytics and Data
(January 2012-December 2012) and Systems
Developer (June 2007-December 2011) for
Dimensional Fund Advisors LP.
------------------------------------------------------------------------------------------------------------------
Kahne L. Krause Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1966 Regional Director (May 2010-January 2014) for
Dimensional Fund Advisors LP.
------------------------------------------------------------------------------------------------------------------
Stephen W. Kurad Vice President Since 2011 Vice President of all the DFA Entities.
1968
------------------------------------------------------------------------------------------------------------------
Michael F. Lane Vice President Since 2004 Vice President of all the DFA Entities. Formerly,
1967 Chief Executive Officer for Dimensional SmartNest
(US) LLC (July 2012-November 2014).
------------------------------------------------------------------------------------------------------------------
Francis R. Lao Vice President Since 2011 Vice President of all the DFA Entities. Formerly, Vice
1969 President-Global Operations at Janus Capital Group
(2005-2011).
------------------------------------------------------------------------------------------------------------------
David F. LaRusso Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1978 Senior Trader (January 2010-December 2012) for
Dimensional Fund Advisors LP.
------------------------------------------------------------------------------------------------------------------
Juliet H. Lee Vice President Since 2005 Vice President of all the DFA Entities.
1971
------------------------------------------------------------------------------------------------------------------
Marlena I. Lee Vice President Since 2011 Vice President of all the DFA Entities.
1980
------------------------------------------------------------------------------------------------------------------
Paul A. Lehman Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1971 Regional Director (July 2013-January 2015) for
Dimensional Fund Advisors LP; Chief Investment
Officer (April 2005-April 2013) for First Citizens
Bancorporation.
------------------------------------------------------------------------------------------------------------------
John B. Lessley Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1960 Regional Director for Dimensional Fund Advisors LP
(January 2008-January 2013).
------------------------------------------------------------------------------------------------------------------
Joy L. Lopez Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1971 Senior Tax Manager (February 2013-January 2015)
for Dimensional Fund Advisors LP; Vice President
and Tax Manager, North America (August 2006-April
2012) for Pacific Investment Management Company.
------------------------------------------------------------------------------------------------------------------
Apollo D. Lupescu Vice President Since 2009 Vice President of all the DFA Entities.
1969
------------------------------------------------------------------------------------------------------------------
Timothy P. Luyet Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1972 Senior Manager, Marketing Operations
(January 2014-January 2015), Manager, Client
Systems (October 2011-January 2014) and RFP
Manager (April 2010-October 2011) for Dimensional
Fund Advisors LP.
------------------------------------------------------------------------------------------------------------------
91
TERM OF OFFICE/1/
AND LENGTH OF
NAME AND YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
---------------------------------------------------------------------------------------------------------------------------
Peter Magnusson Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1969 Regional Director for Dimensional Fund Advisors LP
(January 2011-January 2014).
---------------------------------------------------------------------------------------------------------------------------
Kenneth M. Manell Vice President Since 2010 Vice President of all the DFA Entities and
1972 Dimensional Cayman Commodity Fund I Ltd.
---------------------------------------------------------------------------------------------------------------------------
Aaron M. Marcus Vice President Since 2008 Vice President of all DFA Entities and Head of
1970 Global Human Resources for Dimensional Fund
Advisors LP.
---------------------------------------------------------------------------------------------------------------------------
Duane R. Mattson Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1965 Senior Compliance Officer (May 2012-January 2015)
for Dimensional Fund Advisors LP; Chief
Compliance Officer (April 2010-April 2012) for Al
Frank Asset Management.
---------------------------------------------------------------------------------------------------------------------------
Bryan R. McClune Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1975 Regional Director of Dimensional Fund Advisors LP
(January 2009-January 2014).
---------------------------------------------------------------------------------------------------------------------------
Philip P. McInnis Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1984 Regional Director (January 2009-January 2014) and
Senior Associate (2011) for Dimensional Fund
Advisors LP.
---------------------------------------------------------------------------------------------------------------------------
Francis L. McNamara Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1959 Manager, Project Management Office for
Dimensional Fund Advisors LP (October 2006-
January 2016).
---------------------------------------------------------------------------------------------------------------------------
Travis A. Meldau Vice President Since 2015 Vice President of all the DFA Entities. Portfolio
1981 Manager (since September 2011) for Dimensional
Fund Advisors LP. Formerly, Portfolio Manager for
Wells Capital Management (October 2004-
September 2011).
---------------------------------------------------------------------------------------------------------------------------
Tracy R. Mitchell Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1974 Regional Director for Dimensional Fund Advisors LP
(September 2013-January 2016); Managing Director,
Client Services, Charles Schwab (December 2009-
August 2013).
---------------------------------------------------------------------------------------------------------------------------
Jonathan G. Nelson Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1971 Manager, Investment Systems (2011-January 2013)
for Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------------------
Catherine L. Newell Vice President and Vice President since 1997 Vice President and Secretary of all the DFA
1964 Secretary and Secretary since 2000 Entities. Director, Vice President and Secretary of
DFA Australia Limited and Dimensional Fund
Advisors Ltd. (since February 2002, April 1997, and
May 2002, respectively). Vice President and
Secretary of Dimensional Fund Advisors Canada
ULC (since June 2003), Dimensional Cayman
Commodity Fund I Ltd., Dimensional Japan Ltd
(since February 2012), Dimensional Advisors Ltd
(since March 2012), Dimensional Fund Advisors Pte.
Ltd. (since June 2012). Director of Dimensional
Funds plc and Dimensional Funds II plc (since 2002
and 2006, respectively). Director of Dimensional
Japan Ltd., Dimensional Advisors Ltd., Dimensional
Fund Advisors Pte. Ltd. and Dimensional Hong Kong
Limited (since August 2012 and July 2012).
Formerly, Vice President and Secretary of
Dimensional SmartNest (US) LLC (October 2010-
November 2014).
---------------------------------------------------------------------------------------------------------------------------
John R. Nicholson Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1977 Regional Director (June 2011-January 2015) for
Dimensional Fund Advisors LP; Sales Executive for
Vanguard (July 2008-May 2011).
---------------------------------------------------------------------------------------------------------------------------
Pamela B. Noble Vice President Since 2011 Vice President of all the DFA Entities. Formerly,
1964 Portfolio Manager for Dimensional Fund Advisors LP
(2008-2010).
---------------------------------------------------------------------------------------------------------------------------
92
TERM OF OFFICE/1/
AND LENGTH OF
NAME AND YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
------------------------------------------------------------------------------------------------------------------------------
Selwyn Notelovitz Vice President and Since 2013 Vice President and Deputy Chief Compliance Officer
1961 Deputy Chief of all the DFA Entities. Deputy Chief Compliance
Compliance Officer Officer of Dimensional Fund Advisors LP (since
December 2012). Formerly, Chief Compliance
Officer of Wellington Management Company, LLP
(2004-2011).
------------------------------------------------------------------------------------------------------------------------------
Carolyn L. O Vice President Since 2010 Vice President of all the DFA Entities, Dimensional
1974 Cayman Commodity Fund I Ltd., and Dimensional
Fund Advisors Canada ULC (since April
2016). Deputy General Counsel, Funds (since 2011).
------------------------------------------------------------------------------------------------------------------------------
Gerard K. O'Reilly Vice President and Vice President since 2007 Vice President and Co-Chief Investment Officer of all
1976 Co-Chief Investment and Co-Chief Investment the DFA Entities, Dimensional Fund Advisors
Officer Officer since 2014 Canada ULC, and Dimensional Japan Ltd. Director
of Dimensional Funds plc and Dimensional Fund II
plc.
------------------------------------------------------------------------------------------------------------------------------
Randy C. Olson Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1980 Senior Compliance Officer for Dimensional Fund
Advisors LP (July 2014-January 2016);
Vice President Regional Head of Investment
Compliance, Asia, PIMCO Asia Private Limited (July
2012-July 2014); Country Compliance Officer, Janus
Capital, Singapore Private Limited (May 2011-
June 2012).
------------------------------------------------------------------------------------------------------------------------------
Daniel C. Ong Vice President Since 2009 Vice President of all the DFA Entities. Portfolio
1973 Manager for Dimensional Fund Advisors LP (since
July 2005).
------------------------------------------------------------------------------------------------------------------------------
Kyle K. Ozaki Vice President Since 2010 Vice President of all the DFA Entities.
1978
------------------------------------------------------------------------------------------------------------------------------
Matthew A. Pawlak Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1977 Regional Director for Dimensional Fund Advisors LP
(2012-January 2013); Senior Consultant (June 2011-
December 2011) and Senior Investment Analyst and
Consultant (July 2008-June 2011) at Hewitt
EnnisKnupp.
------------------------------------------------------------------------------------------------------------------------------
Mary T. Phillips Vice President Since 2016 Vice President of all the DFA Entities. Senior
1981 Portfolio Manager (January 2015-present). Formerly,
Portfolio Manager (April 2014-January 2015) and
Investment Associate for Dimensional Fund Advisors
LP (July 2012-March 2014).
------------------------------------------------------------------------------------------------------------------------------
Jeffrey L. Pierce Vice President Since 2015 Vice President of all the DFA Entities. Senior
1984 Manager, Advisor Benchmarking (since January
2015) for Dimensional Fund Advisors LP. Formerly,
Manager, Advisor Benchmarking (April 2012-
December 2014) for Dimensional Fund Advisors LP;
Senior Manager, Research and Consulting (October
2010-April 2012) for Crain Communications Inc.
------------------------------------------------------------------------------------------------------------------------------
Olivian T. Pitis Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1974 Regional Director (May 2011-January 2015) for
Dimensional Fund Advisors LP.
------------------------------------------------------------------------------------------------------------------------------
Brian P. Pitre Vice President Since 2015 Vice President of all the DFA Entities. Counsel for
1976 Dimensional Fund Advisors LP (since
February 2015). Formerly, Chief Financial Officer
and General Counsel for Relentless (March 2014-
January 2015); Vice President of all the DFA Entities
(January 2013-March 2014); Counsel for
Dimensional Fund Advisors LP (January 2009-
March 2014).
------------------------------------------------------------------------------------------------------------------------------
David A. Plecha Vice President Since 1993 Vice President of all the DFA Entities, DFA Australia
1961 Limited, Dimensional Fund Advisors Ltd. and
Dimensional Fund Advisors Canada ULC.
------------------------------------------------------------------------------------------------------------------------------
Allen Pu Vice President Since 2011 Vice President of all the DFA Entities. Senior
1970 Portfolio Manager for Dimensional Fund Advisors LP
(since January 2015). Formerly, Portfolio Manager
for Dimensional Fund Advisors LP (2006-
January 2015).
------------------------------------------------------------------------------------------------------------------------------
93
TERM OF OFFICE/1/
AND LENGTH OF
NAME AND YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
--------------------------------------------------------------------------------------------------------------
David J. Rapozo Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1967 Regional Director for Dimensional Fund Advisors LP
(January 2011-January 2014).
--------------------------------------------------------------------------------------------------------------
Mark A. Regier Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1969 Planning and Analysis Manager for Dimensional
Fund Advisors LP (July 2007-January 2014).
--------------------------------------------------------------------------------------------------------------
Cory T. Riedberger Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1979 Regional Director (March 2011-January 2015) for
Dimensional Fund Advisors LP.
--------------------------------------------------------------------------------------------------------------
Savina B. Rizova Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1981 Research Associate (June 2011-January 2012) for
Dimensional Fund Advisors LP.
--------------------------------------------------------------------------------------------------------------
Michael F. Rocque Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1968 Senior Fund Accounting Manager (July 2013-
January 2015) for Dimensional Fund Advisors LP;
Senior Financial Consultant and Chief Accounting
Officer (July 2002-July 2013) for MFS Investment
Management.
--------------------------------------------------------------------------------------------------------------
L. Jacobo Rodriguez Vice President Since 2005 Vice President of all the DFA Entities.
1971
--------------------------------------------------------------------------------------------------------------
Austin S. Rosenthal Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1978 Vice President for Dimensional SmartNest (US) LLC
(September 2010-November 2014).
--------------------------------------------------------------------------------------------------------------
Oliver J. Rowe Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1960 Senior Manager, Human Resources for Dimensional
Fund Advisors LP (January 2012-January 2014);
Director of Human Resources at Spansion, Inc.
(March 2009-December 2011).
--------------------------------------------------------------------------------------------------------------
Joseph S. Ruzicka Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1987 Manager Investment Analytics and Data
(January 2014-January 2015), Senior Associate,
Investment Analytics and Data (January 2013-
January 2014), Associate, Investment Analytics and
Data (January 2012-January 2013), and Investment
Data Analyst (April 2010-January 2012) for
Dimensional Fund Advisors LP.
--------------------------------------------------------------------------------------------------------------
Julie A. Saft Vice President Since 2010 Vice President of all the DFA Entities.
1959
--------------------------------------------------------------------------------------------------------------
Joel P. Schneider Vice President Since 2015 Vice President of all the DFA Entities. Portfolio
1980 Manager (since 2013) for Dimensional Fund
Advisors LP. Formerly, Investment Associate
(April 2011-January 2013) for Dimensional Fund
Advisors LP.
--------------------------------------------------------------------------------------------------------------
Ashish Shrestha Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1978 Regional Director (September 2009-January 2015)
for Dimensional Fund Advisors LP.
--------------------------------------------------------------------------------------------------------------
Bruce A. Simmons Vice President Since 2009 Vice President of all the DFA Entities.
1965
--------------------------------------------------------------------------------------------------------------
Ted R. Simpson Vice President Since 2007 Vice President of all the DFA Entities.
1968
--------------------------------------------------------------------------------------------------------------
Bhanu P. Singh Vice President Since 2014 Vice President of all the DFA Entities. Senior
1981 Portfolio Manager for Dimensional Fund Advisors LP
(since January 2015). Formerly, Portfolio Manager
(January 2012-January 2015) and Investment
Associate for Dimensional Fund Advisors LP (August
2010-December 2011).
--------------------------------------------------------------------------------------------------------------
Bryce D. Skaff Vice President Since 2007 Vice President of all the DFA Entities.
1975
--------------------------------------------------------------------------------------------------------------
Lukas J. Smart Vice President Since 2014 Vice President of all the DFA Entities. Portfolio
1977 Manager of Dimensional Fund Advisors LP (since
January 2010).
--------------------------------------------------------------------------------------------------------------
94
TERM OF OFFICE/1/
AND LENGTH OF
NAME AND YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
-----------------------------------------------------------------------------------------------------------------
Andrew D. Smith Vice President Since 2011 Vice President of all the DFA Entities.
1968
-----------------------------------------------------------------------------------------------------------------
Grady M. Smith Vice President Since 2004 Vice President of all the DFA Entities and
1956 Dimensional Fund Advisors Canada ULC.
-----------------------------------------------------------------------------------------------------------------
Matthew Snider Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1976 Regional Director for Dimensional Fund Advisors LP
(September 2011-January 2016); Sales Executive,
Vanguard (May 2008-August 2011).
-----------------------------------------------------------------------------------------------------------------
Lawrence R. Spieth Vice President Since 2004 Vice President of all the DFA Entities.
1947
-----------------------------------------------------------------------------------------------------------------
Charlene L. St. John Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1965 Senior Manager for Dimensional Fund Advisors LP
(September 2014-January 2016); Vice President of
Marketing, Forward Management/Salient
(January 2008-February 2014).
-----------------------------------------------------------------------------------------------------------------
Brent M. Stone Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1971 Project Manager (September 2012-December 2015)
and Manager, Corporate Systems for Dimensional
Fund Advisors LP (January 2011-September 2012).
-----------------------------------------------------------------------------------------------------------------
Richard H. Tatlow V Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1971 Regional Director for Dimensional Fund Advisors LP
(April 2010-January 2013).
-----------------------------------------------------------------------------------------------------------------
Blake T. Tatsuta Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1973 Manager, Investment Analytics and Data (2012-
January 2013) and Research Assistant (2002-2011)
for Dimensional Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------------
James J. Taylor Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1983 Accounting Manager for Dimensional Fund Advisors
LP (November 2009-January 2016).
-----------------------------------------------------------------------------------------------------------------
Erik T. Totten Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1980 Regional Director (2010-January 2013) for
Dimensional Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------------
John H. Totten Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1978 Regional Director for Dimensional Fund Advisors LP
(January 2008-January 2012).
-----------------------------------------------------------------------------------------------------------------
Robert C. Trotter Vice President Since 2009 Vice President of all the DFA Entities.
1958
-----------------------------------------------------------------------------------------------------------------
Dave C. Twardowski Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1982 Research Associate (June 2011-January 2015) for
Dimensional Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------------
Karen E. Umland Vice President Since 1997 Vice President of all the DFA Entities, DFA Australia
1966 Limited, Dimensional Fund Advisors Ltd., and
Dimensional Fund Advisors Canada ULC.
-----------------------------------------------------------------------------------------------------------------
Benjamin C. Walker Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1979 Regional Director for Dimensional Fund Advisors LP
(September 2008-January 2014).
-----------------------------------------------------------------------------------------------------------------
Brian J. Walsh Vice President Since 2009 Vice President of all the DFA Entities. Portfolio
1970 Manager for Dimensional Fund Advisors LP (since
2004).
-----------------------------------------------------------------------------------------------------------------
Jessica Walton Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1974 Regional Director (January 2012-January 2015) for
Dimensional Fund Advisors LP; Director of Marketing
and Investor Relations for Treaty Oak Capital
Management (July 2011-October 2011); Vice
President for Rockspring Capital (October 2010-
July 2011).
-----------------------------------------------------------------------------------------------------------------
Griffin S. Watkins Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1985 Regional Director (January 2014-January 2016) and
Senior Associate (January 2011-December 2013).for
Dimensional Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------------
95
TERM OF OFFICE/1/
AND LENGTH OF
NAME AND YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
--------------------------------------------------------------------------------------------------------------
Timothy P. Wei Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1968 Counsel for Dimensional Fund Advisors LP
(July 2014-January 2016); Assistant General
Counsel, Teacher Retirement System of Texas
(October 2008-June 2014).
--------------------------------------------------------------------------------------------------------------
Weston J. Wellington Vice President Since 1997 Vice President of all the DFA Entities.
1951
--------------------------------------------------------------------------------------------------------------
Ryan J. Wiley Vice President Since 2007 Vice President of all the DFA Entities.
1976
--------------------------------------------------------------------------------------------------------------
Kristina M. Williams Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1975 Client Service Supervisor for Dowling & Yahnke
(July 2014-January 2016); Head of Operations for
The Elements Financial Group (January 2013-June
2014); Head of Operations for Vericimetry Advisors
LLC (July 2011-December 2012).
--------------------------------------------------------------------------------------------------------------
Jeremy J. Willis Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1976 Manager, Client Systems for Dimensional Fund
Advisors LP (May 2012-January 2016);
Vice President, Implementations, Citigroup
(August 2006-October 2011).
--------------------------------------------------------------------------------------------------------------
Stacey E. Winning Vice President Since 2015 Vice President of all the DFA Entities. Head of
1981 Global Recruiting and Development (since
June 2014) for Dimensional Fund Advisors
LP. Formerly, Senior Manager, Recruiting
(December 2012-June 2014) for Dimensional Fund
Advisors LP; Co-Head of Global Recruiting
(May 2009-November 2012) for Two Sigma
Investments.
--------------------------------------------------------------------------------------------------------------
Cecelia K. Wong Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1981 Client Service Manager for Dimensional Fund
Advisors LP (June 2005-January 2016).
--------------------------------------------------------------------------------------------------------------
Craig A. Wright Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1982 Accounting Manager for Dimensional Fund Advisors
LP (November 2011-January 2016); Senior
Associate, PricewaterhouseCoopers LP (July 2009-
November 2011).
--------------------------------------------------------------------------------------------------------------
Joseph L. Young Vice President Since 2011 Vice President of all the DFA Entities.
1978
--------------------------------------------------------------------------------------------------------------
96
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.
97
NOTICE TO SHAREHOLDERS
(UNAUDITED)
For shareholders that do not have an October 31, 2016 tax year end, this notice
is for informational purposes only. For shareholders with an October 31, 2016
tax year end, please consult your tax advisor as to the pertinence of this
notice. For the fiscal year November 1, 201 to October 31, 2016, each Portfolio
is designating the following items with regard to distributions paid during the
fiscal year. All designations are based on financial information available as
of the date of this annual report and, accordingly are subject to change. For
each item, it is the intention of the Portfolio to designate the maximum amount
permitted under the Internal Revenue Code and the regulations thereunder.
QUALIFYING
FOR
NET CORPORATE
INVESTMENT SHORT-TERM LONG-TERM DIVIDENDS QUALIFYING FOREIGN FOREIGN
DFA INVESTMENT INCOME CAPITAL GAIN CAPITAL GAIN TOTAL RECEIVED DIVIDEND TAX SOURCE
DIMENSIONS GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DEDUCTION(1) INCOME(2) CREDIT(3) INCOME(4)
------------------------ ------------- ------------- ------------- ------------- ------------ ---------- --------- ---------
Tax-Managed U.S.
Marketwide Value
Portfolio.............. 96% -- 4% 100% 100% 100% -- 6%
Tax-Managed U.S. Equity
Portfolio.............. 100% -- -- 100% 100% 100% -- --
Tax-Managed U.S.
Targeted Value
Portfolio.............. 25% -- 75% 100% 100% 100% -- --
Tax-Managed U.S. Small
Cap Portfolio.......... 20% -- 80% 100% 100% 100% -- --
T.A. U.S. Core Equity 2
Portfolio.............. 100% -- -- 100% 100% 100% -- --
Tax-Managed DFA
International Value
Portfolio.............. 100% -- -- 100% 100% 100% 8% 100%
T.A. World ex U.S. Core
Equity Portfolio....... 100% -- -- 100% 100% 100% 9% 100%
QUALIFYING
SHORT-
QUALIFYING TERM
DFA INVESTMENT INTEREST CAPITAL
DIMENSIONS GROUP INC. INCOME(5) GAIN(6)
------------------------ ---------- ----------
Tax-Managed U.S.
Marketwide Value
Portfolio.............. 100% 100%
Tax-Managed U.S. Equity
Portfolio.............. 100% 100%
Tax-Managed U.S.
Targeted Value
Portfolio.............. 100% 100%
Tax-Managed U.S. Small
Cap Portfolio.......... 100% 100%
T.A. U.S. Core Equity 2
Portfolio.............. 100% 100%
Tax-Managed DFA
International Value
Portfolio.............. 100% 100%
T.A. World ex U.S. Core
Equity Portfolio....... 100% 100%
(1)Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
income distributions (the total of short-term capital gain and net
investment income distributions).
(2)The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
Please note that these percentages are designated only, refer to your 1099
for actual qualified dividend income.
(3)"Foreign Tax Credit" represents dividends which qualify for the foreign tax
credit pass through and is reflected as a percentage of investment company
taxable income.
(4)"Foreign Source Income" represents the portion of dividends derived from
foreign sources, and is reflected as a percentage of investment company
taxable income.
(5)The percentage in this column represents the amount of "Qualifying Interest
Income" as created by The American Jobs Creation Act of 2004. The
information is reflected as a percentage ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
(6)The percentage in this column represents the amount of "Qualifying
Short-Term Capital Gain" as created by The American Jobs Creation Act of
2004. The information is reflected as a percentage of ordinary income
distributions (the total of short-term capital gain and net investment
income distributions).
98
DFA103116-002A
[LOGO] 00185757
[LOGO]
ANNUAL REPORT
year ended: October 31, 2016
Dimensional Investment Group Inc.
LWAS/DFA U.S. High Book to Market Portfolio
LWAS/DFA Two-Year Fixed Income Portfolio
LWAS/DFA Two-Year Government Portfolio
DFA Investment Dimensions Group Inc.
LWAS/DFA International High Book to Market Portfolio
[LOGO]
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
December 2016
Dear Fellow Shareholder,
On behalf of our team at Dimensional, I want to thank you for trusting us with
your investments. We recognize the important role those investments play in
your future plans, and we take the responsibility implied by this trust with
the utmost dedication and seriousness that it deserves.
Dimensional is focused on offering consistent ways to access the performance
delivered by securities in different markets and asset classes through
well-diversified, efficiently managed portfolios. The importance of the word
CONSISTENCY cannot be overemphasized. By being consistent in our investment
approach and the quality of our implementation, we create opportunities for you
to combine funds into an asset allocation that fits your goals and preferences
-- enabling you to be a long-term investor in control of your investments.
We recognize markets are full of uncertainties, which highlights the importance
of having efficiently managed funds focused on delivering value to investors as
part of an overall asset allocation that can help overcome those uncertainties.
We are fortunate to work with clients who are committed to a long-term
investment philosophy. We remain committed to managing investments for our
clients with the same dedication, transparency, efficiency, and consistency we
have for more than 35 years.
Sincerely,
/s/ Eduardo A. Repetto
Eduardo A. Repetto
CO-CHIEF EXECUTIVE OFFICER AND CO-CHIEF INVESTMENT OFFICER
DIMENSIONAL INVESTMENT GROUP INC.
ANNUAL REPORT
TABLE OF CONTENTS
PAGE
----
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES............................ 1
DIMENSIONAL INVESTMENT GROUP INC.
Performance Charts................................................. 2
Management's Discussion and Analysis............................... 4
Disclosure of Fund Expenses........................................ 7
Disclosure of Portfolio Holdings................................... 9
Schedules of Investments........................................... 10
LWAS/DFA U.S. High Book to Market Portfolio.................... 10
LWAS/DFA Two-Year Fixed Income Portfolio....................... 11
LWAS/DFA Two-Year Government Portfolio......................... 13
Statements of Assets and Liabilities............................... 14
Statements of Operations........................................... 16
Statements of Changes in Net Assets................................ 17
Financial Highlights............................................... 18
Notes to Financial Statements...................................... 21
Report of Independent Registered Public Accounting Firm............ 28
Section 19(a) Notice............................................... 29
DFA INVESTMENT DIMENSIONS GROUP INC. - LWAS/DFA INTERNATIONAL HIGH
BOOK TO MARKET PORTFOLIO
Performance Charts................................................. 30
Management's Discussion and Analysis............................... 31
Disclosure of Fund Expenses........................................ 33
Disclosure of Portfolio Holdings................................... 34
Schedule of Investments............................................ 35
Statement of Assets and Liabilities................................ 36
Statement of Operations............................................ 37
Statements of Changes in Net Assets................................ 38
Financial Highlights............................................... 39
Notes to Financial Statements...................................... 40
Report of Independent Registered Public Accounting Firm............ 45
Section 19(a) Notice............................................... 46
THE DFA INVESTMENT TRUST COMPANY
Performance Charts................................................. 47
Management's Discussion and Analysis............................... 48
Disclosure of Fund Expenses........................................ 50
Disclosure of Portfolio Holdings................................... 51
Summary Schedules of Portfolio Holdings............................ 52
The U.S. Large Cap Value Series................................ 52
The DFA International Value Series............................. 55
Statements of Assets and Liabilities............................... 59
Statements of Operations........................................... 60
Statements of Changes in Net Assets................................ 61
Financial Highlights............................................... 62
Notes to Financial Statements...................................... 63
Report of Independent Registered Public Accounting Firm............ 72
i
TABLE OF CONTENTS
CONTINUED
PAGE
----
FUND MANAGEMENT....................................................... 73
VOTING PROXIES ON FUND PORTFOLIO SECURITIES........................... 88
NOTICE TO SHAREHOLDERS................................................ 89
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.
ii
DIMENSIONAL INVESTMENT GROUP INC.
DFA INVESTMENT DIMENSIONS GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULES OF INVESTMENTS/SUMMARY SCHEDULES OF PORTFOLIO HOLDINGS
----------------------------------------------------------------
Investment Abbreviations
ADR American Depositary Receipt
P.L.C. Public Limited Company
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities that have generally been fair value factored. See Note B to Financial Statements.
** Calculated as a percentage of total net assets. Percentages shown parenthetically next to the category
headings have been calculated as a percentage of total investments. "Other Securities" are those
securities that are not among the top 50 holdings in 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.
## Rule 144 A, 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.
@ Security purchased with cash proceeds from Securities on Loan.
(S) Affiliated Fund.
FINANCIAL HIGHLIGHTS
--------------------
(A) Computed using average shares outstanding.
(B) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its
Master Funds.
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
SEC Securities and Exchange Commission
1
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO VS.
RUSSELL 1000(R) VALUE INDEX
October 31, 2006-October 31, 2016
[CHART]
LWAS/DFA U.S. High Book to Russell 1000/R/
Market Portfolio Value Index
-------------------------- -----------------
10/2006 $10,000 $10,000
11/2006 $10,190 $10,228
12/2006 $10,391 $10,458
01/2007 $10,693 $10,592
02/2007 $10,529 $10,427
03/2007 $10,600 $10,588
04/2007 $11,053 $10,979
05/2007 $11,506 $11,375
06/2007 $11,320 $11,109
07/2007 $10,615 $10,595
08/2007 $10,411 $10,714
09/2007 $10,680 $11,082
10/2007 $10,739 $11,083
11/2007 $10,138 $10,542
12/2007 $10,098 $10,440
01/2008 $9,711 $10,022
02/2008 $9,416 $9,602
03/2008 $9,321 $9,530
04/2008 $9,912 $9,994
05/2008 $10,145 $9,978
06/2008 $9,032 $9,023
07/2008 $8,933 $8,991
08/2008 $9,103 $9,144
09/2008 $8,286 $8,472
10/2008 $6,418 $7,005
11/2008 $5,786 $6,503
12/2008 $5,978 $6,593
01/2009 $5,266 $5,835
02/2009 $4,526 $5,055
03/2009 $4,970 $5,488
04/2009 $5,772 $6,076
05/2009 $6,217 $6,452
06/2009 $6,141 $6,404
07/2009 $6,724 $6,928
08/2009 $7,176 $7,290
09/2009 $7,485 $7,572
10/2009 $7,163 $7,340
11/2009 $7,565 $7,754
12/2009 $7,775 $7,891
01/2010 $7,591 $7,669
02/2010 $7,922 $7,911
03/2010 $8,537 $8,426
04/2010 $8,802 $8,645
05/2010 $8,051 $7,934
06/2010 $7,442 $7,487
07/2010 $8,018 $7,994
08/2010 $7,531 $7,652
09/2010 $8,270 $8,246
10/2010 $8,575 $8,493
11/2010 $8,508 $8,448
12/2010 $9,339 $9,115
01/2011 $9,631 $9,321
02/2011 $10,154 $9,665
03/2011 $10,204 $9,703
04/2011 $10,452 $9,962
05/2011 $10,309 $9,856
06/2011 $10,118 $9,654
07/2011 $9,659 $9,334
08/2011 $8,838 $8,752
09/2011 $7,948 $8,090
10/2011 $9,045 $9,016
11/2011 $8,969 $8,970
12/2011 $9,035 $9,151
01/2012 $9,484 $9,497
02/2012 $10,033 $9,875
03/2012 $10,216 $10,168
04/2012 $10,002 $10,064
05/2012 $9,292 $9,474
06/2012 $9,790 $9,945
07/2012 $9,882 $10,047
08/2012 $10,274 $10,266
09/2012 $10,650 $10,591
10/2012 $10,674 $10,539
11/2012 $10,697 $10,535
12/2012 $11,016 $10,753
01/2013 $11,786 $11,452
02/2013 $11,933 $11,616
03/2013 $12,508 $12,076
04/2013 $12,632 $12,259
05/2013 $13,155 $12,573
06/2013 $13,003 $12,463
07/2013 $13,778 $13,135
08/2013 $13,363 $12,637
09/2013 $13,754 $12,954
10/2013 $14,454 $13,521
11/2013 $15,058 $13,898
12/2013 $15,453 $14,250
01/2014 $14,839 $13,744
02/2014 $15,338 $14,338
03/2014 $15,700 $14,681
04/2014 $15,798 $14,820
05/2014 $16,143 $15,037
06/2014 $16,578 $15,430
07/2014 $16,454 $15,167
08/2014 $16,973 $15,725
09/2014 $16,553 $15,400
10/2014 $16,677 $15,746
11/2014 $16,867 $16,069
12/2014 $16,999 $16,167
01/2015 $16,146 $15,521
02/2015 $17,293 $16,272
03/2015 $16,956 $16,050
04/2015 $17,304 $16,200
05/2015 $17,492 $16,395
06/2015 $17,201 $16,068
07/2015 $17,156 $16,138
08/2015 $16,115 $15,177
09/2015 $15,591 $14,719
10/2015 $16,863 $15,830
11/2015 $16,926 $15,890
12/2015 $16,398 $15,548
01/2016 $15,271 $14,745
02/2016 $15,301 $14,741
03/2016 $16,406 $15,803
04/2016 $16,853 $16,135
05/2016 $17,082 $16,386
06/2016 $17,062 $16,527
07/2016 $17,642 $17,007 Past performance is not predictive of
08/2016 $17,851 $17,138 future performance.
09/2016 $17,932 $17,103 The returns shown do not reflect the
10/2016 $17,621 $16,838 deduction of taxes that a shareholder
would pay on fund distributions or the
Average Annual One Five Ten redemption of fund shares.
Total Return Year Years Years Russell data copyright (C) Russell
------------------------------------------------------ Investment Group 1995-2016, all rights
4.49% 14.27% 5.83% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
LWAS/DFA TWO-YEAR FIXED INCOME PORTFOLIO VS.
THE BOFA MERRILL LYNCH 1-3 YEAR US CORPORATE & GOVERNMENT INDEX
October 31, 2006-October 31, 2016
[CHART]
LWAS/DFA Two-Year The BofA Merrill Lynch 1-3 Year
Fixed Income Portfolio US Corporate & Government Index
---------------------- ---------------------------------
10/2006 $10,000 $10,000
11/2006 $10,040 $10,053
12/2006 $10,088 $10,058
01/2007 $10,129 $10,082
02/2007 $10,170 $10,164
03/2007 $10,214 $10,203
04/2007 $10,255 $10,242
05/2007 $10,296 $10,235
06/2007 $10,341 $10,277
07/2007 $10,383 $10,361
08/2007 $10,435 $10,448
09/2007 $10,471 $10,523
10/2007 $10,514 $10,567
11/2007 $10,546 $10,720
12/2007 $10,597 $10,750
01/2008 $10,629 $10,935
02/2008 $10,661 $11,034
03/2008 $10,674 $11,035
04/2008 $10,696 $10,972
05/2008 $10,718 $10,948
06/2008 $10,732 $10,975
07/2008 $10,765 $11,006
08/2008 $10,787 $11,055
09/2008 $10,739 $10,995
10/2008 $10,805 $10,986
11/2008 $10,915 $11,125
12/2008 $11,011 $11,254
01/2009 $11,022 $11,265
02/2009 $11,011 $11,250
03/2009 $11,059 $11,298
04/2009 $11,104 $11,364
05/2009 $11,148 $11,455
06/2009 $11,164 $11,477
07/2009 $11,187 $11,528
08/2009 $11,231 $11,596
09/2009 $11,248 $11,642
10/2009 $11,271 $11,684
11/2009 $11,316 $11,759
12/2009 $11,255 $11,686
01/2010 $11,311 $11,780
02/2010 $11,323 $11,808
03/2010 $11,312 $11,794
04/2010 $11,335 $11,830
05/2010 $11,346 $11,858
06/2010 $11,394 $11,912
07/2010 $11,428 $11,961
08/2010 $11,439 $11,992
09/2010 $11,460 $12,022
10/2010 $11,483 $12,056
11/2010 $11,460 $12,032
12/2010 $11,461 $12,015
01/2011 $11,472 $12,041
02/2011 $11,472 $12,039
03/2011 $11,471 $12,038
04/2011 $11,505 $12,097
05/2011 $11,539 $12,141
06/2011 $11,542 $12,144
07/2011 $11,553 $12,180
08/2011 $11,565 $12,202
09/2011 $11,555 $12,173
10/2011 $11,567 $12,200
11/2011 $11,555 $12,191
12/2011 $11,555 $12,202
01/2012 $11,590 $12,245
02/2012 $11,590 $12,251
03/2012 $11,597 $12,258
04/2012 $11,608 $12,281
05/2012 $11,608 $12,280
06/2012 $11,618 $12,287
07/2012 $11,641 $12,330
08/2012 $11,641 $12,344
09/2012 $11,654 $12,358
10/2012 $11,654 $12,363
11/2012 $11,654 $12,374
12/2012 $11,664 $12,383
01/2013 $11,664 $12,390
02/2013 $11,664 $12,404
03/2013 $11,669 $12,411
04/2013 $11,680 $12,430
05/2013 $11,669 $12,412
06/2013 $11,664 $12,393
07/2013 $11,676 $12,420
08/2013 $11,664 $12,412
09/2013 $11,684 $12,446
10/2013 $11,684 $12,469
11/2013 $11,684 $12,485
12/2013 $11,684 $12,470
01/2014 $11,696 $12,495
02/2014 $11,696 $12,512
03/2014 $11,698 $12,501
04/2014 $11,710 $12,522
05/2014 $11,710 $12,550
06/2014 $11,703 $12,547
07/2014 $11,703 $12,537
08/2014 $11,715 $12,559
09/2014 $11,708 $12,551
10/2014 $11,720 $12,583
11/2014 $11,732 $12,603
12/2014 $11,717 $12,568
01/2015 $11,753 $12,631
02/2015 $11,729 $12,614
03/2015 $11,759 $12,642
04/2015 $11,759 $12,652
05/2015 $11,759 $12,662
06/2015 $11,760 $12,660
07/2015 $11,760 $12,668
08/2015 $11,760 $12,660
09/2015 $11,787 $12,696
10/2015 $11,787 $12,694
11/2015 $11,764 $12,669
12/2015 $11,755 $12,652
01/2016 $11,802 $12,718
02/2016 $11,802 $12,732
03/2016 $11,835 $12,776
04/2016 $11,846 $12,793
05/2016 $11,835 $12,785
06/2016 $11,880 $12,861 Past performance is not predictive of
07/2016 $11,880 $12,863 future performance.
08/2016 $11,868 $12,850 The returns shown do not reflect the
09/2016 $11,874 $12,864 deduction of taxes that a shareholder
10/2016 $11,874 $12,859 would pay on fund distributions or the
redemption of fund shares.
Average Annual One Five Ten The Merrill Lynch Indices are used with
Total Return Year Years Years permission; copyright 2016 Merrill
----------------------------------------------------------- Lynch, Pierce, Fenner & Smith
0.74% 0.53% 1.73% Incorporated; all rights reserved.
--------------------------------------------------------------------------------
2
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
LWAS/DFA TWO-YEAR GOVERNMENT PORTFOLIO VS.
THE BOFA MERRILL LYNCH 1-3 YEAR US TREASURY & AGENCY INDEX
October 31, 2006-October 31, 2016
[CHART]
LWAS/DFA Two-Year The BofA Merrill Lynch 1-3 Year
Government Portfolio US Treasury & Agency Index
-------------------- -------------------------------
10/2006 $10,000 $10,000
11/2006 $10,041 $10,052
12/2006 $10,084 $10,055
01/2007 $10,125 $10,079
02/2007 $10,156 $10,158
03/2007 $10,204 $10,197
04/2007 $10,245 $10,234
05/2007 $10,287 $10,229
06/2007 $10,333 $10,271
07/2007 $10,375 $10,360
08/2007 $10,417 $10,454
09/2007 $10,453 $10,533
10/2007 $10,496 $10,574
11/2007 $10,528 $10,739
12/2007 $10,565 $10,773
01/2008 $10,598 $10,957
02/2008 $10,630 $11,058
03/2008 $10,640 $11,087
04/2008 $10,661 $11,010
05/2008 $10,640 $10,974
06/2008 $10,662 $11,006
07/2008 $10,695 $11,047
08/2008 $10,727 $11,092
09/2008 $10,719 $11,157
10/2008 $10,752 $11,240
11/2008 $10,950 $11,385
12/2008 $11,130 $11,500
01/2009 $11,086 $11,459
02/2009 $11,086 $11,459
03/2009 $11,145 $11,519
04/2009 $11,178 $11,520
05/2009 $11,222 $11,550
06/2009 $11,219 $11,539
07/2009 $11,230 $11,558
08/2009 $11,264 $11,604
09/2009 $11,290 $11,634
10/2009 $11,312 $11,659
11/2009 $11,357 $11,727
12/2009 $11,299 $11,642
01/2010 $11,344 $11,725
02/2010 $11,367 $11,749
03/2010 $11,357 $11,724
04/2010 $11,380 $11,754
05/2010 $11,403 $11,803
06/2010 $11,448 $11,856
07/2010 $11,471 $11,887
08/2010 $11,483 $11,909
09/2010 $11,501 $11,929
10/2010 $11,535 $11,957
11/2010 $11,501 $11,934
12/2010 $11,513 $11,914
01/2011 $11,524 $11,934
02/2011 $11,513 $11,925
03/2011 $11,507 $11,921
04/2011 $11,553 $11,973
05/2011 $11,588 $12,015
06/2011 $11,587 $12,020
07/2011 $11,599 $12,050
08/2011 $11,610 $12,091
09/2011 $11,612 $12,076
10/2011 $11,612 $12,086
11/2011 $11,623 $12,092
12/2011 $11,624 $12,099
01/2012 $11,648 $12,115
02/2012 $11,648 $12,103
03/2012 $11,649 $12,097
04/2012 $11,661 $12,121
05/2012 $11,661 $12,126
06/2012 $11,654 $12,120
07/2012 $11,665 $12,148
08/2012 $11,677 $12,150
09/2012 $11,670 $12,151
10/2012 $11,670 $12,145
11/2012 $11,670 $12,156
12/2012 $11,675 $12,160
01/2013 $11,675 $12,162
02/2013 $11,675 $12,171
03/2013 $11,676 $12,174
04/2013 $11,688 $12,187
05/2013 $11,676 $12,170
06/2013 $11,676 $12,160
07/2013 $11,688 $12,180
08/2013 $11,676 $12,169
09/2013 $11,689 $12,196
10/2013 $11,701 $12,210
11/2013 $11,701 $12,221
12/2013 $11,692 $12,205
01/2014 $11,704 $12,224
02/2014 $11,704 $12,235
03/2014 $11,704 $12,222
04/2014 $11,716 $12,239
05/2014 $11,728 $12,261
06/2014 $11,718 $12,255
07/2014 $11,718 $12,245
08/2014 $11,730 $12,266
09/2014 $11,723 $12,259
10/2014 $11,746 $12,292
11/2014 $11,758 $12,311
12/2014 $11,730 $12,281
01/2015 $11,778 $12,343
02/2015 $11,754 $12,317
03/2015 $11,771 $12,345
04/2015 $11,783 $12,351
05/2015 $11,783 $12,360
06/2015 $11,781 $12,364
07/2015 $11,781 $12,370
08/2015 $11,781 $12,366
09/2015 $11,803 $12,403
10/2015 $11,792 $12,391
11/2015 $11,756 $12,361
12/2015 $11,743 $12,350
01/2016 $11,802 $12,425
02/2016 $11,802 $12,438
03/2016 $11,830 $12,460
04/2016 $11,830 $12,465
05/2016 $11,818 $12,452
06/2016 $11,871 $12,525
07/2016 $11,859 $12,518 Past performance is not predictive of
08/2016 $11,847 $12,498 future performance.
09/2016 $11,860 $12,513 The returns shown do not reflect the
10/2016 $11,860 $12,505 deduction of taxes that a shareholder
would pay on fund distributions or the
redemption of fund shares.
Average Annual One Five Ten The Merrill Lynch Indices are used with
Total Return Year Years Years permission; copyright 2016 Merrill
---------------------------------------------------------- Lynch, Pierce, Fenner & Smith
0.58% 0.42% 1.72% Incorporated; all rights reserved.
--------------------------------------------------------------------------------
3
DIMENSIONAL INVESTMENT GROUP INC.
MANAGEMENT'S DISCUSSION AND ANALYSIS
(UNAUDITED)
U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2016
Most U.S. equities had positive returns during the period. The broad U.S.
equity market, as measured by the Russell 3000(R) Index, gained approximately
4.2%. Large-cap stocks outperformed small-cap stocks as measured by the Russell
indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2016
-------------------------------------------------
Russell 3000(R) Index........................ 4.24%
Russell Microcap(R) Index (micro-cap stocks). 1.54%
Russell 2000(R) Index (small-cap stocks)..... 4.11%
Russell 1000(R) Index (large-cap stocks)..... 4.26%
Dow Jones U.S. Select REIT Index/SM/......... 4.96%
Value stocks outperformed growth stocks as measured by the Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2016
-------------------------------------------------
Russell 2000(R) Value Index (small-cap value stocks)... 8.81%
Russell 2000(R) Growth Index (small-cap growth stocks). -0.49%
Russell 1000(R) Value Index (large-cap value stocks)... 6.37%
Russell 1000(R) Growth Index (large-cap growth stocks). 2.28%
----------
Source: Frank Russell Company is the source and owner of the trademarks,
service marks, and copyrights related to the Russell Indexes.
MASTER-FEEDER STRUCTURE
Certain portfolios described below, called "Feeder Funds," do not buy
individual securities directly; instead, these portfolios invest in
corresponding funds called "Master Funds." Master Funds, in turn, purchase
stocks and/or other securities directly.
DOMESTIC EQUITY PORTFOLIO PERFORMANCE OVERVIEW
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
The LWAS/DFA U.S. High Book to Market Portfolio seeks to capture the returns
of U.S. large-cap value stocks by purchasing shares of The U.S. Large Cap Value
Series, a Master Fund managed by Dimensional that invests in such stocks. Value
is measured primarily by book-to-market ratio. The investment strategy is
process driven, emphasizing broad diversification. As of October 31, 2016, the
Master Fund held approximately 300 securities. In general, average cash
exposure throughout the year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2016, total returns were 4.49% for the
Portfolio and 6.37% for the Russell 1000(R) Value Index, the Portfolio's
benchmark. As a result of the Master Fund's diversified investment approach,
performance was determined principally by broad trends in the U.S. equity
market rather than the behavior of a limited number of stocks. The Master Fund
had a larger allocation than the benchmark to lower relative price stocks,
which detracted from the Portfolio's performance relative to the benchmark as
the lowest relative price quartile underperformed. The Master Fund's exclusion
of real estate investment trusts (REITs) and utilities detracted from relative
performance as REITs and utilities outperformed most other sectors during the
period.
FIXED INCOME MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2016
Interest rates in both U.S. and developed international fixed income markets
generally decreased across their respective yield curves for the year ended
October 31, 2016. In the U.S., the yield curve flattened as shorter-term bond
yields increased and longer-term bond yields declined. The Eurozone, as well as
U.K. and Japan, saw a
4
sharp decline in bond yields across the curve with the largest declines in
longer-term bonds. In general, U.S. and developed international fixed income
market investment grade credit outperformed government bonds of similar
duration. The one-month U.S. Treasury bill yield increased to 0.17% during the
period, while the yield on ten-year U.S. Treasury notes decreased to 1.83%.
OCTOBER 31, 2015 OCTOBER 31, 2016 CHANGE
---------------- ---------------- ------
One-Month Treasury Bill (yield)...... 0.00% 0.17% 0.17%
Ten-Year U.S. Treasury Notes (yield). 2.14% 1.83% -0.31%
----------
Source: Bloomberg.
There is generally an inverse relationship between interest rates and bond
prices, such that bond prices fall when interest rates rise. For the 12 months
ended October 31, 2016, the total return was 0.32% for three-month U.S.
Treasury bills, 2.36% for five-year U.S. Treasury notes, and 9.65% for 30- year
U.S. Treasury bonds.
----------
Source: Bloomberg Barclays US Treasury Bellwethers.
Some of Dimensional's fixed income strategies are based on a
variable-maturity strategy that identifies a maturity range with favorable
risk-adjusted expected returns. When the yield curve is flat or inverted,
short-term securities are believed to offer the most attractive opportunity on
a risk-adjusted basis. When the yield curve is upwardly sloped, maturities may
be lengthened to position a portfolio for higher expected returns associated
with longer maturities. These higher returns may be achieved by capital
appreciation (from holding bonds through an upwardly sloped term structure) as
well as by earning higher current yields. During the period under review, the
portfolios employing a variable maturity approach continued to take term risk,
reflecting upward-sloping eligible yield curves.
Some of Dimensional's fixed income strategies are based on a variable-credit
approach that varies exposure to credit risk. When credit spreads are narrow,
higher-quality securities are believed to offer the more attractive opportunity
on a risk-adjusted basis. When credit spreads are wide, additional credit risk
may be taken to position a portfolio for higher expected returns associated
with increased credit risk. The portfolios employing a variable-credit approach
continued to focus on single-A and BBB-rated bonds during the first few months
of 2016 as credit spreads remained relatively wide. In the second half of the
fiscal year, the portfolios increased their allocation to higher-quality bonds
as credit spreads started to narrow.
FIXED INCOME PORTFOLIOS' PERFORMANCE OVERVIEW
LWAS/DFA TWO-YEAR FIXED INCOME PORTFOLIO
The LWAS/DFA Two-Year Fixed Income Portfolio is designed to maximize total
returns consistent with preservation of capital by investing in high-quality
fixed income securities maturing in two years or less. The investment strategy
uses a variable-maturity approach and shifts maturities based on changes in the
yield curve. The strategy uses current yields and identifies favorable maturity
ranges for risk-adjusted expected returns based on potential buy and sell
strategies. Maturity targets are shifted based on the Advisor's expectations
for term premia. The average maturity of the Portfolio decreased to 1.23 years
as of October 31, 2016, from 1.60 years as of October 31, 2015.
For the 12 months ended October 31, 2016, the total return was 0.74% for the
Portfolio and 1.30% for The BofA Merrill Lynch 1-3 Year US Corporate &
Government Index, the Portfolio's benchmark. The Portfolio invests in
securities rated AAA and AA while the benchmark held an average weight of
approximately 22% in single A and BBB-rated securities. The Portfolio's lack of
exposure to lower rated securities negatively impacted its performance relative
to the benchmark as these securities outperformed. Further detracting from
performance was the Portfolio's lack of exposure to maturities beyond two
years. By design, the Portfolio is not allowed to invest in securities with
maturities greater than two years. In comparison, the benchmark had an
approximate average weight of 47% in maturities between two and three years and
these securities outperformed.
5
LWAS/DFA TWO-YEAR GOVERNMENT PORTFOLIO
The LWAS/DFA Two-Year Government Portfolio is designed to maximize total
returns consistent with preservation of capital by investing in securities of
the U.S. government and its agencies maturing in two years or less. The
investment strategy uses a variable maturity approach and shifts maturities
based on changes in the yield curve. The strategy uses current yields and
identifies favorable maturity ranges for risk-adjusted expected returns based
on potential buy and sell strategies for each eligible country. Maturity
targets are shifted based on the Advisor's expectations for term premia. The
average maturity of the Portfolio decreased to 1.31 years as of October 31,
2016, from 1.80 years as of October 31, 2015.
For the 12 months ended October 31, 2016, the total return was 0.58% for the
Portfolio and 0.92% for The BofA Merrill Lynch 1-3 Year US Treasury & Agency
Index, the Portfolio's benchmark. The Portfolio's underperformance relative to
the benchmark was largely due to the Portfolio's lack of exposure to maturities
beyond two years. By design, the Portfolio is not allowed to invest in
securities with maturities greater than two years. In comparison, the benchmark
had an approximate average weight of 45% in securities maturing between two and
three years and these securities outperformed.
6
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended October 31, 2016
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/16 10/31/16 Ratio* Period*
--------- --------- ---------- --------
LWAS/DFA U.S. High Book to Market Portfolio**
---------------------------------------------
Actual Fund Return............................ $1,000.00 $1,045.50 0.34% $1.75
Hypothetical 5% Annual Return................. $1,000.00 $1,023.43 0.34% $1.73
LWAS/DFA Two-Year Fixed Income Portfolio
----------------------------------------
Actual Fund Return............................ $1,000.00 $1,002.40 0.26% $1.31
Hypothetical 5% Annual Return................. $1,000.00 $1,023.83 0.26% $1.32
7
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/16 10/31/16 Ratio* Period*
--------- --------- ---------- --------
LWAS/DFA Two-Year Government Portfolio
--------------------------------------
Actual Fund Return..................... $1,000.00 $1,002.50 0.24% $1.21
Hypothetical 5% Annual Return.......... $1,000.00 $1,023.93 0.24% $1.22
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then divided
by the number of days in the year (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).
8
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on September 28, 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.
The categories of industry classification for the Affiliated Investment
Company are represented in its Disclosure of Portfolio Holdings, which is
included elsewhere within the report. Refer to the Summary Schedule of
Portfolio Holdings for the underlying Affiliated Investment Company's holdings,
which reflect the investments by category.
FEEDER FUND
Affiliated Investment Company
-----------------------------
LWAS/DFA U.S. High Book to Market Portfolio. 100.0%
FIXED INCOME PORTFOLIOS
LWAS/DFA Two-Year Fixed Income Portfolio
Corporate.................................... 24.2%
Government................................... 7.5%
Foreign Corporate............................ 35.3%
Foreign Government........................... 27.8%
Supranational................................ 5.2%
-----
100.0%
LWAS/DFA Two-Year Government Portfolio
Government................................... 100.0%
-----
100.0%
9
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
VALUE+
-----------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The U.S. Large Cap Value Series of
The DFA Investment Trust Company..................... $54,634,189
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $25,751,373)................................ $54,634,189
-----------
Summary of the Portfolio's Master Fund's investments as of October 31, 2016,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
10
LWAS/DFA TWO-YEAR FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2016
Face
Amount Value+
------ ------
(000)
AGENCY OBLIGATIONS -- (7.4%)
Federal Home Loan Bank
1.250%, 06/08/18............................. $3,000 $3,016,842
Federal Home Loan Mortgage Corporation
0.750%, 01/12/18............................. 500 499,892
0.750%, 04/09/18............................. 1,800 1,798,009
Federal National Mortgage Association
1.125%, 10/19/18............................. 750 752,888
----------
TOTAL AGENCY OBLIGATIONS......................... 6,067,631
----------
BONDS -- (90.9%)
African Development Bank
1.000%, 11/02/18............................. 700 698,158
ANZ New Zealand International Ltd.
1.400%, 04/27/17............................. 1,800 1,801,651
Apple, Inc.
# 1.300%, 02/23/18............................. 500 501,350
1.000%, 05/03/18............................. 900 898,811
Bank Nederlandse Gemeenten NV
## 1.000%, 02/12/18............................. 1,000 998,785
1.375%, 03/19/18............................. 500 501,826
## 1.125%, 05/25/18............................. 500 499,859
Bank of Montreal
1.400%, 09/11/17............................. 1,100 1,101,360
1.400%, 04/10/18............................. 1,000 1,000,560
Bank of Nova Scotia (The)
1.250%, 04/11/17............................. 1,000 1,000,651
1.300%, 07/21/17............................. 800 800,134
Berkshire Hathaway Finance Corp
1.450%, 03/07/18............................. 1,250 1,256,215
Chevron Corp.
1.344%, 11/09/17............................. 2,550 2,555,278
Cisco Systems, Inc.
1.400%, 02/28/18............................. 2,181 2,189,214
Coca-Cola Co. (The)
0.875%, 10/27/17............................. 1,100 1,099,031
1.150%, 04/01/18............................. 700 700,917
Commonwealth Bank of Australia
1.125%, 03/13/17............................. 900 900,532
1.900%, 09/18/17............................. 1,000 1,005,230
Cooperatieve Centrale Raiffeisen- Boerenleenbank
BA
1.700%, 03/19/18............................. 704 706,377
Council Of Europe Development Bank
1.000%, 03/07/18............................. 500 499,498
Development Bank of Japan, Inc.
1.500%, 03/13/17............................. 500 499,945
Erste Abwicklungsanstalt
1.000%, 02/27/17............................. 1,400 1,399,741
European Investment Bank
# 1.000%, 03/15/18............................. 500 499,749
Face
Amount Value+
------ ------
(000)
Exxon Mobil Corp.
1.439%, 03/01/18............................. $1,900 $1,906,781
1.305%, 03/06/18............................. 465 466,333
General Electric Co.
5.250%, 12/06/17............................. 1,000 1,045,013
5.625%, 05/01/18............................. 1,000 1,066,174
Inter-American Development Bank
1.250%, 01/16/18............................. 1,020 1,024,296
0.875%, 03/15/18............................. 500 499,479
International Business Machines Corp.
5.700%, 09/14/17............................. 1,213 1,261,653
Japan Finance Organization for Municipalities
1.500%, 09/12/17............................. 1,609 1,610,334
KFW
2.375%, 12/22/17............................. 700 710,870
4.375%, 03/15/18............................. 750 784,156
1.000%, 09/07/18............................. 500 499,222
Kommunalbanken A.S.
1.000%, 03/15/18............................. 500 499,331
1.125%, 05/23/18............................. 1,000 999,794
Kommunekredit
1.125%, 01/16/18............................. 1,000 1,000,800
Kommuninvest I Sverige AB
1.000%, 01/29/18............................. 1,500 1,498,534
Landeskreditbank Baden- Wuerttemberg Foerderbank
1.000%, 04/23/18............................. 1,530 1,527,176
Municipality Finance P.L.C.
1.125%, 04/17/18............................. 500 500,051
1.250%, 09/10/18............................. 500 500,702
## 1.250%, 09/10/18............................. 1,000 1,001,403
National Australia Bank, Ltd.
2.750%, 03/09/17............................. 1,350 1,357,633
1.300%, 06/30/17............................. 400 400,276
Nederlandse Waterschapsbank NV
## 1.500%, 04/16/18............................. 700 703,420
0.875%, 07/13/18............................. 500 497,493
Nordea Bank AB
3.125%, 03/20/17............................. 2,270 2,288,541
Nordic Investment Bank
1.125%, 03/19/18............................. 1,000 1,001,580
NRW Bank
1.375%, 08/20/18............................. 1,200 1,203,577
Ontario, Province of Canada
1.100%, 10/25/17............................. 550 550,230
2.000%, 09/27/18............................. 1,300 1,319,002
Pfizer, Inc.
1.200%, 06/01/18............................. 2,322 2,323,488
Royal Bank of Canada
# 1.400%, 10/13/17............................. 300 300,555
# 1.500%, 01/16/18............................. 1,331 1,333,320
1.500%, 06/07/18............................. 850 851,763
11
LWAS/DFA TWO-YEAR FIXED INCOME PORTFOLIO
CONTINUED
Face
Amount Value+
------ ------
(000)
Sanofi
1.250%, 04/10/18............................. $1,500 $1,502,350
Shell International Finance BV
1.125%, 08/21/17............................. 800 800,474
1.250%, 11/10/17............................. 1,500 1,502,100
State of North Rhine-Westphalia
1.250%, 02/20/18............................. 800 800,610
Statoil ASA
3.125%, 08/17/17............................. 500 507,715
1.250%, 11/09/17............................. 1,000 1,000,060
1.150%, 05/15/18............................. 800 797,598
Svensk Exportkredit AB
1.125%, 04/05/18............................. 2,300 2,300,667
Svenska Handelsbanken AB
2.875%, 04/04/17............................. 700 705,418
Toronto-Dominion Bank (The)
1.625%, 03/13/18............................. 1,500 1,506,405
1.400%, 04/30/18............................. 979 979,604
Total Capital International SA
1.550%, 06/28/17............................. 300 300,696
Total Capital SA
2.125%, 08/10/18............................. 1,950 1,973,304
Face
Amount Value+
------ ------
(000)
Toyota Motor Credit Corp.
1.200%, 04/06/18............................. $ 1,500 $ 1,498,307
1.550%, 07/13/18............................. 750 753,342
Westpac Banking Corp.
2.000%, 08/14/17............................. 1,026 1,032,139
1.500%, 12/01/17............................. 1,000 1,001,605
-----------
TOTAL BONDS........................................ 74,610,246
-----------
TOTAL INVESTMENT SECURITIES........................ 80,677,877
-----------
Shares
------
TEMPORARY CASH INVESTMENTS -- (0.4%)
State Street Institutional U.S. Government
Money Market Fund, 0.260%................... 304,597 304,597
-----------
SECURITIES LENDING COLLATERAL -- (1.3%)
(S)@ DFA Short Term Investment Fund............... 97,715 1,130,757
-----------
TOTAL INVESTMENTS -- (100.0%)
(Cost $82,122,488)............................... $82,113,231
===========
Summary of the Portfolio's investments as of October 31, 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
-------- ----------- ------- -----------
Agency Obligations............ -- $ 6,067,631 -- $ 6,067,631
Bonds......................... -- 74,610,246 -- 74,610,246
Temporary Cash Investments.... $304,597 -- -- 304,597
Securities Lending Collateral. -- 1,130,757 -- 1,130,757
-------- ----------- -- -----------
TOTAL......................... $304,597 $81,808,634 -- $82,113,231
======== =========== == ===========
See accompanying Notes to Financial Statements.
12
LWAS/DFA TWO-YEAR GOVERNMENT PORTFOLIO
SCHEDULES OF INVESTMENTS
October 31, 2016
Face
Amount Value+
-------- ------------
(000)
U.S. TREASURY OBLIGATIONS -- (99.9%)
U.S. Treasury Notes
2.250%, 11/30/17........................................... $ 7,700 $ 7,824,224
1.000%, 12/15/17........................................... 11,400 11,432,513
0.750%, 12/31/17........................................... 22,700 22,700,885
0.875%, 01/15/18........................................... 27,750 27,794,455
2.625%, 01/31/18........................................... 14,600 14,934,778
1.000%, 03/15/18........................................... 7,000 7,021,329
2.875%, 03/31/18........................................... 5,000 5,144,335
0.750%, 04/30/18........................................... 4,000 3,997,188
0.875%, 10/15/18........................................... 5,000 5,000,000
1.250%, 10/31/18........................................... 9,000 9,064,332
------------
TOTAL U.S. TREASURY OBLIGATIONS............................. 114,914,039
------------
TOTAL INVESTMENT SECURITIES................................. 114,914,039
------------
Shares
--------
TEMPORARY CASH INVESTMENTS -- (0.1%)
State Street Institutional U.S. Government Money Market
Fund, 0.260%............................................... 107,458 107,458
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $114,864,255)........... $115,021,497
============
Summary of the Portfolio's investments as of October 31, 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
-------- ------------ ------- ------------
U.S. Treasury Obligations.......... -- $114,914,039 -- $114,914,039
Temporary Cash Investments......... $107,458 -- -- 107,458
-------- ------------ -- ------------
TOTAL.............................. $107,458 $114,914,039 -- $115,021,497
======== ============ == ============
See accompanying Notes to Financial Statements.
13
DIMENSIONAL INVESTMENT GROUP INC.
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
ASSETS:
Investment in The U.S. Large Cap Value Series of The DFA
Investment Trust Company (Affiliated Investment Company)
at Value................................................... $ 54,634
Prepaid Expenses and Other Assets........................... 5
------------
Total Assets........................................... 54,639
------------
LIABILITIES:
Payables:
Fund Shares Redeemed....................................... 10
Accrued Expenses and Other Liabilities...................... 15
------------
Total Liabilities...................................... 25
------------
NET ASSETS.................................................. $ 54,614
============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)..................... 3,111,459
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE.... $ 17.55
============
Investment in Affiliated Investment Company at Cost......... $ 25,751
------------
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 22,293
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... 64
Accumulated Net Realized Gain (Loss)........................ 3,374
Net Unrealized Appreciation (Depreciation).................. 28,883
------------
NET ASSETS.................................................. $ 54,614
============
(1) NUMBER OF SHARES AUTHORIZED............................. 300,000,000
============
See accompanying Notes to Financial Statements.
14
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
LWAS/DFA LWAS/DFA
TWO-YEAR TWO-YEAR
FIXED INCOME GOVERNMENT
PORTFOLIO PORTFOLIO
------------ ------------
ASSETS:
Investments at Value (including $1,108 and $0 of securities on loan, respectively).............. $ 80,678 $ 114,914
Temporary Cash Investments at Value & Cost...................................................... 305 107
Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $1,131 and
$0)............................................................................................ 1,131 --
Receivables:
Investment Securities Sold.................................................................... 601 9,252
Interest...................................................................................... 299 367
Fund Shares Sold.............................................................................. 5 --
Prepaid Expenses and Other Assets............................................................... 5 6
------------ ------------
Total Assets............................................................................... 83,024 124,646
------------ ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.............................................................. 1,131 --
Investment Securities Purchased............................................................... 698 9,066
Fund Shares Redeemed.......................................................................... -- 43
Due to Advisor................................................................................ 10 15
Accrued Expenses and Other Liabilities.......................................................... 17 23
------------ ------------
Total Liabilities.......................................................................... 1,856 9,147
------------ ------------
NET ASSETS...................................................................................... $ 81,168 $ 115,499
============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)......................................................... 8,112,912 11,693,604
============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE........................................ $ 10.00 $ 9.88
============ ============
Investments at Cost............................................................................. $ 80,687 $ 114,757
============ ============
NET ASSETS CONSIST OF:
Paid-In Capital................................................................................. $ 81,094 $ 115,508
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).......... 100 102
Accumulated Net Realized Gain (Loss)............................................................ (17) (268)
Net Unrealized Appreciation (Depreciation)...................................................... (9) 157
------------ ------------
NET ASSETS...................................................................................... $ 81,168 $ 115,499
============ ============
(1) NUMBER OF SHARES AUTHORIZED................................................................. 300,000,000 300,000,000
============ ============
See accompanying Notes to Financial Statements.
15
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS)
LWAS/DFA
U.S. HIGH LWAS/DFA LWAS/DFA
BOOK TO TWO-YEAR TWO-YEAR
MARKET FIXED INCOME GOVERNMENT
PORTFOLIO* PORTFOLIO PORTFOLIO
---------- ------------ ----------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment Company:
Dividends............................................................ $ 1,381 $ -- $ --
Income from Securities Lending....................................... 10 -- --
Expenses Allocated from Affiliated Investment Company................ (62) -- --
------- ---- ------
Total Net Investment Income Received from Affiliated Investment
Company............................................................ 1,329 -- --
------- ---- ------
FUND INVESTMENT INCOME
Dividends.............................................................. -- 2 --
Interest............................................................... -- 884 1,010
Income from Securities Lending......................................... -- 10 --
------- ---- ------
Total Investment Income............................................. -- 896 1,010
------- ---- ------
FUND EXPENSES
Investment Management Fees............................................. 61 129 183
Accounting & Transfer Agent Fees....................................... 4 9 10
Shareholder Servicing Fees............................................. 83 69 98
Custodian Fees......................................................... -- 1 --
Filing Fees............................................................ 19 19 20
Shareholders' Reports.................................................. 7 11 15
Directors'/Trustees' Fees & Expenses................................... -- 1 1
Professional Fees...................................................... 2 6 7
Other.................................................................. 1 3 6
------- ---- ------
Total Expenses...................................................... 177 248 340
------- ---- ------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor (Note C)......................................... (55) -- --
------- ---- ------
Net Expenses........................................................... 122 248 340
------- ---- ------
NET INVESTMENT INCOME (LOSS)........................................... 1,207 648 670
------- ---- ------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**......................................... 3,454 (18) (267)
Futures.............................................................. 59 -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities................................................ (2,441) 49 227
Futures.............................................................. (9) -- --
------- ---- ------
NET REALIZED AND UNREALIZED GAIN (LOSS)................................ 1,063 31 (40)
------- ---- ------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.......... $ 2,270 $679 $ 630
======= ==== ======
----------
* 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 and $0, respectively.
See accompanying Notes to Financial Statements.
16
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
LWAS/DFA U.S. HIGH BOOK LWAS/DFA TWO-YEAR FIXED LWAS/DFA TWO-YEAR
TO MARKET PORTFOLIO INCOME PORTFOLIO GOVERNMENT PORTFOLIO
---------------------- ---------------------- ------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2016 2015 2016 2015
-------- -------- -------- -------- -------- --------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)............ $ 1,207 $ 1,275 $ 648 $ 422 $ 670 $ 443
Net Realized Gain (Loss) on:
Investment Securities Sold*........... 3,454 4,976 (18) 218 (267) 367
Futures............................... 59 -- -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities................. (2,441) (5,532) 49 (102) 227 (250)
Futures............................... (9) -- -- -- -- --
------- -------- -------- -------- -------- --------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.......................... 2,270 719 679 538 630 560
------- -------- -------- -------- -------- --------
Distributions From:
Net Investment Income................... (1,193) (1,203) (605) (376) (610) (424)
Net Short-Term Gains.................... -- (68) (205) (108) (352) (411)
Net Long-Term Gains..................... (4,712) (4,067) (5) (73) -- --
------- -------- -------- -------- -------- --------
Total Distributions.................. (5,905) (5,338) (815) (557) (962) (835)
------- -------- -------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued........................... 1,005 1,865 3,649 6,920 5,405 9,826
Shares Issued in Lieu of Cash
Distributions.......................... 5,905 5,338 815 557 962 836
Shares Redeemed......................... (8,182) (11,277) (14,939) (14,640) (24,184) (21,970)
------- -------- -------- -------- -------- --------
Net Increase (Decrease) from
Capital Share Transactions.......... (1,272) (4,074) (10,475) (7,163) (17,817) (11,308)
------- -------- -------- -------- -------- --------
Total Increase (Decrease) in Net
Assets.............................. (4,907) (8,693) (10,611) (7,182) (18,149) (11,583)
NET ASSETS
Beginning of Year....................... 59,521 68,214 91,779 98,961 133,648 145,231
------- -------- -------- -------- -------- --------
End of Year............................. $54,614 $ 59,521 $ 81,168 $ 91,779 $115,499 $133,648
======= ======== ======== ======== ======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................... 59 98 365 691 548 992
Shares Issued in Lieu of Cash
Distributions.......................... 351 294 82 56 98 85
Shares Redeemed......................... (482) (592) (1,494) (1,462) (2,451) (2,219)
------- -------- -------- -------- -------- --------
Net Increase (Decrease) from
Shares Issued and Redeemed.......... (72) (200) (1,047) (715) (1,805) (1,142)
======= ======== ======== ======== ======== ========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)....................... $ 64 $ 107 $ 100 $ 68 $ 102 $ 55
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
17
DIMENSIONAL INVESTMENT GROUP INC.
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
LWAS/DFA U.S. High Book to Market Portfolio
-------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012
----------------------------------------------------------------------------------
Net Asset Value, Beginning of Year... $ 18.70 $ 20.16 $ 18.40 $ 13.84 $ 11.96
------- ------- ------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).... 0.37 0.38 0.32 0.28 0.25
Net Gains (Losses) on Securities
(Realized and Unrealized)......... 0.36 (0.23) 2.41 4.57 1.87
------- ------- ------- ------- -------
Total from Investment Operations.. 0.73 0.15 2.73 4.85 2.12
----------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............... (0.37) (0.36) (0.29) (0.29) (0.24)
Net Realized Gains.................. (1.51) (1.25) (0.68) -- --
------- ------- ------- ------- -------
Total Distributions............... (1.88) (1.61) (0.97) (0.29) (0.24)
----------------------------------------------------------------------------------
Net Asset Value, End of Year......... $ 17.55 $ 18.70 $ 20.16 $ 18.40 $ 13.84
=================================== ======== ======== ======== ======== ========
Total Return......................... 4.49% 1.12% 15.38% 35.41% 18.01%
----------------------------------------------------------------------------------
Net Assets, End of Year (thousands).. $54,614 $59,521 $68,214 $67,266 $60,916
Ratio of Expenses to Average Net
Assets (B).......................... 0.33% 0.32% 0.34% 0.34% 0.34%
Ratio of Expenses to Average Net
Assets (Excluding Fees (Waived),
(Expenses Reimbursed), and/or
Previously Waived Fees Recovered
by Advisor) (B)..................... 0.43% 0.35% 0.34% 0.34% 0.34%
Ratio of Net Investment Income to
Average Net Assets.................. 2.19% 1.99% 1.67% 1.77% 1.93%
----------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
18
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
LWAS/DFA Two-Year Fixed Income Portfolio
-------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012
----------------------------------------------------------------------------------
Net Asset Value, Beginning of Year... $ 10.02 $ 10.02 $ 10.02 $ 10.07 $ 10.10
------- ------- ------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).... 0.08 0.04 0.02 0.03 0.04
Net Gains (Losses) on Securities
(Realized and Unrealized)......... (0.01) 0.02 0.01 -- 0.03
------- ------- ------- ------- -------
Total from Investment Operations.. 0.07 0.06 0.03 0.03 0.07
----------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............... (0.07) (0.04) (0.02) (0.03) (0.04)
Net Realized Gains.................. (0.02) (0.02) (0.01) (0.05) (0.06)
------- ------- ------- ------- -------
Total Distributions............... (0.09) (0.06) (0.03) (0.08) (0.10)
----------------------------------------------------------------------------------
Net Asset Value, End of Year......... $ 10.00 $ 10.02 $ 10.02 $ 10.02 $ 10.07
=================================== ======== ======== ======== ======== ========
Total Return......................... 0.74% 0.57% 0.31% 0.26% 0.75%
----------------------------------------------------------------------------------
Net Assets, End of Year (thousands).. $81,168 $91,779 $98,961 $94,726 $89,326
Ratio of Expenses to Average Net
Assets.............................. 0.29% 0.29% 0.28% 0.29% 0.30%
Ratio of Net Investment Income to
Average Net Assets.................. 0.75% 0.43% 0.20% 0.27% 0.40%
Portfolio Turnover Rate.............. 93% 238% 122% 57% 102%
----------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
19
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
LWAS/DFA Two-Year Government Portfolio
------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012
---------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year... $ 9.90 $ 9.92 $ 9.91 $ 9.96 $ 9.98
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).... 0.05 0.03 0.01 0.01 0.02
Net Gains (Losses) on Securities
(Realized and Unrealized)......... 0.01 0.01 0.03 0.02 0.04
-------- -------- -------- -------- --------
Total from Investment Operations.. 0.06 0.04 0.04 0.03 0.06
---------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............... (0.05) (0.03) (0.01) (0.01) (0.03)
Net Realized Gains.................. (0.03) (0.03) (0.02) (0.07) (0.05)
-------- -------- -------- -------- --------
Total Distributions............... (0.08) (0.06) (0.03) (0.08) (0.08)
---------------------------------------------------------------------------------------
Net Asset Value, End of Year......... $ 9.88 $ 9.90 $ 9.92 $ 9.91 $ 9.96
=================================== ======== ======== ======== ======== ========
Total Return......................... 0.58% 0.38% 0.39% 0.26% 0.50%
---------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).. $115,499 $133,648 $145,231 $145,205 $145,273
Ratio of Expenses to Average Net
Assets.............................. 0.28% 0.28% 0.27% 0.28% 0.28%
Ratio of Net Investment Income to
Average Net Assets.................. 0.55% 0.31% 0.12% 0.05% 0.19%
Portfolio Turnover Rate.............. 118% 262% 225% 160% 111%
---------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
20
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of fifteen
portfolios, three of which, LWAS/DFA U.S. High Book to Market Portfolio,
LWAS/DFA Two-Year Fixed Income Portfolio and LWAS/DFA Two-Year Government
Portfolio (the "Portfolios"), are presented in this report. The remaining
operational portfolios are presented in separate reports. The Portfolios are
investment companies and, accordingly, follow the accounting and reporting
guidance under Financial Accounting Standards Board ("FASB") Accounting
Standards Certification ("ASC") Topic 946, "Financial Services-Investment
Companies."
LWAS/DFA U.S. High Book to Market Portfolio ("Feeder Fund") primarily
invests its assets in The U.S. Large Cap Value Series (the "Series"), a
corresponding series of The DFA Investment Trust Company. At October 31, 2016,
the Feeder Fund owned less than 1% of the Series. The financial statements of
the Series are included elsewhere in this report and should be read in
conjunction with the financial statements of the Feeder Fund.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. SECURITY VALUATION: The Portfolios utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
Debt securities held by LWAS/DFA Two-Year Fixed Income Portfolio and
LWAS/DFA Two-Year Government Portfolio are valued on the basis of evaluated
prices provided by one or more pricing services or other reasonably reliable
sources including broker/dealers that typically handle the purchase and sale of
such securities. Securities 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. 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 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.
21
The Feeder Fund's investment reflects its proportionate interest in the net
assets of the Series. These valuations are classified as Level 1 in the
hierarchy.
A summary of the inputs used to value the Portfolios' investments by each
major security type, industry and/or country is disclosed previously in this
note. Valuation hierarchy tables have been included at the end of the Schedules
of Investments for the Portfolios (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 year ended October 31, 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 October 31, 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 of net investment
income and realized and unrealized gains/losses of investment securities, on a
daily basis, from its Series, which is treated as a partnership for federal
income tax purposes. Security transactions are accounted for as of the trade
date. Costs used in determining realized gains and losses on the sale of
investment securities are accounted for on the basis of identified cost.
Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Interest income is recorded on an accrual basis. Discount and
premium on securities purchased are amortized over the lives of the respective
securities, utilizing the effective interest method. Expenses directly
attributable to a Portfolio are directly charged. Common expenses of the Fund
or the Portfolios are allocated using methods approved by the Board, generally
based on average net assets.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolios. For the year ended October 31, 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:
LWAS/DFA U.S. High Book to Market Portfolio
(1)........................................ 0.11%
LWAS/DFA Two-Year Fixed Income Portfolio..... 0.15%
LWAS/DFA Two-Year Government Portfolio....... 0.15%
(1) Effective as of 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
22
indirectly through its investment in other funds managed by the Advisor, to
0.11% of the average net assets of a class of the Feeder Fund on an annualized
basis. The Fee Waiver Agreement for the Feeder Fund will remain in effect
permanently, unless terminated by the Fund.
In addition, pursuant to a Client Service Agreement with LWI Financial Inc.
("LWIF"), the Portfolios pay monthly Shareholder Servicing Fees to LWIF at the
following effective annual rates of their average daily net assets:
SHAREHOLDER
SERVICING FEES
--------------
LWAS/DFA U.S. High Book to Market Portfolio... 0.15%
LWAS/DFA Two-Year Fixed Income Portfolio...... 0.08%
LWAS/DFA Two-Year Government Portfolio........ 0.08%
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors 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 year ended October 31, 2016, the total related amounts paid by the Fund
to the CCO were $31 (in thousands). The total related amounts paid by each of
the Portfolios are included in Other Expenses on the Statement of Operations.
D. DEFERRED COMPENSATION:
At October 31, 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):
LWAS/DFA U.S. High Book to Market Portfolio... $3
LWAS/DFA Two-Year Fixed Income Portfolio...... 4
LWAS/DFA Two-Year Government Portfolio........ 7
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 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
--------- -------- --------- -------
LWAS/DFA Two-Year Fixed Income Portfolio.. $ 19,064 $ 39,820 $60,141 $44,700
LWAS/DFA Two-Year Government Portfolio.... 144,088 162,504 -- --
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
23
the differences arise. Accordingly, the following permanent differences as of
October 31, 2016, primarily attributable to tax equalization, were reclassified
to the following accounts. These reclassifications had no effect on net assets
or net asset value per share (amounts in thousands):
INCREASE INCREASE
(DECREASE) (DECREASE)
INCREASE UNDISTRIBUTED ACCUMULATED
(DECREASE) NET INVESTMENT NET REALIZED
PAID-IN CAPITAL INCOME GAINS (LOSSES)
--------------- -------------- --------------
LWAS/DFA U.S. High Book to Market Portfolio. $192 $(57) $(135)
LWAS/DFA Two-Year Fixed Income Portfolio.... 11 (11) --
LWAS/DFA Two-Year Government Portfolio...... 13 (13) --
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2015 and October 31, 2016 were as follows (amounts
in thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM TAX EXEMPT
CAPITAL GAINS CAPITAL GAINS INCOME TOTAL
-------------- ------------- ---------- ------
LWAS/DFA U.S. High Book to Market Portfolio
2015........................................ $1,271 $4,067 -- $5,338
2016........................................ 1,193 4,712 -- 5,905
LWAS/DFA Two-Year Fixed Income Portfolio
2015........................................ 484 73 -- 557
2016........................................ 809 5 -- 814
LWAS/DFA Two-Year Government Portfolio
2015........................................ 836 -- -- 836
2016........................................ 962 -- -- 962
At October 31, 2016, the following net investment income and short-term
capital gains and long-term capital gains distributions designated for federal
income tax purposes are due to the utilization of accumulated earnings and
profits distributed to shareholders upon redemption of shares (amounts in
thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- -----
LWAS/DFA U.S. High Book to Market Portfolio. $51 $141 $192
LWAS/DFA Two-Year Fixed Income Portfolio.... 11 -- 11
LWAS/DFA Two-Year Government Portfolio...... 13 -- 13
At October 31, 2016, the components of distributable earnings (accumulated
losses) were as follows (amounts in thousands):
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED UNREALIZED EARNINGS
SHORT-TERM LONG-TERM CAPITAL LOSS APPRECIATION (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS CARRYFORWARDS (DEPRECIATION) LOSSES)
-------------- ------------- ------------- -------------- -------------
LWAS/DFA U.S. High Book to
Market Portfolio......... $108 $3,325 -- $28,893 $32,326
LWAS/DFA Two-Year Fixed
Income Portfolio......... 104 -- $ (18) (9) 77
LWAS/DFA Two-Year
Government Portfolio..... 108 -- (269) 157 (4)
24
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, 2016, the
Portfolios had no capital loss carryforwards available to offset future
realized capital gains.
At October 31, 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)
----------- ------------ ------------ --------------
LWAS/DFA U.S. High Book
to Market Portfolio.... $ 25,761 $28,873 -- $28,873
LWAS/DFA Two-Year Fixed
Income Portfolio....... 82,122 49 $(58) (9)
LWAS/DFA Two-Year
Government Portfolio... 114,864 164 (7) 157
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. 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.
There were no borrowings by the Portfolios under the lines of credit during
the year ended October 31, 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
25
portfolios as compared to rates available through short-term bank loans or
investments in overnight repurchase agreements and money market funds,
respectively, as detailed in the Order. Further, a portfolio may participate in
the program only if and to the extent that such participation is consistent
with its investment objectives and limitations. Interfund loans have a maximum
duration of seven days and may be called on one business day's notice. The
Portfolios did not utilize the interfund lending program during the year ended
October 31, 2016.
H. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties 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.
I. OTHER:
At October 31, 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 OF
NUMBER OF OUTSTANDING
SHAREHOLDERS SHARES
------------ -------------
LWAS/DFA U.S. High Book to Market Portfolio....... 2 92%
LWAS/DFA Two-Year Fixed Income Portfolio.......... 3 96%
LWAS/DFA Two-Year Government Portfolio............ 3 97%
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 U.S. Large Cap Value Series has been named as a defendant in a
multi-district litigation pending in the United States District Court for the
Southern District of New York (the "Court"), captioned IN RE TRIBUNE COMPANY
FRAUDULENT CONVEYANCE LITIGATION, No. 11-MD-2296-RJS (the "Tribune MDL"). The
Tribune MDL arises from the 2007 leveraged buyout of The Tribune Company
("Tribune") (the "LBO") and Tribune's subsequent bankruptcy and reorganization.
In connection with the LBO, thousands of Tribune shareholders, including The
U.S. Large Cap Value Series sold Tribune shares back to Tribune for $34 per
share. The Tribune MDL includes a series of lawsuits brought by individual
creditors of Tribune (the "Individual Creditor Actions") and a lawsuit brought
by a court-appointed trustee on behalf of the committee of unsecured creditors
of Tribune (the "Committee Action," and with the Individual Creditor Actions,
collectively referred to as the "Lawsuits"). The Lawsuits seek to unwind the
LBO stock repurchases as fraudulent transfers and recover the stock repurchase
proceeds paid to the Tribune shareholders who participated in the LBO. On
September 23, 2013, the Court entered an order dismissing the Individual
Creditor Actions in their entirety on the grounds that the individual creditor
plaintiffs lack standing to pursue their claims. The 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.
26
Litigation counsel to The U.S. Large Cap Value Series in the Lawsuits has
advised management that it does not believe that it is possible, at this early
stage in the proceedings, to predict with any reasonable certainty the probable
outcome of the Lawsuits or quantify the ultimate exposure to The U.S. Large Cap
Value Series arising from the Lawsuits. Until The U.S. Large Cap Value Series
can do so, no reduction of the net asset value of The U.S. Large Cap Value
Series will be made relating to the Lawsuits. However, even if the plaintiffs
in the Lawsuits were to obtain the full recovery the plaintiffs seek, the
amount would be less than 1% of the 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.
J. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the
Portfolios through the date that the financial statements were issued and has
determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
27
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of Dimensional Investment Group Inc. and
Shareholders of the Portfolios, as defined:
In our opinion, the accompanying statements of assets and liabilities,
including the schedules of investments, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of LWAS/DFA U.S. High
Book to Market Portfolio, LWAS/DFA Two-Year Fixed Income Portfolio and LWAS/DFA
Two-Year Government Portfolio (constituting portfolios within Dimensional
Investment Group Inc., hereafter referred to as the "Portfolios") as of October
31, 2016, the results of each of their operations for the year then ended, the
changes in each of their net assets for each of the two years in the period
then ended and the financial highlights for each of the five years in the
period then ended, in conformity with accounting principles generally accepted
in the United States of America. These financial statements and financial
highlights (hereafter referred to as "financial statements") are the
responsibility of the Portfolios' management. Our responsibility is to express
an opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with the standards of the
Public Company Accounting Oversight Board (United States). Those standards
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities as of October 31, 2016 by correspondence with the
custodian, broker and transfer agents of the investee funds, provide a
reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 20, 2016
28
NOTIFICATION OF SOURCE OF DISTRIBUTIONS PURSUANT TO
RULE 19A-1 UNDER THE INVESTMENT COMPANY ACT OF 1940
(UNAUDITED)
As noted in the table provided below, the following Portfolios paid
distributions to shareholders of record that included amounts from net
investment income and return of capital. Please note that this information is
being provided to satisfy certain notice requirements under the Investment
Company Act of 1940 and is not being provided for tax reporting purposes. Each
Portfolio will send (or has sent) shareholders a Form 1099-DIV (or a financial
intermediary should provide (or has provided) shareholders with similar
information) for the relevant calendar year informing shareholders how to
report these distributions for federal income tax purposes.
% BREAKDOWN OF DISTRIBUTION SOURCES
-------------------------------------------------
NET NET REALIZED NET REALIZED
INVESTMENT CAPITAL GAINS: CAPITAL GAINS: RETURN OF
PORTFOLIO NAME INCOME SHORT-TERM LONG-TERM CAPITAL
-------------- ---------- -------------- -------------- ---------
LWAS/DFA Two-Year Fixed Income Portfolio
December 16, 2015..................... 91% 0% 0% 9%
LWAS/DFA Two-Year Government Portfolio
December 16, 2015..................... 92% 0% 0% 8%
March 30, 2016........................ 99% 0% 0% 1%
Each Portfolio estimates that it has distributed more than the amount of net
investment income and net realized capital gains; therefore, a portion of the
distributions may be a return of capital. A return of capital may occur, for
example, when some or all of the shareholder's investment in a Portfolio is
returned to the shareholder. A return of capital does not necessarily reflect a
Portfolio's investment performance and should not be confused with yield or
income. When distributions exceed total return performance, the difference will
reduce a Portfolio's net asset value per share.
29
DFA INVESTMENT DIMENSIONS GROUP
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
LWAS/DFA International MSCI World
High Book to ex USA Index
Market Portfolio (net dividends)
------------------------- ---------------
10/2006 $10,000 $10,000
11/2006 $10,330 $10,298
12/2006 $10,731 $10,593
01/2007 $10,930 $10,658
02/2007 $10,921 $10,743
03/2007 $11,272 $11,018
04/2007 $11,837 $11,520
05/2007 $12,241 $11,775
06/2007 $12,147 $11,787
07/2007 $11,806 $11,624
08/2007 $11,672 $11,456
09/2007 $12,280 $12,107
10/2007 $12,872 $12,633
11/2007 $12,091 $12,139
12/2007 $11,830 $11,911
01/2008 $10,868 $10,837
02/2008 $10,729 $11,033
03/2008 $10,853 $10,876
04/2008 $11,335 $11,480
05/2008 $11,340 $11,655
06/2008 $10,216 $10,748
07/2008 $9,925 $10,366
08/2008 $9,508 $9,965
09/2008 $8,397 $8,526
10/2008 $6,289 $6,753
11/2008 $5,903 $6,386
12/2008 $6,336 $6,723
01/2009 $5,459 $6,096
02/2009 $4,789 $5,479
03/2009 $5,311 $5,840
04/2009 $6,292 $6,593
05/2009 $7,221 $7,427
06/2009 $7,112 $7,350
07/2009 $7,951 $8,040
08/2009 $8,406 $8,425
09/2009 $8,837 $8,773
10/2009 $8,486 $8,632
11/2009 $8,732 $8,845
12/2009 $8,831 $8,986
01/2010 $8,325 $8,565
02/2010 $8,351 $8,557
03/2010 $9,006 $9,107
04/2010 $8,855 $8,972
05/2010 $7,815 $7,982
06/2010 $7,671 $7,866
07/2010 $8,636 $8,593
08/2010 $8,212 $8,336
09/2010 $9,089 $9,136
10/2010 $9,407 $9,462
11/2010 $8,926 $9,061
12/2010 $9,759 $9,790
01/2011 $10,175 $10,001
02/2011 $10,514 $10,372
03/2011 $10,223 $10,164
04/2011 $10,767 $10,718
05/2011 $10,369 $10,400
06/2011 $10,226 $10,252
07/2011 $9,901 $10,083
08/2011 $8,834 $9,231
09/2011 $7,870 $8,304
10/2011 $8,625 $9,111
11/2011 $8,337 $8,690
12/2011 $8,109 $8,595
01/2012 $8,656 $9,059
02/2012 $9,109 $9,557
03/2012 $9,030 $9,487
04/2012 $8,703 $9,326
05/2012 $7,628 $8,262
06/2012 $8,167 $8,804
07/2012 $8,135 $8,913
08/2012 $8,468 $9,168
09/2012 $8,767 $9,446
10/2012 $8,875 $9,512
11/2012 $9,015 $9,712
12/2012 $9,459 $10,006
01/2013 $9,903 $10,498
02/2013 $9,600 $10,393
03/2013 $9,626 $10,476
04/2013 $10,106 $10,953
05/2013 $9,977 $10,708
06/2013 $9,629 $10,307
07/2013 $10,283 $10,855
08/2013 $10,212 $10,715
09/2013 $10,969 $11,472
10/2013 $11,352 $11,857
11/2013 $11,387 $11,930
12/2013 $11,642 $12,110
01/2014 $11,214 $11,621
02/2014 $11,843 $12,255
03/2014 $11,764 $12,200
04/2014 $11,956 $12,392
05/2014 $12,084 $12,584
06/2014 $12,242 $12,763
07/2014 $11,956 $12,536
08/2014 $11,956 $12,546
09/2014 $11,435 $12,030
10/2014 $11,239 $11,839
11/2014 $11,239 $11,985
12/2014 $10,822 $11,586
01/2015 $10,741 $11,545
02/2015 $11,509 $12,235
03/2015 $11,273 $12,030
04/2015 $11,880 $12,551
05/2015 $11,880 $12,442
06/2015 $11,534 $12,089
07/2015 $11,425 $12,280
08/2015 $10,576 $11,386
09/2015 $9,854 $10,811
10/2015 $10,611 $11,624
11/2015 $10,459 $11,439
12/2015 $10,135 $11,234
01/2016 $9,341 $10,461
02/2016 $9,038 $10,315
03/2016 $9,716 $11,015
04/2016 $10,194 $11,369
05/2016 $9,991 $11,241
06/2016 $9,631 $10,899
07/2016 $10,059 $11,435
08/2016 $10,325 $11,446 Past performance is not predictive of
09/2016 $10,443 $11,585 future performance.
10/2016 $10,562 $11,360 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
------------------------------------------------------------ MSCI data copyright MSCI 2016, all
-0.46% 4.13% 0.55% rights reserved.
--------------------------------------------------------------------------------
30
DFA INVESTMENT DIMENSIONS GROUP INC.
MANAGEMENT'S DISCUSSION AND ANALYSIS
(UNAUDITED)
INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2016
Performance of non-U.S. developed markets was varied for the period.
Small-cap stocks had positive returns, while large-cap stocks had negative
returns. As measured by the MSCI World ex USA indices, small-cap stocks
outperformed large cap stocks, and value stocks outperformed growth stocks.
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
RETURN IN U.S. DOLLARS
----------------------
MSCI World ex USA Index........... -2.27%
MSCI World ex USA Small Cap Index. 3.96%
MSCI World ex USA Value Index..... -2.07%
MSCI World ex USA Growth Index.... -2.58%
During the period, the performance of the U.S. dollar was mixed when
compared against the currencies of other developed markets. In particular,
while the U.S. dollar appreciated significantly against the British pound, it
depreciated significantly against the Japanese yen. Overall, currency
fluctuations detracted from USD-denominated returns in developed markets.
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLARS
--------------------------------------------------- ------------ ----------------------
Japan............................. -10.14% 3.19%
United Kingdom.................... 13.55% -10.24%
France............................ -4.31% -5.04%
Switzerland....................... -8.27% -8.57%
Canada............................ 11.55% 8.90%
Germany........................... -2.14% -2.89%
Australia......................... 5.52% 12.55%
Hong Kong......................... 8.52% 8.45%
Spain............................. -8.40% -9.10%
Netherlands....................... 0.63% -0.20%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2016, all rights reserved.
For funds investing in non-US equities traded outside of the U.S. market
time zone, differences in the valuation timing and methodology between a fund
and its benchmark index may impact relative performance over the referenced
period. The funds price foreign exchange rates at the closing of the U.S.
market while their benchmark indices use rates at 4 pm London time. The funds
also may use fair value pricing to price certain portfolio securities at the
closing of the U.S. market, while benchmark indices may use local market
closing prices. For the one-year period ended October 31, 2016, these
differences generally benefitted the funds' relative performance.
MASTER-FEEDER STRUCTURE
Certain portfolios described below, called "Feeder Funds," do not buy
individual securities directly; instead, these portfolios invest in
corresponding funds called "Master Funds." Master Funds, in turn, purchase
stocks and/or other securities directly.
INTERNATIONAL EQUITY PORTFOLIO'S PERFORMANCE OVERVIEW
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
The LWAS/DFA International High Book to Market Portfolio seeks to capture
the returns of developed ex U.S. large-cap value stocks by purchasing shares of
The DFA International Value Series, a Master Fund managed
31
by Dimensional that invests in such stocks. Value is measured primarily by
price-to-book ratio. The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2016, the Master Fund held
approximately 500 securities in 22 eligible developed markets. In general,
average cash exposure throughout the year was less than 1% of the Master Fund's
assets.
For the 12 months ended October 31, 2016, total returns were -0.46% for the
Portfolio and -2.27% for the MSCI World ex USA Index (net dividends), the
Portfolio's benchmark. As a result of the Master Fund's diversified investment
approach, performance was determined principally by broad trends in developed
ex U.S. equity markets rather than by the behavior of a limited number of
stocks. The Master Fund invests primarily in value stocks, while the benchmark
is neutral with regard to value or growth stocks. The Master Fund's emphasis on
deep value stocks contributed positively to its performance relative to the
benchmark, as that segment of the market outperformed for the year. The Master
Fund's emphasis on mid-cap stocks also contributed positively to relative
performance, as those stocks outperformed for the period.
32
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Table below illustrates your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2016
EXPENSE TABLE
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/16 10/31/16 RATIO* PERIOD*
--------- --------- ---------- --------
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO**
------------------------------------------------------
Actual Fund Return..................................... $1,000.00 $1,036.10 0.48% $2.46
Hypothetical 5% Annual Return.......................... $1,000.00 $ 1022.72 0.48% $2.44
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then divided
by the number of days in the year (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).
33
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on September 28, 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 of industry classification for the Affiliated Investment
Company are represented in the Disclosure of Portfolio Holdings, which are
included elsewhere within the report. Refer to the Summary Schedule of
Portfolio Holdings for the underlying Affiliated Investment Company's holdings
which reflect the investments by country.
FEEDER FUND
Affiliated Investment Company
-----------------------------
LWAS/DFA
International High
Book to Market
Portfolio........... 100.0%
34
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
VALUE+
-----------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The DFA International Value Series of The
DFA Investment Trust Company.............................. $54,237,875
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$53,039,799)........................................... $54,237,875
-----------
Summary of the Portfolio's Master Fund's investments as of October 31, 2016,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
35
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
ASSETS:
Investment in The DFA International Value Series of The DFA Investment Trust Company (Affiliated Investment
Company) at Value.......................................................................................... $ 54,238
Fund Shares Sold.......................................................................................... 1
Prepaid Expenses and Other Assets........................................................................... 4
------------
Total Assets........................................................................................... 54,243
------------
LIABILITIES:
Payables:
Fund Shares Redeemed...................................................................................... 2
Accrued Expenses and Other Liabilities...................................................................... 16
------------
Total Liabilities...................................................................................... 18
------------
NET ASSETS.................................................................................................. $ 54,225
============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)..................................................................... 7,601,296
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE.................................................... $ 7.13
============
Investment in Affiliated Investment Company at Cost......................................................... $ 53,040
============
NET ASSETS CONSIST OF:
Paid-In Capital............................................................................................. $ 54,052
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)...................... 290
Accumulated Net Realized Gain (Loss)........................................................................ (1,314)
Net Unrealized Foreign Exchange Gain (Loss)................................................................. (1)
Net Unrealized Appreciation (Depreciation).................................................................. 1,198
------------
NET ASSETS.................................................................................................. $ 54,225
============
(1) NUMBER OF SHARES AUTHORIZED............................................................................. 200,000,000
============
See accompanying Notes to Financial Statements.
36
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO*
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS)
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment Company:
Dividends (Net of Foreign Taxes Withheld of $163)............................................... $ 2,019
Income from Securities Lending.................................................................. 58
Expenses Allocated from Affiliated Investment Company........................................... (117)
-------
Total Investment Income........................................................................ 1,960
-------
EXPENSES
Investment Management Fees........................................................................ 112
Accounting & Transfer Agent Fees.................................................................. 4
Shareholder Servicing Fees........................................................................ 101
Filing Fees....................................................................................... 17
Shareholders' Reports............................................................................. 8
Professional Fees................................................................................. 1
Other............................................................................................. 2
-------
Total Expenses................................................................................. 245
-------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C). (107)
-------
Net Expenses...................................................................................... 138
-------
NET INVESTMENT INCOME (LOSS)...................................................................... 1,822
-------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**.................................................................... (1,293)
Futures......................................................................................... 37
Foreign Currency Transactions................................................................... 33
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency...................................................... (990)
Futures......................................................................................... (7)
Translation of Foreign Currency Denominated Amounts............................................. (5)
-------
NET REALIZED AND UNREALIZED GAIN (LOSS)........................................................... (2,225)
-------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS..................................... $ (403)
=======
----------
* 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.
See accompanying Notes to Financial Statements.
37
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
LWAS/DFA INTERNATIONAL
HIGH BOOK TO MARKET
PORTFOLIO
---------------------
YEAR YEAR
ENDED ENDED
OCT. 31, OCT. 31,
2016 2015
-------- --------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)......................................................... $ 1,822 $ 2,005
Net Realized Gain (Loss) on:
Investment Securities Sold*........................................................ (1,293) 2,348
Futures............................................................................ 37 --
Foreign Currency Transactions...................................................... 33 (42)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency......................................... (990) (7,888)
Futures............................................................................ (7) --
Translation of Foreign Currency Denominated Amounts................................ (5) 5
-------- -------
Net Increase (Decrease) in Net Assets Resulting from Operations................... (403) (3,572)
-------- -------
Distributions From:
Net Investment Income................................................................ (1,752) (1,879)
Net Short-Term Gains................................................................. -- (40)
Net Long-Term Gains.................................................................. (2,241) (1,481)
-------- -------
Total Distributions............................................................... (3,993) (3,400)
-------- -------
Capital Share Transactions (1):
Shares Issued........................................................................ 4,830 3,105
Shares Issued in Lieu of Cash Distributions.......................................... 3,993 3,399
Shares Redeemed...................................................................... (10,274) (8,126)
-------- -------
Net Increase (Decrease) from Capital Share Transactions........................... (1,451) (1,622)
-------- -------
Total Increase (Decrease) in Net Assets........................................... (5,847) (8,594)
NET ASSETS
Beginning of Year.................................................................... 60,072 68,666
End of Year.......................................................................... $ 54,225 $60,072
======== =======
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................................................................ 692 377
Shares Issued in Lieu of Cash Distributions.......................................... 583 421
Shares Redeemed...................................................................... (1,469) (980)
-------- -------
Net Increase (Decrease) from Shares Issued and Redeemed........................... (194) (182)
======== =======
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME). $ 290 $ 191
----------
* Net of foreign capital gain taxes withheld of $0 and $0, respectively.
See accompanying Notes to Financial Statements.
38
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
LWAS/DFA International High Book to Market Portfolio
---------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012
-------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year................ $ 7.71 $ 8.61 $ 9.50 $ 8.22 $ 8.68
------- ------- ------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................. 0.23 0.25 0.39 0.25 0.28
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... (0.29) (0.72) (0.47) 1.87 (0.10)
------- ------- ------- ------- -------
Total from Investment Operations............... (0.06) (0.47) (0.08) 2.12 0.18
-------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................ (0.23) (0.24) (0.38) (0.27) (0.28)
Net Realized Gains............................... (0.29) (0.19) (0.43) (0.57) (0.36)
------- ------- ------- ------- -------
Total Distributions............................ (0.52) (0.43) (0.81) (0.84) (0.64)
-------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year...................... $ 7.13 $ 7.71 $ 8.61 $ 9.50 $ 8.22
================================================= ========= ========= ========= ========= =========
Total Return...................................... (0.46)% (5.59)% (0.99)% 27.91% 2.89%
-------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)............... $54,225 $60,072 $68,666 $77,901 $66,900
Ratio of Expenses to Average Net Assets (B)....... 0.48% 0.47% 0.50% 0.49% 0.50%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses Reimbursed),
and/or Previously Waived Fees Recovered by
Advisor) (B)..................................... 0.68% 0.53% 0.50% 0.49% 0.50%
Ratio of Net Investment Income to Average Net
Assets........................................... 3.42% 3.05% 4.28% 2.91% 3.49%
-------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
39
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of ninety-five operational
portfolios, one of which, LWAS/DFA International High Book to Market Portfolio
(the "Portfolio"), is presented in this report. The remaining operational
portfolios are presented in separate reports. The Portfolio is an investment
company and, accordingly, follows the accounting and reporting guidance under
Financial Accounting Standards Board ("FASB") Accounting Standards
Certification ("ASC") Topic 946, "Financial Services-Investment Companies."
The Portfolio primarily invests its assets in The DFA International Value
Series (the "Series"), a corresponding series of The DFA Investment Trust
Company. At October 31, 2016, the Portfolio owned less than 1% of the Series.
The financial statements of the Portfolio are included elsewhere in this report
and should be read in conjunction with the financial statements of the
Portfolio.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. SECURITY VALUATION: The Portfolio utilizes a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolio's own
assumptions in determining the fair value of investments)
The Portfolio's investments reflect its proportionate interest in the net
assets of the Series. These valuations are classified as Level 1 in the
hierarchy.
A summary of the inputs used to value the Portfolio's investments is
disclosed previously in this note. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the year ended October 31, 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;
40
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 October 31, 2016, the total liability for deferred compensation to
Directors is included in Accrued Expenses and Other Liabilities on the
Statement of Assets and Liabilities in the amount of $4 (in thousands).
Each Director 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 October 31, 2016, none of the Directors
have requested or received a distribution of proceeds of a deferred fee account.
3. OTHER: The Portfolio recognizes its pro-rata share, on a daily basis,
of net investment income and realized and unrealized gains and losses of
investment securities and foreign currency from the Series, which is treated as
a partnership for federal income tax purposes. Distributions received on
securities that represent a return of capital or capital gains are recorded as
a reduction of cost of investments or as a realized gain, respectively.
Expenses directly attributable to the Portfolio are directly charged. Common
expenses of the Fund or the Portfolios are allocated using methods approved by
the Board, generally based on average net assets.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolio.
For the year ended October 31, 2016, the Portfolio's investment management
fees were accrued daily and paid monthly to the Advisor based on an effective
annual rate of 0.21% of the Portfolio's average daily net assets.
Effective July 21, 2015, the Advisor has contractually agreed to permanently
waive all or a portion of the management fee of the Portfolio to the extent
necessary to limit the total management fees paid to the Advisor by the
Portfolio, including the proportionate share of the management fees the
Portfolio pays indirectly through its investment in other funds managed by the
Advisor, to 0.21% of the average net assets of a class of the Portfolio on an
annualized basis. The Fee Waiver Agreement for the Portfolio will remain in
effect permanently, unless terminated by the Fund.
In addition, pursuant to a Client Service Agreement with LWI Financial Inc.
("LWIF"), the Portfolio pays a monthly Shareholder Servicing Fee to LWIF at an
effective annual rate of 0.19% of its average daily net assets.
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 year ended October 31, 2016, the total related amounts paid by the Fund
to the CCO were $291 (in thousands). The total related amounts paid by the
Portfolio are included in Other Expenses on the Statement of Operations.
D. FEDERAL INCOME TAXES:
The Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to its shareholders. Accordingly, no
provision has been made for federal income taxes.
41
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, 2016, primarily attributable to net foreign
currency gains (losses) and gains on securities considered to be "passive
foreign investment companies", tax equalization and foreign capital gains tax
were reclassified to the following accounts. These reclassifications had no
effect on net assets or net asset value per share (amounts in thousands):
INCREASE INCREASE
(DECREASE) (DECREASE)
INCREASE UNDISTRIBUTED ACCUMULATED
(DECREASE) NET INVESTMENT NET REALIZED
PAID-IN CAPITAL INCOME GAINS (LOSSES)
--------------- -------------- --------------
LWAS/DFA International High Book to Market Portfolio... $37 $29 $(66)
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2015 and October 31, 2016 were as follows (amounts
in thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM TAX EXEMPT
CAPITAL GAINS CAPITAL GAINS INCOME TOTAL
-------------- ------------- ---------- ------
LWAS/DFA International High Book to Market Portfolio
2015................................................. $1,918 $1,481 -- $3,399
2016................................................. 1,752 2,241 -- 3,993
At October 31, 2016, 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):
LWAS/DFA International High Book to Market Portfolio. $37
At October 31, 2016, the components of distributable earnings (accumulated
losses) were as follows (amounts in thousands):
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED UNREALIZED EARNINGS
SHORT-TERM LONG-TERM CAPITAL LOSS APPRECIATION (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS CARRYFORWARDS (DEPRECIATION) LOSSES)
-------------- ------------- ------------- -------------- -------------
LWAS/DFA International High Book to
Market Portfolio.................. $382 -- $(1,184) $750 $(52)
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
Under the Regulated Investment Company Modernization Act of 2010, capital
losses incurred by the Portfolio after October 31, 2011 will not be subject to
expiration and will retain their character as either short-term or long-term
capital losses. In addition, such losses must be utilized prior to the losses
incurred in the years preceding enactment. As of October 31, 2015, the
Portfolio had no capital loss carryforwards available to offset future realized
capital gains.
During the year ended October 31, 2016, the Portfolio did not utilize
capital loss carryforwards.
42
At October 31, 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)
-------- ------------ ------------ --------------
LWAS/DFA International High Book to Market Portfolio. $53,260 $977 -- $977
The difference between book-basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales and investments in passive foreign investment companies.
ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed the Portfolio's
tax positions and has concluded that no additional provision for income tax is
required in the Portfolio's financial statements. The Portfolio is not aware of
any tax positions for which it is more likely than not that the total amounts
of unrecognized tax benefits will significantly change in the next twelve
months. The Portfolio's federal tax returns for the prior three fiscal years
remain subject to examination by the Internal Revenue Service.
E. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million 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.
There were no borrowings by the Portfolio under the lines of credit during
the year ended October 31, 2016.
F. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties 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.
G. OTHER:
At October 31, 2016, two shareholders held approximately 94% 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.
43
H. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the
Portfolio through the date that the financial statements were issued and has
determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
44
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of DFA Investment Dimensions Group Inc. and
Shareholders of LWAS/DFA International High Book to Market Portfolio:
In our opinion, the accompanying statement of assets and liabilities, including
the schedule of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of LWAS/DFA International High Book
to Market Portfolio (one of the portfolios constituting DFA Investment
Dimensions Group Inc., hereafter referred to as the "Portfolio") as of
October 31, 2016, the results of its operations for the year then ended, the
changes in its net assets for each of the two years in the period then ended
and the financial highlights for each of the five years in the period then
ended, in conformity with accounting principles generally accepted in the
United States of America. These financial statements and financial highlights
(hereafter referred to as "financial statements") are the responsibility of the
Portfolio's management. Our responsibility is to express an opinion on these
financial statements based on our audits. We conducted our audits of these
financial statements in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we
plan and perform the audit to obtain reasonable assurance about whether the
financial statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles used and
significant estimates made by management, and evaluating the overall financial
statement presentation. We believe that our audits, which included confirmation
of securities as of October 31, 2016 by correspondence with the transfer agent
of the investee fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 20, 2016
45
NOTIFICATION OF SOURCE OF DISTRIBUTIONS PURSUANT TO
RULE 19A-1 UNDER THE INVESTMENT COMPANY ACT OF 1940
(UNAUDITED)
As noted in the table provided below, the Portfolios paid distributions to
shareholders of record that included amounts from net investment income and
return of capital. Please note that this information is being provided to
satisfy certain notice requirements under the Investment Company Act of 1940
and is not being provided for tax reporting purposes. The Portfolio will send
(or has sent) shareholders a Form 1099-DIV (or a financial intermediary should
provide (or has provided) shareholders with similar information) for the
relevant calendar year informing shareholders how to report these distributions
for federal income tax purposes.
% BREAKDOWN OF DISTRIBUTION SOURCES
-------------------------------------------------
NET NET REALIZED NET REALIZED
INVESTMENT CAPITAL GAINS: CAPITAL GAINS: RETURN OF
PORTFOLIO NAME INCOME SHORT-TERM LONG-TERM CAPITAL
-------------- ---------- -------------- -------------- ---------
LWAS/DFA International High Book to Market Portfolio
December 16, 2015................................. 86% 0% 0% 14%
June 29, 2016..................................... 94% 0% 0% 6%
The Portfolio estimates that it has distributed more than the amount of net
investment income and net realized capital gains; therefore, a portion of the
distributions may be a return of capital. A return of capital may occur, for
example, when some or all of the shareholder's investment in the Portfolio is
returned to the shareholder. A return of capital does not necessarily reflect
the Portfolio's investment performance and should not be confused with yield or
income. When distributions exceed total return performance, the difference will
reduce the Portfolio's net asset value per share.
46
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
THE U.S. LARGE CAP VALUE SERIES VS.
RUSSELL 1000 VALUE INDEX
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
The U.S. Large Cap Russell 1000
Value Series Value Index
---------------------- ---------------
10/2006 $10,000 $10,000
11/2006 $10,190 $10,228
12/2006 $10,395 $10,458
01/2007 $10,698 $10,592
02/2007 $10,537 $10,427
03/2007 $10,610 $10,588
04/2007 $11,062 $10,979
05/2007 $11,518 $11,375
06/2007 $11,332 $11,109
07/2007 $10,630 $10,595
08/2007 $10,427 $10,714
09/2007 $10,699 $11,082
10/2007 $10,759 $11,083
11/2007 $10,158 $10,542
12/2007 $10,124 $10,440
01/2008 $9,737 $10,022
02/2008 $9,439 $9,602
03/2008 $9,351 $9,530
04/2008 $9,940 $9,994
05/2008 $10,179 $9,978
06/2008 $9,063 $9,023
07/2008 $8,964 $8,991
08/2008 $9,138 $9,144
09/2008 $8,317 $8,472
10/2008 $6,447 $7,005
11/2008 $5,815 $6,503
12/2008 $6,004 $6,593
01/2009 $5,291 $5,835
02/2009 $4,550 $5,055
03/2009 $4,999 $5,488
04/2009 $5,808 $6,076
05/2009 $6,253 $6,452
06/2009 $6,176 $6,404
07/2009 $6,765 $6,928
08/2009 $7,224 $7,290
09/2009 $7,540 $7,572
10/2009 $7,215 $7,340
11/2009 $7,621 $7,754
12/2009 $7,832 $7,891
01/2010 $7,650 $7,669
02/2010 $7,980 $7,911
03/2010 $8,602 $8,426
04/2010 $8,875 $8,645
05/2010 $8,114 $7,934
06/2010 $7,502 $7,487
07/2010 $8,090 $7,994
08/2010 $7,602 $7,652
09/2010 $8,344 $8,246
10/2010 $8,655 $8,493
11/2010 $8,588 $8,448
12/2010 $9,425 $9,115
01/2011 $9,726 $9,321
02/2011 $10,253 $9,665
03/2011 $10,300 $9,703
04/2011 $10,563 $9,962
05/2011 $10,410 $9,856
06/2011 $10,229 $9,654
07/2011 $9,760 $9,334
08/2011 $8,937 $8,752
09/2011 $8,033 $8,090
10/2011 $9,147 $9,016
11/2011 $9,071 $8,970
12/2011 $9,143 $9,151
01/2012 $9,597 $9,497
02/2012 $10,152 $9,875
03/2012 $10,339 $10,168
04/2012 $10,128 $10,064
05/2012 $9,410 $9,474
06/2012 $9,918 $9,945
07/2012 $10,013 $10,047
08/2012 $10,410 $10,266
09/2012 $10,793 $10,591
10/2012 $10,822 $10,539
11/2012 $10,846 $10,535
12/2012 $11,176 $10,753
01/2013 $11,956 $11,452
02/2013 $12,109 $11,616
03/2013 $12,688 $12,076
04/2013 $12,822 $12,259
05/2013 $13,348 $12,573
06/2013 $13,200 $12,463
07/2013 $13,989 $13,135
08/2013 $13,578 $12,637
09/2013 $13,975 $12,954
10/2013 $14,683 $13,521
11/2013 $15,300 $13,898
12/2013 $15,706 $14,250
01/2014 $15,085 $13,744
02/2014 $15,596 $14,338
03/2014 $15,965 $14,681
04/2014 $16,070 $14,820
05/2014 $16,424 $15,037
06/2014 $16,869 $15,430
07/2014 $16,749 $15,167
08/2014 $17,280 $15,725
09/2014 $16,855 $15,400
10/2014 $16,984 $15,746
11/2014 $17,185 $16,069
12/2014 $17,314 $16,167
01/2015 $16,458 $15,521
02/2015 $17,620 $16,272
03/2015 $17,285 $16,050
04/2015 $17,635 $16,200
05/2015 $17,831 $16,395
06/2015 $17,544 $16,068
07/2015 $17,501 $16,138
08/2015 $16,438 $15,177
09/2015 $15,912 $14,719
10/2015 $17,209 $15,830
11/2015 $17,276 $15,890
12/2015 $16,735 $15,548
01/2016 $15,596 $14,745
02/2016 $15,625 $14,741
03/2016 $16,764 $15,803
04/2016 $17,218 $16,135
05/2016 $17,453 $16,386
06/2016 $17,434 $16,527
07/2016 $18,036 $17,007 Past performance is not predictive of
08/2016 $18,252 $17,138 future performance.
09/2016 $18,338 $17,103 The returns shown do not reflect the
10/2016 $18,027 $16,838 deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell
--------------------------------------------------------------- Investment Group 1995-2016, all rights
4.75% 14.53% 6.07% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THE DFA INTERNATIONAL VALUE SERIES VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
The DFA International MSCI World ex
Value Series USA Index (net dividends)
----------------- ------------------------
10/2006 $10,000 $10,000
11/2006 $10,332 $10,298
12/2006 $10,735 $10,593
01/2007 $10,938 $10,658
02/2007 $10,928 $10,743
03/2007 $11,281 $11,018
04/2007 $11,851 $11,520
05/2007 $12,256 $11,775
06/2007 $12,166 $11,787
07/2007 $11,828 $11,624
08/2007 $11,696 $11,456
09/2007 $12,306 $12,107
10/2007 $12,903 $12,633
11/2007 $12,121 $12,139
12/2007 $11,860 $11,911
01/2008 $10,900 $10,837
02/2008 $10,761 $11,033
03/2008 $10,890 $10,876
04/2008 $11,376 $11,480
05/2008 $11,382 $11,655
06/2008 $10,256 $10,748
07/2008 $9,966 $10,366
08/2008 $9,549 $9,965
09/2008 $8,434 $8,526
10/2008 $6,319 $6,753
11/2008 $5,931 $6,386
12/2008 $6,380 $6,723
01/2009 $5,499 $6,096
02/2009 $4,824 $5,479
03/2009 $5,350 $5,840
04/2009 $6,336 $6,593
05/2009 $7,277 $7,427
06/2009 $7,166 $7,350
07/2009 $8,019 $8,040
08/2009 $8,479 $8,425
09/2009 $8,911 $8,773
10/2009 $8,556 $8,632
11/2009 $8,811 $8,845
12/2009 $8,911 $8,986
01/2010 $8,396 $8,565
02/2010 $8,429 $8,557
03/2010 $9,094 $9,107
04/2010 $8,939 $8,972
05/2010 $7,892 $7,982
06/2010 $7,753 $7,866
07/2010 $8,723 $8,593
08/2010 $8,296 $8,336
09/2010 $9,188 $9,136
10/2010 $9,509 $9,462
11/2010 $9,033 $9,061
12/2010 $9,875 $9,790
01/2011 $10,295 $10,001
02/2011 $10,639 $10,372
03/2011 $10,345 $10,164
04/2011 $10,899 $10,718
05/2011 $10,506 $10,400
06/2011 $10,362 $10,252
07/2011 $10,030 $10,083
08/2011 $8,955 $9,231
09/2011 $7,975 $8,304
10/2011 $8,745 $9,111
11/2011 $8,457 $8,690
12/2011 $8,230 $8,595
01/2012 $8,784 $9,059
02/2012 $9,243 $9,557
03/2012 $9,166 $9,487
04/2012 $8,839 $9,326
05/2012 $7,748 $8,262
06/2012 $8,296 $8,804
07/2012 $8,263 $8,913
08/2012 $8,606 $9,168
09/2012 $8,911 $9,446
10/2012 $9,022 $9,512
11/2012 $9,166 $9,712
12/2012 $9,614 $10,006
01/2013 $10,068 $10,498
02/2013 $9,764 $10,393
03/2013 $9,797 $10,476
04/2013 $10,279 $10,953
05/2013 $10,157 $10,708
06/2013 $9,797 $10,307
07/2013 $10,467 $10,855
08/2013 $10,395 $10,715
09/2013 $11,176 $11,472
10/2013 $11,564 $11,857
11/2013 $11,608 $11,930
12/2013 $11,863 $12,110
01/2014 $11,431 $11,621
02/2014 $12,084 $12,255
03/2014 $11,996 $12,200
04/2014 $12,201 $12,392
05/2014 $12,339 $12,584
06/2014 $12,489 $12,763
07/2014 $12,212 $12,536
08/2014 $12,217 $12,546
09/2014 $11,680 $12,030
10/2014 $11,481 $11,839
11/2014 $11,486 $11,985
12/2014 $11,060 $11,586
01/2015 $10,988 $11,545
02/2015 $11,774 $12,235
03/2015 $11,525 $12,030
04/2015 $12,156 $12,551
05/2015 $12,162 $12,442
06/2015 $11,813 $12,089
07/2015 $11,697 $12,280
08/2015 $10,827 $11,386
09/2015 $10,091 $10,811
10/2015 $10,866 $11,624
11/2015 $10,722 $11,439
12/2015 $10,378 $11,234
01/2016 $9,570 $10,461
02/2016 $9,265 $10,315
03/2016 $9,969 $11,015
04/2016 $10,450 $11,369
05/2016 $10,257 $11,241
06/2016 $9,886 $10,899
07/2016 $10,323 $11,435
08/2016 $10,600 $11,446 Past performance is not predictive of
09/2016 $10,716 $11,585 future performance.
10/2016 $10,855 $11,360 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
--------------------------------------------------------------- MSCI data copyright MSCI 2016, all
-0.10% 4.42% 0.82% rights reserved.
--------------------------------------------------------------------------------
47
THE DFA INVESTMENT TRUST COMPANY
MANAGEMENT'S DISCUSSION AND ANALYSIS
(UNAUDITED)
U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2016
Most U.S. equities had positive returns during the period. The broad U.S.
equity market, as measured by the Russell 3000(R) Index, gained approximately
4.2%. Large-cap stocks outperformed small-cap stocks as measured by the Russell
indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2016
-------------------------------------------------
Russell 3000(R) Index........................ 4.24%
Russell Microcap(R) Index (micro-cap stocks). 1.54%
Russell 2000(R) Index (small-cap stocks)..... 4.11%
Russell 1000(R) Index (large-cap stocks)..... 4.26%
Dow Jones U.S. Select REIT Index/SM/......... 4.96%
Value stocks outperformed growth stocks as measured by the Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2016
-------------------------------------------------
Russell 2000(R) Value Index (small-cap value stocks)... 8.81%
Russell 2000(R) Growth Index (small-cap growth stocks). -0.49%
Russell 1000(R) Value Index (large-cap value stocks)... 6.37%
Russell 1000(R) Growth Index (large-cap growth stocks). 2.28%
----------
Source: Frank Russell Company is the source and owner of the trademarks,
service marks, and copyrights related to the Russell Indexes.
DOMESTIC EQUITY SERIES' PERFORMANCE OVERVIEW
THE U.S. LARGE CAP VALUE SERIES
The U.S. Large Cap Value Series is designed to capture the returns of U.S.
large-cap value stocks. Value is measured primarily by book-to-market ratio.
The investment strategy is process driven, emphasizing broad diversification.
As of October 31, 2016, the Series held approximately 300 securities. In
general, average cash exposure throughout the year was less than 1% of the
Portfolio's assets.
For the 12 months ended October 31, 2016, total returns were 4.75% for the
Series and 6.37% for the Russell 1000(R) Value Index, the Series benchmark. As
a result of the Series' diversified investment approach, performance was
determined principally by broad trends in the U.S. equity market rather than
the behavior of a limited number of stocks. The Series had a larger allocation
than the benchmark to lower relative price stocks, which detracted from the
Series' performance relative to the benchmark as the lowest relative price
quartile underperformed. The Series' exclusion of real estate investment trusts
(REITs) and utilities detracted from relative performance as REITs and
utilities outperformed most other sectors during the period.
INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2016
Performance of non-U.S. developed markets was varied for the period.
Small-cap stocks had positive returns, while large-cap stocks had negative
returns. As measured by the MSCI World ex USA indices, small cap stocks
outperformed large-cap stocks, and value stocks outperformed growth stocks.
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
RETURN IN U.S. DOLLARS
----------------------
MSCI World ex USA Index........... -2.27%
MSCI World ex USA Small Cap Index. 3.96%
MSCI World ex USA Value Index..... -2.07%
MSCI World ex USA Growth Index.... -2.58%
48
During the period, the performance of the U.S. dollar was mixed when
compared against the currencies of other developed markets. In particular,
while the U.S. dollar appreciated significantly against the British pound, it
depreciated significantly against the Japanese yen. Overall, currency
fluctuations detracted from USD-denominated returns in developed markets.
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLARS
--------------------------------------------------- ------------ ----------------------
Japan............................. -10.14% 3.19%
United Kingdom.................... 13.55% -10.24%
France............................ -4.31% -5.04%
Switzerland....................... -8.27% -8.57%
Canada............................ 11.55% 8.90%
Germany........................... -2.14% -2.89%
Australia......................... 5.52% 12.55%
Hong Kong......................... 8.52% 8.45%
Spain............................. -8.40% -9.10%
Netherlands....................... 0.63% -0.20%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2016, all rights reserved.
For funds investing in non-US equities traded outside of the U.S. market
time zone, differences in the valuation timing and methodology between a fund
and its benchmark index may impact relative performance over the referenced
period. The funds price foreign exchange rates at the closing of the U.S.
market while their benchmark indices use rates at 4 pm London time. The funds
also may use fair value pricing to price certain portfolio securities at the
closing of the U.S. market, while benchmark indices may use local market
closing prices. For the one-year period ended October 31, 2016, these
differences generally benefitted the funds' relative performance.
INTERNATIONAL EQUITY SERIES' PERFORMANCE OVERVIEW
THE DFA INTERNATIONAL VALUE SERIES
The DFA International Value Series is designed to capture the returns of
developed ex U.S. large cap value stocks. Value is measured primarily by
price-to-book ratio. The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2016, the Series held approximately
500 securities in 22 eligible developed markets. In general, average cash
exposure throughout the year was less than 1% of the Series' assets.
For the 12 months ended October 31, 2016, total returns were -0.10% for the
Series and -2.27% for the MSCI World ex USA Index (net dividends), the Series'
benchmark. As a result of the Series' diversified investment approach,
performance was determined principally by broad trends in developed ex U.S.
equity markets rather than by the behavior of a limited number of stocks. The
Series invests primarily in value stocks, while the benchmark is neutral with
regard to value or growth stocks. The Series' emphasis on deep value stocks
contributed positively to its performance, relative to the benchmark as that
segment of the market outperformed for the year. The Series' emphasis on
mid-cap stocks also contributed positively to relative performance, as those
stocks outperformed for the period.
49
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended October 31, 2016
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/16 10/31/16 Ratio* Period*
--------- --------- ---------- --------
The U.S. Large Cap Value Series
-------------------------------
Actual Fund Return................. $1,000.00 $1,047.00 0.11% $0.57
Hypothetical 5% Annual Return...... $1,000.00 $1,024.58 0.11% $0.56
The DFA International Value Series
----------------------------------
Actual Fund Return................. $1,000.00 $1,038.70 0.22% $1.13
Hypothetical 5% Annual Return...... $1,000.00 $1,024.03 0.22% $1.12
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then divided
by the number of days in the year (366) to reflect the six-month period.
50
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. The DFA Investment Trust Company filed its most recent
Form N-Q with the SEC on September 29, 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....................... 12.3%
Consumer Staples............................. 6.6%
Energy....................................... 13.7%
Financials................................... 21.5%
Health Care.................................. 11.0%
Industrials.................................. 11.3%
Information Technology....................... 14.7%
Materials.................................... 3.9%
Telecommunication Services................... 4.8%
Utilities.................................... 0.2%
-----
100.0%
THE DFA INTERNATIONAL VALUE SERIES
Consumer Discretionary....................... 12.8%
Consumer Staples............................. 2.6%
Energy....................................... 16.2%
Financials................................... 29.7%
Health Care.................................. 1.2%
Industrials.................................. 10.7%
Information Technology....................... 3.2%
Materials.................................... 14.6%
Real Estate.................................. 2.3%
Telecommunication Services................... 4.3%
Utilities.................................... 2.4%
-----
100.0%
51
THE U.S. LARGE CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2016
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (95.3%)
Consumer Discretionary -- (11.7%)
#* Charter Communications, Inc. Class A..... 910,208 $ 227,451,877 1.1%
Comcast Corp. Class A.................... 10,885,890 672,965,720 3.2%
Ford Motor Co............................ 14,753,200 173,202,568 0.8%
General Motors Co........................ 5,641,400 178,268,240 0.9%
Time Warner, Inc......................... 3,800,376 338,195,460 1.6%
Other Securities......................... 954,615,599 4.6%
-------------- -----
Total Consumer Discretionary................. 2,544,699,464 12.2%
-------------- -----
Consumer Staples -- (6.3%)
CVS Health Corp.......................... 3,989,908 335,551,263 1.6%
Mondelez International, Inc. Class A..... 3,933,821 176,785,916 0.9%
# Tyson Foods, Inc. Class A................ 1,957,913 138,718,136 0.7%
Wal-Mart Stores, Inc..................... 1,998,751 139,952,545 0.7%
Other Securities......................... 574,239,450 2.6%
-------------- -----
Total Consumer Staples....................... 1,365,247,310 6.5%
-------------- -----
Energy -- (13.1%)
Chevron Corp............................. 3,924,607 411,102,583 2.0%
ConocoPhillips........................... 3,210,456 139,494,313 0.7%
EOG Resources, Inc....................... 1,485,821 134,347,935 0.6%
Exxon Mobil Corp......................... 9,096,178 757,893,551 3.6%
Occidental Petroleum Corp................ 1,857,300 135,415,743 0.6%
Phillips 66.............................. 2,096,097 170,098,272 0.8%
Valero Energy Corp....................... 2,806,975 166,285,199 0.8%
Other Securities......................... 932,855,101 4.5%
-------------- -----
Total Energy................................. 2,847,492,697 13.6%
-------------- -----
Financials -- (20.5%)
American International Group, Inc........ 2,735,967 168,809,164 0.8%
Bank of America Corp..................... 15,552,325 256,613,362 1.2%
Bank of New York Mellon Corp. (The)...... 3,379,657 146,237,758 0.7%
Capital One Financial Corp............... 2,036,842 150,807,782 0.7%
Citigroup, Inc........................... 8,251,489 405,560,684 1.9%
Goldman Sachs Group, Inc. (The).......... 980,999 174,853,262 0.8%
JPMorgan Chase & Co...................... 11,452,239 793,182,073 3.8%
Morgan Stanley........................... 3,534,479 118,652,460 0.6%
PNC Financial Services Group, Inc. (The). 1,303,329 124,598,252 0.6%
Travelers Cos., Inc. (The)............... 1,119,453 121,102,426 0.6%
Wells Fargo & Co......................... 6,090,495 280,223,675 1.3%
Other Securities......................... 1,721,446,165 8.3%
-------------- -----
Total Financials............................. 4,462,087,063 21.3%
-------------- -----
Health Care -- (10.5%)
Aetna, Inc............................... 1,802,581 193,507,070 0.9%
Anthem, Inc.............................. 1,445,532 176,152,529 0.9%
* Express Scripts Holding Co............... 2,738,677 184,586,830 0.9%
Humana, Inc.............................. 707,042 121,278,914 0.6%
Medtronic P.L.C.......................... 3,541,179 290,447,502 1.4%
Pfizer, Inc.............................. 16,340,523 518,157,984 2.5%
Thermo Fisher Scientific, Inc............ 1,023,977 150,555,338 0.7%
Other Securities......................... 644,260,598 3.0%
-------------- -----
Total Health Care............................ 2,278,946,765 10.9%
-------------- -----
52
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (10.8%)
# Caterpillar, Inc.............................................. 1,458,164 $ 121,698,367 0.6%
CSX Corp...................................................... 5,234,843 159,715,060 0.8%
FedEx Corp.................................................... 853,987 148,867,014 0.7%
General Electric Co........................................... 7,508,293 218,491,326 1.0%
Norfolk Southern Corp......................................... 1,569,304 145,945,272 0.7%
Southwest Airlines Co......................................... 3,733,160 149,513,058 0.7%
Stanley Black & Decker, Inc................................... 1,095,910 124,758,394 0.6%
Union Pacific Corp............................................ 2,259,039 199,202,059 1.0%
Other Securities.............................................. 1,077,855,471 5.1%
--------------- ------
Total Industrials................................................... 2,346,046,021 11.2%
--------------- ------
Information Technology -- (14.0%)
Cisco Systems, Inc............................................ 21,342,703 654,794,128 3.1%
Hewlett Packard Enterprise Co................................. 9,162,273 205,876,274 1.0%
HP, Inc....................................................... 9,619,949 139,393,061 0.7%
Intel Corp.................................................... 20,115,235 701,418,244 3.4%
# NVIDIA Corp................................................... 1,824,559 129,835,618 0.6%
QUALCOMM, Inc................................................. 2,685,866 184,572,712 0.9%
Other Securities.............................................. 1,024,025,488 4.8%
--------------- ------
Total Information Technology........................................ 3,039,915,525 14.5%
--------------- ------
Materials -- (3.7%)
Newmont Mining Corp........................................... 3,239,227 119,980,968 0.6%
Other Securities.............................................. 691,529,819 3.3%
--------------- ------
Total Materials..................................................... 811,510,787 3.9%
--------------- ------
Real Estate -- (0.0%)
Other Securities.............................................. 500,715 0.0%
--------------- ------
Telecommunication Services -- (4.5%)
AT&T, Inc..................................................... 21,002,992 772,700,076 3.7%
Other Securities.............................................. 221,455,332 1.1%
--------------- ------
Total Telecommunication Services.................................... 994,155,408 4.8%
--------------- ------
Utilities -- (0.2%)
Other Securities.............................................. 38,848,392 0.2%
--------------- ------
TOTAL COMMON STOCKS................................................. 20,729,450,147 99.1%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 208,566 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES......................................... 20,729,658,713
---------------
TEMPORARY CASH INVESTMENTS -- (0.9%)
State Street Institutional U.S. Government Money Market Fund,
0.260%....................................................... 200,994,368 200,994,368 1.0%
--------------- ------
SECURITIES LENDING COLLATERAL -- (3.8%)
(S)@ DFA Short Term Investment Fund................................ 70,916,981 820,651,306 3.9%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $16,161,108,715).......................................... $21,751,304,387 104.0%
=============== ======
53
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Summary of the Series' investments as of October 31, 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...... $ 2,544,699,464 -- -- $ 2,544,699,464
Consumer Staples............ 1,365,247,310 -- -- 1,365,247,310
Energy...................... 2,847,492,697 -- -- 2,847,492,697
Financials.................. 4,462,087,063 -- -- 4,462,087,063
Health Care................. 2,278,946,765 -- -- 2,278,946,765
Industrials................. 2,346,046,021 -- -- 2,346,046,021
Information Technology...... 3,039,915,525 -- -- 3,039,915,525
Materials................... 811,510,787 -- -- 811,510,787
Real Estate................. 500,715 -- -- 500,715
Telecommunication Services.. 994,155,408 -- -- 994,155,408
Utilities................... 38,848,392 -- -- 38,848,392
Rights/Warrants............... -- $ 208,566 -- 208,566
Temporary Cash Investments.... 200,994,368 -- -- 200,994,368
Securities Lending Collateral. -- 820,651,306 -- 820,651,306
Futures Contracts**........... (3,872,034) -- -- (3,872,034)
--------------- ------------ -- ---------------
TOTAL......................... $20,926,572,481 $820,859,872 -- $21,747,432,353
=============== ============ == ===============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note G)
See accompanying Notes to Financial Statements.
54
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2016
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (95.4%)
AUSTRALIA -- (6.3%)
# Australia & New Zealand Banking Group, Ltd.. 5,260,554 $111,078,744 1.1%
BHP Billiton, Ltd........................... 5,929,050 103,585,415 1.1%
# BHP Billiton, Ltd. Sponsored ADR............ 1,703,682 59,662,944 0.6%
Newcrest Mining, Ltd........................ 3,033,954 53,122,828 0.5%
Woodside Petroleum, Ltd..................... 2,846,042 60,922,340 0.6%
Other Securities............................ 246,709,911 2.6%
------------ ----
TOTAL AUSTRALIA................................. 635,082,182 6.5%
------------ ----
AUSTRIA -- (0.1%)
Other Securities............................ 7,798,226 0.1%
------------ ----
BELGIUM -- (1.2%)
Other Securities............................ 121,053,616 1.2%
------------ ----
CANADA -- (7.6%)
Bank of Montreal............................ 1,645,325 104,642,670 1.1%
Suncor Energy, Inc.......................... 3,911,426 117,374,872 1.2%
Other Securities............................ 542,711,216 5.6%
------------ ----
TOTAL CANADA.................................... 764,728,758 7.9%
------------ ----
DENMARK -- (1.7%)
Vestas Wind Systems A.S..................... 680,712 54,535,811 0.6%
Other Securities............................ 120,813,571 1.2%
------------ ----
TOTAL DENMARK................................... 175,349,382 1.8%
------------ ----
FINLAND -- (0.7%)
Other Securities............................ 75,225,974 0.8%
------------ ----
FRANCE -- (8.9%)
BNP Paribas SA.............................. 1,521,254 88,207,260 0.9%
Cie de Saint-Gobain......................... 1,719,658 76,358,268 0.8%
# Engie SA.................................... 4,083,126 58,885,688 0.6%
# Orange SA................................... 4,783,728 75,265,526 0.8%
Renault SA.................................. 759,818 66,075,160 0.7%
Societe Generale SA......................... 1,935,625 75,503,898 0.8%
Total SA.................................... 4,607,253 220,709,998 2.2%
Other Securities............................ 229,497,843 2.4%
------------ ----
TOTAL FRANCE.................................... 890,503,641 9.2%
------------ ----
GERMANY -- (7.1%)
Allianz SE.................................. 730,758 114,074,413 1.2%
# Bayerische Motoren Werke AG................. 972,382 84,835,907 0.9%
Daimler AG.................................. 2,565,266 183,011,136 1.9%
E.ON SE..................................... 9,462,347 69,348,171 0.7%
Other Securities............................ 258,205,262 2.6%
------------ ----
TOTAL GERMANY................................... 709,474,889 7.3%
------------ ----
HONG KONG -- (2.7%)
CK Hutchison Holdings, Ltd.................. 5,014,984 61,925,181 0.6%
Sun Hung Kai Properties, Ltd................ 2,980,920 44,389,245 0.5%
Other Securities............................ 163,115,200 1.7%
------------ ----
TOTAL HONG KONG................................. 269,429,626 2.8%
------------ ----
55
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
IRELAND -- (0.3%)
Other Securities...................... $ 27,555,506 0.3%
-------------- -----
ISRAEL -- (0.4%)
Other Securities...................... 37,197,840 0.4%
-------------- -----
ITALY -- (0.9%)
Other Securities...................... 89,098,627 0.9%
-------------- -----
JAPAN -- (22.1%)
Hitachi, Ltd.......................... 10,841,000 57,792,205 0.6%
Honda Motor Co., Ltd.................. 3,689,000 110,380,798 1.1%
Mitsubishi UFJ Financial Group, Inc... 13,919,406 71,821,469 0.7%
Mizuho Financial Group, Inc........... 49,478,100 83,308,851 0.9%
Nissan Motor Co., Ltd................. 6,443,700 65,548,427 0.7%
Sumitomo Mitsui Financial Group, Inc.. 2,854,200 98,959,858 1.0%
Other Securities...................... 1,732,718,474 17.8%
-------------- -----
TOTAL JAPAN............................... 2,220,530,082 22.8%
-------------- -----
NETHERLANDS -- (3.2%)
ING Groep NV.......................... 6,261,830 82,199,110 0.8%
Koninklijke DSM NV.................... 739,169 47,509,724 0.5%
Koninklijke Philips NV................ 1,794,168 54,062,166 0.6%
Other Securities...................... 133,730,760 1.4%
-------------- -----
TOTAL NETHERLANDS......................... 317,501,760 3.3%
-------------- -----
NEW ZEALAND -- (0.1%)
Other Securities...................... 12,145,818 0.1%
-------------- -----
NORWAY -- (0.8%)
Other Securities...................... 77,275,822 0.8%
-------------- -----
PORTUGAL -- (0.0%)
Other Securities...................... 4,088,097 0.0%
-------------- -----
SINGAPORE -- (1.0%)
Other Securities...................... 99,362,354 1.0%
-------------- -----
SPAIN -- (2.8%)
Banco Santander SA.................... 38,416,551 188,242,084 1.9%
Other Securities...................... 91,349,479 1.0%
-------------- -----
TOTAL SPAIN............................... 279,591,563 2.9%
-------------- -----
SWEDEN -- (2.2%)
Nordea Bank AB........................ 4,880,877 51,293,747 0.5%
Other Securities...................... 170,725,504 1.8%
-------------- -----
TOTAL SWEDEN.............................. 222,019,251 2.3%
-------------- -----
SWITZERLAND -- (7.6%)
ABB, Ltd.............................. 4,800,878 99,044,119 1.0%
Cie Financiere Richemont SA........... 1,271,917 81,771,387 0.8%
Novartis AG........................... 1,332,371 94,555,149 1.0%
Swiss Re AG........................... 1,037,390 96,281,939 1.0%
UBS Group AG.......................... 3,448,485 48,753,503 0.5%
Zurich Insurance Group AG............. 326,468 85,455,128 0.9%
Other Securities...................... 255,861,140 2.6%
-------------- -----
TOTAL SWITZERLAND......................... 761,722,365 7.8%
-------------- -----
56
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
UNITED KINGDOM -- (17.7%)
* Anglo American P.L.C............................ 3,284,169 $ 45,581,653 0.5%
Barclays P.L.C. Sponsored ADR................... 4,766,662 43,948,624 0.5%
BP P.L.C. Sponsored ADR......................... 10,710,966 380,774,841 3.9%
* Glencore P.L.C.................................. 33,377,354 102,171,610 1.1%
HSBC Holdings P.L.C............................. 21,477,669 161,751,262 1.7%
# HSBC Holdings P.L.C. Sponsored ADR.............. 3,019,816 113,635,676 1.2%
Royal Dutch Shell P.L.C. Class A................ 2,199,265 54,777,180 0.6%
Royal Dutch Shell P.L.C. Sponsored ADR, Class A. 3,177,301 158,261,344 1.6%
# Royal Dutch Shell P.L.C. Sponsored ADR, Class B. 3,794,361 198,483,024 2.0%
Vodafone Group P.L.C............................ 58,351,986 160,253,496 1.6%
# Vodafone Group P.L.C. Sponsored ADR............. 4,011,201 111,671,843 1.1%
Other Securities................................ 242,436,613 2.4%
--------------- ------
TOTAL UNITED KINGDOM.................................. 1,773,747,166 18.2%
--------------- ------
UNITED STATES -- (0.0%)
Other Securities................................ 812,282 0.0%
--------------- ------
TOTAL COMMON STOCKS................................... 9,571,294,827 98.4%
--------------- ------
PREFERRED STOCKS -- (0.9%)
GERMANY -- (0.9%)
Volkswagen AG................................... 535,010 73,764,785 0.8%
Other Securities................................ 18,272,581 0.1%
--------------- ------
TOTAL GERMANY......................................... 92,037,366 0.9%
--------------- ------
TOTAL PREFERRED STOCKS................................ 92,037,366 0.9%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
SPAIN -- (0.0%)
Other Securities................................ 2,150,761 0.0%
--------------- ------
SWEDEN -- (0.0%)
Other Securities................................ 251,828 0.0%
--------------- ------
TOTAL RIGHTS/WARRANTS................................. 2,402,589 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES........................... 9,665,734,782
---------------
- - -
Value+
- ------ -
SECURITIES LENDING COLLATERAL -- (3.7%)
(S)@ DFA Short Term Investment Fund.................. 31,982,623 370,102,917 3.8%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $10,045,898,931)............................ $10,035,837,699 103.1%
=============== ======
57
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Summary of the Series' investments as of October 31, 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............ $ 63,077,009 $ 572,005,173 -- $ 635,082,182
Austria.............. -- 7,798,226 -- 7,798,226
Belgium.............. -- 121,053,616 -- 121,053,616
Canada............... 764,728,758 -- -- 764,728,758
Denmark.............. -- 175,349,382 -- 175,349,382
Finland.............. 2,470,632 72,755,342 -- 75,225,974
France............... 260,795 890,242,846 -- 890,503,641
Germany.............. 67,367,734 642,107,155 -- 709,474,889
Hong Kong............ -- 269,429,626 -- 269,429,626
Ireland.............. 9,750,918 17,804,588 -- 27,555,506
Israel............... -- 37,197,840 -- 37,197,840
Italy................ 17,693,989 71,404,638 -- 89,098,627
Japan................ 32,899,160 2,187,630,922 -- 2,220,530,082
Netherlands.......... 41,922,122 275,579,638 -- 317,501,760
New Zealand.......... -- 12,145,818 -- 12,145,818
Norway............... 10,177,330 67,098,492 -- 77,275,822
Portugal............. -- 4,088,097 -- 4,088,097
Singapore............ -- 99,362,354 -- 99,362,354
Spain................ 3,796,801 275,794,762 -- 279,591,563
Sweden............... 4,064,405 217,954,846 -- 222,019,251
Switzerland.......... 27,724,389 733,997,976 -- 761,722,365
United Kingdom....... 1,033,348,012 740,399,154 -- 1,773,747,166
United States........ -- 812,282 -- 812,282
Preferred Stocks
Germany.............. -- 92,037,366 -- 92,037,366
Rights/Warrants
Spain................ -- 2,150,761 -- 2,150,761
Sweden............... -- 251,828 -- 251,828
Securities Lending
Collateral........... -- 370,102,917 -- 370,102,917
Futures Contracts**... (851,802) -- -- (851,802)
-------------- -------------- -- ---------------
TOTAL................. $2,078,430,252 $7,956,555,645 -- $10,034,985,897
============== ============== == ===============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note G)
See accompanying Notes to Financial Statements.
58
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2016
(Amounts in thousands)
The U.S. Large The DFA
Cap Value International
Series* Value Series*
-------------- -------------
ASSETS:
Investments at Value (including $1,407,685 and $362,128 of securities on loan,
respectively)................................................................................ $20,729,659 $ 9,665,735
Temporary Cash Investments at Value & Cost.................................................... 200,994 --
Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $820,520
and $370,043)................................................................................ 820,651 370,103
Segregated Cash for Futures Contracts......................................................... 6,012 1,176
Foreign Currencies at Value................................................................... -- 9,101
Cash.......................................................................................... -- 17,431
Receivables:
Investment Securities Sold.................................................................. 56,993 --
Dividends, Interest and Tax Reclaims........................................................ 22,805 38,076
Securities Lending Income................................................................... 228 158
Futures Margin Variation.................................................................... -- 13
----------- -----------
Total Assets............................................................................. 21,837,342 10,101,793
----------- -----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............................................................ 820,496 370,018
Investment Securities Purchased............................................................. 97,218 --
Due to Advisor.............................................................................. 1,787 1,649
Futures Margin Variation.................................................................... 247 --
Accrued Expenses and Other Liabilities........................................................ 1,026 586
----------- -----------
Total Liabilities........................................................................ 920,774 372,253
----------- -----------
NET ASSETS.................................................................................... $20,916,568 $ 9,729,540
=========== ===========
Investments at Cost........................................................................... $15,139,595 $ 9,675,856
=========== ===========
Foreign Currencies at Cost.................................................................... $ -- $ 9,131
=========== ===========
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
59
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS)
THE U.S. THE DFA
LARGE CAP INTERNATIONAL
VALUE SERIES VALUE SERIES
------------ -------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $20 and $27,690, respectively)..... $481,935 $ 341,886
Interest....................................................................... 712 --
Income from Securities Lending................................................. 3,444 9,676
-------- ---------
Total Investment Income.................................................... 486,091 351,562
-------- ---------
EXPENSES
Investment Management Fees..................................................... 19,402 17,844
Accounting & Transfer Agent Fees............................................... 954 449
Custodian Fees................................................................. 190 771
Shareholders' Reports.......................................................... 81 38
Directors'/Trustees' Fees & Expenses........................................... 134 62
Professional Fees.............................................................. 361 265
Other.......................................................................... 531 339
-------- ---------
Total Expenses............................................................. 21,653 19,768
-------- ---------
Fees Paid Indirectly (Note C).................................................. -- (212)
-------- ---------
Net Expenses................................................................... 21,653 19,556
-------- ---------
NET INVESTMENT INCOME (LOSS)................................................... 464,438 332,006
-------- ---------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold*.................................................. 567,193 (261,808)
Futures...................................................................... 21,037 5,988
Foreign Currency Transactions................................................ -- 5,590
Forward Currency Contracts................................................... -- 8
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................................... (57,128) (32,753)
Futures...................................................................... (3,872) (852)
Translation of Foreign Currency Denominated Amounts.......................... -- (908)
-------- ---------
NET REALIZED AND UNREALIZED GAIN (LOSS)........................................ 527,230 (284,735)
-------- ---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................. $991,668 $ 47,271
======== =========
----------
* Net of foreign capital gain taxes withheld of $0 and $0, respectively.
See accompanying Notes to Financial Statements.
60
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE U.S. LARGE CAP VALUE THE DFA INTERNATIONAL
SERIES VALUE SERIES
------------------------ -----------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2016 2015
----------- ----------- ---------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)................................ $ 464,438 $ 413,724 $ 332,006 $ 313,826
Net Realized Gain (Loss) on:
Investment Securities Sold*............................... 567,193 858,150 (261,808) 244,684
Futures................................................... 21,037 (43) 5,988 --
Foreign Currency Transactions............................. -- -- 5,590 (5,879)
Forward Currency Contracts................................ -- -- 8 --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................ (57,128) (1,018,426) (32,753) (1,034,230)
Futures................................................... (3,872) -- (852) --
Translation of Foreign Currency Denominated Amounts....... -- -- (908) 654
----------- ----------- ---------- -----------
Net Increase (Decrease) in Net Assets Resulting from
Operations.............................................. 991,668 253,405 47,271 (480,945)
----------- ----------- ---------- -----------
Transactions in Interest:
Contributions............................................... 1,812,211 1,769,181 1,394,282 1,070,207
Withdrawals................................................. (981,368) (1,305,211) (939,918) (705,023)
----------- ----------- ---------- -----------
Net Increase (Decrease) from Transactions in Interest.... 830,843 463,970 454,364 365,184
----------- ----------- ---------- -----------
Total Increase (Decrease) in Net Assets.................. 1,822,511 717,375 501,635 (115,761)
NET ASSETS
Beginning of Year........................................... 19,094,057 18,376,682 9,227,905 9,343,666
----------- ----------- ---------- -----------
End of Year................................................. $20,916,568 $19,094,057 $9,729,540 $ 9,227,905
=========== =========== ========== ===========
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
61
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The U.S. Large Cap Value Series
---------------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012
-------------------------------------------------------------------------------------------------------------------------------
Total Return................................................. 4.75% 1.32% 15.67% 35.68% 18.31%
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $20,916,568 $19,094,057 $18,376,682 $14,838,988 $10,589,152
Ratio of Expenses to Average Net Assets...................... 0.11% 0.11% 0.11% 0.11% 0.12%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly)................................................. 0.11% 0.11% 0.11% 0.11% 0.12%
Ratio of Net Investment Income to Average Net Assets......... 2.39% 2.20% 1.90% 1.98% 2.15%
Portfolio Turnover Rate...................................... 15% 16% 15% 15% 10%
-------------------------------------------------------------------------------------------------------------------------------
The DFA International Value Series
-------------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012
----------------------------------------------------------------------------------------------------------------------------
Total Return................................................. (0.10)% (5.35)% (0.72)% 28.18% 3.17%
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $9,729,540 $9,227,905 $9,343,666 $8,792,130 $7,238,249
Ratio of Expenses to Average Net Assets...................... 0.22% 0.22% 0.22% 0.22% 0.24%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly)................................................. 0.22% 0.22% 0.22% 0.22% 0.24%
Ratio of Net Investment Income to Average Net Assets......... 3.72% 3.31% 4.50% 3.20% 3.75%
Portfolio Turnover Rate...................................... 17% 21% 17% 15% 14%
----------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
62
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven portfolios, two of which, The U.S. Large Cap Value
Series and The DFA International Value Series (the "Series"), are presented in
this report. The remaining operational portfolios are presented in separate
reports. The Series are investment companies and, accordingly, follow the
accounting and reporting guidance under Financial Accounting Standards Board
("FASB") Accounting Standards Certification ("ASC") Topic 946, "Financial
Services-Investment Companies."
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. SECURITY VALUATION: The Series utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series, including over-the-counter securities, are
valued at the last quoted sale price of the day. International equity
securities are subject to a fair value factor, as described later in this note.
Securities held by the Series that are listed on Nasdaq are valued at the
Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price
or NOCP for the day, the Series value the securities 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 management 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 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 Portfolio is calculated. When fair value pricing is
used, the prices of securities used by the Series may differ from the quoted or
published prices for the same securities on their primary markets or exchanges.
These securities are generally categorized as Level 2 in the hierarchy.
The DFA International Value Series (the "International Series") will also
apply a fair value price in the circumstances described below. Generally,
trading in foreign securities markets is completed each day at various times
prior to the close of the NYSE. For example, trading in the Japanese securities
markets is completed each day at the close of the Tokyo Stock Exchange
(normally, 2:00 a.m. ET), which is fourteen hours before the close of the NYSE
(normally, 4:00 p.m. ET) and the time that the net asset value of the
International Series is computed.
63
Due to the time differences between the closings of the relevant foreign
securities exchanges and the time the International Series prices its shares at
the close of the NYSE, the International Series will fair value its foreign
investments when it is determined that the market quotations for the foreign
investments are either unreliable or not readily available. The fair value
prices will attempt to reflect the impact of the U.S. financial markets'
perceptions and trading activities on the International Series foreign
investments since the last closing prices of the foreign investments were
calculated on their primary foreign securities markets or exchanges. For these
purposes, the Board of Trustees of the Trust has determined that movements in
relevant indices or other appropriate market indicators, after the close of the
Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market
quotations may be unreliable. Fair valuation of portfolio securities may occur
on a daily basis. The fair value pricing by the International Series utilizes
data furnished by an independent pricing service (and that data draws upon,
among other information, the market values of foreign investments). The fair
value prices of portfolio securities generally will be used when it is
determined that the use of such prices will have a material impact on the net
asset value of the International Series. When the International Series uses
fair value pricing, the values assigned to the International Series foreign
investments may not be the quoted or published prices of the investments on
their primary markets or exchanges. These securities are generally categorized
as Level 2 in the hierarchy.
Listed derivatives, such as futures, that are actively traded are valued
based on quoted prices from the exchange and are categorized as Level 1 in the
hierarchy. 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.
For the year ended October 31, 2016, there were no significant transfers
between Level 1 and Level 2 and no significant Level 3 investments held by the
Series.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and
liabilities of the International Series whose values are initially expressed in
foreign currencies are translated to U.S. dollars using the mean between the
most recent bid and asked prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and interest income and certain expenses
are translated to U.S. dollars at the rate of exchange on their respective
accrual dates. Receivables and payables denominated in foreign currencies are
marked-to-market daily based on daily exchange rates and exchange gains or
losses are realized upon ultimate receipt or disbursement.
The International Series does not isolate the effect of fluctuations in
foreign exchange rates from the effect of fluctuations in the market prices of
securities whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and any foreign withholding taxes recorded on the books of the
International Series and the U.S. dollar equivalent amounts actually received
or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may
elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such
Directors 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 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
64
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 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 October 31, 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 Series are
allocated using methods approved by the Board of Directors, generally based on
average net assets.
The International Series may be subject to taxes imposed by countries in
which it invests, with respect to its investments in issuers existing or
operating in such countries. Such taxes are generally based on income earned or
repatriated and capital gains realized on the sale of such investments. The
International Series accrues such taxes when the related income or capital
gains are earned or throughout the holding period. Some countries require
governmental approval for the repatriation of investment income, capital or the
proceeds of sales earned by foreign investors. In addition, if there is a
deterioration in a country's balance of payments or for other reasons, a
country may impose temporary restrictions on foreign capital remittances abroad.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to each Series.
For the year ended October 31, 2016, the investment management fees were
accrued daily and paid monthly to the Advisor based on an effective annual rate
of 0.10% and 0.20% of average daily net assets for The U.S. Large Cap Value
Series and The DFA International Value Series, respectively.
EARNED INCOME CREDIT:
In addition, the Series entered into arrangements with their custodian
whereby net interest earned on uninvested cash balances was used to reduce a
portion of the Series' custody expenses. Custody expense in the accompanying
financial statements is presented before reduction for credits. The impact of
such credits is generally less than one basis point of the Series' net assets.
During the year ended October 31, 2016, expenses reduced were as follows
(amounts in thousands):
FEES PAID
INDIRECTLY
----------
The DFA International Value Series...... $212
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors of the Advisor are also Officers and
Directors 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 year ended October 31, 2016, the total related amounts paid
by the Trust to the CCO were $83 (in thousands). The total related amounts paid
by each of the Series are included in Other Expenses on the Statement of
Operations.
65
D. DEFERRED COMPENSATION:
At October 31, 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):
The U.S. Large Cap Value Series.... $478
The DFA International Value Series. 321
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 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.... $4,375,099 $2,884,283
The DFA International Value Series. 2,247,033 1,472,195
There were no purchases or sales of long-term U.S. government securities.
F. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since the Series are
treated as partnerships for federal income tax purposes. Any net investment
income and realized and unrealized gains and losses have been deemed to have
been "passed down" to their respective partners.
At October 31, 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.... $16,161,109 $6,178,300 $ (588,105) $5,590,195
The DFA International Value Series. $10,045,899 $1,179,180 $(1,189,241) $ (10,061)
The difference between book-basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales.
ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed each Series' tax
positions and has concluded that no additional provision for income tax is
required in any Series' financial statements. No Series is aware of any tax
positions for which it is more likely than not that the total amounts of
unrecognized tax benefits will significantly change in the next twelve months.
Each Series' federal tax returns for the prior three fiscal years remain
subject to examination by the Internal Revenue Service.
G. FINANCIAL INSTRUMENTS:
In accordance with the Series' investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. FOREIGN MARKET RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States of America, including the possibility of future political and
economic developments and the level of foreign government supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of international
securities held by the Series may be inhibited.
66
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Series.
2. 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 October 31, 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) 12/16/16 1,336 $141,623 $(3,872) $6,012
-------- ------- ------
$141,623 $(3,872) $6,012
======== ======= ======
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL
------------------------ ---------- --------- -------- ----------- ----------
The DFA International Value
Series.................... Mini MSCI EAFE Index(R) 12/16/16 280 $23,320 $(852) $1,176
------- ----- ------
$23,320 $(852) $1,176
======= ===== ======
3. FORWARD CURRENCY CONTRACTS: The International Series 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 International 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 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
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. 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.
67
The average volume (based on the open positions at each fiscal month-end) of
derivative activity for the year ended October 31, 2016 (amounts in thousands):
FORWARD
CURRENCY
CONTRACTS FUTURES
- --------- --------
The U.S. Large Cap Value Series...... -- $108,242
The DFA International Value Series *. $402 58,270
* The Series had derivative activity during the period but it did not have open
positions at October 31, 2016.
The following is a summary of the location of derivatives on the Series'
Statements of Assets and Liabilities as of October 31, 2016:
LOCATION ON THE
STATEMENTS OF ASSETS AND
LIABILITIES
------------------------
DERIVATIVE TYPE LIABILITY DERIVATIVES
--------------- ---------------------
Equity contracts Payables: Futures Margin
Variation
The following is a summary of Series' derivative instrument holdings
categorized by primary risk exposure as of October 31, 2016 (amounts in
thousands):
LIABILITY DERIVATIVES VALUE
--------------------------
TOTAL VALUE
AT EQUITY
OCTOBER 31, 2016 CONTRACTS*
---------------- ----------
The U.S. Large Cap Value Series.... $(3,872) $(3,872)
The DFA International Value Series. (852) (852)
* 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 and value of derivative
instrument holdings on the Series' Statements of Operations categorized by
primary risk exposure for the year ended October 31, 2016:
DERIVATIVE TYPE LOCATION OF GAIN (LOSS) ON DERIVATIVES
--------------- --------------------------------------
Foreign exchange contracts Net Realized Gain (Loss) on: Foreign Currency Contracts
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 for the year ended October 31, 2016 (amounts in
thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
---------------------------
FOREIGN
EXCHANGE EQUITY
TOTAL CONTRACTS CONTRACTS
------- --------- ---------
The U.S. Large Cap Value Series..... $21,037 -- $21,037
The DFA International Value Series*. $ 5,996 $ 8 5,988
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES
---------------------------
FOREIGN
EXCHANGE EQUITY
TOTAL CONTRACTS CONTRACTS
------- --------- ---------
The U.S. Large Cap Value Series..... $(3,872) -- $(3,872)
The DFA International Value Series*. (852) -- (852)
* As of October 31, 2016, there were no forward currency contracts
outstanding. During the year ended October 31, 2016, the International Series
had limited activity in forward currency contracts.
68
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 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 year ended October 31, 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 LOAN DAYS EXPENSE BORROWED DURING
INTEREST RATE 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. 0.96% $ 6,426 14 $2 $40,666
* Number of Days Outstanding represents the total of single or consecutive days
during the year ended October 31, 2016, that each Series' available line of
credit was utilized.
There were no outstanding borrowings by the Series' under the lines of
credit as of October 31, 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 year ended October 31, 2016.
I. AFFILIATED TRADES:
Cross trades for the year ended October 31, 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 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.
69
For the year ended October 31, 2016, cross trades by the Series under Rule
17a-7 were as follows (amounts in thousands):
PORTFOLIO PURCHASES SALES REALIZED GAIN (LOSS)
--------- --------- -------- --------------------
The U.S. Large Cap Value Series.... $259,866 $167,106 $ 13,371
The DFA International Value Series. 100,986 137,382 (50,541)
J. SECURITIES LENDING:
As of October 31, 2016, each Series had securities on loan to
brokers/dealers, for which each Series received cash collateral. Each Series
invests the cash collateral, as described below, and records a liability for
the return of the collateral, during the period the securities are on loan. The
non-cash collateral includes short- and/or long-term U.S. Treasuries and U.S.
Government agency securities with a market value of $631,247 and $21,237
(amounts in thousands), respectively. 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.
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 October 31, 2016:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF OCTOBER 31, 2016
---------------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
------------- -------- ------------ -------- ------------
SECURITIES LENDING TRANSACTIONS
THE U.S. LARGE CAP VALUE SERIES
Common Stocks, Right/Warrants...... $820,651,306 -- -- -- $820,651,306
THE DFA INTERNATIONAL VALUE SERIES
Common Stocks...................... 370,102,917 -- -- -- 370,102,917
70
K. 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.
L. OTHER:
The Series 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 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 Committee Action remains pending,
and a motion to dismiss on behalf of all shareholder defendants in the
Committee Action was filed on May 23, 2014. The motion to dismiss is
fully-briefed, and the parties await the scheduling of oral argument on the
motion. The Committee Action is stayed pending the disposition of the motion to
dismiss.
Litigation counsel to The U.S. Large Cap Value Series in the Lawsuits has
advised management that it does not believe that it is possible, at this early
stage in the proceedings, to predict with any reasonable certainty the probable
outcome of the Lawsuits or quantify the ultimate exposure to The U.S. Large Cap
Value Series arising from the Lawsuits. Until The U.S. Large Cap Value Series
can do so, no reduction of the net asset value of The U.S. Large Cap Value
Series will be made relating to the Lawsuits. However, even if the plaintiffs
in the Lawsuits were to obtain the full recovery the plaintiffs seek, the
amount would be less than 1% of the 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.
M. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the Series
through the date that the financial statements were issued and has determined
that there are no subsequent events requiring recognition or disclosure in the
financial statements.
71
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of The DFA Investment Trust Company and
Shareholders of the Series, as defined:
In our opinion, the accompanying statements of assets and liabilities,
including the summary schedules of portfolio holdings, and the related
statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
The U.S. Large Cap Value Series and The DFA International Value Series
(constituting portfolios within The DFA Investment Trust Company, hereafter
referred to as the "Series") as of October 31, 2016, the results of each of
their operations for the year then ended, the changes in each of their net
assets for each of the two years in the period then ended and the financial
highlights for each of the five years in the period then ended, in conformity
with accounting principles generally accepted in the United States of America.
These financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Series' management. Our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with the standards of the Public Company Accounting Oversight Board (United
States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities as of October 31, 2016 by
correspondence with the custodians, brokers and the transfer agent of the
investee fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 20, 2016
72
FUND MANAGEMENT
(UNAUDITED)
TRUSTEES/DIRECTORS
Each Board of Trustees/Directors (each, the "Board" and collectively, the
"Boards") of The DFA Investment Trust Company ("DFAITC"), DFA Investment
Dimensions Group Inc. ("DFAIDG"), Dimensional Investment Group Inc. ("DIG"),
and Dimensional Emerging Markets Value Fund ("DEM") (each, the "Fund" and
collectively, the "Funds") is responsible for establishing the Funds' policies
and for overseeing the management of the Funds. The Trustees/ Directors of the
Funds, including all of the disinterested Trustees/Directors, have adopted
written procedures to monitor potential conflicts of interest that might
develop between portfolios of the Funds (the "Feeder Portfolios") that invest
in certain series of DFAITC or DEM (the "Master Funds").
Each Board has three standing committees, an Audit Committee, a Nominating
Committee, and an Investment Strategy Committee (the "Strategy Committee"). The
Audit Committee is composed of George M. Constantinides, Roger G. Ibbotson, and
Abbie J. Smith. Each member of the Audit Committee is a disinterested
Trustee/Director. The Audit Committee oversees the Fund's accounting and
financial reporting policies and practices, the Fund's internal controls, the
Fund's financial statements and the independent audits thereof and performs
other oversight functions as requested by the Board. The Audit Committee
recommends the appointment of each Fund's independent registered certified
public accounting firm and also acts as a liaison between the Fund's
independent registered certified public accounting firm and the full Board.
There were two Audit Committee meetings held during the fiscal year ended
October 31, 2016.
Each Board's Nominating Committee is composed of George M. Constantinides, John
P. Gould, Roger G. Ibbotson, Myron S. Scholes, Edward P. Lazear and Abbie J.
Smith. Each member of the Nominating Committee is a disinterested
Trustee/Director. The Nominating Committee for each Board makes recommendations
for nominations of disinterested and interested members on the Board to the
full Board. The Nominating Committee evaluates a candidate's qualification for
Board membership and the independence of such candidate from the Advisor and
other principal service providers. The Nominating Committee did not meet during
the fiscal year ended October 31, 2016.
Each Board's Strategy Committee consists of both interested and disinterested
Trustees/Directors. The Strategy Committee is composed of John P. Gould, Edward
P. Lazear, Myron S. Scholes and Eduardo A. Repetto. The Strategy Committee
assists the Board in carrying out its fiduciary duties with respect to the
oversight of the Fund and its performance. At the request of the Board or the
Advisor, the Strategy Committee may (i) review the design of possible new
series of the Fund, (ii) review performance of existing portfolios of the Fund
and discuss and recommend possible enhancements to the portfolios' investment
strategies, (iii) review proposals by the Advisor to modify or enhance the
investment strategies or policies of each portfolio, and (iv) consider issues
relating to investment services for each portfolio of the Fund. The Strategy
Committee was formed on December 17, 2010, and there were three Strategy
Committee meetings held during the fiscal year ended October 31, 2016.
Certain biographical information for each disinterested Trustee/Director and
each interested Trustee/Director of the Funds is set forth in the tables below,
including a description of each Trustee/Director's experience as a Trustee/
Director of the Funds and as a director or trustee of other funds, as well as
other recent professional experience.
The statements of additional information (together, "SAI") of the Funds include
additional information about each Trustee/Director. You may obtain copies of
the SAI and prospectus of each Fund advised by Dimensional Fund Advisors LP by
calling collect (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746.
Prospectuses are also available at http://us.dimensional.com.
73
NAME, POSITION PORTFOLIOS WITHIN THE
WITH THE FUND, TERM OF OFFICE/1/ AND DFA FUND COMPLEX/2/ PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND
ADDRESS AND YEAR OF BIRTH LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD
-------------------------------------------------------------------------------------------------------------------------------
DISINTERESTED TRUSTEES/DIRECTORS
-------------------------------------------------------------------------------------------------------------------------------
George M. Constantinides Since Inception 122 portfolios in 4 Leo Melamed Professor of Finance, The University
Director of DFAIDG and investment companies of Chicago Booth School of Business.
DIG.
Trustee of DFAITC and
DEM.
The University of Chicago
Booth School of Business
5807 S. Woodlawn
Avenue
Chicago, IL 60637
1947
-------------------------------------------------------------------------------------------------------------------------------
John P. Gould DFAIDG-Since 1986 122 portfolios in 4 Steven G. Rothmeier Professor and Distinguished
Director of DFAIDG and DIG-Since 1993 investment companies Service Professor of Economics, University of
DIG DFAITC-Since 1992 Chicago Booth School of Business (since 1965).
Trustee of DFAITC and DEM-Since 1993 Member and Chair, Competitive Markets Advisory
DEM Council, Chicago Mercantile Exchange (futures
The University of Chicago trading exchange) (since 2004). Trustee, Harbor
Booth School of Business Fund (registered investment company) (29 Portfolios)
5807 S. Woodlawn (since 1994). Formerly, Member of the Board of
Avenue Milwaukee Insurance Company (1997-2010).
Chicago, IL 60637
1939
-------------------------------------------------------------------------------------------------------------------------------
Roger G. Ibbotson DFAIDG-Since 1981 122 portfolios in 4 Professor in Practice of Finance, Yale School of
Director of DFAIDG and DIG-Since 1993 investment companies Management (since 1984). Chairman, CIO and
DIG DFAITC-Since 1992 Partner, Zebra Capital Management, LLC (hedge
Trustee of DFAITC and DEM-Since 1993 fund and asset manager) (since 2001). Consultant to
DEM Morningstar Inc. (since 2006). Formerly, Director,
Yale School of BIRR Portfolio Analysis, Inc. (sofware Products)
Management (1990- 2010).
P.O. Box 208200
New Haven,
CT 06520-8200
1943
-------------------------------------------------------------------------------------------------------------------------------
Edward P. Lazear DFAIDG-Since 2010 122 portfolios in 4 Morris Arnold Cox Senior Fellow, Hoover Institution
Director of DFAIDG and DIG-Since 2010 investment companies (since 2002). Jack Steele Parker Professor of Human
DIG DFAITC-Since 2010 Resources Management and Economics, Graduate
Trustee of DFAITC and DEM-Since 2010 School of Business, Stanford University (since 1995).
DEM Cornerstone Research (expert testimony and economic
Stanford University and financial analysis) (since 2009). Formerly,
Graduate Chairman of the President George W. Bush's Council of
School of Business Economic Advisors, State of California (2005-2006).
434 Galvez Mall Formerly, Commissioner, White House Panel on Tax
Stanford, CA 94305 Reform (2005)
1948
-------------------------------------------------------------------------------------------------------------------------------
Myron S. Scholes DFAIDG-Since 1981 122 portfolios in 4 Chief Investment Strategist, Janus Capital Group Inc.
Director of DFAIDG and DIG-Since 1993 investment companies (since 2014). Frank E. Buck Professor of Finance
DIG DFAITC-Since 1992 Emeritus, Graduate School of Business, Stanford
Trustee of DFAITC and DEM-Since 1993 University (since 1981). Chairman, Ruapay Inc. (since
DEM 2013). Formerly, Chairman, Platinum Grove Asset
c/o Dimensional Fund Management, L.P. (hedge fund) (formerly, Oak Hill
Advisers, LP Platinum Partners) (1999-2009). Formerly, Director,
6300 Bee Cave Road American Centruy Fund Complex (registered
Building 1 investment companies) (43 Portfolios) (1980-2014).
Austin, TX 78746
1941
-------------------------------------------------------------------------------------------------------------------------------
Abbie J. Smith DFAIDG-Since 2000 122 portfolios in 4 Boris and Irene Stern Distinguished Service
Director of DFAIDG and DIG-Since 2000 investment companies Professor of Accounting, University of Chicago Booth
DIG DFAITC-Since 2000 School of Business (since 1980). Director, HNI
Trustee of DFAITC and DEM-Since 2000 Corporation (formerly known as HON Industries Inc.)
DEM (office furniture) (since 2000). Director, Ryder
The University of Chicago System Inc. (transportation, logistics and supply-
Booth School of Business chain management) (since 2003). Trustee, UBS
5807 S. Woodlawn Funds (4 investment companies within the fund
Avenue complex) (33 portfolios) (since 2009). Formerly, Co-
Chicago, IL 60637 Director Investment Research, Fundamental
1953 Investment Advisors (hedge fund) (2008-2011).
-------------------------------------------------------------------------------------------------------------------------------
74
NAME, POSITION PORTFOLIOS WITHIN THE
WITH THE FUND, TERM OF OFFICE/1/ AND DFA FUND COMPLEX/2/ PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND
ADDRESS AND YEAR OF BIRTH LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD
------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES/DIRECTORS*
------------------------------------------------------------------------------------------------------------------------------
David G. Booth DFAIDG-Since 1981 122 portfolios in 4 Chairman, Director/Trustee, President, Co-Chief
Chairman, Director/ DIG-Since 1992 investment companies Executive Officer and formerly, Chief Executive
Trustee, DFAITC-Since 1992 Officer (until 1/1/2010) of the following companies:
President and Co-Chief DEM-Since 1993 Dimensional Holdings Inc., Dimensional Fund
Executive Officer Advisors LP, DFA Securities LLC, DEM, DFAIDG,
6300 Bee Cave Road DIG and DFAITC (collectively, the "DFA Entities").
Building One Director of Dimensional Fund Advisors Ltd. and
Austin, TX 78746 formerly, Chief Investment Officer. Director of DFA
1946 Australia Limited and formerly, President and Chief
Investment Officer. Director of Dimensional Advisors
Ltd., Dimensional Funds plc and Dimensional Funds
II plc. Formerly, President, Dimensional SmartNest
(US) LLC (2009- 2014). Formerly, Limited Partner,
Oak Hill Partners (2001-2010). Limited Partner, VSC
Investors, LLC (since 2007). Trustee, University of
Chicago. Trustee, University of Kansas Endowment
Association. Formerly, Director, SA Funds
(registered investment company). Chairman, Director
and Co-Chief Executive Officer of Dimensional Fund
Advisors Canada ULC. Director and President (since
2012) of Dimensional Japan Ltd. Chairman, Director,
President, and Co-Chief Executive Officer of
Dimensional Cayman Commodity Fund I Ltd. (since
2010).
------------------------------------------------------------------------------------------------------------------------------
Eduardo A. Repetto DFAIDG-Since 2009 122 portfolios in 4 Co-Chief Executive Officer (beginning January
Director/Trustee, Co- DIG-Since 2009 investment companies 2010), Co-Chief Investment Officer (since June
Chief DFAITC-Since 2009 2014), Director/Trustee, and formerly, Chief
Executive Officer and Co- DEM-Since 2009 Investment Officer (March 2007-June 2014) of the
Chief Investment Officer DFA Entities. Director, Co-Chief Executive Officer
6300 Bee Cave Road, and Chief Investment Officer (since 2010) of
Building One Dimensional Cayman Commodity Fund I Ltd.
Austin, TX 78746 Director, Co-Chief Executive Officer, President and
1967 Co-Chief Investment Officer of Dimensional Fund
Advisors Canada ULC and formerly, Chief
Investment Officer (until April 2014). Co-Chief
Investment Officer, Vice President, and Director of
DFA Australia Limited and formerly, Chief
Investment Officer (until April 2014). Director of
Dimensional Fund Advisors Ltd., Dimensional Funds
plc, Dimensional Funds II plc and Dimensional
Advisors Ltd. Formerly, Vice President of the DFA
Entities and Dimensional Fund Advisors Canada
ULC. Director and Chief Investment Officer (since
December 2012) of Dimensional Japan Ltd.
/1/ Each Trustee/Director holds office for an indefinite term until his or her
successor is elected and qualified.
/2/ Each Trustee/Director is a director or trustee of each of the four
registered investment companies within the DFA Fund Complex, which includes
the DFAIDG, DIG, DFAITC and DEM. Each disinterested Trustee/Director also
serves on the Independent Review Committee of the Dimensional Funds, mutual
funds registered in the provinces of Canada and managed by an affiliate of
Dimensional Fund Advisors LP (the "Advisor"), Dimensional Fund Advisors
Canada ULC.
* Interested Trustees/Directors are described as such because they are deemed
to be "interested persons," as that term is defined under the Investment
Company Act of 1940, as amended, due to their positions with the Advisor.
75
OFFICERS
Below is the name, year of birth, information regarding positions with the
Funds and the principal occupation for each officer of the Funds. The address
of each officer is 6300 Bee Cave Road, Building One, Austin, TX 78746. Each of
the officers listed below holds the same office (except as otherwise noted) in
the DFA Entities.
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
--------------------------------------------------------------------------------------------------------------------
April A. Aandal Vice President Since 2008 Vice President of all the DFA Entities.
1963
--------------------------------------------------------------------------------------------------------------------
Robyn G. Alcorta Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1974 Vice President, Business Development at Capson
Physicians Insurance Company (2010-2012).
--------------------------------------------------------------------------------------------------------------------
Magdalia S. Armstrong Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1977 Regional Director for Dimensional Fund Advisors LP
(January 2011-January 2016).
--------------------------------------------------------------------------------------------------------------------
Darryl D. Avery Vice President Since 2005 Vice President of all the DFA Entities.
1966
--------------------------------------------------------------------------------------------------------------------
Arthur H. Barlow Vice President Since 1993 Vice President of all the DFA Entities. Director and
1955 Managing Director of Dimensional Fund Advisors Ltd
(since September 2013). Director of Dimensional
Funds plc and Dimensional Funds II plc (since
November 2013).
--------------------------------------------------------------------------------------------------------------------
Lana Bergstein Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1974 Client Service Manager for Dimensional Fund
Advisors LP (February 2008-January 2014).
--------------------------------------------------------------------------------------------------------------------
Stanley W. Black Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1970 Senior Research Associate (January 2012-
January 2014) and Research Associate (2006-2011)
for Dimensional Fund Advisors LP.
--------------------------------------------------------------------------------------------------------------------
Aaron T. Borders Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1973 Regional Director for Dimensional Fund Advisors LP
(April 2008-January 2014).
--------------------------------------------------------------------------------------------------------------------
Scott A. Bosworth Vice President Since 2007 Vice President of all the DFA Entities.
1968
--------------------------------------------------------------------------------------------------------------------
Valerie A. Brown Vice President and Since 2001 Vice President and Assistant Secretary of all the
1967 Assistant Secretary DFA Entities, DFA Australia Limited, Dimensional
Fund Advisors Ltd., Dimensional Cayman
Commodity Fund I Ltd., Dimensional Fund Advisors
Pte. and Dimensional Hong Kong Limited. Director,
Vice President, Director and Assistant Secretary of
Dimensional Fund Advisors Canada ULC.
--------------------------------------------------------------------------------------------------------------------
David P. Butler Vice President Since 2007 Vice President of all the DFA Entities. Head of
1964 Global Financial Services for Dimensional Fund
Advisors LP (since 2008).
--------------------------------------------------------------------------------------------------------------------
Douglas M. Byrkit Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1970 Regional Director for Dimensional Fund Advisors LP
(December 2010-January 2012).
--------------------------------------------------------------------------------------------------------------------
Hunt M. Cairns Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1973 Regional Director (January 2010-January 2014) for
Dimensional Fund Advisors LP.
--------------------------------------------------------------------------------------------------------------------
David K. Campbell Vice President Since 2016 Vice President of all the DFA Entities. Formerly, DC
1966 Relationship Manager for Dimensional Fund
Advisors LP (October 2010-January 2016).
--------------------------------------------------------------------------------------------------------------------
Dennis M. Chamberlain Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1972 Regional Director (January 2012-January 2015) for
Dimensional Fund Advisors LP; Principal for
Chamberlain Financial Group (October 2010-
December 2011).
76
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
-------------------------------------------------------------------------------------------------------------
Ryan J. Chaplinski Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1971 Regional Director (June 2011-January 2015) for
Dimensional Fund Advisors LP; Sales Executive for
Vanguard (2004-June 2011).
-------------------------------------------------------------------------------------------------------------
James G. Charles Vice President Since 2011 Vice President of all the DFA Entities.
1956
-------------------------------------------------------------------------------------------------------------
Joseph H. Chi Vice President Since 2009 Vice President of all the DFA Entities. Co-Head of
1966 Portfolio Management (since March 2012) and
Senior Portfolio Manager (since January 2012) for
Dimensional Fund Advisors LP. Vice President of
Dimensional Fund Advisors Canada ULC (since April
2016). Formerly, Portfolio Manager for Dimensional
Fund Advisors LP (October 2005 to January 2012).
-------------------------------------------------------------------------------------------------------------
Pil Sun Choi Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1972 Counsel for Dimensional Fund Advisors LP
(April 2012-January 2014); Vice President and
Counsel for AllianceBernstein L.P. (2006-2012).
-------------------------------------------------------------------------------------------------------------
Stephen A. Clark Vice President Since 2004 Vice President of all the DFA Entities. Director and
1972 Vice President of Dimensional Japan Ltd (since
February 2016). President and Director of
Dimensional Fund Advisors Canada ULC (since
February 2016), Vice President of DFA Australia
Limited (since April 2008) and Director (since Oct
2016). Director of Dimensional Advisors Ltd,
Dimensional Fund Advisors Pte. Ltd., and
Dimensional Hong Kong Limited, (since April 2016),
Vice President of Dimensional Fund Advisors Pte
Ltd. (since June 2016), Head of Global Institutional
Services for Dimensional Fund Advisors LP (since
January 2014). Formerly, Vice President of
Dimensional Fund Advisors Canada ULC (December
2010-February 2016); Head of Institutional, North
America (March 2012 to December 2013) and Head
of Portfolio Management (January 2006 to March
2012) for Dimensional Fund Advisors LP.
-------------------------------------------------------------------------------------------------------------
Matthew B. Cobb Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1971 Regional Director for Dimensional Fund Advisors LP
(September 2011-March 2013); Vice President at
MullinTBG (2005-2011).
-------------------------------------------------------------------------------------------------------------
Rose C. Cooke Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1971 Regional Director for Dimensional Fund Advisors LP
(August 2010-March 2014).
-------------------------------------------------------------------------------------------------------------
Ryan Cooper Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1979 Regional Director for Dimensional Fund Advisors LP
(2003-March 2014).
-------------------------------------------------------------------------------------------------------------
Jeffrey D. Cornell Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1976 Regional Director for Dimensional Fund Advisors LP
(August 2002-January 2012).
-------------------------------------------------------------------------------------------------------------
Robert P. Cornell Vice President Since 2007 Vice President of all the DFA Entities.
1949
-------------------------------------------------------------------------------------------------------------
John W. Crill (Wes) Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1982 Senior Associate, Research (January 2015-
January 2016); Associate, Research (January 2014-
January 2015); Analyst, Research (July 2010-
January 2014) for Dimensional Fund Advisors LP.
77
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
----------------------------------------------------------------------------------------------------------------------
Christopher S. Crossan Vice President and Since 2004 Vice President and Global Chief Compliance Officer
1965 Global Chief of all the DFA Entities, DFA Australia Limited and
Compliance Officer Dimensional Fund Advisors Ltd. Chief Compliance
Officer and Chief Privacy Officer of Dimensional
Fund Advisors Canada ULC, Chief Compliance
Officer of Dimensional Fund Advisors Pte. Ltd.
Formerly, Vice President and Global Chief
Compliance Officer for Dimensional SmartNest (US)
LLC (October 2010-2014).
----------------------------------------------------------------------------------------------------------------------
John T. Curnutte Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1980 Manager, Research Systems (November 2012-
January 2016) for Dimensional Fund Advisors LP;
Assistant Vice President, Oaktree Capital
Management (April 2011-October 2012.
----------------------------------------------------------------------------------------------------------------------
John Dashtara Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1980 Regional Director (July 2013-January 2015) for
Dimensional Fund Advisors LP; Relationship
Manager for Blackrock, Inc. (July 2011-
July 2013);Vice President for Towers Watson
(formerly, WellsCanning) (June 2009-July 2011).
----------------------------------------------------------------------------------------------------------------------
James L. Davis Vice President Since 1999 Vice President of all the DFA Entities.
1956
----------------------------------------------------------------------------------------------------------------------
Robert T. Deere Vice President Since 1994 Vice President of all the DFA Entities, DFA Australia
1957 Limited and Dimensional Fund Advisors Canada
ULC.
----------------------------------------------------------------------------------------------------------------------
Johnathon K. DeKinder Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1979 Regional Director (January 2012-January 2014) and
Senior Associate (August 2010-December 2011) for
Dimensional Fund Advisors LP.
----------------------------------------------------------------------------------------------------------------------
Mark J. Dennis Vice President Since 2015 Vice President of all DFA Entities. Formerly,
1976 Regional Director (May 2011-January 2015) for
Dimensional Fund Advisors LP; Vice President,
Portfolio Specialist (January 2007-May 2011) for
Morgan Stanley Investment Management.
----------------------------------------------------------------------------------------------------------------------
Massimiliano DeSantis Vice President Since 2015 Vice President of all DFA Entities. Formerly, Senior
1971 Associate, Research (November 2012-
January 2015) for Dimensional Fund Advisors LP;
Senior Consultant, NERA Economic Consulting,
New York (May 2010-November 2012).
----------------------------------------------------------------------------------------------------------------------
Peter F. Dillard Vice President Since 2010 Vice President of all the DFA Entities. Chief Data
1972 Officer for Dimensional Fund Advisors LP (since
January 2016).
----------------------------------------------------------------------------------------------------------------------
Robert W. Dintzner Vice President Since 2001 Vice President of all the DFA Entities.
1970
----------------------------------------------------------------------------------------------------------------------
Karen M. Dolan Vice President Since 2014 Vice President of all the DFA Entities. Head of
1979 Marketing for Dimensional Fund Advisors LP (since
February 2013). Formerly, Senior Manager of
Research and Marketing for Dimensional Fund
Advisors LP (June 2012-January 2013); Director of
Mutual Fund Analysis at Morningstar (January 2008-
May 2012).
----------------------------------------------------------------------------------------------------------------------
L. Todd Erskine Vice President Since 2015 Vice President of all DFA Entities. Formerly,
1959 Regional Director (May 2008-January 2015) for
Dimensional Fund Advisors LP.
----------------------------------------------------------------------------------------------------------------------
Richard A. Eustice Vice President and Since 1998 Vice President and Assistant Secretary of all the
1965 Assistant Secretary DFA Entities and DFA Australia Limited. Chief
Operating Officer for Dimensional Fund Advisors
Pte. Ltd. (since April 2013). Formerly, Chief
Operating Officer for Dimensional Fund Advisors Ltd.
(July 2008-March 2013).
78
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
-------------------------------------------------------------------------------------------------------------------------
Gretchen A. Flicker Vice President Since 2004 Vice President of all the DFA Entities.
1971
-------------------------------------------------------------------------------------------------------------------------
Jed S. Fogdall Vice President Since 2008 Vice President of all the DFA Entities. Co-Head of
1974 Portfolio Management (since March 2012) and
Senior Portfolio Manager (since January 2012) of
Dimensional Fund Advisors LP. Vice President of
Dimensional Fund Advisors Canada ULC (since April
2016). Formerly, Portfolio Manager of Dimensional
Fund Advisors LP (September 2004-January 2012).
-------------------------------------------------------------------------------------------------------------------------
Edward A. Foley Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1976 Regional Director for Dimensional Fund Advisors LP
(August 2011-January 2014); Senior Vice President
of First Trust Advisors L.P. (2007-July 2011).
-------------------------------------------------------------------------------------------------------------------------
Deborah J.G. Foster Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1959 Senior Associate (May 2011-January 2015) for
Dimensional Fund Advisors LP.
-------------------------------------------------------------------------------------------------------------------------
Jeremy P. Freeman Vice President Since 2009 Vice President of all the DFA Entities.
1970
-------------------------------------------------------------------------------------------------------------------------
Kimberly A. Ginsburg Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1970 Vice President for Dimensional SmartNest (US) LLC
(January 2012-November 2014); Senior Vice
President for Morningstar (July 2004-July 2011).
-------------------------------------------------------------------------------------------------------------------------
Mark R. Gochnour Vice President Since 2007 Vice President of all the DFA Entities.
1967
-------------------------------------------------------------------------------------------------------------------------
Tom M. Goodrum Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1968 Managing Director at BlackRock (2004-January
2012).
-------------------------------------------------------------------------------------------------------------------------
Henry F. Gray Vice President Since 2000 Vice President of all the DFA Entities.
1967
-------------------------------------------------------------------------------------------------------------------------
John T. Gray Vice President Since 2007 Vice President of all the DFA Entities.
1974
-------------------------------------------------------------------------------------------------------------------------
Christian Gunther Vice President Since 2011 Vice President of all the DFA Entities. Senior Trader
1975 for Dimensional Fund Advisors LP (since 2012).
Formerly, Senior Trader (2009-2012).
-------------------------------------------------------------------------------------------------------------------------
Robert W. Hawkins Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1974 Counsel for Dimensional Fund Advisors LP
(January 2011-January 2014).
-------------------------------------------------------------------------------------------------------------------------
Joel H. Hefner Vice President Since 2007 Vice President of all the DFA Entities.
1967
-------------------------------------------------------------------------------------------------------------------------
Kevin B. Hight Vice President Since 2005 Vice President of all the DFA Entities.
1967
-------------------------------------------------------------------------------------------------------------------------
Gregory K. Hinkle Vice President, Since 2016 Vice President, Chief Financial Officer, and
1958 Chief Financial Officer, Treasurer of all the DFA Entities. Interim Chief
and Treasurer Financial Officer, interim Treasurer and Vice
President of Dimensional Advisors Ltd., Dimensional
Hong Kong Limited, Dimensional Cayman
Commodity Fund I Ltd., Dimensional Fund Advisors
Canada ULC, Dimensional Fund Advisors Pte. Ltd,
DFA Australia Ltd. Formerly, interim Chief Financial
Officer and interim Treasurer (April 2016-September
2016), and Controller (August 2015-September
2016) of all the DFA Entities); Vice President of
T. Rowe Price Group, Inc. and Director of Investment
Treasury and Treasurer of the T. Rowe Price Funds
(March 2008-July 2015).
-------------------------------------------------------------------------------------------------------------------------
Christine W. Ho Vice President Since 2004 Vice President of all the DFA Entities.
1967
-------------------------------------------------------------------------------------------------------------------------
Michael C. Horvath Vice President Since 2011 Vice President of all the DFA Entities. Formerly,
1960 Managing Director, Co-Head Global Consultant
Relations at BlackRock (2004-2011).
79
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
-----------------------------------------------------------------------------------------------------------------
Mark A. Hunter Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1971 Senior Compliance Officer (November 2010-
January 2015) for Dimensional Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------------
Alan R. Hutchison Vice President Since 2016 Vice President of all the DFA Entities. Portfolio
1977 Manager for Dimensional Fund Advisors LP
(January 2013-Present). Formerly, Investment
Associate for Dimensional Fund Advisors LP
(January 2010-January 2013).
-----------------------------------------------------------------------------------------------------------------
Shahryar S. Jaberzadeh Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1983 Regional Director for Dimensional Fund Advisors LP
(April 2006-January 2016).
-----------------------------------------------------------------------------------------------------------------
Jeremy R. James Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1977 Manager, IT Service Management (October 2014-
January 2016); Manager, Managed DC Systems
(October 2005-October 2014) for Dimensional Fund
Advisors LP.
-----------------------------------------------------------------------------------------------------------------
Jeff J. Jeon Vice President Since 2004 Vice President of all the DFA Entities and
1973 Dimensional Cayman Commodity Fund I Ltd.
-----------------------------------------------------------------------------------------------------------------
Garret D. Jones Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1971 Manager of Sales and Marketing Systems
(January 2011-January 2014) for Dimensional Fund
Advisors LP.
-----------------------------------------------------------------------------------------------------------------
Stephen W. Jones Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1968 Facilities Manager for Dimensional Fund Advisors
LP (October 2008-January 2012).
-----------------------------------------------------------------------------------------------------------------
Scott P. Kaup Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1975 Senior Manager, Investment Operations
(January 2014-January 2015) and Investment
Operations Manager (May 2008-January 2014) for
Dimensional Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------------
David M. Kavanaugh Vice President Since 2014 Vice President of all the DFA Entities. Head of
1978 Operations for Financial Advisor Services for
Dimensional Fund Advisors LP (since July 2014).
Formerly, Counsel of Dimensional Fund Advisors LP
(August 2011-January 2014); Associate at Andrews
Kurth LLP (2006-2011).
-----------------------------------------------------------------------------------------------------------------
Patrick M. Keating Vice President Since 2003 Vice President of DFAIDG, DIG, DFAITC, DEM,
1954 Dimensional Holdings Inc., Dimensional Fund
Advisors LP and Dimensional Japan Ltd. Chief
Operating Officer and Director of Dimensional Japan
Ltd. Formerly, Vice President of DFA Securities LLC,
Dimensional Cayman Commodity Fund I Ltd. and
Dimensional Advisors Ltd (until February 2015);
Chief Operating Officer of Dimensional Holdings Inc.,
DFA Securities LLC, Dimensional Fund Advisors LP,
Dimensional Cayman Commodity Fund I Ltd.,
Dimensional Advisors Ltd. and Dimensional Fund
Advisors Pte. Ltd. (until February 2015); Director,
Vice President, and Chief Privacy Officer of
Dimensional Fund Advisors Canada ULC (until
February 2015); Director of DFA Australia Limited,
Dimensional Fund Advisors Ltd. and Dimensional
Advisors Ltd. (until February 2015); and Director and
Vice President of Dimensional Hong Kong Limited
and Dimensional Fund Advisors Pte. Ltd. (until
February 2015).
-----------------------------------------------------------------------------------------------------------------
Andrew K. Keiper Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1977 Regional Director for Dimensional Fund Advisors LP
(October 2004-January 2013).
-----------------------------------------------------------------------------------------------------------------
David M. Kershner Vice President Since 2010 Vice President of all the DFA Entities. Portfolio
1971 Manager for Dimensional Fund Advisors LP (since
June 2004).
80
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
---------------------------------------------------------------------------------------------------------------
Arun C. Keswani Vice President Since 2016 Vice President of all the DFA Entities. Senior
1975 Portfolio Manager for Dimensional Fund Advisors LP
(January 2015-Present). Formerly, Portfolio Manager
(January 2013-January 2015) and Investment
Associate (October 2011-January 2013) for
Dimensional Fund Advisors LP; Investment Banking
Associate at Morgan Stanley (August 2010-
September 2011).
---------------------------------------------------------------------------------------------------------------
Kimberly L. Kiser Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1972 Creative Director for Dimensional Fund Advisors LP
(September 2012-January 2014); Vice President and
Global Creative Director at Morgan Stanley
(2007-2012); Visiting Assistant Professor, Graduate
Communications Design at Pratt Institute
(2004-2012).
---------------------------------------------------------------------------------------------------------------
Natalia Y. Knych Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1971 Manager, RFP, Institutional (January 2015-January
2016); Senior Associate, Institutional
(April 2007-January 2015) for Dimensional Fund
Advisors LP.
---------------------------------------------------------------------------------------------------------------
Timothy R. Kohn Vice President Since 2011 Vice President of all the DFA Entities. Head of
1971 Defined Contribution Sales for Dimensional Fund
Advisors LP (since August 2010).
---------------------------------------------------------------------------------------------------------------
Joseph F. Kolerich Vice President Since 2004 Vice President of all the DFA Entities. Senior
1971 Portfolio Manager of Dimensional Fund Advisors LP
(since January 2012). Formerly, Portfolio Manager
for Dimensional (April 2001-January 2012).
---------------------------------------------------------------------------------------------------------------
Mark D. Krasniewski Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1981 Senior Associate, Investment Analytics and Data
(January 2012-December 2012) and Systems
Developer (June 2007-December 2011) for
Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------
Kahne L. Krause Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1966 Regional Director (May 2010-January 2014) for
Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------
Stephen W. Kurad Vice President Since 2011 Vice President of all the DFA Entities.
1968
---------------------------------------------------------------------------------------------------------------
Michael F. Lane Vice President Since 2004 Vice President of all the DFA Entities. Formerly,
1967 Chief Executive Officer for Dimensional SmartNest
(US) LLC (July 2012-November 2014).
---------------------------------------------------------------------------------------------------------------
Francis R. Lao Vice President Since 2011 Vice President of all the DFA Entities. Formerly, Vice
1969 President -- Global Operations at Janus Capital
Group (2005-2011).
---------------------------------------------------------------------------------------------------------------
David F. LaRusso Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1978 Senior Trader (January 2010-December 2012) for
Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------
Juliet H. Lee Vice President Since 2005 Vice President of all the DFA Entities.
1971
---------------------------------------------------------------------------------------------------------------
Marlena I. Lee Vice President Since 2011 Vice President of all the DFA Entities.
1980
---------------------------------------------------------------------------------------------------------------
Paul A. Lehman Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1971 Regional Director (July 2013-January 2015) for
Dimensional Fund Advisors LP; Chief Investment
Officer (April 2005-April 2013) for First Citizens
Bancorporation.
---------------------------------------------------------------------------------------------------------------
John B. Lessley Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1960 Regional Director for Dimensional Fund Advisors LP
(January 2008-January 2013).
81
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
-----------------------------------------------------------------------------------------------------------
Joy L. Lopez Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1971 Senior Tax Manager (February 2013-January 2015)
for Dimensional Fund Advisors LP; Vice President
and Tax Manager, North America (August 2006-
April 2012) for Pacific Investment Management
Company.
-----------------------------------------------------------------------------------------------------------
Apollo D. Lupescu Vice President Since 2009 Vice President of all the DFA Entities.
1969
-----------------------------------------------------------------------------------------------------------
Timothy P. Luyet Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1972 Senior Manager, Marketing Operations
(January 2014-January 2015), Manager, Client
Systems (October 2011-January 2014) and RFP
Manager (April 2010-October 2011) for Dimensional
Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------
Peter Magnusson Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1969 Regional Director for Dimensional Fund Advisors LP
(January 2011-January 2014).
-----------------------------------------------------------------------------------------------------------
Kenneth M. Manell Vice President Since 2010 Vice President of all the DFA Entities and
1972 Dimensional Cayman Commodity Fund I Ltd.
-----------------------------------------------------------------------------------------------------------
Aaron M. Marcus Vice President Since 2008 Vice President of all DFA Entities and Head of
1970 Global Human Resources for Dimensional Fund
Advisors LP.
-----------------------------------------------------------------------------------------------------------
Duane R. Mattson Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1965 Senior Compliance Officer (May 2012-January 2015)
for Dimensional Fund Advisors LP; Chief
Compliance Officer (April 2010-April 2012) for Al
Frank Asset Management.
-----------------------------------------------------------------------------------------------------------
Bryan R. McClune Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1975 Regional Director of Dimensional Fund Advisors LP
(January 2009-January 2014).
-----------------------------------------------------------------------------------------------------------
Philip P. McInnis Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1984 Regional Director (January 2009-January 2014) and
Senior Associate (2011) for Dimensional Fund
Advisors LP.
-----------------------------------------------------------------------------------------------------------
Francis L. McNamara Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1959 Manager, Project Management Office for
Dimensional Fund Advisors LP (October 2006-
January 2016).
-----------------------------------------------------------------------------------------------------------
Travis A. Meldau Vice President Since 2015 Vice President of all the DFA Entities. Portfolio
1981 Manager (since September 2011) for Dimensional
Fund Advisors LP. Formerly, Portfolio Manager for
Wells Capital Management (October 2004-
September 2011).
-----------------------------------------------------------------------------------------------------------
Tracy R. Mitchell Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1974 Regional Director for Dimensional Fund Advisors LP
(September 2013-January 2016); Managing Director,
Client Services, Charles Schwab (December 2009-
August 2013).
-----------------------------------------------------------------------------------------------------------
Jonathan G. Nelson Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1971 Manager, Investment Systems (2011-January 2013)
for Dimensional Fund Advisors LP.
82
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
---------------------------------------------------------------------------------------------------------------------------
Catherine L. Newell Vice President and Vice President since 1997 Vice President and Secretary of all the DFA Entities.
1964 Secretary and Secretary since 2000 Director, Vice President and Secretary of DFA
Australia Limited and Dimensional Fund Advisors
Ltd. (since February 2002, April 1997, and May
2002, respectively). Vice President and Secretary of
Dimensional Fund Advisors Canada ULC (since
June 2003), Dimensional Cayman Commodity Fund I
Ltd., Dimensional Japan Ltd (since February 2012),
Dimensional Advisors Ltd (since March 2012),
Dimensional Fund Advisors Pte. Ltd. (since June
2012). Director of Dimensional Funds plc and
Dimensional Funds II plc (since 2002 and 2006,
respectively). Director of Dimensional Japan Ltd.,
Dimensional Advisors Ltd., Dimensional Fund
Advisors Pte. Ltd. and Dimensional Hong Kong
Limited (since August 2012 and July 2012).
Formerly, Vice President and Secretary of
Dimensional SmartNest (US) LLC (October 2010-
November 2014).
---------------------------------------------------------------------------------------------------------------------------
John R. Nicholson Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1977 Regional Director (June 2011-January 2015) for
Dimensional Fund Advisors LP; Sales Executive for
Vanguard (July 2008-May 2011).
---------------------------------------------------------------------------------------------------------------------------
Pamela B. Noble Vice President Since 2011 Vice President of all the DFA Entities. Formerly,
1964 Portfolio Manager for Dimensional Fund Advisors LP
(2008-2010).
---------------------------------------------------------------------------------------------------------------------------
Selwyn Notelovitz Vice President and Since 2013 Vice President and Deputy Chief Compliance Officer
1961 Deputy Chief of all the DFA Entities. Deputy Chief Compliance
Compliance Officer Officer of Dimensional Fund Advisors LP (since
December 2012). Formerly, Chief Compliance
Officer of Wellington Management Company, LLP
(2004-2011).
---------------------------------------------------------------------------------------------------------------------------
Carolyn L. O Vice President Since 2010 Vice President of all the DFA Entities, Dimensional
1974 Cayman Commodity Fund I Ltd., and Dimensional
Fund Advisors Canada ULC (since April 2016).
Deputy General Counsel, Funds (since 2011).
---------------------------------------------------------------------------------------------------------------------------
Gerard K. O'Reilly Vice President and Vice President since 2007 Vice President and Co-Chief Investment Officer of all
1976 Co-Chief Investment and Co-Chief Investment the DFA Entities, Dimensional Fund Advisors
Officer Officer since 2014 Canada ULC, and Dimensional Japan Ltd. Director
of Dimensional Funds plc and Dimensional Fund II
plc.
---------------------------------------------------------------------------------------------------------------------------
Randy C. Olson Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1980 Senior Compliance Officer for Dimensional Fund
Advisors LP (July 2014-January 2016); Vice
President Regional Head of Investment Compliance,
Asia, PIMCO Asia Private Limited (July 2012-
July 2014); Country Compliance Officer, Janus
Capital, Singapore Private Limited (May 2011-
June 2012).
---------------------------------------------------------------------------------------------------------------------------
Daniel C. Ong Vice President Since 2009 Vice President of all the DFA Entities. Portfolio
1973 Manager for Dimensional Fund Advisors LP (since
July 2005).
---------------------------------------------------------------------------------------------------------------------------
Kyle K. Ozaki Vice President Since 2010 Vice President of all the DFA Entities.
1978
---------------------------------------------------------------------------------------------------------------------------
Matthew A. Pawlak Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1977 Regional Director for Dimensional Fund Advisors LP
(2012-January 2013); Senior Consultant (June 2011-
December 2011) and Senior Investment Analyst and
Consultant (July 2008-June 2011) at Hewitt
EnnisKnupp.
83
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
--------------------------------------------------------------------------------------------------------------
Mary T. Phillips Vice President Since 2016 Vice President of all the DFA Entities. Senior
1981 Portfolio Manager (January 2015-present). Formerly,
Portfolio Manager (April 2014-January 2015) and
Investment Associate for Dimensional Fund Advisors
LP (July 2012-March 2014).
--------------------------------------------------------------------------------------------------------------
Jeffrey L. Pierce Vice President Since 2015 Vice President of all the DFA Entities. Senior
1984 Manager, Advisor Benchmarking (since January
2015) for Dimensional Fund Advisors LP. Formerly,
Manager, Advisor Benchmarking (April 2012-
December 2014) for Dimensional Fund Advisors LP;
Senior Manager, Research and Consulting (October
2010-April 2012) for Crain Communications Inc.
--------------------------------------------------------------------------------------------------------------
Olivian T. Pitis Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1974 Regional Director (May 2011-January 2015) for
Dimensional Fund Advisors LP.
--------------------------------------------------------------------------------------------------------------
Brian P. Pitre Vice President Since 2015 Vice President of all the DFA Entities. Counsel for
1976 Dimensional Fund Advisors LP (since February
2015). Formerly, Chief Financial Officer and General
Counsel for Relentless (March 2014-January 2015);
Vice President of all the DFA Entities (January 2013-
March 2014); Counsel for Dimensional Fund
Advisors LP (January 2009-March 2014).
--------------------------------------------------------------------------------------------------------------
David A. Plecha Vice President Since 1993 Vice President of all the DFA Entities, DFA Australia
1961 Limited, Dimensional Fund Advisors Ltd. and
Dimensional Fund Advisors Canada ULC.
--------------------------------------------------------------------------------------------------------------
Allen Pu Vice President Since 2011 Vice President of all the DFA Entities. Senior
1970 Portfolio Manager for Dimensional Fund Advisors LP
(since January 2015). Formerly, Portfolio Manager
for Dimensional Fund Advisors LP (2006-January
2015).
--------------------------------------------------------------------------------------------------------------
David J. Rapozo Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1967 Regional Director for Dimensional Fund Advisors LP
(January 2011-January 2014).
--------------------------------------------------------------------------------------------------------------
Mark A. Regier Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1969 Planning and Analysis Manager for Dimensional
Fund Advisors LP (July 2007-January 2014).
--------------------------------------------------------------------------------------------------------------
Cory T. Riedberger Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1979 Regional Director (March 2011-January 2015) for
Dimensional Fund Advisors LP.
--------------------------------------------------------------------------------------------------------------
Savina B. Rizova Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1981 Research Associate (June 2011-January 2012) for
Dimensional Fund Advisors LP.
--------------------------------------------------------------------------------------------------------------
Michael F. Rocque Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1968 Senior Fund Accounting Manager (July 2013-
January 2015) for Dimensional Fund Advisors LP;
Senior Financial Consultant and Chief Accounting
Officer (July 2002-July 2013) for MFS Investment
Management.
--------------------------------------------------------------------------------------------------------------
L. Jacobo Rodriguez Vice President Since 2005 Vice President of all the DFA Entities.
1971
--------------------------------------------------------------------------------------------------------------
Austin S. Rosenthal Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1978 Vice President for Dimensional SmartNest (US) LLC
(September 2010-November 2014).
--------------------------------------------------------------------------------------------------------------
Oliver J. Rowe Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1960 Senior Manager, Human Resources for Dimensional
Fund Advisors LP (January 2012-January 2014);
Director of Human Resources at Spansion, Inc.
(March 2009-December 2011).
84
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
------------------------------------------------------------------------------------------------------------
Joseph S. Ruzicka Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1987 Manager Investment Analytics and Data
(January 2014-January 2015), Senior Associate,
Investment Analytics and Data (January 2013-
January 2014), Associate, Investment Analytics and
Data (January 2012-January 2013), and Investment
Data Analyst (April 2010-January 2012) for
Dimensional Fund Advisors LP.
------------------------------------------------------------------------------------------------------------
Julie A. Saft Vice President Since 2010 Vice President of all the DFA Entities.
1959
------------------------------------------------------------------------------------------------------------
Joel P. Schneider Vice President Since 2015 Vice President of all the DFA Entities. Portfolio
1980 Manager (since 2013) for Dimensional Fund
Advisors LP. Formerly, Investment Associate
(April 2011-January 2013) for Dimensional Fund
Advisors LP.
------------------------------------------------------------------------------------------------------------
Ashish Shrestha Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1978 Regional Director (September 2009-January 2015)
for Dimensional Fund Advisors LP.
------------------------------------------------------------------------------------------------------------
Bruce A. Simmons Vice President Since 2009 Vice President of all the DFA Entities.
1965
------------------------------------------------------------------------------------------------------------
Ted R. Simpson Vice President Since 2007 Vice President of all the DFA Entities.
1968
------------------------------------------------------------------------------------------------------------
Bhanu P. Singh Vice President Since 2014 Vice President of all the DFA Entities. Senior
1981 Portfolio Manager for Dimensional Fund Advisors LP
(since January 2015). Formerly, Portfolio Manager
(January 2012-January 2015) and Investment
Associate for Dimensional Fund Advisors LP
(August 2010-December 2011).
------------------------------------------------------------------------------------------------------------
Bryce D. Skaff Vice President Since 2007 Vice President of all the DFA Entities.
1975
------------------------------------------------------------------------------------------------------------
Lukas J. Smart Vice President Since 2014 Vice President of all the DFA Entities. Portfolio
1977 Manager of Dimensional Fund Advisors LP (since
January 2010).
------------------------------------------------------------------------------------------------------------
Andrew D. Smith Vice President Since 2011 Vice President of all the DFA Entities.
1968
------------------------------------------------------------------------------------------------------------
Grady M. Smith Vice President Since 2004 Vice President of all the DFA Entities and
1956 Dimensional Fund Advisors Canada ULC.
------------------------------------------------------------------------------------------------------------
Matthew Snider Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1976 Regional Director for Dimensional Fund Advisors LP
(September 2011-January 2016); Sales Executive,
Vanguard (May 2008-August 2011).
------------------------------------------------------------------------------------------------------------
Lawrence R. Spieth Vice President Since 2004 Vice President of all the DFA Entities.
1947
------------------------------------------------------------------------------------------------------------
Charlene L. St. John Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1965 Senior Manager for Dimensional Fund Advisors LP
(September 2014-January 2016); Vice President of
Marketing, Forward Management/Salient
(January 2008-February 2014).
------------------------------------------------------------------------------------------------------------
Brent M. Stone Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1971 Project Manager (September 2012-December 2015)
and Manager, Corporate Systems for Dimensional
Fund Advisors LP (January 2011-September 2012).
------------------------------------------------------------------------------------------------------------
Richard H. Tatlow V Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1971 Regional Director for Dimensional Fund Advisors LP
(April 2010-January 2013).
------------------------------------------------------------------------------------------------------------
Blake T. Tatsuta Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1973 Manager, Investment Analytics and Data (2012-
January 2013) and Research Assistant (2002-2011)
for Dimensional Fund Advisors LP.
85
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
---------------------------------------------------------------------------------------------------------------
James J. Taylor Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1983 Accounting Manager for Dimensional Fund Advisors
LP (November 2009-January 2016).
---------------------------------------------------------------------------------------------------------------
Erik T. Totten Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1980 Regional Director (2010-January 2013) for
Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------
John H. Totten Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1978 Regional Director for Dimensional Fund Advisors LP
(January 2008-January 2012).
---------------------------------------------------------------------------------------------------------------
Robert C. Trotter Vice President Since 2009 Vice President of all the DFA Entities.
1958
---------------------------------------------------------------------------------------------------------------
Dave C. Twardowski Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1982 Research Associate (June 2011-January 2015) for
Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------
Karen E. Umland Vice President Since 1997 Vice President of all the DFA Entities, DFA Australia
1966 Limited, Dimensional Fund Advisors Ltd., and
Dimensional Fund Advisors Canada ULC.
---------------------------------------------------------------------------------------------------------------
Benjamin C. Walker Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1979 Regional Director for Dimensional Fund Advisors LP
(September 2008-January 2014).
---------------------------------------------------------------------------------------------------------------
Brian J. Walsh Vice President Since 2009 Vice President of all the DFA Entities. Portfolio
1970 Manager for Dimensional Fund Advisors LP
(since 2004).
---------------------------------------------------------------------------------------------------------------
Jessica Walton Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1974 Regional Director (January 2012-January 2015) for
Dimensional Fund Advisors LP; Director of Marketing
and Investor Relations for Treaty Oak Capital
Management (July 2011-October 2011); Vice
President for Rockspring Capital (October 2010-
July 2011).
---------------------------------------------------------------------------------------------------------------
Griffin S. Watkins Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1985 Regional Director (January 2014-January 2016) and
Senior Associate (January 2011-December 2013).
for Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------
Timothy P. Wei Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1968 Counsel for Dimensional Fund Advisors LP
(July 2014-January 2016); Assistant General
Counsel, Teacher Retirement System of Texas
(October 2008-June 2014).
---------------------------------------------------------------------------------------------------------------
Weston J. Wellington Vice President Since 1997 Vice President of all the DFA Entities.
1951
---------------------------------------------------------------------------------------------------------------
Ryan J. Wiley Vice President Since 2007 Vice President of all the DFA Entities.
1976
---------------------------------------------------------------------------------------------------------------
Kristina M. Williams Vice President Since 2016 Vice President of all the DFDA Entities. Formerly,
1975 Client Service Supervisor for Dowling & Yahnke
(July 2014-January 2016); Head of Operations for
The Elements Financial Group (January 2013-June
2014); Head of Operations for Vericimetry Advisors
LLC (July 2011-December 2012).
---------------------------------------------------------------------------------------------------------------
Jeremy J. Willis Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1976 Manager, Client Systems for Dimensional Fund
Advisors LP (May 2012-January 2016); Vice
President, Implementations, Citigroup (August 2006-
October 2011).
---------------------------------------------------------------------------------------------------------------
86
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
--------------------------------------------------------------------------------------------------------
Stacey E. Winning Vice President Since 2015 Vice President of all the DFA Entities. Head of
1981 Global Recruiting and Development (since June
2014) for Dimensional Fund Advisors LP. Formerly,
Senior Manager, Recruiting (December 2012-
June 2014) for Dimensional Fund Advisors LP;
Co-Head of Global Recruiting (May 2009-
November 2012) for Two Sigma Investments.
--------------------------------------------------------------------------------------------------------
Cecelia K. Wong Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1981 Client Service Manager for Dimensional Fund
Advisors LP (June 2005-January 2016).
--------------------------------------------------------------------------------------------------------
Craig A. Wright Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1982 Accounting Manager for Dimensional Fund Advisors
LP (November 2011-January 2016); Senior
Associate, PricewaterhouseCoopers LP (July 2009-
November 2011).
--------------------------------------------------------------------------------------------------------
Joseph L. Young Vice President Since 2011 Vice President of all the DFA Entities.
1978
--------------------------------------------------------------------------------------------------------
/1/ Each officer holds office for an indefinite term at the pleasure of the
Board of Directors and until his or her successor is elected and qualified.
87
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.
88
NOTICE TO SHAREHOLDERS
(UNAUDITED)
For shareholders that do not have an October 31, 2016 tax year end, this
notice is for informational purposes only. For shareholders with an October 31,
2016 tax year end, please consult your tax advisor as to the pertinence of this
notice. For the fiscal year November 1, 2015 to October 31, 2016, each
Portfolio is designating the following items with regard to distributions paid
during the fiscal year. All designations are based on financial information
available as of the date of this annual report and, accordingly are subject to
change. For each item, it is the intention of the Portfolio to designate the
maximum amount permitted under the Internal Revenue Code and the regulations
thereunder.
QUALIFYING
FOR
NET CORPORATE
INVESTMENT SHORT-TERM LONG-TERM DIVIDENDS QUALIFYING U.S.
INCOME CAPITAL GAIN CAPITAL GAIN TOTAL RECEIVED DIVIDEND GOVERNMENT
DIMENSIONAL INVESTMENT GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DEDUCTION (1) INCOME (2) INTEREST (3)
--------------------------------- ------------- ------------- ------------- ------------- ------------- ---------- ------------
LWAS/DFA U.S. High Book to
Market Portfolio................. 20% -- 80% 100% 100% 100% --
LWAS/DFA Two-Year Fixed Income
Portfolio........................ 74% 25% 1% 100% -- -- 9%
LWAS/DFA Two-Year Government
Portfolio........................ 64% 36% -- 100% -- -- 100%
LWAS/DFA International High Book
to Market Portfolio.............. 44% -- 56% 100% 100% 100% --
QUALIFYING
FOREIGN FOREIGN QUALIFYING SHORT-TERM
TAX SOURCE INTEREST CAPITAL
DIMENSIONAL INVESTMENT GROUP INC. CREDIT (4) INCOME (5) INCOME (6) GAIN (7)
--------------------------------- ---------- ---------- ---------- ----------
LWAS/DFA U.S. High Book to
Market Portfolio................. -- -- 100% 100%
LWAS/DFA Two-Year Fixed Income
Portfolio........................ -- -- 100% 100%
LWAS/DFA Two-Year Government
Portfolio........................ -- -- 100% 100%
LWAS/DFA International High Book
to Market Portfolio.............. 5% 100% 100% 100%
----------
(1)Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
income distributions (the total of short-term capital gain and net
investment income distributions).
(2)The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
Please note that these percentages are designated only, refer to your 1099
for actual qualified dividend income.
(3)"U.S. Government Interest" represents the amount of interest that was
derived from direct U.S. Government obligations and distributed during the
fiscal year. This amount is reflected as a percentage of total ordinary
income distributions (the total of short-term capital gain and net
investment income distributions). Generally, interest from direct U.S.
Government obligations is exempt from state income tax.
(4)"Foreign Tax Credit" represents dividends which qualify for the foreign tax
credit pass through and is reflected as a percentage of investment company
taxable income.
(5)"Foreign Source Income" represents the portion of dividends derived from
foreign sources, and is reflected as a percentage of investment company
taxable income.
(6)The percentage in this column represents the amount of "Qualifying Interest
Income" as created by The American Jobs Creation Act of 2004. The
information is reflected as a percentage ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
(7)The percentage in this column represents the amount of "Qualifying
Short-Term Capital Gain" as created by The American Jobs Creation Act of
2004. The information is reflected as a percentage of ordinary income
distributions (the total of short-term capital gain and net investment
income distributions).
89
DFA103116-003A
[LOGO]Recycled Recyclable 00185758
[LOGO]
ANNUAL REPORT
year ended: October 31, 2016
DFA Investment Dimensions Group Inc.
VA U.S. Targeted Value Portfolio
VA U.S. Large Value Portfolio
VA International Value Portfolio
VA International Small Portfolio
VA Short-Term Fixed Portfolio
VA Global Bond Portfolio
VIT Inflation-Protected Securities Portfolio
DFA VA Global Moderate Allocation Portfolio
[LOGO]
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
December 2016
Dear Fellow Shareholder,
On behalf of our team at Dimensional, I want to thank you for trusting us with
your investments. We recognize the important role those investments play in
your future plans, and we take the responsibility implied by this trust with
the utmost dedication and seriousness that it deserves.
Dimensional is focused on offering consistent ways to access the performance
delivered by securities in different markets and asset classes through
well-diversified, efficiently managed portfolios. The importance of the word
CONSISTENCY cannot be overemphasized. By being consistent in our investment
approach and the quality of our implementation, we create opportunities for you
to combine funds into an asset allocation that fits your goals and preferences
-- enabling you to be a long-term investor in control of your investments.
We recognize markets are full of uncertainties, which highlights the importance
of having efficiently managed funds focused on delivering value to investors as
part of an overall asset allocation that can help overcome those uncertainties.
We are fortunate to work with clients who are committed to a long-term
investment philosophy. We remain committed to managing investments for our
clients with the same dedication, transparency, efficiency, and consistency we
have for more than 35 years.
Sincerely,
/s/Eduardo A. Repetto
Eduardo A. Repetto
CO-CHIEF EXECUTIVE OFFICER AND CO-CHIEF INVESTMENT OFFICER
DFA INVESTMENT DIMENSIONS GROUP INC.
ANNUAL REPORT
TABLE OF CONTENTS
PAGE
----
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES........................... 1
Performance Charts................................................ 2
Management's Discussion and Analysis.............................. 6
Disclosure of Fund Expenses....................................... 12
Disclosure of Portfolio Holdings.................................. 14
Summary Schedules of Portfolio Holdings/Schedules of Investments
VA U.S. Targeted Value Portfolio.............................. 16
VA U.S. Large Value Portfolio................................. 19
VA International Value Portfolio.............................. 22
VA International Small Portfolio.............................. 26
VA Short-Term Fixed Portfolio................................. 30
VA Global Bond Portfolio...................................... 33
VIT Inflation-Protected Securities Portfolio.................. 36
DFA VA Global Moderate Allocation Portfolio................... 37
Statements of Assets and Liabilities.............................. 38
Statements of Operations.......................................... 40
Statements of Changes in Net Assets............................... 42
Financial Highlights.............................................. 46
Notes to Financial Statements..................................... 50
Report of Independent Registered Public Accounting Firm........... 65
Section 19(a) Notice.............................................. 66
FUND MANAGEMENT...................................................... 67
VOTING PROXIES ON FUND PORTFOLIO SECURITIES.......................... 81
NOTICE TO SHAREHOLDERS............................................... 82
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.
i
DFA INVESTMENT DIMENSIONS GROUP INC.
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SUMMARY SCHEDULES OF PORTFOLIO HOLDINGS/SCHEDULES OF INVESTMENTS
----------------------------------------------------------------
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.
(r) The adjustable rate shown is effective as of October 31, 2016.
## 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.
(S) Affiliated Fund.
^^^ Face amount of security is not adjusted for inflation.
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) 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.
SEC Securities and Exchange Commission
(a) Commencement of Operations.
1
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
VA U.S. TARGETED VALUE PORTFOLIO VS.
RUSSELL 2000(R) VALUE INDEX
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
VA U.S. Targeted Value Portfolio Russell 2000/R/ Value Index
-------------------------------- ---------------------------
10/31/2006 $10,000 $10,000
11/30/2006 10,280 10,285
12/31/2006 10,429 10,375
1/31/2007 10,608 10,530
2/28/2007 10,546 10,401
3/31/2007 10,615 10,526
4/30/2007 10,738 10,636
5/31/2007 11,102 11,026
6/30/2007 10,903 10,769
7/31/2007 10,010 9,852
8/31/2007 9,955 10,049
9/30/2007 9,928 10,095
10/31/2007 9,934 10,205
11/30/2007 9,103 9,440
12/31/2007 8,973 9,360
1/31/2008 8,623 8,976
2/29/2008 8,296 8,620
3/31/2008 8,365 8,749
4/30/2008 8,441 9,026
5/31/2008 8,715 9,335
6/30/2008 7,733 8,439
7/31/2008 7,946 8,872
8/31/2008 8,334 9,294
9/30/2008 7,824 8,858
10/31/2008 6,188 7,088
11/30/2008 5,358 6,267
12/31/2008 5,659 6,653
1/31/2009 4,800 5,703
2/28/2009 4,145 4,910
3/31/2009 4,574 5,346
4/30/2009 5,440 6,195
5/31/2009 5,628 6,329
6/30/2009 5,643 6,309
7/31/2009 6,314 7,038
8/31/2009 6,580 7,372
9/30/2009 6,908 7,741
10/31/2009 6,455 7,227
11/30/2009 6,658 7,457
12/31/2009 7,165 8,022
1/31/2010 6,976 7,787
2/28/2010 7,370 8,148
3/31/2010 7,938 8,826
4/30/2010 8,521 9,443
5/31/2010 7,827 8,645
6/30/2010 7,149 7,891
7/31/2010 7,709 8,454
8/31/2010 7,118 7,818
9/30/2010 7,930 8,657
10/31/2010 8,198 8,993
11/30/2010 8,497 9,221
12/31/2010 9,248 9,988
1/31/2011 9,280 9,993
2/28/2011 9,756 10,500
3/31/2011 9,938 10,646
4/30/2011 10,112 10,819
5/31/2011 9,890 10,626
6/30/2011 9,716 10,364
7/31/2011 9,407 10,022
8/31/2011 8,526 9,136
9/30/2011 7,566 8,139
10/31/2011 8,685 9,311
11/30/2011 8,709 9,293
12/31/2011 8,827 9,438
1/31/2012 9,379 10,066
2/29/2012 9,683 10,215
3/31/2012 9,931 10,532
4/30/2012 9,763 10,380
5/31/2012 9,075 9,746
6/30/2012 9,427 10,215
7/31/2012 9,379 10,111
8/31/2012 9,795 10,423
9/30/2012 10,123 10,794
10/31/2012 10,059 10,659
11/30/2012 10,243 10,691
12/31/2012 10,603 11,142
1/31/2013 11,325 11,806
2/28/2013 11,544 11,941
3/31/2013 12,112 12,438
4/30/2013 12,015 12,426
5/31/2013 12,615 12,797
6/30/2013 12,566 12,745
7/31/2013 13,475 13,564
8/31/2013 12,996 12,964
9/30/2013 13,710 13,713
10/31/2013 14,302 14,159
11/30/2013 14,951 14,711
12/31/2013 15,335 14,988
1/31/2014 14,632 14,408
2/28/2014 15,424 15,068
3/31/2014 15,727 15,255
4/30/2014 15,449 14,862
5/31/2014 15,588 14,956
6/30/2014 16,258 15,618
7/31/2014 15,449 14,674
8/31/2014 16,242 15,311
9/30/2014 15,245 14,278
10/31/2014 15,760 15,276
11/30/2014 15,653 15,205
12/31/2014 15,903 15,620
1/31/2015 15,197 14,970
2/28/2015 16,286 15,665
3/31/2015 16,504 15,930
4/30/2015 16,339 15,590
5/31/2015 16,530 15,719
6/30/2015 16,478 15,739
7/31/2015 16,051 15,305
8/31/2015 15,424 14,553
9/30/2015 14,709 14,050
10/31/2015 15,633 14,836
11/30/2015 16,051 15,258
12/31/2015 15,071 14,454
1/31/2016 14,025 13,483
2/28/2016 14,225 13,575
3/31/2016 15,442 14,700
4/30/2016 15,747 15,011
5/31/2016 15,823 15,286
6/30/2016 15,614 15,333
7/31/2016 16,451 16,160
8/31/2016 16,736 16,562
9/30/2016 16,908 16,692
10/31/2016 16,394 16,144
Past performance is not predictive of
future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell
--------------------------------------------------------------- Investment Group 1995-2016, all rights
4.87% 13.55% 5.07% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
VA U.S. LARGE VALUE PORTFOLIO VS.
RUSSELL 1000(R) VALUE INDEX
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
VA U.S. Large Value Portfolio Russell 1000/R/ Value Index
-------------------------------- ------------------------------
10/31/2006 $10,000 $10,000
11/30/2006 10,178 10,228
12/31/2006 10,374 10,458
1/31/2007 10,670 10,592
2/28/2007 10,530 10,427
3/31/2007 10,606 10,588
4/30/2007 11,041 10,979
5/31/2007 11,488 11,375
6/30/2007 11,302 11,109
7/31/2007 10,629 10,595
8/31/2007 10,420 10,714
9/30/2007 10,687 11,082
10/31/2007 10,728 11,083
11/30/2007 10,130 10,542
12/31/2007 10,068 10,440
1/31/2008 9,710 10,022
2/29/2008 9,392 9,602
3/31/2008 9,286 9,530
4/30/2008 9,863 9,994
5/31/2008 10,080 9,978
6/30/2008 8,957 9,023
7/31/2008 8,957 8,991
8/31/2008 9,122 9,144
9/30/2008 8,357 8,472
10/31/2008 6,528 7,005
11/30/2008 5,881 6,503
12/31/2008 6,051 6,593
1/31/2009 5,299 5,835
2/28/2009 4,546 5,055
3/31/2009 4,989 5,488
4/30/2009 5,821 6,076
5/31/2009 6,276 6,452
6/30/2009 6,203 6,404
7/31/2009 6,798 6,928
8/31/2009 7,253 7,290
9/30/2009 7,562 7,572
10/31/2009 7,247 7,340
11/30/2009 7,654 7,754
12/31/2009 7,862 7,891
1/31/2010 7,683 7,669
2/28/2010 8,011 7,911
3/31/2010 8,634 8,426
4/30/2010 8,906 8,645
5/31/2010 8,153 7,934
6/30/2010 7,541 7,487
7/31/2010 8,128 7,994
8/31/2010 7,646 7,652
9/30/2010 8,400 8,246
10/31/2010 8,702 8,493
11/30/2010 8,647 8,448
12/31/2010 9,484 9,115
1/31/2011 9,792 9,321
2/28/2011 10,319 9,665
3/31/2011 10,357 9,703
4/30/2011 10,621 9,962
5/31/2011 10,470 9,856
6/30/2011 10,275 9,654
7/31/2011 9,798 9,334
8/31/2011 8,982 8,752
9/30/2011 8,058 8,090
10/31/2011 9,170 9,016
11/30/2011 9,088 8,970
12/31/2011 9,159 9,151
1/31/2012 9,613 9,497
2/29/2012 10,170 9,875
3/31/2012 10,361 10,168
4/30/2012 10,138 10,064
5/31/2012 9,415 9,474
6/30/2012 9,901 9,945
7/31/2012 9,997 10,047
8/31/2012 10,400 10,266
9/30/2012 10,777 10,591
10/31/2012 10,809 10,539
11/30/2012 10,828 10,535
12/31/2012 11,169 10,753
1/31/2013 11,963 11,452
2/28/2013 12,087 11,616
3/31/2013 12,667 12,076
4/30/2013 12,810 12,259
5/31/2013 13,377 12,573
6/30/2013 13,181 12,463
7/31/2013 13,989 13,135
8/31/2013 13,572 12,637
9/30/2013 13,982 12,954
10/31/2013 14,705 13,521
11/30/2013 15,324 13,898
12/31/2013 15,728 14,250
1/31/2014 15,102 13,744
2/28/2014 15,641 14,338
3/31/2014 15,994 14,681
4/30/2014 16,094 14,820
5/31/2014 16,439 15,037
6/30/2014 16,899 15,430
7/31/2014 16,741 15,167
8/31/2014 17,273 15,725
9/30/2014 16,777 15,400
10/31/2014 16,871 15,746
11/30/2014 17,065 16,069
12/31/2014 17,157 16,167
1/31/2015 16,312 15,521
2/28/2015 17,478 16,272
3/31/2015 17,179 16,050
4/30/2015 17,500 16,200
5/31/2015 17,687 16,395
6/30/2015 17,388 16,068
7/31/2015 17,351 16,138
8/31/2015 16,327 15,177
9/30/2015 15,782 14,719
10/31/2015 17,052 15,830
11/30/2015 17,112 15,890
12/31/2015 16,572 15,548
1/31/2016 15,425 14,745
2/28/2016 15,481 14,741
3/31/2016 16,612 15,803
4/30/2016 17,045 16,135
5/31/2016 17,270 16,386
6/30/2016 17,254 16,527
7/31/2016 17,864 17,007
8/31/2016 18,064 17,138
9/30/2016 18,128 17,103
10/31/2016 17,823 16,838
Past performance is not predictive of
future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell
--------------------------------------------------------------- Investment Group 1995-2016, all rights
4.52% 14.22% 5.95% reserved.
--------------------------------------------------------------------------------
2
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
VA INTERNATIONAL VALUE PORTFOLIO VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHARTS]
VA International MSCI World ex USA
Value Portfolio Index (net dividends)
----------------- ---------------------
10/31/06 $10,000 $10,000
11/30/06 10,335 10,298
12/31/06 10,739 10,593
1/31/07 10,949 10,658
2/28/07 10,921 10,743
3/31/07 11,286 11,018
4/30/07 11,845 11,520
5/31/07 12,249 11,775
6/30/07 12,194 11,787
7/31/07 11,834 11,624
8/31/07 11,685 11,456
9/30/07 12,310 12,107
10/31/07 12,929 12,633
11/30/07 12,160 12,139
12/31/07 11,893 11,911
1/31/08 10,896 10,837
2/29/08 10,733 11,033
3/31/08 10,896 10,876
4/30/08 11,385 11,480
5/31/08 11,354 11,655
6/30/08 10,212 10,748
7/31/08 9,967 10,366
8/31/08 9,547 9,965
9/30/08 8,550 8,526
10/31/08 6,398 6,753
11/30/08 6,022 6,386
12/31/08 6,445 6,723
1/31/09 5,559 6,096
2/28/09 4,872 5,479
3/31/09 5,353 5,840
4/30/09 6,338 6,593
5/31/09 7,293 7,427
6/30/09 7,178 7,350
7/31/09 8,034 8,040
8/31/09 8,477 8,425
9/30/09 8,920 8,773
10/31/09 8,568 8,632
11/30/09 8,805 8,845
12/31/09 8,891 8,986
1/31/10 8,389 8,565
2/28/10 8,428 8,557
3/31/10 9,094 9,107
4/30/10 8,953 8,972
5/31/10 7,927 7,982
6/30/10 7,708 7,866
7/31/10 8,695 8,593
8/31/10 8,256 8,336
9/30/10 9,141 9,136
10/31/10 9,455 9,462
11/30/10 8,985 9,061
12/31/10 9,827 9,790
1/31/11 10,266 10,001
2/28/11 10,634 10,372
3/31/11 10,314 10,164
4/30/11 10,842 10,718
5/31/11 10,442 10,400
6/30/11 10,274 10,252
7/31/11 9,971 10,083
8/31/11 8,867 9,231
9/30/11 7,900 8,304
10/31/11 8,691 9,111
11/30/11 8,395 8,690
12/31/11 8,161 8,595
1/31/12 8,752 9,059
2/29/12 9,226 9,557
3/31/12 9,126 9,487
4/30/12 8,768 9,326
5/31/12 7,687 8,262
6/30/12 8,269 8,804
7/31/12 8,203 8,913
8/31/12 8,569 9,168
9/30/12 8,876 9,446
10/31/12 9,001 9,512
11/30/12 9,109 9,712
12/31/12 9,547 10,006
1/31/13 10,011 10,498
2/28/13 9,693 10,393
3/31/13 9,719 10,476
4/30/13 10,148 10,953
5/31/13 10,028 10,708
6/30/13 9,642 10,307
7/31/13 10,294 10,855
8/31/13 10,217 10,715
9/30/13 10,981 11,472
10/31/13 11,350 11,857
11/30/13 11,393 11,930
12/31/13 11,614 12,110
1/31/14 11,200 11,621
2/28/14 11,834 12,255
3/31/14 11,755 12,200
4/30/14 11,958 12,392
5/31/14 12,090 12,584
6/30/14 12,239 12,763
7/31/14 11,949 12,536
8/31/14 11,958 12,546
9/30/14 11,429 12,030
10/31/14 11,218 11,839
11/30/14 11,209 11,985
12/31/14 10,783 11,586
1/31/15 10,682 11,545
2/28/15 11,445 12,235
3/31/15 11,196 12,030
4/30/15 11,822 12,551
5/31/15 11,812 12,442
6/30/15 11,463 12,089
7/31/15 11,353 12,280
8/31/15 10,489 11,386
9/30/15 9,762 10,811
10/31/15 10,516 11,624
11/30/15 10,360 11,439
12/31/15 10,032 11,234
1/31/16 9,271 10,461
2/28/16 8,948 10,315
3/31/16 9,633 11,015
4/30/16 10,118 11,369
5/31/16 9,928 11,241
6/30/16 9,576 10,899
7/31/16 10,004 11,435
8/31/16 10,279 11,446
9/30/16 10,403 11,585
10/31/16 10,536 11,360
Past performance is not predictive of
future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
----------------------------------------------------- MSCI data copyright MSCI 2016, all
0.19% 3.93% 0.52% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
VA INTERNATIONAL SMALL PORTFOLIO VS.
MSCI WORLD EX USA SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHARTS]
VA International MSCI World ex USA
Small Portfolio Small Cap Index(net dividends)
----------------- ------------------------------
10/31/06 $10,000 $10,000
11/30/06 10,438 10,430
12/31/06 10,805 10,739
1/31/07 11,091 10,958
2/28/07 11,276 11,150
3/31/07 11,685 11,520
4/30/07 12,117 11,964
5/31/07 12,387 12,141
6/30/07 12,356 12,114
7/31/07 12,333 12,040
8/31/07 11,847 11,405
9/30/07 12,133 11,662
10/31/07 12,850 12,450
11/30/07 11,893 11,426
12/31/07 11,518 11,091
1/31/08 10,630 10,016
2/29/08 10,900 10,492
3/31/08 10,917 10,376
4/30/08 11,152 10,629
5/31/08 11,475 10,843
6/30/08 10,656 10,006
7/31/08 10,159 9,501
8/31/08 9,784 9,150
9/30/08 8,303 7,541
10/31/08 6,386 5,679
11/30/08 6,099 5,404
12/31/08 6,579 5,764
1/31/09 6,041 5,430
2/28/09 5,454 4,934
3/31/09 5,796 5,250
4/30/09 6,609 6,060
5/31/09 7,539 6,957
6/30/09 7,608 7,040
7/31/09 8,175 7,606
8/31/09 8,724 8,192
9/30/09 9,233 8,653
10/31/09 9,008 8,519
11/30/09 9,125 8,585
12/31/09 9,203 8,694
1/31/10 9,073 8,580
2/28/10 9,023 8,530
3/31/10 9,712 9,165
4/30/10 9,851 9,346
5/31/10 8,714 8,223
6/30/10 8,664 8,146
7/31/10 9,482 8,844
8/31/10 9,173 8,614
9/30/10 10,201 9,592
10/31/10 10,600 9,987
11/30/10 10,311 9,725
12/31/10 11,485 10,825
1/31/11 11,597 10,882
2/28/11 11,943 11,191
3/31/11 11,953 11,181
4/30/11 12,534 11,735
5/31/11 12,198 11,410
6/30/11 11,984 11,163
7/31/11 11,852 11,102
8/31/11 10,956 10,225
9/30/11 9,693 9,051
10/31/11 10,385 9,786
11/30/11 10,070 9,295
12/31/11 9,783 9,114
1/31/12 10,596 9,866
2/29/12 11,146 10,425
3/31/12 11,223 10,356
4/30/12 11,102 10,302
5/31/12 9,827 9,092
6/30/12 10,222 9,405
7/31/12 10,178 9,478
8/31/12 10,519 9,750
9/30/12 10,948 10,212
10/31/12 11,014 10,262
11/30/12 11,124 10,315
12/31/12 11,682 10,706
1/31/13 12,163 11,222
2/28/13 12,175 11,262
3/31/13 12,392 11,482
4/30/13 12,701 11,815
5/31/13 12,415 11,537
6/30/13 12,117 11,081
7/31/13 12,896 11,774
8/31/13 12,850 11,753
9/30/13 13,915 12,740
10/31/13 14,374 13,116
11/30/13 14,442 13,133
12/31/13 14,844 13,442
1/31/14 14,603 13,210
2/28/14 15,521 13,959
3/31/14 15,485 13,906
4/30/14 15,460 13,863
5/31/14 15,593 14,037
6/30/14 15,883 14,356
7/31/14 15,376 13,984
8/31/14 15,472 14,018
9/30/14 14,542 13,169
10/31/14 14,289 12,835
11/30/14 14,156 12,823
12/31/14 13,987 12,724
1/31/15 13,848 12,611
2/28/15 14,783 13,418
3/31/15 14,531 13,237
4/30/15 15,340 13,910
5/31/15 15,530 13,994
6/30/15 15,302 13,787
7/31/15 15,213 13,766
8/31/15 14,543 13,154
9/30/15 14,063 12,681
10/31/15 14,758 13,433
11/30/15 14,783 13,404
12/31/15 14,800 13,418
1/31/16 13,837 12,397
2/28/16 13,744 12,463
3/31/16 14,880 13,499
4/30/16 15,254 13,926
5/31/15 15,308 13,943
6/30/16 14,693 13,326
7/31/16 15,549 14,118
8/31/16 15,562 13,999
9/30/16 16,016 14,393
10/31/16 15,575 13,965
Past performance is not predictive of
future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
------------------------------------------------------------- MSCI data copyright MSCI 2016, all
5.54% 8.44% 4.53% rights reserved.
--------------------------------------------------------------------------------
3
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
VA SHORT-TERM FIXED PORTFOLIO VS.
THE BOFA MERRILL LYNCH US 6-MONTH TREASURY BILL INDEX,
THE BOFA MERRILL LYNCH US 1-YEAR TREASURY NOTE INDEX
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHARTS]
The BofA Merrill The BofA Merrill
VA Short-Term Lynch U.S. 6-Month Lynch U.S. 1-Year
Fixed Portfolio Treasury Bill Index Treasury Note Index
--------------- ------------------- -------------------
10/31/06 $10,000 $10,000 $10,000
11/30/06 10,048 10,042 10,041
12/31/06 10,090 10,087 10,069
1/31/07 10,130 10,128 10,108
2/28/07 10,170 10,170 10,159
3/31/07 10,220 10,215 10,199
4/30/07 10,260 10,259 10,233
5/31/07 10,300 10,308 10,266
6/30/07 10,340 10,349 10,316
7/31/07 10,390 10,391 10,375
8/31/07 10,430 10,466 10,452
9/30/07 10,470 10,509 10,507
10/31/07 10,520 10,551 10,540
11/30/07 10,550 10,623 10,645
12/31/07 10,592 10,653 10,668
1/31/08 10,634 10,742 10,805
2/29/08 10,665 10,771 10,861
3/31/08 10,665 10,799 10,895
4/30/08 10,697 10,812 10,874
5/31/08 10,718 10,812 10,869
6/30/08 10,739 10,826 10,875
7/31/08 10,770 10,860 10,910
8/31/08 10,791 10,883 10,941
9/30/08 10,760 10,933 10,990
10/31/08 10,812 10,978 11,053
11/30/08 10,906 11,015 11,123
12/31/08 11,011 11,035 11,175
1/31/09 11,022 11,034 11,163
2/28/09 11,011 11,035 11,146
3/31/09 11,054 11,046 11,173
4/30/09 11,097 11,061 11,195
5/31/09 11,130 11,066 11,205
6/30/09 11,151 11,068 11,210
7/31/09 11,162 11,077 11,224
8/31/09 11,194 11,083 11,238
9/30/09 11,205 11,090 11,247
10/31/09 11,227 11,093 11,259
11/30/09 11,248 11,097 11,279
12/31/09 11,217 11,098 11,264
1/31/10 11,250 11,104 11,290
2/28/10 11,261 11,105 11,294
3/31/10 11,250 11,106 11,291
4/30/10 11,261 11,109 11,298
5/31/10 11,261 11,114 11,304
6/30/10 11,294 11,118 11,321
7/31/10 11,316 11,122 11,334
8/31/10 11,327 11,126 11,343
9/30/10 11,338 11,129 11,349
10/31/10 11,349 11,134 11,357
11/30/10 11,338 11,135 11,354
12/31/10 11,341 11,139 11,357
1/31/11 11,352 11,141 11,368
2/28/11 11,352 11,143 11,371
3/31/11 11,352 11,146 11,374
4/30/11 11,374 11,152 11,386
5/31/11 11,386 11,154 11,393
6/30/11 11,386 11,156 11,397
7/31/11 11,397 11,156 11,393
8/31/11 11,397 11,164 11,414
9/30/11 11,397 11,164 11,411
10/31/11 11,397 11,166 11,415
11/30/11 11,386 11,167 11,419
12/31/11 11,390 11,169 11,422
1/31/12 11,424 11,169 11,425
2/29/12 11,424 11,168 11,422
3/31/12 11,435 11,169 11,422
4/30/12 11,446 11,171 11,427
5/31/12 11,446 11,174 11,429
6/30/12 11,457 11,175 11,426
7/31/12 11,468 11,178 11,437
8/31/12 11,479 11,180 11,439
9/30/12 11,479 11,181 11,442
10/31/12 11,479 11,182 11,441
11/30/12 11,491 11,185 11,445
12/31/12 11,486 11,188 11,449
1/31/13 11,497 11,189 11,452
2/28/13 11,497 11,190 11,454
3/31/13 11,497 11,192 11,458
4/30/13 11,509 11,195 11,463
5/31/13 11,509 11,197 11,463
6/30/13 11,497 11,198 11,462
7/31/13 11,509 11,200 11,469
8/31/13 11,497 11,202 11,471
9/30/13 11,520 11,205 11,477
10/31/13 11,520 11,204 11,477
11/30/13 11,520 11,205 11,477
12/31/13 11,515 11,207 11,478
1/31/14 11,527 11,210 11,481
2/28/14 11,527 11,211 11,483
3/31/14 11,527 11,212 11,487
4/30/14 11,538 11,214 11,492
5/31/14 11,538 11,215 11,495
6/30/14 11,538 11,215 11,495
7/31/14 11,538 11,216 11,497
8/31/14 11,538 11,218 11,504
9/30/14 11,538 11,219 11,507
10/31/14 11,549 11,219 11,509
11/30/14 11,549 11,220 11,510
12/31/14 11,532 11,221 11,499
1/31/15 11,566 11,224 11,511
2/28/15 11,555 11,226 11,509
3/31/15 11,566 11,226 11,511
4/30/15 11,566 11,231 11,519
5/31/15 11,566 11,232 11,522
6/30/15 11,566 11,233 11,523
7/31/15 11,566 11,233 11,526
8/31/15 11,566 11,233 11,525
9/30/15 11,577 11,245 11,536
10/31/15 11,589 11,242 11,534
11/30/15 11,577 11,241 11,516
12/31/15 11,567 11,246 11,517
1/31/16 11,590 11,255 11,540
2/28/16 11,590 11,259 11,542
3/31/16 11,613 11,270 11,558
4/30/16 11,624 11,277 11,569
5/31/16 11,624 11,278 11,564
6/30/16 11,647 11,292 11,592
7/31/16 11,658 11,296 11,591
8/31/16 11,647 11,297 11,590
9/30/16 11,658 11,307 11,598
10/31/16 11,658 11,313 11,604
Past performance is not predictive of
future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE FIVE TEN The Merrill Lynch Indices are used with
TOTAL RETURN YEAR YEARS YEARS permission; copyright 2016 Merrill
-------------------------------------------------------------- Lynch, Pierce, Fenner & Smith
0.60% 0.45% 1.55% Incorporated; all rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
VA GLOBAL BOND PORTFOLIO VS.
CITI WORLD GOVERNMENT BOND INDEX, 1-5 YEARS,
CURRENCY-HEDGED IN USD TERMS
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHARTS]
VA Global Bond Citigroup World Government Bond Index,
Portfolio 1-5 Years,Currency-Hedged in USD Terms
------------- --------------------------------------
10/31/06 $10,000 $10,000
11/30/06 10,048 10,050
12/31/06 10,064 10,057
1/31/07 10,113 10,093
2/28/07 10,161 10,159
3/31/07 10,199 10,191
4/30/07 10,238 10,223
5/31/07 10,267 10,212
6/30/07 10,286 10,238
7/31/07 10,344 10,327
8/31/07 10,411 10,436
9/30/07 10,450 10,493
10/31/07 10,517 10,546
11/30/07 10,556 10,661
12/31/07 10,609 10,691
1/31/08 10,668 10,851
2/29/08 10,727 10,922
3/31/08 10,747 10,920
4/30/08 10,658 10,848
5/31/08 10,619 10,786
6/30/08 10,658 10,787
7/31/08 10,717 10,866
8/31/08 10,786 10,933
9/30/08 10,717 11,004
10/31/08 10,786 11,164
11/30/08 10,944 11,284
12/31/08 11,082 11,396
1/31/09 11,072 11,401
2/28/09 11,062 11,424
3/31/09 11,092 11,483
4/30/09 11,143 11,486
5/31/09 11,214 11,490
6/30/09 11,275 11,509
7/31/09 11,387 11,551
8/31/09 11,499 11,591
9/30/09 11,581 11,627
10/31/09 11,642 11,639
11/30/09 11,784 11,701
12/31/09 11,615 11,657
1/31/10 11,764 11,702
2/28/10 11,838 11,751
3/31/10 11,827 11,746
4/30/10 11,912 11,752
5/31/10 11,986 11,828
6/30/10 12,092 11,858
7/31/10 12,251 11,901
8/31/10 12,400 11,958
9/30/10 12,442 11,949
10/31/10 12,527 11,960
11/30/10 12,410 11,902
12/31/10 12,258 11,889
1/31/11 12,281 11,880
2/28/11 12,269 11,869
3/31/11 12,281 11,862
4/30/11 12,441 11,897
5/31/11 12,578 11,955
6/30/11 12,578 11,961
7/31/11 12,772 12,004
8/31/11 12,863 12,108
9/30/11 12,840 12,112
10/31/11 12,874 12,095
11/30/11 12,715 12,071
12/31/11 12,811 12,164
1/31/12 12,955 12,216
2/29/12 12,979 12,237
3/31/12 13,014 12,226
4/30/12 13,062 12,251
5/31/12 13,146 12,262
6/30/12 13,146 12,274
7/31/12 13,314 12,315
8/31/12 13,350 12,348
9/30/12 13,374 12,370
10/31/12 13,386 12,377
11/30/12 13,434 12,409
12/31/12 13,433 12,419
1/31/13 13,359 12,409
2/28/13 13,458 12,438
3/31/13 13,483 12,450
4/30/13 13,544 12,490
5/31/13 13,433 12,448
6/30/13 13,273 12,409
7/31/13 13,347 12,443
8/31/13 13,273 12,425
9/30/13 13,384 12,469
10/31/13 13,470 12,510
11/30/13 13,495 12,529
12/31/13 13,386 12,496
1/31/14 13,524 12,550
2/28/14 13,550 12,567
3/31/14 13,487 12,565
4/30/14 13,550 12,587
5/31/14 13,663 12,623
6/30/14 13,638 12,638
7/31/14 13,600 12,639
8/31/14 13,688 12,676
9/30/14 13,638 12,673
10/31/14 13,726 12,704
11/30/14 13,826 12,736
12/31/14 13,772 12,733
1/31/15 14,004 12,804
2/28/15 13,901 12,785
3/31/15 13,965 12,812
4/30/15 13,978 12,810
5/31/15 13,978 12,817
6/30/15 13,901 12,798
7/31/15 13,952 12,832
8/31/15 13,939 12,829
9/30/15 14,055 12,872
10/31/15 14,055 12,875
11/30/15 14,029 12,871
12/31/15 13,985 12,861
1/31/16 14,143 12,957
2/28/16 14,182 12,994
3/31/16 14,313 13,007
4/30/16 14,340 13,009
5/31/16 14,313 13,014
6/30/16 14,484 13,100
7/31/16 14,523 13,105
8/31/16 14,471 13,090
9/30/16 14,484 13,115
10/31/16 14,432 13,089
Past performance is not predictive of
future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
----------------------------------------------------------- Citigroup bond indices copyright 2016
2.68% 2.31% 3.74% by Citigroup.
--------------------------------------------------------------------------------
4
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
VIT INFLATION PROTECTED SECURITIES PORTFOLIO VS.
BLOOMBERG BARCLAYS U.S. TIPS INDEX
MAY 29, 2015-OCTOBER 31, 2016
VIT Inflation Protected Barclays U.S. TIPS Index
Securities Portfolio (Series-L)
----------------------- ------------------------
05/2015 $10,000 $10,000
05/2015 $10,000 $10,000
06/2015 $9,860 $9,903
07/2015 $9,900 $9,923
08/2015 $9,790 $9,847
09/2015 $9,760 $9,789
10/2015 $9,770 $9,814
11/2015 $9,760 $9,804
12/2015 $9,644 $9,727
01/2016 $9,824 $9,871
02/2016 $9,945 $9,981
03/2016 $10,115 $10,160
04/2016 $10,145 $10,195
05/2016 $10,055 $10,123
06/2016 $10,286 $10,334
07/2016 $10,346 $10,423
08/2016 $10,286 $10,377
09/2016 $10,386 $10,433 Past performance is not predictive of
10/2016 $10,336 $10,392 future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
ONE SINCE would pay on fund distributions or the
TOTAL RETURN YEAR INCEPTION redemption of fund shares.
----------------------------------------------- BLOOMBERG BARCLAYS DATA PROVIDED BY
5.79% 2.35% BLOOMBERG.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA VA GLOBAL MODERATE ALLOCATION PORTFOLIO VS.
MSCI ALL COUNTRY WORLD INDEX (NET DIVIDENDS),
CITI WORLD GOVERNMENT BOND INDEX, 1-3 YEARS, CURRENCY-HEDGED IN USD TERMS,
65% MSCI ACWI (NET DIVIDENDS)/35%
CITI WORLD GOVT BOND INDEX 1-3 YR (HEDGED) INDEX
APRIL 8, 2013-OCTOBER 31, 2016
[CHART]
Citi World 65% MSCI ACWI
Government Bond (net div)/35%
VA Global MSCI All Country Index, 1-3 Years, Citi World Govt
Moderate World Index Currency-Hedged Bond Index 1-3 yr
End Date Portfolio (Net Div) in USD Terms (hedged) Index
-------- --------- ---------------- ----------------- -----------------
4/08/2013 $10,000 $10,000 $10,000 $10,000
4/30/2013 $10,150 $10,365 $10,012 $10,242
5/31/2013 $10,200 $10,337 $10,001 $10,219
6/30/2013 $10,020 $10,035 $9,990 $10,021
7/31/2013 $10,410 $10,515 $10,008 $10,340
8/31/2013 $10,210 $10,296 $10,004 $10,198
9/30/2013 $10,620 $10,828 $10,023 $10,547
10/31/2013 $10,910 $11,263 $10,042 $10,830
11/30/2013 $11,050 $11,423 $10,054 $10,934
12/31/2013 $11,195 $11,620 $10,046 $11,054
1/31/2014 $10,931 $11,155 $10,067 $10,774
2/28/2014 $11,307 $11,694 $10,074 $11,115
3/31/2014 $11,368 $11,746 $10,074 $11,147
4/30/2014 $11,398 $11,857 $10,083 $11,220
5/31/2014 $11,550 $12,110 $10,098 $11,381
6/30/2014 $11,743 $12,338 $10,104 $11,522
7/31/2014 $11,550 $12,188 $10,106 $11,432
8/31/2014 $11,784 $12,457 $10,121 $11,602
9/30/2014 $11,449 $12,053 $10,121 $11,358
10/31/2014 $11,550 $12,138 $10,135 $11,415
11/30/2014 $11,642 $12,341 $10,148 $11,545
12/31/2014 $11,544 $12,103 $10,143 $11,398
1/31/2015 $11,389 $11,914 $10,176 $11,295
2/28/2015 $11,824 $12,577 $10,170 $11,701
3/31/2015 $11,741 $12,382 $10,184 $11,589
4/30/2015 $11,907 $12,741 $10,187 $11,809
5/31/2015 $11,938 $12,725 $10,194 $11,802
6/30/2015 $11,783 $12,425 $10,192 $11,620
7/31/2015 $11,741 $12,533 $10,202 $11,690
8/31/2015 $11,264 $11,674 $10,201 $11,168
9/30/2015 $11,016 $11,251 $10,220 $10,913
10/31/2015 $11,524 $12,134 $10,222 $11,470
11/30/2015 $11,534 $12,034 $10,215 $11,406 Past performance is not predictive of
12/31/2015 $11,309 $11,817 $10,214 $11,272 future performance.
01/31/2016 $10,888 $11,104 $10,256 $10,846 The returns shown do not reflect the
02/28/2016 $10,888 $11,028 $10,270 $10,803 deduction of taxes that a shareholder
03/31/2016 $11,488 $11,845 $10,279 $11,327 would pay on fund distributions or the
04/30/2016 $11,604 $12,020 $10,286 $11,438 redemption of fund shares.
05/31/2016 $11,635 $12,035 $10,287 $11,448 MSCI data copyright MSCI 2016, all
06/30/2016 $11,635 $11,962 $10,328 $11,419 rights reserved.
07/31/2016 $11,983 $12,478 $10,328 $11,739 Citigroup bond indices copyright 2016
08/31/2016 $12,025 $12,520 $10,324 $11,763 by Citigroup.
09/30/2016 $12,078 $12,596 $10,340 $11,816 Data includes composite data from
10/31/2016 $11,920 $12,383 $10,335 $11,684 multiple sources; see data descriptions
ONE SINCE for additional details. MSCI data
TOTAL RETURN YEAR INCEPTION copyright MSCI 2016, all rights reserved.
---------------------------------------------------------- Citigroup bond indices copyright 2016
3.44% 5.05% by Citigroup.
--------------------------------------------------------------------------------
5
DFA INVESTMENT DIMENSIONS GROUP INC.
MANAGEMENT'S DISCUSSION AND ANALYSIS
(UNAUDITED)
U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2016
Most U.S. equities had positive returns during the period. The broad U.S.
equity market, as measured by the Russell 3000(R) Index, gained approximately
4.2%. Large-cap stocks outperformed small-cap stocks as measured by the Russell
indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2016
-------------------------------------------------
Russell 3000(R) Index........................ 4.24%
Russell Microcap(R) Index (micro-cap stocks). 1.54%
Russell 2000(R) Index (small-cap stocks)..... 4.11%
Russell 1000(R) Index (large-cap stocks)..... 4.26%
Dow Jones U.S. Select REIT Index/SM/......... 4.96%
Value stocks outperformed growth stocks as measured by the Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2016
-------------------------------------------------
Russell 2000(R) Value Index (small-cap value stocks)... 8.81%
Russell 2000(R) Growth Index (small-cap growth stocks). -0.49%
Russell 1000(R) Value Index (large-cap value stocks)... 6.37%
Russell 1000(R) Growth Index (large-cap growth stocks). 2.28%
----------
Source: Frank Russell Company is the source and owner of the trademarks,
service marks, and copyrights related to the Russell Indexes.
VA U.S. TARGETED VALUE PORTFOLIO
The VA U.S. Targeted Value Portfolio invests in a broadly diversified group
of U.S. small- and mid-capitalization value stocks. Value is measured primarily
by book-to-market ratio. The Portfolio also may consider profitability in the
Portfolio's construction. In assessing profitability, the Advisor may consider
such factors as earnings or profits from operations relative to book value or
assets. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2016, the Portfolio held approximately 1,300
securities. In general, average cash exposure throughout the year was less than
1% of the Portfolio's assets.
For the 12 months ended October 31, 2016, total returns were 4.87% for the
Portfolio and 8.81% for the Russell 2000(R) Value Index, the Portfolio's
benchmark. As a result of the Portfolio's diversified investment approach,
performance was determined principally by broad trends in the U.S. equity
market, rather than the behavior of a limited number of stocks. The Portfolio
had a greater allocation than the benchmark to mid-cap stocks and a lower
allocation than the benchmark to small-cap stocks. Mid-cap stocks
underperformed small-caps during the period and detracted from the Portfolio's
performance relative to the benchmark. Within small-cap and mid-cap value
stocks, the Portfolio's greater emphasis on higher profitability stocks
detracted from its performance relative to the benchmark as these stocks
underperformed lower profitability stocks during the period. The Portfolio's
exclusion of real estate investment trusts (REITs) and utilities detracted from
relative performance as these sectors outperformed most other sectors during
the period.
VA U.S. LARGE VALUE PORTFOLIO
The VA U.S. Large Value Portfolio is designed to capture the returns of U.S.
large company value stocks. Value is measured primarily by book-to-market
ratio. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2016, the Portfolio held approximately 300
securities. In general, average cash exposure throughout the year was less than
1% of the Portfolio's assets.
6
For the 12 months ended October 31, 2016, total returns were 4.52% for the
Portfolio and 6.37% for the Russell 1000(R) Value Index, the Portfolio's
benchmark. As a result of the Portfolio's diversified investment approach,
performance was determined principally by broad trends in the U.S. equity
market rather than the behavior of a limited number of stocks. The Portfolio
had a larger allocation than the benchmark to lower relative price stocks,
which detracted from its performance relative to the benchmark as the lowest
relative price quartile underperformed. The Portfolio's exclusion of real
estate investment trusts (REITs) and utilities detracted from relative
performance as REITs and utilities outperformed most other sectors during the
period.
INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2016
Performance of non-U.S. developed markets was varied for the period.
Small-cap stocks had positive returns, while large-cap stocks had negative
returns. As measured by the MSCI World ex USA indices, small-cap stocks
outperformed large-cap stocks, and value stocks outperformed growth stocks.
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
RETURN IN U.S. DOLLAR
---------------------
MSCI World ex USA Index........... -2.27%
MSCI World ex USA Small Cap Index. 3.96%
MSCI World ex USA Value Index..... -2.07%
MSCI World ex USA Growth Index.... -2.58%
During the period, the performance of the U.S. dollar was mixed when
compared against the currencies of other developed markets. In particular,
while the U.S. dollar appreciated significantly against the British pound, it
depreciated significantly against the Japanese yen. Overall, currency
fluctuations detracted from USD-denominated returns in developed markets.
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
LOCAL RETURN RETURN IN U.S. DOLLARS
TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP ------------ ----------------------
Japan............................. -10.14% 3.19%
United Kingdom.................... 13.55% -10.24%
France............................ -4.31% -5.04%
Switzerland....................... -8.27% -8.57%
Canada............................ 11.55% 8.90%
Germany........................... -2.14% -2.89%
Australia......................... 5.52% 12.55%
Hong Kong......................... 8.52% 8.45%
Spain............................. -8.40% -9.10%
Netherlands....................... 0.63% -0.20%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2016, all rights reserved.
Emerging markets had stronger performance over the period than non-U.S.
developed markets. As measured by the MSCI emerging markets indices, small-cap
stocks underperformed large-cap stocks, and growth stocks outperformed value
stocks.
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
RETURN IN U.S. DOLLARS
----------------------
MSCI Emerging Markets Index........... 9.27%
MSCI Emerging Markets Small Cap Index. 4.78%
MSCI Emerging Markets Value Index..... 8.60%
MSCI Emerging Markets Growth Index.... 9.81%
7
During the period, the performance of the U.S. dollar was mixed when
compared against currencies of emerging markets. In particular, while the U.S.
dollar appreciated significantly against the Mexican peso, it also depreciated
significantly against the Brazilian real. Overall, currency fluctuations
benefited from USD-denominated returns in emerging markets.
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
LOCAL RETURN RETURN IN U.S. DOLLARS
TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP ------------ ----------------------
China............................ 1.62% 1.54%
Korea............................ 5.56% 5.17%
Taiwan........................... 14.56% 17.85%
India............................ 6.28% 3.99%
South Africa..................... -0.92% 1.46%
Brazil........................... 40.59% 70.69%
Mexico........................... 8.65% -4.51%
Russia........................... 17.86% 18.61%
Malaysia......................... 4.44% 6.95%
Indonesia........................ 26.13% 32.31%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2016, all rights reserved.
For funds investing in non-US equities traded outside of the U.S. market
time zone, differences in the valuation timing and methodology between a fund
and its benchmark index may impact relative performance over the referenced
period. The funds price foreign exchange rates at the closing of the U.S.
market while their benchmark indices use rates at 4 p.m. London time. The funds
also may use fair value pricing to price certain portfolio securities at the
closing of the U.S. market, while benchmark indices may use local market
closing prices. For the one-year period ended October 31, 2016, these
differences generally benefitted the funds' relative performance.
VA INTERNATIONAL VALUE PORTFOLIO
The VA International Value Portfolio is designed to capture the returns of
developed ex U.S. large company value stocks. Value is measured primarily by
price-to-book ratio. The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2016, the Portfolio held approximately
420 securities in 22 eligible developed markets. In general, average cash
exposure throughout the year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2016, total returns were 0.19% for the
Portfolio and -2.27% for the MSCI World ex USA Index (net dividends), the
Portfolio's benchmark. As a result of the Portfolio's diversified investment
approach, performance was determined principally by broad trends in developed
ex U.S. equity markets rather than by the behavior of a limited number of
stocks. The Portfolio invests primarily in value stocks, while the benchmark is
neutral with regard to value or growth stocks. The Portfolio's emphasis on deep
value stocks contributed positively to its performance relative to the
benchmark, as that segment of the market outperformed for the year. The
Portfolio's emphasis on mid-cap stocks also contributed positively to relative
performance, as those stocks outperformed for the period.
VA INTERNATIONAL SMALL PORTFOLIO
The VA International Small Portfolio is designed to capture the returns of
developed ex U.S. small company stocks. The investment strategy is process
driven, emphasizing broad diversification. As of October 31, 2016, the
Portfolio held approximately 2,800 securities in 22 eligible developed markets.
In general, average cash exposure throughout the year was less than 1% of the
Portfolio's assets.
For the 12 months ended October 31, 2016, total returns were 5.54% for the
Portfolio and 3.96% for the MSCI World ex USA Small Cap Index (net dividends),
the Portfolio's benchmark. As a result of the Portfolio's diversified
investment approach, performance was determined principally by broad trends in
developed ex U.S. equity
8
markets rather than by the behavior of a limited number of stocks. The
Portfolio's greater allocation than the benchmark to micro-cap securities was
the primary driver of its outperformance relative to the benchmark, as
micro-caps generally outperformed other small-cap securities. The Portfolio
generally excludes real estate investment trusts (REITs), which also
contributed positively to relative performance, as global ex U.S. REITs
generally underperformed the benchmark.
FIXED INCOME MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2016
Interest rates in both U.S. and developed international fixed income markets
generally decreased across their respective yield curves for the year ended
October 31, 2016. In the U.S., the yield curve flattened as shorter-term bond
yields increased and longer-term bond yields declined. The Eurozone, as well as
U.K. and Japan, saw a sharp decline in bond yields across the curve with the
largest declines in longer-term bonds. In general, U.S. and developed
international fixed income market investment grade credit outperformed
government bonds of similar duration. The one-month U.S. Treasury bill yield
increased to 0.17% during the period, while the yield on ten-year U.S. Treasury
notes decreased to 1.83%.
OCTOBER 31, 2015 OCTOBER 31, 2016 CHANGE
- ---------------- ---------------- ------
One-Month Treasury Bill (yield)...... 0.00% 0.17% 0.17%
Ten-Year U.S. Treasury Notes (yield). 2.14% 1.83% -0.31%
----------
Source: Bloomberg.
There is generally an inverse relationship between interest rates and bond
prices, such that bond prices fall when interest rates rise. For the 12 months
ended October 31, 2016, the total return was 0.32% for three-month U.S.
Treasury bills, 2.36% for five-year U.S. Treasury notes, and 9.65% for 30- year
U.S. Treasury bonds.
----------
Source: Bloomberg Barclays US Treasury Bellwethers.
Some of Dimensional's fixed income strategies are based on a
variable-maturity strategy that identifies a maturity range with favorable
risk-adjusted expected returns. When the yield curve is flat or inverted,
short-term securities are believed to offer the most attractive opportunity on
a risk-adjusted basis. When the yield curve is upwardly sloped, maturities may
be lengthened to position a portfolio for higher expected returns associated
with longer maturities. These higher returns may be achieved by capital
appreciation (from holding bonds through an upwardly sloped term structure) as
well as by earning higher current yields. During the period under review, the
portfolios employing a variable maturity approach continued to take term risk,
reflecting upward-sloping eligible yield curves
Some of Dimensional's fixed income strategies are based on a variable-credit
approach that varies exposure to credit risk. When credit spreads are narrow,
higher-quality securities are believed to offer the more attractive opportunity
on a risk-adjusted basis. When credit spreads are wide, additional credit risk
may be taken to position a portfolio for higher expected returns associated
with increased credit risk. The portfolios employing a variable-credit approach
continued to focus on single-A and BBB-rated bonds during the first few months
of 2016 as credit spreads remained relatively wide. In the second half of the
fiscal year, the portfolios increased their allocation to higher-quality bonds
as credit spreads started to narrow.
VA SHORT-TERM FIXED PORTFOLIO
The VA Short-Term Fixed Portfolio is designed to achieve a stable real
return in excess of the rate of inflation by investing in high-quality fixed
income securities with a typical average maturity of one year or less. The
investment strategy uses a variable maturity approach and shifts maturities
based on changes in the yield curve. The strategy uses current yields and
identifies favorable maturity ranges for risk-adjusted expected returns based
on potential buy and sell strategies. Maturity targets are shifted based on the
Advisor's expectations for term premia. The average maturity of the Portfolio
decreased to 318 days as of October 31, 2016, from 343 days as of October 31,
2015.
For the 12 months ended October 31, 2016, the total return was 0.60% for the
Portfolio, 0.64% for The BofA Merrill Lynch U.S. 6-Month Treasury Bill Index,
and 0.60% for The BofA Merrill Lynch 1-Year U.S. Treasury Note Index, the
Portfolio's benchmark. During the period, interest rates increased across the
eligible maturity range as yields on the two-year U.S. Treasury note increased
from approximately 0.73% to 0.84%. As the yield curve
9
remained upwardly sloped, the Portfolio's maturity structure remained extended.
While two-year rates moved higher, negatively impacting returns, the Portfolio
benefited from capital appreciation as bonds were held through the upwardly
sloped term structure. The Portfolio's corporate bonds and floating rate notes
contributed to returns as there was a positive credit premium during the period.
VA GLOBAL BOND PORTFOLIO
The VA Global Bond Portfolio is designed to provide a market rate of return
by investing in U.S. and foreign government securities and high-quality
corporate and currency-hedged global fixed income instruments with an average
maturity of five years or less. The Portfolio hedges substantially all of the
currency risk of its non-U.S. dollar-denominated securities. Eligible countries
for the Portfolio to invest in include but are not limited to Australia,
Canada, Denmark, certain European Economic and Monetary Union countries, Japan,
New Zealand, Norway, Singapore, Sweden, Switzerland, the United Kingdom, and
the United States. The investment strategy shifts maturities and country
allocations based on changes in the eligible yield curves. The strategy uses a
variable maturity approach and uses current yields and identifies favorable
maturity ranges for risk-adjusted expected returns based on potential buy and
sell strategies for each eligible country. Maturity targets and country
allocations are shifted based on the Advisor's expectations for term premia.
The average maturity of the Portfolio decreased to 3.65 years as of October 31,
2016, from 3.78 years as of October 31, 2015.
For the 12 months ended October 31, 2016, the total return was 2.68% for the
Portfolio and 1.66% for the Citi World Government Bond Index, 1-5 Years,
Currency-Hedged in USD Terms, the Portfolio's benchmark. The Portfolio had an
average allocation during the period of approximately 97% of assets in U.S.
dollar-denominated securities and the majority of the remainder invested in
currency-hedged U.K. pound sterling-denominated bonds. Compared to the
benchmark, the Portfolio's larger exposure to U.S. dollar-denominated bonds
contributed to the Portfolio's outperformance relative to the benchmark as
interest rates declined in the three- to five-year segment of the U.S. yield
curve. The Portfolio also benefited from its lack of exposure to Japanese yen
and Euro-denominated bonds, which represented approximately 45% of the
benchmark, as those bonds underperformed.
VIT INFLATION-PROTECTED SECURITIES PORTFOLIO
The VIT Inflation-Protected Securities Portfolio is designed to provide
inflation protection and current income by investing generally in
inflation-protected securities issued by the U.S. government and its agencies
and instrumentalities with maturities of between five and 20 years. The average
maturity of the Portfolio increased to 8.42 years on October 31, 2016, from
8.28 years on October 31, 2015.
For the 12 months ended October 31, 2016, the total return was 5.79% for the
Portfolio and 5.89% for the Bloomberg Barclays U.S. Treasury Inflation
Protected Securities (TIPS) Index the Portfolio's benchmark. The Portfolio
maintained a duration similar to the benchmark throughout the period and
performed in-line with the benchmark. The Portfolio's focus on the intermediate
segment of the inflation-protected government yield curve, versus the Index's
universe of maturities from 1 to 30 years, did not have a material impact on
relative performance.
DFA VA GLOBAL MODERATE ALLOCATION PORTFOLIO
The DFA VA Global Moderate Allocation Portfolio seeks capital appreciation
and current income by investing in a combination of mutual funds managed by
Dimensional that invest in equity and fixed income securities. Under normal
market circumstances, the Portfolio seeks to achieve its investment objective
through a moderate allocation to both global equity and global fixed income
securities by allocating approximately 50% to 70% of its assets to domestic and
international equity underlying funds and 30% to 50% of its assets to fixed
income underlying funds. As of the date of this report, the Portfolio's
investments in domestic equity funds included the U.S. Core Equity 1 Portfolio,
the U.S. Core Equity 2 Portfolio, VA U.S. Large Value Portfolio, and the DFA
Real Estate Securities Portfolio; the Portfolio's investments in international
equity funds included the International Core Equity Portfolio, Emerging Markets
Core Equity Portfolio, and VA International Value Portfolio (collectively, the
"Equity Underlying Funds"); and the Portfolio's investments in fixed income
funds included the DFA Two-Year Global Fixed Income Portfolio, DFA Selectively
Hedged Global Fixed Income Portfolio, VA Global Bond Portfolio, and VA
Short-Term Fixed Portfolio (collectively with the Equity Underlying Funds, the
"Equity and Fixed Income Underlying Funds"). The investment strategy is process
driven, emphasizing broad diversification. As of October 31, 2016, the Equity
10
and Fixed Income Underlying Funds collectively held more than 12,000 equity
securities in 44 countries and approximately 500 fixed income securities in 17
countries, excluding supranationals.
For the 12 months ended October 31, 2016, total returns were 3.44% for the
Portfolio and 1.86% for the Portfolio's composite benchmark, a hypothetical
composite index composed of 65% MSCI All Country World Index (net dividends)
and 35% Citi World Government Bond Index, 1-3 Years, Currency-Hedged in USD
Terms, the Portfolio's primary benchmarks. As a result of the Equity and Fixed
Income Underlying Funds' diversified investment approach, performance was
determined principally by broad trends in global equity and fixed income
markets rather than the behavior of a limited group of securities. The
Portfolio's equity and fixed income components each outperformed the relevant
component of the benchmark and contributed to the Portfolio's overall
outperformance relative to the composite benchmark.
The Equity Underlying Funds invest in stocks across all eligible countries
but have a higher allocation than the equity component of the composite
benchmark to U.S. securities and a smaller allocation to emerging markets
securities than the equity component of the composite benchmark. For the
period, the Portfolio's smaller allocation to emerging markets detracted from
the Portfolio's relative performance as emerging markets securities
outperformed. However, this was more than offset by the Equity Underlying
Funds' greater exposure than the composite benchmark to smaller and deeper
value stocks, which outperformed and contributed to the Portfolio's relative
performance.
The Portfolio's fixed income component outperformed the fixed income
component of the composite benchmark. The Portfolio's longer average duration
of 2.6 years relative to the fixed income component of the composite
benchmark's duration of 1.9 years contributed significantly toward the
outperformance as interest rates in U.S. dollar-denominated securities beyond
three years generally declined during the period. The Portfolio also benefited
from a higher relative allocation to U.S. dollar-denominated corporate
securities during a period where credit spreads narrowed.
11
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2016
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/16 10/31/16 RATIO* PERIOD*
--------- --------- ---------- --------
VA U.S. TARGETED VALUE PORTFOLIO
--------------------------------
Actual Fund Return............... $1,000.00 $1,040.50 0.37% $1.90
Hypothetical 5% Annual Return.... $1,000.00 $1,023.28 0.37% $1.88
VA U.S. LARGE VALUE PORTFOLIO
-----------------------------
Actual Fund Return............... $1,000.00 $1,046.10 0.28% $1.44
Hypothetical 5% Annual Return.... $1,000.00 $1,023.73 0.28% $1.42
12
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/16 10/31/16 RATIO* PERIOD*
--------- --------- ---------- --------
VA INTERNATIONAL VALUE PORTFOLIO
--------------------------------
Actual Fund Return............................ $1,000.00 $1,041.40 0.46% $2.36
Hypothetical 5% Annual Return................. $1,000.00 $1,022.82 0.46% $2.34
VA INTERNATIONAL SMALL PORTFOLIO
--------------------------------
Actual Fund Return............................ $1,000.00 $1,021.00 0.60% $3.05
Hypothetical 5% Annual Return................. $1,000.00 $1,022.12 0.60% $3.05
VA SHORT-TERM FIXED PORTFOLIO
-----------------------------
Actual Fund Return............................ $1,000.00 $1,002.90 0.28% $1.41
Hypothetical 5% Annual Return................. $1,000.00 $1,023.73 0.28% $1.42
VA GLOBAL BOND PORTFOLIO
------------------------
Actual Fund Return............................ $1,000.00 $1,006.40 0.24% $1.21
Hypothetical 5% Annual Return................. $1,000.00 $1,023.93 0.24% $1.22
VIT INFLATION-PROTECTED SECURITIES PORTFOLIO
--------------------------------------------
Actual Fund Return............................ $1,000.00 $1,018.80 0.18% $0.91
Hypothetical 5% Annual Return................. $1,000.00 $1,024.23 0.18% $0.92
DFA VA GLOBAL MODERATE ALLOCATION PORTFOLIO**
---------------------------------------------
Actual Fund Return............................ $1,000.00 $1,027.20 0.40% $2.04
Hypothetical 5% Annual Return................. $1,000.00 $1,023.13 0.40% $2.03
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then divided
by the number of days in the year (366) to reflect the six-month period.
**DFA VA Global Moderate Allocation 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).
13
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on September 28, 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.
FUND OF FUNDS
AFFILIATED INVESTMENT COMPANY
-----------------------------
DFA VA Global Moderate Allocation Portfolio. 100.0%
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS
VA U.S. TARGETED VALUE PORTFOLIO
Consumer Discretionary....................... 14.0%
Consumer Staples............................. 3.1%
Energy....................................... 8.3%
Financials................................... 26.3%
Health Care.................................. 4.8%
Industrials.................................. 19.9%
Information Technology....................... 14.6%
Materials.................................... 6.4%
Real Estate.................................. 0.7%
Telecommunication Services................... 1.2%
Utilities.................................... 0.7%
-----
100.0%
VA U.S. LARGE VALUE PORTFOLIO
Consumer Discretionary....................... 12.4%
Consumer Staples............................. 6.5%
Energy....................................... 13.1%
Financials................................... 22.0%
Health Care.................................. 11.1%
Industrials.................................. 11.0%
Information Technology....................... 14.9%
Materials.................................... 4.0%
Telecommunication Services................... 4.8%
Utilities.................................... 0.2%
-----
100.0%
VA INTERNATIONAL VALUE PORTFOLIO
Consumer Discretionary....................... 13.1%
Consumer Staples............................. 2.6%
Energy....................................... 16.4%
Financials................................... 29.1%
Health Care.................................. 1.1%
Industrials.................................. 10.9%
Information Technology....................... 3.3%
Materials.................................... 14.7%
Real Estate.................................. 2.1%
Telecommunication Services................... 4.1%
Utilities.................................... 2.6%
-----
100.0%
14
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
VA INTERNATIONAL SMALL PORTFOLIO
Consumer Discretionary....................... 16.2%
Consumer Staples............................. 6.8%
Energy....................................... 5.1%
Financials................................... 11.4%
Health Care.................................. 6.0%
Industrials.................................. 23.5%
Information Technology....................... 9.3%
Materials.................................... 13.3%
Real Estate.................................. 4.5%
Telecommunication Services................... 1.4%
Utilities.................................... 2.5%
-----
100.0%
FIXED INCOME PORTFOLIOS
VA SHORT-TERM FIXED PORTFOLIO
Corporate.................................... 25.0%
Government................................... 6.9%
Foreign Corporate............................ 30.2%
Foreign Government........................... 31.7%
Supranational................................ 6.2%
-----
100.0%
VA GLOBAL BOND PORTFOLIO
Corporate.................................... 37.1%
Foreign Corporate............................ 31.0%
Foreign Government........................... 24.8%
Supranational................................ 7.1%
-----
100.0%
VIT INFLATION-PROTECTED SECURITIES PORTFOLIO
Government................................... 100.0%
15
VA U.S. TARGETED VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (80.1%)
Consumer Discretionary -- (11.2%)
#* AutoNation, Inc........................ 20,683 $ 907,363 0.4%
# CalAtlantic Group, Inc................. 24,480 791,194 0.3%
Harman International Industries, Inc... 9,516 758,520 0.3%
# International Game Technology P.L.C.... 36,661 1,052,904 0.4%
# PulteGroup, Inc........................ 67,112 1,248,283 0.5%
# TEGNA, Inc............................. 42,602 835,851 0.3%
#* Toll Brothers, Inc..................... 33,553 920,694 0.4%
Other Securities....................... 27,744,007 11.3%
----------- -----
Total Consumer Discretionary............... 34,258,816 13.9%
----------- -----
Consumer Staples -- (2.5%)
#* Post Holdings, Inc..................... 11,644 887,622 0.4%
Other Securities....................... 6,745,007 2.7%
----------- -----
Total Consumer Staples..................... 7,632,629 3.1%
----------- -----
Energy -- (6.6%)
# CONSOL Energy, Inc..................... 45,241 766,835 0.3%
* FMC Technologies, Inc.................. 30,467 983,170 0.4%
# Helmerich & Payne, Inc................. 15,755 994,298 0.4%
Other Securities....................... 17,540,708 7.1%
----------- -----
Total Energy............................... 20,285,011 8.2%
----------- -----
Financials -- (21.1%)
Allied World Assurance Co. Holdings AG. 18,903 812,451 0.3%
Assurant, Inc.......................... 12,841 1,033,957 0.4%
Assured Guaranty, Ltd.................. 28,592 854,615 0.4%
Axis Capital Holdings, Ltd............. 19,622 1,117,865 0.5%
Endurance Specialty Holdings, Ltd...... 13,895 1,277,645 0.5%
Investors Bancorp, Inc................. 65,367 801,399 0.3%
Navient Corp........................... 67,151 858,190 0.4%
Old Republic International Corp........ 54,408 917,319 0.4%
PacWest Bancorp........................ 24,964 1,083,188 0.4%
# People's United Financial, Inc......... 66,626 1,082,006 0.4%
Popular, Inc........................... 21,345 774,823 0.3%
Prosperity Bancshares, Inc............. 14,155 785,178 0.3%
Reinsurance Group of America, Inc...... 11,256 1,214,072 0.5%
# RenaissanceRe Holdings, Ltd............ 8,934 1,110,407 0.5%
Validus Holdings, Ltd.................. 17,385 888,373 0.4%
Voya Financial, Inc.................... 31,307 956,429 0.4%
# Zions Bancorporation................... 43,201 1,391,504 0.6%
Other Securities....................... 47,600,654 19.1%
----------- -----
Total Financials........................... 64,560,075 26.1%
----------- -----
Health Care -- (3.9%)
* WellCare Health Plans, Inc............. 8,864 1,006,153 0.4%
Other Securities....................... 10,908,804 4.4%
----------- -----
Total Health Care.......................... 11,914,957 4.8%
----------- -----
Industrials -- (16.0%)
#* AECOM.................................. 27,241 758,662 0.3%
#* Colfax Corp............................ 24,789 788,042 0.3%
#* Genesee & Wyoming, Inc. Class A........ 11,679 793,471 0.3%
* Jacobs Engineering Group, Inc.......... 26,217 1,352,273 0.5%
16
VA U.S. TARGETED VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (Continued)
ManpowerGroup, Inc............................................ 13,825 $ 1,061,760 0.4%
Owens Corning................................................. 23,365 1,139,745 0.5%
* Quanta Services, Inc.......................................... 31,205 897,144 0.4%
Ryder System, Inc............................................. 11,573 803,050 0.3%
Other Securities.............................................. 41,326,465 16.8%
------------ ------
Total Industrials................................................... 48,920,612 19.8%
------------ ------
Information Technology -- (11.7%)
* Arrow Electronics, Inc........................................ 19,750 1,207,120 0.5%
Avnet, Inc.................................................... 27,590 1,157,400 0.5%
Brocade Communications Systems, Inc........................... 75,774 803,204 0.3%
Ingram Micro, Inc. Class A.................................... 27,656 1,028,803 0.4%
# Jabil Circuit, Inc............................................ 37,147 792,717 0.3%
Marvell Technology Group, Ltd................................. 94,262 1,228,234 0.5%
* ON Semiconductor Corp......................................... 83,884 978,926 0.4%
SYNNEX Corp................................................... 7,365 755,207 0.3%
Other Securities.............................................. 27,776,126 11.2%
------------ ------
Total Information Technology........................................ 35,727,737 14.4%
------------ ------
Materials -- (5.1%)
Huntsman Corp................................................. 48,105 815,380 0.3%
Reliance Steel & Aluminum Co.................................. 15,696 1,079,571 0.4%
Steel Dynamics, Inc........................................... 37,488 1,029,420 0.4%
Other Securities.............................................. 12,767,425 5.2%
------------ ------
Total Materials..................................................... 15,691,796 6.3%
------------ ------
Real Estate -- (0.6%)
Other Securities.............................................. 1,686,783 0.7%
------------ ------
Telecommunication Services -- (0.9%)
# Frontier Communications Corp.................................. 239,433 962,521 0.4%
Other Securities.............................................. 1,909,388 0.8%
------------ ------
Total Telecommunication Services.................................... 2,871,909 1.2%
------------ ------
Utilities -- (0.5%)
* Calpine Corp.................................................. 71,250 847,875 0.4%
Other Securities.............................................. 819,807 0.3%
------------ ------
Total Utilities..................................................... 1,667,682 0.7%
------------ ------
TOTAL COMMON STOCKS................................................. 245,218,007 99.2%
------------ ------
TOTAL INVESTMENT SECURITIES......................................... 245,218,007
------------
TEMPORARY CASH INVESTMENTS -- (0.5%)
State Street Institutional U.S. Government Money Market Fund,
0.260%....................................................... 1,484,096 1,484,096 0.6%
------------ ------
SECURITIES LENDING COLLATERAL -- (19.4%)
(S)@ DFA Short Term Investment Fund................................ 5,121,789 59,269,345 24.0%
------------ ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $295,057,773)............................................. $305,971,448 123.8%
============ ======
17
VA U.S. TARGETED VALUE PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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...... $ 34,258,816 -- -- $ 34,258,816
Consumer Staples............ 7,632,629 -- -- 7,632,629
Energy...................... 20,285,011 -- -- 20,285,011
Financials.................. 64,560,075 -- -- 64,560,075
Health Care................. 11,914,957 -- -- 11,914,957
Industrials................. 48,920,612 -- -- 48,920,612
Information Technology...... 35,727,737 -- -- 35,727,737
Materials................... 15,691,796 -- -- 15,691,796
Real Estate................. 1,686,783 -- -- 1,686,783
Telecommunication Services.. 2,871,909 -- -- 2,871,909
Utilities................... 1,667,682 -- -- 1,667,682
Temporary Cash Investments.... 1,484,096 -- -- 1,484,096
Securities Lending Collateral. -- $59,269,345 -- 59,269,345
------------ ----------- -- ------------
TOTAL......................... $246,702,103 $59,269,345 -- $305,971,448
============ =========== == ============
See accompanying Notes to Financial Statements.
18
VA U.S. LARGE VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (93.6%)
Consumer Discretionary -- (11.7%)
#* Charter Communications, Inc. Class A.......... 10,567 $ 2,640,588 1.0%
Comcast Corp. Class A......................... 135,846 8,398,000 3.1%
Ford Motor Co................................. 196,191 2,303,282 0.9%
General Motors Co............................. 75,160 2,375,056 0.9%
Time Warner, Inc.............................. 47,918 4,264,223 1.6%
Other Securities.............................. 13,503,264 4.9%
----------- -----
Total Consumer Discretionary...................... 33,484,413 12.4%
----------- -----
Consumer Staples -- (6.0%)
CVS Health Corp............................... 51,146 4,301,379 1.6%
Mondelez International, Inc. Class A.......... 49,369 2,218,643 0.8%
# Tyson Foods, Inc. Class A..................... 23,525 1,666,746 0.6%
Wal-Mart Stores, Inc.......................... 26,490 1,854,830 0.7%
Other Securities.............................. 7,319,759 2.7%
----------- -----
Total Consumer Staples............................ 17,361,357 6.4%
----------- -----
Energy -- (12.2%)
Chevron Corp.................................. 47,755 5,002,336 1.9%
ConocoPhillips................................ 39,739 1,726,660 0.6%
Exxon Mobil Corp.............................. 118,128 9,842,425 3.6%
Phillips 66................................... 25,701 2,085,636 0.8%
Schlumberger, Ltd............................. 21,602 1,689,925 0.6%
Valero Energy Corp............................ 31,170 1,846,511 0.7%
Other Securities.............................. 12,999,267 4.8%
----------- -----
Total Energy...................................... 35,192,760 13.0%
----------- -----
Financials -- (20.6%)
American International Group, Inc............. 33,331 2,056,523 0.8%
Bank of America Corp.......................... 234,754 3,873,441 1.4%
Bank of New York Mellon Corp. (The)........... 53,844 2,329,830 0.9%
Capital One Financial Corp.................... 25,860 1,914,674 0.7%
Citigroup, Inc................................ 105,789 5,199,529 1.9%
Goldman Sachs Group, Inc. (The)............... 12,660 2,256,518 0.8%
Hartford Financial Services Group, Inc. (The). 35,713 1,575,301 0.6%
JPMorgan Chase & Co........................... 149,105 10,327,012 3.8%
PNC Financial Services Group, Inc. (The)...... 16,606 1,587,534 0.6%
Travelers Cos., Inc. (The).................... 14,291 1,546,000 0.6%
Wells Fargo & Co.............................. 86,058 3,959,529 1.5%
Other Securities.............................. 22,711,150 8.4%
----------- -----
Total Financials.................................. 59,337,041 22.0%
----------- -----
Health Care -- (10.4%)
Aetna, Inc.................................... 21,525 2,310,709 0.9%
Anthem, Inc................................... 16,612 2,024,338 0.7%
* Express Scripts Holding Co.................... 31,513 2,123,976 0.8%
Medtronic P.L.C............................... 46,806 3,839,028 1.4%
Pfizer, Inc................................... 224,490 7,118,578 2.6%
Thermo Fisher Scientific, Inc................. 12,231 1,798,324 0.7%
Other Securities.............................. 10,791,348 4.0%
----------- -----
Total Health Care................................. 30,006,301 11.1%
----------- -----
19
VA U.S. LARGE VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (10.3%)
# Caterpillar, Inc........................................ 18,468 $ 1,541,339 0.6%
CSX Corp................................................ 59,904 1,827,671 0.7%
FedEx Corp.............................................. 10,735 1,871,325 0.7%
General Electric Co..................................... 85,669 2,492,968 0.9%
Norfolk Southern Corp................................... 17,791 1,654,563 0.6%
Republic Services, Inc.................................. 31,100 1,636,793 0.6%
Southwest Airlines Co................................... 43,565 1,744,778 0.6%
Stanley Black & Decker, Inc............................. 13,721 1,561,999 0.6%
Union Pacific Corp...................................... 26,806 2,363,753 0.9%
Other Securities........................................ 12,904,736 4.8%
------------ ------
Total Industrials............................................. 29,599,925 11.0%
------------ ------
Information Technology -- (13.9%)
Cisco Systems, Inc...................................... 277,160 8,503,269 3.1%
Hewlett Packard Enterprise Co........................... 106,724 2,398,088 0.9%
HP, Inc................................................. 106,724 1,546,431 0.6%
Intel Corp.............................................. 256,206 8,933,903 3.3%
# NVIDIA Corp............................................. 22,756 1,619,317 0.6%
QUALCOMM, Inc........................................... 32,794 2,253,604 0.8%
Other Securities........................................ 14,831,780 5.5%
------------ ------
Total Information Technology.................................. 40,086,392 14.8%
------------ ------
Materials -- (3.8%)
Newmont Mining Corp..................................... 44,779 1,658,614 0.6%
Nucor Corp.............................................. 31,564 1,541,902 0.6%
Other Securities........................................ 7,635,764 2.8%
------------ ------
Total Materials............................................... 10,836,280 4.0%
------------ ------
Real Estate -- (0.0%)
Other Securities........................................ 41,936 0.0%
------------ ------
Telecommunication Services -- (4.5%)
AT&T, Inc............................................... 271,163 9,976,087 3.7%
Other Securities........................................ 3,022,140 1.1%
------------ ------
Total Telecommunication Services.............................. 12,998,227 4.8%
------------ ------
Utilities -- (0.2%)
Other Securities........................................ 456,797 0.2%
------------ ------
TOTAL COMMON STOCKS........................................... 269,401,429 99.7%
------------ ------
TOTAL INVESTMENT SECURITIES................................... 269,401,429
------------
TEMPORARY CASH INVESTMENTS -- (0.5%)
State Street Institutional U.S. Government Money Market
Fund, 0.260%........................................... 1,319,606 1,319,606 0.5%
------------ ------
SECURITIES LENDING COLLATERAL -- (5.9%)
(S)@ DFA Short Term Investment Fund.......................... 1,470,377 17,015,199 6.3%
------------ ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $233,961,857)....................................... $287,736,234 106.5%
============ ======
20
VA U.S. LARGE VALUE PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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...... $ 33,484,413 -- -- $ 33,484,413
Consumer Staples............ 17,361,357 -- -- 17,361,357
Energy...................... 35,192,760 -- -- 35,192,760
Financials.................. 59,337,041 -- -- 59,337,041
Health Care................. 30,006,301 -- -- 30,006,301
Industrials................. 29,599,925 -- -- 29,599,925
Information Technology...... 40,086,392 -- -- 40,086,392
Materials................... 10,836,280 -- -- 10,836,280
Real Estate................. 41,936 -- -- 41,936
Telecommunication Services.. 12,998,227 -- -- 12,998,227
Utilities................... 456,797 -- -- 456,797
Temporary Cash Investments.... 1,319,606 -- -- 1,319,606
Securities Lending Collateral. -- $17,015,199 -- 17,015,199
------------ ----------- -- ------------
TOTAL......................... $270,721,035 $17,015,199 -- $287,736,234
============ =========== == ============
See accompanying Notes to Financial Statements.
21
VA INTERNATIONAL VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (95.7%)
AUSTRALIA -- (6.3%)
Australia & New Zealand Banking Group, Ltd.. 100,292 $ 2,117,707 1.2%
BHP Billiton, Ltd........................... 155,689 2,720,016 1.5%
# Fortescue Metals Group, Ltd................. 214,276 899,236 0.5%
Newcrest Mining, Ltd........................ 52,064 911,611 0.5%
Woodside Petroleum, Ltd..................... 52,384 1,121,331 0.6%
Other Securities............................ 3,838,573 2.2%
----------- ----
TOTAL AUSTRALIA................................. 11,608,474 6.5%
----------- ----
AUSTRIA -- (0.1%)
Other Securities............................ 252,522 0.1%
----------- ----
BELGIUM -- (1.2%)
Other Securities............................ 2,176,027 1.2%
----------- ----
CANADA -- (7.7%)
Bank of Montreal............................ 31,347 1,993,669 1.1%
Canadian Natural Resources, Ltd............. 35,182 1,115,621 0.6%
# Suncor Energy, Inc.(867224107).............. 34,074 1,022,902 0.6%
Suncor Energy, Inc.(B3NB1P2)................ 55,331 1,660,383 0.9%
Other Securities............................ 8,524,223 4.8%
----------- ----
TOTAL CANADA.................................... 14,316,798 8.0%
----------- ----
DENMARK -- (1.9%)
Vestas Wind Systems A.S..................... 12,836 1,028,367 0.6%
Other Securities............................ 2,433,188 1.3%
----------- ----
TOTAL DENMARK................................... 3,461,555 1.9%
----------- ----
FINLAND -- (0.8%)
Other Securities............................ 1,428,056 0.8%
----------- ----
FRANCE -- (9.1%)
AXA SA...................................... 48,906 1,103,433 0.6%
BNP Paribas SA.............................. 32,322 1,874,135 1.0%
Cie de Saint-Gobain......................... 30,917 1,372,813 0.8%
# Engie SA.................................... 70,881 1,022,226 0.6%
Orange SA................................... 93,410 1,469,681 0.8%
Renault SA.................................. 15,215 1,323,124 0.7%
Societe Generale SA......................... 30,614 1,194,176 0.7%
Total SA.................................... 84,942 4,069,138 2.3%
Other Securities............................ 3,475,232 1.9%
----------- ----
TOTAL FRANCE.................................... 16,903,958 9.4%
----------- ----
GERMANY -- (7.3%)
Allianz SE.................................. 12,806 1,999,071 1.1%
Bayerische Motoren Werke AG................. 17,255 1,505,420 0.8%
Daimler AG.................................. 45,740 3,263,182 1.8%
E.ON SE..................................... 163,171 1,195,857 0.7%
* RWE AG...................................... 60,150 956,937 0.5%
Other Securities............................ 4,682,623 2.7%
----------- ----
TOTAL GERMANY................................... 13,603,090 7.6%
----------- ----
22
VA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
HONG KONG -- (2.5%)
CK Hutchison Holdings, Ltd............ 85,012 $ 1,049,731 0.6%
Other Securities...................... 3,537,629 2.0%
----------- -----
TOTAL HONG KONG........................... 4,587,360 2.6%
----------- -----
IRELAND -- (0.4%)
Other Securities...................... 733,202 0.4%
----------- -----
ISRAEL -- (0.5%)
Other Securities...................... 911,936 0.5%
----------- -----
ITALY -- (0.8%)
Other Securities...................... 1,477,684 0.8%
----------- -----
JAPAN -- (22.3%)
Hitachi, Ltd.......................... 190,000 1,012,870 0.6%
Honda Motor Co., Ltd.................. 65,100 1,947,896 1.1%
Mitsubishi UFJ Financial Group, Inc... 349,700 1,804,385 1.0%
Mizuho Financial Group, Inc........... 832,700 1,402,060 0.8%
Nissan Motor Co., Ltd................. 107,100 1,089,473 0.6%
Sumitomo Mitsui Financial Group, Inc.. 51,500 1,785,591 1.0%
Toyota Motor Corp..................... 18,170 1,053,982 0.6%
Other Securities...................... 31,242,730 17.3%
----------- -----
TOTAL JAPAN............................... 41,338,987 23.0%
----------- -----
NETHERLANDS -- (3.0%)
ING Groep NV.......................... 103,758 1,362,032 0.8%
Koninklijke Ahold Delhaize NV......... 35,378 807,046 0.5%
Koninklijke DSM NV.................... 13,354 858,322 0.5%
Koninklijke Philips NV................ 32,407 973,182 0.5%
Other Securities...................... 1,575,657 0.8%
----------- -----
TOTAL NETHERLANDS......................... 5,576,239 3.1%
----------- -----
NEW ZEALAND -- (0.2%)
Other Securities...................... 300,095 0.2%
----------- -----
NORWAY -- (0.8%)
Other Securities...................... 1,412,887 0.8%
----------- -----
PORTUGAL -- (0.0%)
Other Securities...................... 58,886 0.0%
----------- -----
SINGAPORE -- (0.9%)
Other Securities...................... 1,656,155 0.9%
----------- -----
SPAIN -- (2.8%)
Banco Santander SA.................... 673,737 3,301,327 1.8%
Iberdrola SA.......................... 117,748 801,327 0.5%
Other Securities...................... 1,150,315 0.6%
----------- -----
TOTAL SPAIN............................... 5,252,969 2.9%
----------- -----
SWEDEN -- (2.1%)
Nordea Bank AB........................ 86,205 905,939 0.5%
Other Securities...................... 3,016,908 1.7%
----------- -----
TOTAL SWEDEN.............................. 3,922,847 2.2%
----------- -----
23
VA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
SWITZERLAND -- (7.6%)
ABB, Ltd........................................ 95,921 $ 1,978,890 1.1%
Cie Financiere Richemont SA..................... 23,186 1,490,625 0.8%
Novartis AG..................................... 20,736 1,471,584 0.8%
Swiss Re AG..................................... 17,407 1,615,573 0.9%
Zurich Insurance Group AG....................... 6,382 1,670,530 0.9%
Other Securities................................ 5,843,398 3.3%
------------ ------
TOTAL SWITZERLAND..................................... 14,070,600 7.8%
------------ ------
UNITED KINGDOM -- (17.4%)
BP P.L.C. Sponsored ADR......................... 206,520 7,341,782 4.1%
* Glencore P.L.C.................................. 704,688 2,157,124 1.2%
# HSBC Holdings P.L.C. Sponsored ADR.............. 122,600 4,613,438 2.6%
Royal Dutch Shell P.L.C. Sponsored ADR, Class A. 90,385 4,502,077 2.5%
Royal Dutch Shell P.L.C. Sponsored ADR, Class B. 63,145 3,303,115 1.8%
Vodafone Group P.L.C............................ 1,463,266 4,018,603 2.2%
Other Securities................................ 6,382,544 3.6%
------------ ------
TOTAL UNITED KINGDOM.................................. 32,318,683 18.0%
------------ ------
TOTAL COMMON STOCKS................................... 177,369,010 98.7%
------------ ------
PREFERRED STOCKS -- (0.9%)
GERMANY -- (0.9%)
Volkswagen AG................................... 8,753 1,206,825 0.7%
Other Securities................................ 421,526 0.2%
------------ ------
TOTAL GERMANY......................................... 1,628,351 0.9%
------------ ------
TOTAL PREFERRED STOCKS................................ 1,628,351 0.9%
------------ ------
RIGHTS/WARRANTS -- (0.0%)
SPAIN -- (0.0%)
Other Securities................................ 37,719 0.0%
------------ ------
SWEDEN -- (0.0%)
Other Securities................................ 5,522 0.0%
------------ ------
TOTAL RIGHTS/WARRANTS................................. 43,241 0.0%
------------ ------
TOTAL INVESTMENT SECURITIES........................... 179,040,602
------------
VALUE+
- ------
SECURITIES LENDING COLLATERAL -- (3.4%)
(S)@ DFA Short Term Investment Fund.................. 539,416 6,242,125 3.5%
------------ ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $199,223,126)............................... $185,282,727 103.1%
============ ======
24
VA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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................... $ 46,644 $ 11,561,830 -- $ 11,608,474
Austria..................... -- 252,522 -- 252,522
Belgium..................... -- 2,176,027 -- 2,176,027
Canada...................... 14,316,798 -- -- 14,316,798
Denmark..................... -- 3,461,555 -- 3,461,555
Finland..................... -- 1,428,056 -- 1,428,056
France...................... -- 16,903,958 -- 16,903,958
Germany..................... 1,058,023 12,545,067 -- 13,603,090
Hong Kong................... -- 4,587,360 -- 4,587,360
Ireland..................... 560,599 172,603 -- 733,202
Israel...................... 161,087 750,849 -- 911,936
Italy....................... 156,060 1,321,624 -- 1,477,684
Japan....................... -- 41,338,987 -- 41,338,987
Netherlands................. 1,727,152 3,849,087 -- 5,576,239
New Zealand................. -- 300,095 -- 300,095
Norway...................... -- 1,412,887 -- 1,412,887
Portugal.................... -- 58,886 -- 58,886
Singapore................... -- 1,656,155 -- 1,656,155
Spain....................... -- 5,252,969 -- 5,252,969
Sweden...................... 131,553 3,791,294 -- 3,922,847
Switzerland................. 528,905 13,541,695 -- 14,070,600
United Kingdom.............. 22,414,963 9,903,720 -- 32,318,683
Preferred Stocks
Germany..................... -- 1,628,351 -- 1,628,351
Rights/Warrants
Spain....................... -- 37,719 -- 37,719
Sweden...................... -- 5,522 -- 5,522
Securities Lending Collateral. -- 6,242,125 -- 6,242,125
----------- ------------ -- ------------
TOTAL......................... $41,101,784 $144,180,943 -- $185,282,727
=========== ============ == ============
See accompanying Notes to Financial Statements.
25
VA INTERNATIONAL SMALL PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (91.4%)
AUSTRALIA -- (6.3%)
# Alumina, Ltd.............. 201,027 $ 241,610 0.2%
Other Securities.......... 10,113,994 6.6%
----------- ----
TOTAL AUSTRALIA............... 10,355,604 6.8%
----------- ----
AUSTRIA -- (1.3%)
Other Securities.......... 2,049,510 1.4%
----------- ----
BELGIUM -- (1.6%)
Ackermans & van Haaren NV. 1,790 248,452 0.2%
Umicore SA................ 6,669 405,356 0.3%
Other Securities.......... 2,013,591 1.3%
----------- ----
TOTAL BELGIUM................. 2,667,399 1.8%
----------- ----
CANADA -- (8.9%)
Other Securities.......... 14,507,023 9.6%
----------- ----
CHINA -- (0.0%)
Other Securities.......... 61,926 0.0%
----------- ----
DENMARK -- (1.7%)
* TDC A.S................... 44,378 244,678 0.2%
Other Securities.......... 2,465,756 1.6%
----------- ----
TOTAL DENMARK................. 2,710,434 1.8%
----------- ----
FINLAND -- (2.5%)
Amer Sports Oyj........... 9,341 254,162 0.2%
Elisa Oyj................. 9,007 303,457 0.2%
Huhtamaki Oyj............. 7,365 297,237 0.2%
Kesko Oyj Class B......... 4,716 234,338 0.2%
Orion Oyj Class B......... 5,629 239,592 0.2%
Other Securities.......... 2,684,152 1.7%
----------- ----
TOTAL FINLAND................. 4,012,938 2.7%
----------- ----
FRANCE -- (4.5%)
Arkema SA................. 4,332 410,770 0.3%
Edenred................... 10,812 250,228 0.2%
Rexel SA.................. 19,882 275,748 0.2%
Rubis SCA................. 2,611 238,100 0.2%
Teleperformance........... 3,757 396,956 0.3%
Other Securities.......... 5,735,625 3.6%
----------- ----
TOTAL FRANCE.................. 7,307,427 4.8%
----------- ----
GERMANY -- (5.6%)
Freenet AG................ 8,771 251,457 0.2%
Lanxess AG................ 6,091 390,583 0.3%
LEG Immobilien AG......... 3,785 319,273 0.2%
MTU Aero Engines AG....... 3,006 313,899 0.2%
Osram Licht AG............ 5,316 301,932 0.2%
* QIAGEN NV................. 10,092 246,825 0.2%
Other Securities.......... 7,266,589 4.7%
----------- ----
TOTAL GERMANY................. 9,090,558 6.0%
----------- ----
26
VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
HONG KONG -- (2.9%)
Other Securities............ $ 4,741,923 3.1%
----------- -----
IRELAND -- (0.4%)
Other Securities............ 730,251 0.5%
----------- -----
ISRAEL -- (0.6%)
Other Securities............ 1,051,272 0.7%
----------- -----
ITALY -- (3.4%)
Prysmian SpA................ 12,247 304,554 0.2%
Other Securities............ 5,237,959 3.5%
----------- -----
TOTAL ITALY..................... 5,542,513 3.7%
----------- -----
JAPAN -- (21.9%)
Other Securities............ 35,800,069 23.7%
----------- -----
NETHERLANDS -- (1.8%)
Other Securities............ 2,868,575 1.9%
----------- -----
NEW ZEALAND -- (1.2%)
Other Securities............ 1,897,516 1.3%
----------- -----
NORWAY -- (1.0%)
Other Securities............ 1,592,606 1.0%
----------- -----
PORTUGAL -- (0.3%)
Other Securities............ 435,817 0.3%
----------- -----
SINGAPORE -- (1.2%)
Other Securities............ 1,969,370 1.3%
----------- -----
SPAIN -- (1.9%)
Gamesa Corp. Tecnologica SA. 15,484 357,501 0.2%
Other Securities............ 2,767,718 1.9%
----------- -----
TOTAL SPAIN..................... 3,125,219 2.1%
----------- -----
SWEDEN -- (3.1%)
Other Securities............ 5,108,845 3.4%
----------- -----
SWITZERLAND -- (4.6%)
Baloise Holding AG.......... 2,379 292,687 0.2%
Clariant AG................. 15,144 250,776 0.2%
Flughafen Zuerich AG........ 1,310 240,809 0.2%
Georg Fischer AG............ 269 238,494 0.2%
Helvetia Holding AG......... 478 248,686 0.2%
# Logitech International SA... 10,282 248,685 0.2%
Other Securities............ 5,945,660 3.7%
----------- -----
TOTAL SWITZERLAND............... 7,465,797 4.9%
----------- -----
UNITED KINGDOM -- (14.7%)
Bellway P.L.C............... 16,246 470,130 0.3%
Booker Group P.L.C.......... 106,110 232,727 0.2%
DS Smith P.L.C.............. 75,229 366,831 0.2%
Electrocomponents P.L.C..... 60,780 276,894 0.2%
Halma P.L.C................. 26,320 336,946 0.2%
Hays P.L.C.................. 176,101 294,132 0.2%
27
VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
UNITED KINGDOM -- (Continued)
Hiscox, Ltd...................... 18,950 $ 236,629 0.2%
Howden Joinery Group P.L.C....... 67,615 309,619 0.2%
Inchcape P.L.C................... 29,062 231,064 0.2%
John Wood Group P.L.C............ 26,138 245,676 0.2%
Melrose Industries P.L.C......... 126,503 261,064 0.2%
Micro Focus International P.L.C.. 10,337 270,680 0.2%
Pennon Group P.L.C............... 28,152 287,312 0.2%
Rentokil Initial P.L.C........... 94,387 263,276 0.2%
Rightmove P.L.C.................. 6,175 281,871 0.2%
RPC Group P.L.C.................. 33,960 393,817 0.3%
Spectris P.L.C................... 13,654 341,876 0.2%
Spirax-Sarco Engineering P.L.C... 4,752 256,223 0.2%
Tate & Lyle P.L.C................ 31,613 301,492 0.2%
#* Tullow Oil P.L.C................. 76,569 247,221 0.2%
UBM P.L.C........................ 26,254 230,509 0.2%
Weir Group P.L.C. (The).......... 13,984 290,487 0.2%
Other Securities................. 17,655,680 11.3%
------------ ------
TOTAL UNITED KINGDOM................... 24,082,156 15.9%
------------ ------
UNITED STATES -- (0.0%)
Other Securities................. 71,758 0.0%
------------ ------
TOTAL COMMON STOCKS.................... 149,246,506 98.7%
------------ ------
PREFERRED STOCKS -- (0.3%)
GERMANY -- (0.3%)
Other Securities................. 539,199 0.4%
------------ ------
UNITED KINGDOM -- (0.0%)
Other Securities................. 396 0.0%
------------ ------
TOTAL PREFERRED STOCKS................. 539,595 0.4%
------------ ------
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities................. 1,153 0.0%
------------ ------
SPAIN -- (0.0%)
Other Securities................. 600 0.0%
------------ ------
UNITED KINGDOM -- (0.0%)
Other Securities................. 33,790 0.0%
------------ ------
TOTAL RIGHTS/WARRANTS.................. 35,543 0.0%
------------ ------
TOTAL INVESTMENT SECURITIES............ 149,821,644
------------
- VALUE+
------
SECURITIES LENDING COLLATERAL -- (8.3%)
(S)@ DFA Short Term Investment Fund... 1,166,019 13,493,176 8.9%
------------ ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $161,706,457)................ $163,314,820 108.0%
============ ======
28
VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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................... -- $ 10,355,604 -- $ 10,355,604
Austria..................... -- 2,049,510 -- 2,049,510
Belgium..................... -- 2,667,399 -- 2,667,399
Canada...................... $14,506,944 79 -- 14,507,023
China....................... -- 61,926 -- 61,926
Denmark..................... -- 2,710,434 -- 2,710,434
Finland..................... -- 4,012,938 -- 4,012,938
France...................... -- 7,307,427 -- 7,307,427
Germany..................... 39,874 9,050,684 -- 9,090,558
Hong Kong................... 18,509 4,723,414 -- 4,741,923
Ireland..................... -- 730,251 -- 730,251
Israel...................... 20,727 1,030,545 -- 1,051,272
Italy....................... -- 5,542,513 -- 5,542,513
Japan....................... 85,149 35,714,920 -- 35,800,069
Netherlands................. -- 2,868,575 -- 2,868,575
New Zealand................. 24,542 1,872,974 -- 1,897,516
Norway...................... -- 1,592,606 -- 1,592,606
Portugal.................... -- 435,817 -- 435,817
Singapore................... -- 1,969,370 -- 1,969,370
Spain....................... -- 3,125,219 -- 3,125,219
Sweden...................... -- 5,108,845 -- 5,108,845
Switzerland................. -- 7,465,797 -- 7,465,797
United Kingdom.............. -- 24,082,156 -- 24,082,156
United States............... 55,846 15,912 -- 71,758
Preferred Stocks
Germany..................... -- 539,199 -- 539,199
United Kingdom.............. -- 396 -- 396
Rights/Warrants
Australia................... -- 1,153 -- 1,153
Spain....................... -- 600 -- 600
United Kingdom.............. -- 33,790 -- 33,790
Securities Lending Collateral. -- 13,493,176 -- 13,493,176
----------- ------------ -- ------------
TOTAL......................... $14,751,591 $148,563,229 -- $163,314,820
=========== ============ == ============
See accompanying Notes to Financial Statements.
29
VA SHORT-TERM FIXED PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
FACE
AMOUNT VALUE+
------ ------
(000)
AGENCY OBLIGATIONS -- (6.4%)
Federal Home Loan Bank
5.000%, 11/17/17............................. $ 510 $ 532,692
1.375%, 03/09/18............................. 1,500 1,511,221
1.250%, 06/08/18............................. 750 754,210
0.625%, 08/07/18............................. 500 497,974
0.875%, 10/01/18............................. 1,300 1,298,851
Federal Home Loan Mortgage Corporation
5.125%, 11/17/17............................. 1,425 1,489,758
1.000%, 12/15/17............................. 900 902,695
0.750%, 04/09/18............................. 2,000 1,997,788
0.875%, 10/12/18............................. 500 499,490
Federal National Mortgage Association
0.875%, 12/20/17............................. 780 781,127
0.875%, 02/08/18............................. 500 500,542
1.875%, 09/18/18............................. 1,000 1,017,897
1.125%, 10/19/18............................. 700 702,696
-----------
TOTAL AGENCY OBLIGATIONS............................ 12,486,941
-----------
BONDS -- (91.5%)
3M Co.
1.000%, 06/26/17............................. 1,000 1,001,452
Alberta, Province of Canada
1.000%, 06/21/17............................. 1,332 1,331,768
ANZ New Zealand International Ltd.
1.400%, 04/27/17............................. 900 900,825
Apple, Inc.
# 1.050%, 05/05/17............................. 500 500,704
0.900%, 05/12/17............................. 2,800 2,801,336
1.000%, 05/03/18............................. 1,400 1,398,151
Asian Development Bank
5.250%, 06/12/17............................. 1,500 1,539,603
0.875%, 04/26/18............................. 500 499,054
Australia & New Zealand Banking Group, Ltd.
1.250%, 01/10/17............................. 1,500 1,501,005
1.875%, 10/06/17............................. 400 402,397
Australia & New Zealand Banking Group, Ltd.
Floating Rate Note
(r)## 1.256%, 01/10/17............................. 1,800 1,800,817
(r) 1.256%, 01/10/17............................. 1,000 1,000,454
Bank Nederlandse Gemeenten NV
0.875%, 02/21/17............................. 1,896 1,895,431
1.375%, 09/27/17............................. 250 250,782
## 1.000%, 02/12/18............................. 200 199,757
1.375%, 03/19/18............................. 500 501,826
## 1.125%, 05/25/18............................. 500 499,859
## 1.000%, 09/20/18............................. 500 498,286
Bank of Montreal
1.144%, 06/16/17............................. 1,000 1,000,355
1.400%, 09/11/17............................. 1,200 1,201,483
1.400%, 04/10/18............................. 500 500,280
FACE
AMOUNT VALUE+
------ ------
(000)
Bank of Montreal Floating Rate Note
(r) 1.131%, 07/14/17............................. $ 300 $ 300,074
(r) 1.322%, 09/01/17............................. 1,300 1,301,815
(r) 1.476%, 04/09/18............................. 1,000 1,001,990
Bank of Nova Scotia (The)
1.065%, 12/05/16............................. 700 700,372
1.300%, 07/21/17............................. 1,623 1,623,273
Bank of Nova Scotia (The) Floating Rate Note
(r) 1.186%, 04/11/17............................. 2,010 2,011,182
Berkshire Hathaway Finance Corp
1.450%, 03/07/18............................. 2,375 2,386,808
1.600%, 05/15/17............................. 500 502,200
Berkshire Hathaway Finance Corp. Floating Rate
Note
(r) 1.174%, 01/12/18............................. 2,000 2,005,958
(r) 1.383%, 03/07/18............................. 500 501,973
Caisse des Depots et Consignations
0.875%, 11/07/16............................. 1,200 1,199,964
Chevron Corp.
1.344%, 11/09/17............................. 4,100 4,108,487
1.365%, 03/02/18............................. 200 200,325
Chevron Corp. Floating Rate Note
(r) 0.911%, 02/22/17............................. 1,300 1,300,494
Cisco Systems, Inc.
3.150%, 03/14/17............................. 500 504,307
1.400%, 02/28/18............................. 1,400 1,405,272
1.650%, 06/15/18............................. 800 805,622
Coca-Cola Co. (The)
0.875%, 10/27/17............................. 600 599,471
Commonwealth Bank of Australia
1.900%, 09/18/17............................. 3,000 3,015,690
## 1.375%, 09/06/18............................. 700 697,731
Cooperatieve Centrale Raiffeisen- Boerenleenbank
BA
1.700%, 03/19/18............................. 800 802,702
Development Bank of Japan, Inc.
5.125%, 02/01/17............................. 500 505,037
5.125%, 02/01/17............................. 1,000 1,010,071
1.500%, 03/13/17............................. 500 499,945
Erste Abwicklungsanstalt
1.000%, 02/27/17............................. 3,400 3,399,371
1.000%, 10/13/17............................. 2,000 1,997,962
European Bank for Reconstruction & Development
1.000%, 02/16/17............................. 1,157 1,157,883
European Investment Bank
1.750%, 03/15/17............................. 2,000 2,006,422
5.125%, 05/30/17............................. 500 511,993
1.000%, 08/17/17............................. 400 400,130
1.125%, 09/15/17............................. 500 500,644
1.000%, 12/15/17............................. 1,500 1,500,165
1.000%, 03/15/18............................. 500 499,749
30
VA SHORT-TERM FIXED PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
Export Development Canada
0.625%, 04/27/17............................. $ 500 $ 499,275
0.750%, 12/15/17 750 748,015
Exxon Mobil Corp.
0.921%, 03/15/17............................. 1,000 1,000,737
1.439%, 03/01/18............................. 2,100 2,107,495
Exxon Mobil Corp. Floating Rate Note
(r) 1.429%, 02/28/18............................. 2,411 2,427,728
(r) 0.892%, 03/01/18............................. 200 199,839
FMS Wertmanagement AoeR
0.625%, 01/30/17............................. 1,000 999,437
1.125%, 09/05/17............................. 2,900 2,903,030
General Electric Co.
5.250%, 12/06/17............................. 2,400 2,508,031
1.625%, 04/02/18............................. 700 703,139
5.625%, 05/01/18............................. 2,197 2,342,384
Inter-American Development Bank
1.250%, 01/16/18............................. 270 271,137
International Bank for Reconstruction &
Development
0.625%, 05/02/17............................. 1,000 998,790
International Business Machines Corp.
5.700%, 09/14/17............................. 1,667 1,733,863
Japan Bank for International Cooperation
1.125%, 07/19/17............................. 2,000 1,996,420
Japan Finance Organization for Municipalities
1.500%, 09/12/17............................. 1,000 1,000,829
KFW
0.875%, 09/05/17............................. 1,000 999,453
2.375%, 12/22/17............................. 200 203,106
1.000%, 09/07/18............................. 3,700 3,694,243
Kommunalbanken A.S.
1.375%, 06/08/17............................. 500 501,153
### 1.000%, 03/15/18............................. 200 199,692
1.125%, 05/23/18............................. 500 499,897
Kommunekredit
1.125%, 01/16/18............................. 1,500 1,501,200
Kommuninvest I Sverige AB
1.625%, 02/13/17............................. 1,000 1,001,806
1.000%, 04/11/17............................. 1,000 1,000,212
1.000%, 10/24/17............................. 2,000 1,999,020
Landeskreditbank Baden- Wuerttemberg Foerderbank
0.875%, 03/20/17............................. 1,000 999,880
0.875%, 04/10/17............................. 1,400 1,399,373
1.625%, 04/25/17............................. 1,137 1,140,450
Landwirtschaftliche Rentenbank
0.875%, 09/12/17............................. 500 499,818
Merck & Co., Inc. Floating Rate Note
(r) 0.932%, 02/10/17............................. 1,600 1,600,480
Municipality Finance P.L.C.
1.125%, 04/17/18............................. 1,300 1,300,131
## 1.250%, 09/10/18............................. 1,000 1,001,403
1.250%, 09/10/18............................. 1,100 1,101,543
FACE
AMOUNT VALUE+
------ ------
(000)
National Australia Bank, Ltd.
1.250%, 03/17/17............................. $1,000 $1,000,252
1.300%, 06/30/17............................. 394 394,272
1.875%, 07/23/18............................. 465 467,854
National Australia Bank, Ltd. Floating Rate Note
(r)## 1.227%, 03/17/17............................. 1,000 1,000,195
(r)## 1.522%, 07/23/18............................. 1,300 1,303,978
Nederlandse Waterschapsbank NV
1.250%, 01/16/18............................. 500 500,660
## 1.500%, 04/16/18............................. 1,000 1,004,886
1.500%, 04/16/18............................. 1,000 1,004,886
0.875%, 07/13/18............................. 1,000 994,986
Nestle Holdings, Inc.
1.375%, 06/21/17............................. 2,008 2,011,540
Nordea Bank AB
3.125%, 03/20/17............................. 1,570 1,582,824
## 3.125%, 03/20/17............................. 200 201,634
Nordea Bank Finland P.L.C.
1.097%, 02/13/17............................. 2,500 2,502,647
1.271%, 08/18/17............................. 1,000 1,001,306
Nordic Investment Bank
1.125%, 03/19/18............................. 2,000 2,003,160
NRW Bank
1.000%, 05/22/17............................. 500 500,060
Oesterreichische Kontrollbank AG
0.750%, 05/19/17............................. 2,000 1,998,134
1.125%, 05/29/18............................. 200 200,063
Ontario, Province of Canada
1.100%, 10/25/17............................. 4,080 4,081,710
3.150%, 12/15/17............................. 404 413,261
1.200%, 02/14/18............................. 500 500,498
3.000%, 07/16/18............................. 500 515,298
Oracle Corp. Floating Rate Note
(r) 1.068%, 07/07/17............................. 1,000 1,000,906
Pfizer, Inc.
1.100%, 05/15/17............................. 800 801,022
1.200%, 06/01/18............................. 2,000 2,001,282
Royal Bank of Canada
1.400%, 10/13/17............................. 1,000 1,001,850
# 1.500%, 01/16/18............................. 1,000 1,001,743
1.500%, 06/07/18............................. 1,400 1,402,904
2.200%, 07/27/18............................. 500 506,283
1.286%, 10/31/18............................. 1,000 999,606
Sanofi
1.250%, 04/10/18............................. 1,000 1,001,567
Shell International Finance BV
1.125%, 08/21/17............................. 1,500 1,500,888
1.250%, 11/10/17............................. 1,900 1,902,660
1.900%, 08/10/18............................. 1,500 1,514,935
State of North Rhine-Westphalia
1.125%, 11/21/17............................. 2,000 1,999,724
1.250%, 02/20/18............................. 200 200,153
1.375%, 07/16/18............................. 500 501,701
Statoil ASA
3.125%, 08/17/17............................. 1,660 1,685,614
1.150%, 05/15/18............................. 1,500 1,495,497
31
VA SHORT-TERM FIXED PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
Svensk Exportkredit AB
5.125%, 03/01/17............................. $1,961 $1,987,715
1.125%, 04/05/18............................. 3,300 3,300,957
Svenska Handelsbanken AB
2.875%, 04/04/17............................. 600 604,644
Toronto-Dominion Bank (The)
1.625%, 03/13/18............................. 3,100 3,113,237
1.450%, 09/06/18............................. 600 599,930
2.625%, 09/10/18............................. 500 510,798
Toronto-Dominion Bank (The) Floating Rate Note
(r) 1.124%, 01/06/17............................. 1,000 1,000,415
(r) 1.437%, 04/30/18............................. 500 501,302
Total Capital International SA
1.500%, 02/17/17............................. 1,225 1,226,753
1.550%, 06/28/17............................. 300 300,696
Total Capital SA
2.125%, 08/10/18............................. 1,000 1,011,951
Toyota Motor Credit Corp.
1.125%, 05/16/17............................. 650 650,533
1.750%, 05/22/17............................. 1,000 1,003,863
1.200%, 04/06/18............................. 373 372,579
Toyota Motor Credit Corp. Floating Rate Note
(r) 1.244%, 04/06/18............................. 2,111 2,114,641
(r) 1.338%, 07/13/18............................. 1,500 1,505,178
Wal-Mart Stores, Inc.
1.125%, 04/11/18............................. 1,750 1,751,428
Westpac Banking Corp.
1.200%, 05/19/17............................. 400 400,262
1.500%, 12/01/17............................. 1,500 1,502,407
1.600%, 01/12/18............................. 475 475,955
2.250%, 07/30/18............................. 300 303,762
FACE
AMOUNT VALUE+
------ ------
(000)
Westpac Banking Corp. Floating Rate Note
(r) 1.212%, 12/01/17............................. $ 2,898 $ 2,898,878
------------
TOTAL BONDS........................................ 178,114,039
------------
U.S. TREASURY OBLIGATIONS -- (0.1%)
U.S. Treasury Notes
0.750%, 12/31/17............................. 300 300,011
------------
TOTAL INVESTMENT SECURITIES........................ 190,900,991
------------
COMMERCIAL PAPER -- (0.4%)
N V BK NEDERLANDSE GEMEENTEN
## 0.710%, 11/16/16............................. 500 499,883
Nordea Bank Finland NY
1.610%, 05/02/18............................. 300 300,974
------------
TOTAL COMMERCIAL PAPER............................. 800,857
------------
SHARES
------ -
TEMPORARY CASH INVESTMENTS -- (1.2%)
State Street Institutional U.S. Government
Money Market Fund, 0.260%................... 2,412,878 2,412,878
------------
SECURITIES LENDING COLLATERAL -- (0.4%)
(S)@ DFA Short Term Investment Fund............... 52,975 613,028
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $194,672,840).............................. $194,727,754
============
Summary of the Portfolio's investments as of October 31, 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
---------- ------------ ------- ------------
Agency Obligations............ -- $ 12,486,941 -- $ 12,486,941
Bonds......................... -- 178,114,039 -- 178,114,039
U.S. Treasury Obligations..... -- 300,011 -- 300,011
Commercial Paper.............. -- 800,857 -- 800,857
Temporary Cash Investments.... $2,412,878 -- -- 2,412,878
Securities Lending Collateral. -- 613,028 -- 613,028
---------- ------------ -- ------------
TOTAL......................... $2,412,878 $192,314,876 -- $194,727,754
========== ============ == ============
See accompanying Notes to Financial Statements.
32
VA GLOBAL BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
FACE
AMOUNT^ VALUE+
------- ------
(000)
BONDS -- (100.0%)
AUSTRALIA -- (8.2%)
Australia & New Zealand Banking Group, Ltd.
2.250%, 06/13/19............................. 3,838 $ 3,887,982
2.700%, 11/16/20............................. 1,000 1,028,897
Commonwealth Bank of Australia
2.250%, 03/13/19............................. 750 759,991
2.300%, 09/06/19............................. 500 507,512
2.300%, 03/12/20............................. 500 506,182
2.400%, 11/02/20............................. 3,000 3,044,640
National Australia Bank, Ltd.
2.250%, 07/01/19............................. 500 506,672
## 2.400%, 12/09/19............................. 1,500 1,523,607
2.625%, 07/23/20............................. 3,050 3,125,149
Westpac Banking Corp.
2.250%, 01/17/19............................. 4,800 4,863,427
2.300%, 05/26/20............................. 2,000 2,026,876
-----------
TOTAL AUSTRALIA.................................. 21,780,935
-----------
AUSTRIA -- (1.0%)
Oesterreichische Kontrollbank AG
1.500%, 10/21/20............................. 939 939,825
1.875%, 01/20/21............................. 1,700 1,720,113
-----------
TOTAL AUSTRIA.................................... 2,659,938
-----------
BELGIUM -- (0.8%)
Dexia Credit Local SA
2.250%, 01/30/19............................. 2,000 2,026,578
-----------
CANADA -- (16.3%)
Alberta, Province of Canada
## 1.750%, 08/26/20............................. 4,000 4,033,328
Bank of Nova Scotia (The)
2.050%, 06/05/19............................. 1,833 1,849,306
2.350%, 10/21/20............................. 3,652 3,705,874
2.450%, 03/22/21............................. 1,667 1,697,396
Province of Manitoba Canada
2.050%, 11/30/20............................. 6,800 6,933,192
Province of Ontario Canada
4.000%, 10/07/19............................. 1,600 1,716,592
4.400%, 04/14/20............................. 2,500 2,742,827
1.875%, 05/21/20............................. 2,500 2,531,143
Province of Quebec Canada
3.500%, 07/29/20............................. 6,500 6,965,926
Royal Bank of Canada
2.150%, 03/06/20............................. 2,594 2,622,957
2.350%, 10/30/20............................. 1,369 1,390,719
2.500%, 01/19/21............................. 1,500 1,538,744
Toronto-Dominion Bank (The)
2.500%, 12/14/20............................. 2,800 2,865,290
2.125%, 04/07/21............................. 1,780 1,792,683
1.800%, 07/13/21............................. 1,000 993,834
-----------
TOTAL CANADA..................................... 43,379,811
-----------
FACE
AMOUNT^ VALUE+
------- ------
(000)
DENMARK -- (2.9%)
Nordea Bank AB
2.375%, 04/04/19............................. 2,000 $ 2,031,552
## 2.500%, 09/17/20............................. 3,500 3,567,238
## 2.250%, 05/27/21............................. 2,000 2,016,124
-----------
TOTAL DENMARK.................................... 7,614,914
-----------
FINLAND -- (0.4%)
Municipality Finance P.L.C.
1.500%, 03/23/20............................. 1,000 1,000,942
-----------
FRANCE -- (4.2%)
Agence Francaise de Developpement
1.625%, 01/21/20............................. 7,600 7,618,369
Caisse d'Amortissement de la Dette Sociale
2.000%, 03/22/21............................. 1,400 1,420,015
Total Capital SA
4.450%, 06/24/20............................. 2,000 2,182,412
-----------
TOTAL FRANCE..................................... 11,220,796
-----------
GERMANY -- (3.8%)
KFW
1.500%, 04/20/20............................. 4,500 4,521,190
2.750%, 09/08/20............................. 2,500 2,626,458
State of North Rhine-Westphalia
1.625%, 01/22/20............................. 3,000 3,009,990
-----------
TOTAL GERMANY.................................... 10,157,638
-----------
JAPAN -- (2.4%)
Development Bank of Japan, Inc.
1.625%, 09/25/19............................. 1,000 999,328
Japan Finance Organization for Municipalities
2.125%, 03/06/19............................. 700 705,664
Toyota Motor Credit Corp.
2.125%, 07/18/19............................. 1,750 1,778,767
2.150%, 03/12/20............................. 1,300 1,320,684
1.900%, 04/08/21............................. 1,524 1,529,947
-----------
TOTAL JAPAN...................................... 6,334,390
-----------
NETHERLANDS -- (5.8%)
Bank Nederlandse Gemeenten NV
1.750%, 03/24/20............................. 3,400 3,434,680
1.625%, 04/19/21............................. 1,300 1,299,718
Cooperatieve Rabobank UA
2.250%, 01/14/19............................. 2,335 2,365,684
2.500%, 01/19/21............................. 2,200 2,246,053
Shell International Finance BV
2.000%, 11/15/18............................. 800 810,092
4.300%, 09/22/19............................. 500 536,832
4.375%, 03/25/20............................. 485 526,060
33
VA GLOBAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
NETHERLANDS -- (Continued)
2.125%, 05/11/20............................. 2,200 $ 2,219,105
2.250%, 11/10/20............................. 2,000 2,026,508
-----------
TOTAL NETHERLANDS................................ 15,464,732
-----------
NORWAY -- (2.0%)
Statoil ASA
2.250%, 11/08/19............................. 3,650 3,714,057
2.900%, 11/08/20............................. 1,500 1,561,794
-----------
TOTAL NORWAY..................................... 5,275,851
-----------
SINGAPORE -- (1.1%)
Singapore Government Bond
2.250%, 06/01/21............................. SGD 2,000 1,497,790
1.250%, 10/01/21............................. SGD 2,000 1,431,073
-----------
TOTAL SINGAPORE.................................. 2,928,863
-----------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (7.1%)
Asian Development Bank
1.625%, 03/16/21............................. 333 335,270
Council Of Europe Development Bank
1.625%, 03/16/21............................. 1,000 1,003,103
EUROFIMA
1.750%, 05/29/20............................. 5,500 5,553,278
European Investment Bank
1.625%, 03/16/20............................. 3,000 3,028,945
2.875%, 09/15/20............................. 500 526,883
1.625%, 12/15/20............................. 2,500 2,517,830
2.000%, 03/15/21............................. 1,500 1,530,090
Inter-American Development Bank
1.875%, 06/16/20............................. 2,700 2,746,308
International Bank for Reconstruction & Development
2.125%, 11/01/20............................. 1,510 1,552,591
-----------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 18,794,298
-----------
SWEDEN -- (5.7%)
Kommuninvest I Sverige AB
2.000%, 11/12/19............................. 2,250 2,290,230
Svensk Exportkredit AB
1.750%, 08/28/20............................. 3,300 3,327,664
1.750%, 03/10/21............................. 3,000 3,023,184
Svenska Handelsbanken AB
2.500%, 01/25/19............................. 1,000 1,020,127
2.250%, 06/17/19............................. 2,750 2,790,879
## 5.125%, 03/30/20............................. 2,000 2,208,222
2.400%, 10/01/20............................. 500 508,431
-----------
TOTAL SWEDEN..................................... 15,168,737
-----------
SWITZERLAND -- (0.8%)
Novartis Capital Corp.
4.400%, 04/24/20............................. 2,000 2,184,094
-----------
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (37.5%)
3M Co.
2.000%, 08/07/20............................. $3,500 $3,576,352
Alphabet, Inc.
3.625%, 05/19/21............................. 1,000 1,091,663
Apple, Inc.
1.550%, 02/07/20............................. 1,700 1,704,247
2.000%, 05/06/20............................. 1,000 1,015,652
2.250%, 02/23/21............................. 3,891 3,962,843
2.850%, 05/06/21............................. 500 522,105
Automatic Data Processing, Inc.
2.250%, 09/15/20............................. 6,739 6,911,357
Berkshire Hathaway Finance Corp.
2.900%, 10/15/20............................. 654 681,008
Berkshire Hathaway, Inc.
2.200%, 03/15/21............................. 5,310 5,426,793
Chevron Corp.
2.193%, 11/15/19............................. 1,500 1,529,408
1.961%, 03/03/20............................. 4,800 4,853,141
2.427%, 06/24/20............................. 500 512,494
2.419%, 11/17/20............................. 700 715,383
Cisco Systems, Inc.
4.450%, 01/15/20............................. 1,263 1,374,306
2.450%, 06/15/20............................. 4,201 4,311,944
2.200%, 02/28/21............................. 1,500 1,525,806
Coca-Cola Co. (The)
1.875%, 10/27/20............................. 6,000 6,063,462
3.150%, 11/15/20............................. 630 668,892
Exxon Mobil Corp.
1.819%, 03/15/19............................. 1,800 1,820,074
1.912%, 03/06/20............................. 3,000 3,035,826
2.222%, 03/01/21............................. 3,000 3,044,490
GE Capital International Funding Co., Unlimited Co.
2.342%, 11/15/20............................. 7,600 7,754,804
International Business Machines Corp.
1.625%, 05/15/20............................. 2,000 2,004,138
2.250%, 02/19/21............................. 4,500 4,594,981
Johnson & Johnson
2.950%, 09/01/20............................. 2,500 2,634,932
1.650%, 03/01/21............................. 1,400 1,409,078
Merck & Co., Inc.
1.850%, 02/10/20............................. 6,904 6,980,586
Microsoft Corp.
1.850%, 02/12/20............................. 4,800 4,854,998
2.000%, 11/03/20............................. 1,000 1,014,398
1.550%, 08/08/21............................. 1,500 1,484,976
Oracle Corp.
1.900%, 09/15/21............................. 500 498,451
Pfizer, Inc.
1.950%, 06/03/21............................. 5,000 5,023,400
Procter & Gamble Co. (The)
1.850%, 02/02/21............................. 2,307 2,330,220
U.S. Bank NA
2.125%, 10/28/19............................. 1,500 1,525,286
34
VA GLOBAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Wal-Mart Stores, Inc.
3.625%, 07/08/20............................. $2,200 $ 2,363,603
4.250%, 04/15/21............................. 800 888,078
------------
TOTAL UNITED STATES.............................. 99,709,175
------------
TOTAL BONDS...................................... 265,701,692
------------
TOTAL INVESTMENT SECURITIES...................... 265,701,692
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $263,644,123)............................ $265,701,692
============
Summary of the Portfolio's investments as of October 31, 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.............................. -- $ 21,780,935 -- $ 21,780,935
Austria................................ -- 2,659,938 -- 2,659,938
Belgium................................ -- 2,026,578 -- 2,026,578
Canada................................. -- 43,379,811 -- 43,379,811
Denmark................................ -- 7,614,914 -- 7,614,914
Finland................................ -- 1,000,942 -- 1,000,942
France................................. -- 11,220,796 -- 11,220,796
Germany................................ -- 10,157,638 -- 10,157,638
Japan.................................. -- 6,334,390 -- 6,334,390
Netherlands............................ -- 15,464,732 -- 15,464,732
Norway................................. -- 5,275,851 -- 5,275,851
Singapore.............................. -- 2,928,863 -- 2,928,863
Supranational Organization Obligations. -- 18,794,298 -- 18,794,298
Sweden................................. -- 15,168,737 -- 15,168,737
Switzerland............................ -- 2,184,094 -- 2,184,094
United States.......................... -- 99,709,175 -- 99,709,175
Forward Currency Contracts**............. -- 63,857 -- 63,857
-- ------------ -- ------------
TOTAL.................................... -- $265,765,549 -- $265,765,549
== ============ == ============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note G)
See accompanying Notes to Financial Statements.
35
VIT INFLATION-PROTECTED SECURITIES PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
FACE
AMOUNT^^^ VALUE+
--------- -----------
(000)
U.S. TREASURY OBLIGATIONS -- (99.6%)
Treasury Inflation Protected Security
0.625%, 07/15/21................................................... $ 48 $ 50,440
0.125%, 01/15/22................................................... 5,224 5,326,851
0.125%, 07/15/22................................................... 6,069 6,207,869
0.125%, 01/15/23................................................... 7,153 7,255,890
0.375%, 07/15/23................................................... 5,992 6,195,082
0.625%, 01/15/24................................................... 7,773 8,121,148
0.125%, 07/15/24................................................... 7,405 7,480,640
0.250%, 01/15/25................................................... 7,311 7,408,952
2.375%, 01/15/25................................................... 5,047 5,976,146
0.375%, 07/15/25................................................... 5,982 6,140,871
0.625%, 01/15/26................................................... 5,169 5,396,188
2.000%, 01/15/26................................................... 3,343 3,897,565
2.375%, 01/15/27................................................... 3,493 4,247,299
1.750%, 01/15/28................................................... 3,139 3,642,563
3.625%, 04/15/28................................................... 2,892 3,953,074
2.500%, 01/15/29................................................... 2,580 3,241,671
3.875%, 04/15/29................................................... 2,696 3,841,075
3.375%, 04/15/32................................................... 1,113 1,613,632
-----------
TOTAL U.S. TREASURY OBLIGATIONS...................................... 89,996,956
-----------
TOTAL INVESTMENT SECURITIES.......................................... 89,996,956
-----------
SHARES
---------
TEMPORARY CASH INVESTMENTS -- (0.4%)
State Street Institutional U.S. Government Money Market Fund, 0.260%. 316,200 316,200
-----------
TOTAL INVESTMENTS -- (100.0%)
(Cost $89,291,593).................................................. $90,313,156
===========
Summary of the Fund's investments as of October 31, 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
-------- ----------- ------- -----------
U.S. Treasury Obligations.......... -- $89,996,956 -- $89,996,956
Temporary Cash Investments......... $316,200 -- -- 316,200
-------- ----------- -- -----------
TOTAL.............................. $316,200 $89,996,956 -- $90,313,156
======== =========== == ===========
See accompanying Notes to Financial Statements.
36
DFA VA GLOBAL MODERATE ALLOCATION PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
SHARES VALUE+
--------- ------------
AFFILIATED INVESTMENT COMPANIES -- (99.9%)
Investment in U.S. Core Equity 2 Portfolio of
DFA Investment Dimensions Group Inc................................. 2,022,195 $ 34,761,526
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................. 1,404,359 16,262,476
Investment in VA Global Bond Portfolio of
DFA Investment Dimensions Group Inc................................. 1,322,308 14,545,388
Investment in DFA Selectively Hedged Global Fixed Income Portfolio of
DFA Investment Dimensions Group Inc................................. 1,494,556 14,542,029
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc................................. 690,346 12,426,228
Investment in DFA Two-Year Global Fixed Income Portfolio of
DFA Investment Dimensions Group Inc................................. 583,650 5,830,661
Investment in VA Short-Term Fixed Portfolio of
DFA Investment Dimensions Group Inc................................. 568,278 5,824,853
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................. 309,480 5,694,423
Investment in VA U.S. Large Value Portfolio of
DFA Investment Dimensions Group Inc................................. 112,235 2,494,989
Investment in DFA Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc................................. 54,847 1,882,361
Investment in VA International Value Portfolio of
DFA Investment Dimensions Group Inc................................. 165,376 1,832,367
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $111,660,016).............................................. 116,097,301
------------
TEMPORARY CASH INVESTMENTS -- (0.1%)
State Street Institutional U.S. Government Money Market Fund, 0.260%
(Cost $154,886)..................................................... 154,886 154,886
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $111,814,902).............................................. $116,252,187
============
Summary of the Portfolio's investments as of October 31, 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. $116,097,301 -- -- $116,097,301
Temporary Cash Investments...... 154,886 -- -- 154,886
------------ -- -- ------------
TOTAL........................... $116,252,187 -- -- $116,252,187
============ == == ============
See accompanying Notes to Financial Statements.
37
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
VA U.S. VA VA
TARGETED VALUE VA U.S. LARGE INTERNATIONAL INTERNATIONAL
PORTFOLIO* VALUE PORTFOLIO* VALUE PORTFOLIO* SMALL PORTFOLIO*
-------------- ---------------- ---------------- ----------------
ASSETS:
Investments at Value (including $67,068, $24,196,
$6,719 and $13,421 of securities on loan,
respectively)........................................... $ 245,218 $ 269,401 $ 179,041 $ 149,822
Temporary Cash Investments at Value & Cost............... 1,484 1,320 -- --
Collateral from Securities on Loan Invested in Affiliate
at Value (including cost of $59,262, $17,013, $6,241
and $13,491)............................................ 59,269 17,015 6,242 13,493
Foreign Currencies at Value.............................. -- -- 389 459
Cash..................................................... -- -- -- 564
Receivables:
Investment Securities Sold............................. 1,167 452 -- 165
Dividends, Interest and Tax Reclaims................... 78 288 656 402
Securities Lending Income.............................. 17 3 15 29
Fund Shares Sold....................................... 103 248 156 170
------------ ------------ ------------ ------------
Total Assets........................................ 307,336 288,727 186,499 165,104
------------ ------------ ------------ ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned....................... 59,261 17,013 6,241 13,491
Investment Securities Purchased........................ 795 1,317 -- 237
Fund Shares Redeemed................................... 80 69 50 67
Due to Advisor......................................... 71 57 60 65
Line of Credit......................................... -- -- 338 --
Unrealized Loss on Foreign Currency Contracts............ -- -- -- 1
Accrued Expenses and Other Liabilities................... 26 26 42 34
------------ ------------ ------------ ------------
Total Liabilities................................... 60,233 18,482 6,731 13,895
------------ ------------ ------------ ------------
NET ASSETS............................................... $ 247,103 $ 270,245 $ 179,768 $ 151,209
============ ============ ============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1).................. 14,345,583 12,159,508 16,218,554 12,976,673
============ ============ ============ ============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE.............................. $ 17.23 $ 22.22 $ 11.08 $ 11.65
============ ============ ============ ============
Investments at Cost...................................... $ 234,312 $ 215,629 $ 192,982 $ 148,216
============ ============ ============ ============
Foreign Currencies at Cost............................... $ -- $ -- $ 390 $ 459
============ ============ ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital.......................................... $ 224,703 $ 210,227 $ 199,351 $ 145,972
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................ 1,944 4,397 5,031 2,439
Accumulated Net Realized Gain (Loss)..................... 9,543 1,847 (10,651) 1,204
Net Unrealized Foreign Exchange Gain (Loss).............. -- -- (22) (14)
Net Unrealized Appreciation (Depreciation)............... 10,913 53,774 (13,941) 1,608
------------ ------------ ------------ ------------
NET ASSETS............................................... $ 247,103 $ 270,245 $ 179,768 $ 151,209
============ ============ ============ ============
(1) NUMBER OF SHARES AUTHORIZED.......................... 100,000,000 100,000,000 100,000,000 100,000,000
============ ============ ============ ============
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
38
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA VA
VIT INFLATION- GLOBAL
VA SHORT- PROTECTED MODERATE
TERM FIXED VA GLOBAL SECURITIES ALLOCATION
PORTFOLIO BOND PORTFOLIO PORTFOLIO PORTFOLIO
------------ -------------- -------------- ------------
ASSETS:
Investments in Affiliated Investment Companies at Value..... -- -- -- $ 116,097
Investments at Value (including $600, $0, $0 and $0 of
securities on loan, respectively).......................... $ 191,702 $ 265,702 $ 89,997 --
Temporary Cash Investments at Value & Cost.................. 2,413 -- 316 155
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $613, $0, $0 and $0).............. 613 -- -- --
Foreign Currencies at Value................................. -- 1 -- --
Cash........................................................ -- 1,426 -- --
Receivables:
Interest.................................................. 752 1,545 179 --
Fund Shares Sold.......................................... 108 844 3,230 73
Unrealized Gain on Forward Currency Contracts............... -- 64 -- --
------------ ------------ ------------ ------------
Total Assets........................................... 195,588 269,582 93,722 116,325
------------ ------------ ------------ ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......................... 613 -- -- --
Investment Securities Purchased........................... 2,004 527 -- 97
Fund Shares Redeemed...................................... 40 252 -- 2
Due to Advisor............................................ 41 49 10 6
Accrued Expenses and Other Liabilities...................... 18 25 14 6
------------ ------------ ------------ ------------
Total Liabilities...................................... 2,716 853 24 111
------------ ------------ ------------ ------------
NET ASSETS.................................................. $ 192,872 $ 268,729 $ 93,698 $ 116,214
============ ============ ============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)..................... 18,810,419 24,427,304 9,098,312 10,269,016
============ ============ ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE............................................ $ 10.25 $ 11.00 $ 10.30 $ 11.32
============ ============ ============ ============
Investments in Affiliated Investment Companies at Cost...... $ -- $ -- $ -- $ 111,660
------------ ------------ ------------ ------------
Investments at Cost......................................... $ 191,647 $ 263,644 $ 88,976 $ --
============ ============ ============ ============
Foreign Currencies at Cost.................................. $ -- $ 1 $ -- $ --
============ ============ ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 191,764 $ 261,359 $ 91,904 $ 110,482
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... 1,069 3,807 719 869
Accumulated Net Realized Gain (Loss)........................ (16) 1,441 54 426
Net Unrealized Foreign Exchange Gain (Loss)................. -- 64 -- --
Net Unrealized Appreciation (Depreciation).................. 55 2,058 1,021 4,437
------------ ------------ ------------ ------------
NET ASSETS.................................................. $ 192,872 $ 268,729 $ 93,698 $ 116,214
============ ============ ============ ============
(1) NUMBER OF SHARES AUTHORIZED............................. 100,000,000 100,000,000 100,000,000 200,000,000
============ ============ ============ ============
See accompanying Notes to Financial Statements.
39
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS)
VA U.S. VA VA
TARGETED VA U.S. LARGE INTERNATIONAL INTERNATIONAL
VALUE VALUE VALUE SMALL
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------- ------------- ------------- -------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $2, $0, $496 and
$305, respectively).......................................... $ 3,142 $ 6,012 $ 6,075 $3,634
Income from Securities Lending................................ 203 40 151 327
------- ------- ------- ------
Total Investment Income.................................... 3,345 6,052 6,226 3,961
------- ------- ------- ------
EXPENSES
Investment Management Fees.................................... 719 600 636 688
Accounting & Transfer Agent Fees.............................. 10 13 19 18
Custodian Fees................................................ -- -- 32 74
Filing Fees................................................... 7 5 3 2
Shareholders' Reports......................................... 5 6 5 5
Directors'/Trustees' Fees & Expenses.......................... 1 2 1 1
Professional Fees............................................. 19 22 13 13
Other......................................................... 10 10 19 19
------- ------- ------- ------
Total Expenses............................................. 771 658 728 820
------- ------- ------- ------
Fees Paid Indirectly (Note C)................................. -- -- (2) (2)
------- ------- ------- ------
Net Expenses.................................................. 771 658 726 818
------- ------- ------- ------
NET INVESTMENT INCOME (LOSS).................................. 2,574 5,394 5,500 3,143
------- ------- ------- ------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**................................ 9,740 2,081 (7,136) 1,399
Foreign Currency Transactions............................... -- -- (12) 14
Forward Currency Contracts.................................. -- -- (5) 7
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. (1,884) 3,826 4,088 3,416
Translation of Foreign Currency Denominated Amounts......... -- -- (19) (13)
------- ------- ------- ------
NET REALIZED AND UNREALIZED GAIN (LOSS)....................... 7,856 5,907 (3,084) 4,823
------- ------- ------- ------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS..................................................... $10,430 $11,301 $ 2,416 $7,966
======= ======= ======= ======
----------
**Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
40
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS)
DFA VA
VIT INFLATION- GLOBAL
VA SHORT- VA GLOBAL PROTECTED MODERATE
TERM FIXED BOND SECURITIES ALLOCATION
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------- --------- -------------- ----------
INVESTMENT INCOME
Income Distributions Received from Affiliated Investment
Companies............................................................. -- -- -- $1,760
------ ------ ------ ------
Total Net Investment Income Received from Affiliated Investment
Companies.......................................................... -- -- -- 1,760
------ ------ ------ ------
Dividends.............................................................. $ 7 -- $ 1 --
Interest............................................................... 1,720 $4,758 797 --
Income from Securities Lending......................................... 6 8 -- --
------ ------ ------ ------
Total Investment Income............................................. 1,733 4,766 798 --
------ ------ ------ ------
EXPENSES
Investment Management Fees............................................. 470 560 42 262
Accounting & Transfer Agent Fees....................................... 10 14 2 1
Custodian Fees......................................................... 3 8 1 --
Filing Fees............................................................ -- 4 8 2
Shareholders' Reports.................................................. 5 6 2 3
Directors'/Trustees' Fees & Expenses................................... 1 2 -- 1
Professional Fees...................................................... 18 23 -- 8
Organizational & Offering Costs........................................ -- -- 25 --
Other.................................................................. 8 6 2 --
------ ------ ------ ------
Total Expenses...................................................... 515 623 82 277
------ ------ ------ ------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor (Note C).................................... -- -- (6) (127)
Fees Paid Indirectly (Note C).......................................... -- (7) -- --
------ ------ ------ ------
Net Expenses........................................................... 515 616 76 150
------ ------ ------ ------
NET INVESTMENT INCOME (LOSS)........................................... 1,218 4,150 722 1,610
------ ------ ------ ------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from Affiliated Investment
Companies............................................................. -- -- -- 881
Net Realized Gain (Loss) on:
Investment Securities Sold**......................................... (17) 921 57 (298)
Foreign Currency Transactions........................................ -- (4) -- --
Forward Currency Contracts........................................... -- 888 -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........................... 63 756 1,144 1,471
Forward Currency Contracts........................................... -- 51 -- --
------ ------ ------ ------
NET REALIZED AND UNREALIZED GAIN (LOSS)................................ 46 2,612 1,201 2,054
------ ------ ------ ------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.......... $1,264 $6,762 $1,923 $3,664
====== ====== ====== ======
----------
**Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
41
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
VA U.S. TARGETED VALUE VA U.S. LARGE VALUE
PORTFOLIO PORTFOLIO
--------------------- -------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2016 2015
-------- --------- -------- ---------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......................................... $ 2,574 $ 2,555 $ 5,394 $ 4,793
Net Realized Gain (Loss) on:
Investment Securities Sold*......................................... 9,740 13,276 2,081 10,551
In-Kind Redemptions................................................. -- 9,806 -- 13,445
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities............................................... (1,884) (27,037) 3,826 (24,999)
-------- --------- -------- ---------
Net Increase (Decrease) in Net Assets Resulting from Operations.... 10,430 (1,400) 11,301 3,790
-------- --------- -------- ---------
Distributions From:
Net Investment Income................................................. (2,558) (1,890) (4,847) (4,357)
Net Short-Term Gains.................................................. (2,378) -- -- (208)
Net Long-Term Gains................................................... (10,897) (9,989) (10,777) (4,141)
-------- --------- -------- ---------
Total Distributions................................................ (15,833) (11,879) (15,624) (8,706)
-------- --------- -------- ---------
Capital Share Transactions (1):
Shares Issued......................................................... 72,867 91,373 55,725 105,774
Shares Issued in Lieu of Cash Distributions........................... 15,653 11,782 15,584 8,690
Shares Redeemed....................................................... (26,251) (106,408) (29,310) (135,684)
-------- --------- -------- ---------
Net Increase (Decrease) from Capital Share Transactions............ 62,269 (3,253) 41,999 (21,220)
-------- --------- -------- ---------
Total Increase (Decrease) in Net Assets............................ 56,866 (16,532) 37,676 (26,136)
NET ASSETS..............................................................
Beginning of Year..................................................... 190,237 206,769 232,569 258,705
-------- --------- -------- ---------
End of Year........................................................... $247,103 $ 190,237 $270,245 $ 232,569
======== ========= ======== =========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued......................................................... 4,327 4,911 2,594 4,586
Shares Issued in Lieu of Cash Distributions........................... 988 685 755 398
Shares Redeemed....................................................... (1,573) (5,715) (1,375) (5,820)
-------- --------- -------- ---------
Net Increase (Decrease) from Shares Issued and Redeemed............ 3,742 (119) 1,974 (836)
======== ========= ======== =========
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)..................................................... $ 1,944 $ 1,928 $ 4,397 $ 3,919
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
42
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
VA INTERNATIONAL VALUE VA INTERNATIONAL SMALL
PORTFOLIO PORTFOLIO
--------------------- ---------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2016 2015
-------- -------- -------- --------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......................................... $ 5,500 $ 5,081 $ 3,143 $ 2,893
Net Realized Gain (Loss) on:
Investment Securities Sold*......................................... (7,136) (42) 1,399 4,134
Foreign Currency Transactions....................................... (12) (80) 14 (97)
Forward Currency Contracts.......................................... (5) -- 7 --
In-Kind Redemptions................................................. -- 5,629 -- 8,655
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.......................... 4,088 (19,075) 3,416 (10,179)
Translation of Foreign Currency Denominated Amounts................. (19) 6 (13) 5
-------- -------- -------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations.... 2,416 (8,481) 7,966 5,411
-------- -------- -------- --------
Distributions From:
Net Investment Income................................................. (4,932) (6,690) (2,717) (2,956)
Net Short-Term Gains.................................................. -- -- (204) (577)
Net Long-Term Gains................................................... -- -- (3,999) (2,383)
-------- -------- -------- --------
Total Distributions................................................ (4,932) (6,690) (6,920) (5,916)
-------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued......................................................... 45,586 80,055 36,942 60,239
Shares Issued in Lieu of Cash Distributions........................... 4,916 6,675 6,824 5,859
Shares Redeemed....................................................... (23,469) (81,281) (21,416) (73,279)
-------- -------- -------- --------
Net Increase (Decrease) from Capital Share Transactions............ 27,033 5,449 22,350 (7,181)
-------- -------- -------- --------
Total Increase (Decrease) in Net Assets............................ 24,517 (9,722) 23,396 (7,686)
NET ASSETS..............................................................
Beginning of Year..................................................... 155,251 164,973 127,813 135,499
-------- -------- -------- --------
End of Year........................................................... $179,768 $155,251 $151,209 $127,813
======== ======== ======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued......................................................... 4,391 6,499 3,283 5,097
Shares Issued in Lieu of Cash Distributions........................... 474 588 630 546
Shares Redeemed....................................................... (2,215) (6,471) (1,888) (6,142)
-------- -------- -------- --------
Net Increase (Decrease) from Shares Issued and Redeemed............ 2,650 616 2,025 (499)
======== ======== ======== ========
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)..................................................... $ 5,031 $ 4,467 $ 2,439 $ 1,910
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
43
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
VA SHORT-TERM FIXED VA GLOBAL BOND VIT INFLATION-PROTECTED
PORTFOLIO PORTFOLIO SECURITIES PORTFOLIO
------------------ ------------------ ----------------------
PERIOD
MAY 29,
YEAR YEAR YEAR YEAR YEAR 2015(A)
ENDED ENDED ENDED ENDED ENDED TO
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2016 2015 2016 2015
-------- -------- -------- -------- -------- --------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)........................ $ 1,218 $ 498 $ 4,150 $ 3,644 $ 722 $ 52
Capital Gain Distributions Received from
Investment Securities.............................. -- -- -- -- -- --
Net Realized Gain (Loss) on:
Investment Securities Sold*....................... (17) 176 921 (53) 57 (3)
Foreign Currency Transactions..................... -- -- (4) 960 -- --
Forward Currency Contracts........................ -- -- 888 -- -- --
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign Currency........ 63 (76) 756 671 1,144 (123)
Translation of Foreign Currency Denominated
Amounts.......................................... -- -- -- (91) -- --
Forward Currency Contracts........................ -- -- 51 -- -- --
-------- -------- -------- -------- ------- -------
Net Increase (Decrease) in Net Assets
Resulting from Operations....................... 1,264 598 6,762 5,131 1,923 (74)
-------- -------- -------- -------- ------- -------
Distributions From:
Net Investment Income............................... (573) (318) (3,687) (4,456) (55) --
Net Short-Term Gains................................ (130) (26) (194) (95) -- --
Net Long-Term Gains................................. (45) (69) (786) (237) -- --
-------- -------- -------- -------- ------- -------
Total Distributions.............................. (748) (413) (4,667) (4,788) (55) --
-------- -------- -------- -------- ------- -------
Capital Share Transactions (1):
Shares Issued....................................... 54,107 49,799 69,815 65,710 82,620 16,841
Shares Issued in Lieu of Cash Distributions......... 746 413 4,612 4,743 55 --
Shares Redeemed..................................... (49,291) (53,319) (42,875) (42,735) (7,224) (388)
-------- -------- -------- -------- ------- -------
Net Increase (Decrease) from Capital Share
Transactions.................................... 5,562 (3,107) 31,552 27,718 75,451 16,453
-------- -------- -------- -------- ------- -------
Total Increase (Decrease) in Net Assets.......... 6,078 (2,922) 33,647 28,061 77,319 16,379
NET ASSETS
Beginning of Year................................... 186,794 189,716 235,082 207,021 16,379 --
-------- -------- -------- -------- ------- -------
End of Year......................................... $192,872 $186,794 $268,729 $235,082 $93,698 $16,379
======== ======== ======== ======== ======= =======
(1) SHARES ISSUED AND REDEEMED:
Shares Issued....................................... 5,295 4,877 6,401 6,059 8,131 1,717
Shares Issued in Lieu of Cash Distributions......... 73 41 432 442 6 --
Shares Redeemed..................................... (4,825) (5,222) (3,919) (3,939) (716) (40)
-------- -------- -------- -------- ------- -------
Net Increase (Decrease) from Shares Issued and
Redeemed......................................... 543 (304) 2,914 2,562 7,421 1,677
======== ======== ======== ======== ======= =======
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME).............................................. $ 1,069 $ 424 $ 3,807 $ 2,980 $ 719 $ 52
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
44
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA VA GLOBAL MODERATE
ALLOCATION PORTFOLIO
---------------------
YEAR YEAR
ENDED ENDED
OCT. 31, OCT. 31,
2016 2015
-------- --------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)......................................................... $ 1,610 $ 1,290
Capital Gain Distributions Received from Affiliated Investment Companies............. 881 215
Net Realized Gain (Loss) on:
Investment Securities Sold*........................................................ (298) (137)
Foreign Currency Transactions...................................................... -- --
Forward Currency Contracts......................................................... -- --
Change in Unrealized Appreciation (Depreciation) of:
Affiliated Investment Companies Shares............................................. 1,471 (1,730)
Translation of Foreign Currency Denominated Amounts................................ -- --
Forward Currency Contracts......................................................... -- --
-------- -------
Net Increase (Decrease) in Net Assets Resulting from Operations................... 3,664 (362)
-------- -------
Distributions From:
Net Investment Income................................................................ (1,376) (1,073)
Net Short-Term Gains................................................................. -- (1)
Net Long-Term Gains.................................................................. (196) (271)
-------- -------
Total Distributions............................................................... (1,572) (1,345)
-------- -------
Capital Share Transactions (1):
Shares Issued........................................................................ 20,071 38,872
Shares Issued in Lieu of Cash Distributions.......................................... 1,572 1,346
Shares Redeemed...................................................................... (6,408) (4,621)
-------- -------
Net Increase (Decrease) from Capital Share Transactions........................... 15,235 35,597
-------- -------
Total Increase (Decrease) in Net Assets........................................... 17,327 33,890
NET ASSETS
Beginning of Period.................................................................. 98,887 64,997
-------- -------
End of Period........................................................................ $116,214 $98,887
======== =======
(1) SHARES ISSUED AND REDEEMED:
Shares Issued...................................................................... 1,817 3,463
Shares Issued in Lieu of Cash Distributions........................................ 146 124
Shares Redeemed.................................................................... (583) (413)
-------- -------
Net Increase (Decrease) from Shares Issued and Redeemed........................... 1,380 3,174
======== =======
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME). $ 869 $ 621
----------
Seepage 1 for the Definitions of Abbreviations and Footnotes.
* Net of foreign capital gain taxes withheld of $0 and $0, respectively.
See accompanying Notes to Financial Statements.
45
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
VA U.S. TARGETED VALUE PORTFOLIO
-------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year.................................... $ 17.94 $ 19.28 $ 17.63 $ 12.58 $ 10.95
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)..................................... 0.21 0.23 0.17 0.19 0.12
Net Gains (Losses) on Securities (Realized and Unrealized)........... 0.54 (0.44) 1.62 5.05 1.60
-------- -------- -------- -------- --------
Total from Investment Operations................................... 0.75 (0.21) 1.79 5.24 1.72
--------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................................................ (0.24) (0.18) (0.14) (0.19) (0.09)
Net Realized Gains................................................... (1.22) (0.95) -- -- --
-------- -------- -------- -------- --------
Total Distributions................................................ (1.46) (1.13) (0.14) (0.19) (0.09)
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year.......................................... $ 17.23 $ 17.94 $ 19.28 $ 17.63 $ 12.58
===================================================================== ======== ======== ======== ======== ========
Total Return.......................................................... 4.87% (0.80)% 10.19% 42.19% 15.82%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)................................... $247,103 $190,237 $206,769 $161,321 $102,845
Ratio of Expenses to Average Net Assets............................... 0.38% 0.39% 0.37% 0.39% 0.41%
Ratio of Net Investment Income to Average Net Assets.................. 1.25% 1.27% 0.93% 1.28% 1.00%
Portfolio Turnover Rate............................................... 33% 33% 21% 15% 21%
--------------------------------------------------------------------------------------------------------------------------
VA U.S. LARGE VALUE PORTFOLIO
------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year.................................... $ 22.83 $ 23.47 $ 22.58 $ 16.90 $ 14.60
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)..................................... 0.48 0.46 0.39 0.35 0.30
Net Gains (Losses) on Securities (Realized and Unrealized)........... 0.43 (0.24) 2.67 5.64 2.26
-------- -------- -------- -------- --------
Total from Investment Operations................................... 0.91 0.22 3.06 5.99 2.56
------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................................................ (0.47) (0.43) (0.32) (0.31) (0.26)
Net Realized Gains................................................... (1.05) (0.43) (1.85) -- --
-------- -------- -------- -------- --------
Total Distributions................................................ (1.52) (0.86) (2.17) (0.31) (0.26)
------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year.......................................... $ 22.22 $ 22.83 $ 23.47 $ 22.58 $ 16.90
===================================================================== ======== ======== ======== ======== ========
Total Return.......................................................... 4.52% 1.07% 14.73% 36.04% 17.87%
------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)................................... $270,245 $232,569 $258,705 $200,123 $151,046
Ratio of Expenses to Average Net Assets............................... 0.27% 0.29% 0.27% 0.28% 0.30%
Ratio of Net Investment Income to Average Net Assets.................. 2.25% 2.00% 1.71% 1.78% 1.92%
Portfolio Turnover Rate............................................... 15% 31% 19% 29% 12%
------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
46
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
VA INTERNATIONAL VALUE PORTFOLIO
-------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year....................................... $ 11.44 $ 12.74 $ 13.22 $ 10.82 $ 10.87
-------- -------- -------- -------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)....................................... 0.36 0.37 0.55 0.34 0.37
Net Gains (Losses) on Securities (Realized and Unrealized)............. (0.36) (1.17) (0.71) 2.41 (0.02)
-------- -------- -------- -------- -------
Total from Investment Operations...................................... -- (0.80) (0.16) 2.75 0.35
-----------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................................................. (0.36) (0.50) (0.32) (0.35) (0.40)
Net Realized Gains..................................................... -- -- -- -- --
-------- -------- -------- -------- -------
Total Distributions................................................... (0.36) (0.50) (0.32) (0.35) (0.40)
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year............................................. $ 11.08 $ 11.44 $ 12.74 $ 13.22 $ 10.82
========================================================================= ======== ======== ======== ======== ========
Total Return............................................................. 0.19% (6.26)% (1.16)% 26.10% 3.57%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)...................................... $179,768 $155,251 $164,973 $137,908 $99,157
Ratio of Expenses to Average Net Assets.................................. 0.46% 0.47% 0.46% 0.47% 0.50%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly). 0.46% 0.47% 0.46% 0.47% 0.50%
Ratio of Net Investment Income to Average Net Assets..................... 3.46% 3.01% 4.16% 2.90% 3.56%
Portfolio Turnover Rate.................................................. 15% 20% 16% 14% 17%
-----------------------------------------------------------------------------------------------------------------------------
VA INTERNATIONAL SMALL PORTFOLIO
------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
---------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year....................................... $ 11.67 $ 11.83 $ 12.55 $ 10.02 $ 10.20
-------- -------- -------- -------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)....................................... 0.26 0.25 0.25 0.26 0.24
Net Gains (Losses) on Securities (Realized and Unrealized)............. 0.34 0.09 (0.33) 2.69 0.28
-------- -------- -------- -------- -------
Total from Investment Operations...................................... 0.60 0.34 (0.08) 2.95 0.52
---------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................................................. (0.24) (0.25) (0.27) (0.25) (0.31)
Net Realized Gains..................................................... (0.38) (0.25) (0.37) (0.17) (0.39)
-------- -------- -------- -------- -------
Total Distributions................................................... (0.62) (0.50) (0.64) (0.42) (0.70)
---------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year............................................. $ 11.65 $ 11.67 $ 11.83 $ 12.55 $ 10.02
========================================================================= ======== ======== ======== ======== ========
Total Return............................................................. 5.54% 3.28% (0.59)% 30.50% 6.05%
---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)...................................... $151,209 $127,813 $135,499 $119,927 $86,604
Ratio of Expenses to Average Net Assets.................................. 0.60% 0.61% 0.59% 0.65% 0.63%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly). 0.60% 0.61% 0.59% 0.65% 0.63%
Ratio of Net Investment Income to Average Net Assets..................... 2.29% 2.13% 1.99% 2.36% 2.51%
Portfolio Turnover Rate.................................................. 12% 25% 8% 12% 13%
---------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
47
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
VA SHORT-TERM FIXED PORTFOLIO
------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
-------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year.................................... $ 10.23 $ 10.22 $ 10.23 $ 10.26 $ 10.25
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)..................................... 0.07 0.03 0.02 0.03 0.04
Net Gains (Losses) on Securities (Realized and Unrealized)........... (0.01) 0.01 0.01 -- 0.04
-------- -------- -------- -------- --------
Total from Investment Operations................................... 0.06 0.04 0.03 0.03 0.08
-------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................................................ (0.03) (0.02) (0.03) (0.04) (0.04)
Net Realized Gains................................................... (0.01) (0.01) (0.01) (0.02) (0.03)
-------- -------- -------- -------- --------
Total Distributions................................................ (0.04) (0.03) (0.04) (0.06) (0.07)
-------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year.......................................... $ 10.25 $ 10.23 $ 10.22 $ 10.23 $ 10.26
===================================================================== ======== ======== ======== ======== ========
Total Return.......................................................... 0.60% 0.34% 0.25% 0.35% 0.73%
-------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)................................... $192,872 $186,794 $189,716 $137,906 $112,040
Ratio of Expenses to Average Net Assets............................... 0.27% 0.28% 0.27% 0.29% 0.30%
Ratio of Net Investment Income to Average Net Assets.................. 0.65% 0.28% 0.20% 0.32% 0.42%
Portfolio Turnover Rate............................................... 50% 105% 70% 55% 85%
-------------------------------------------------------------------------------------------------------------------------
VA GLOBAL BOND PORTFOLIO
------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year.................................... $ 10.93 $ 10.92 $ 10.92 $ 11.18 $ 11.28
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)..................................... 0.18 0.17 0.15 0.11 0.18
Net Gains (Losses) on Securities (Realized and Unrealized)........... 0.11 0.09 0.05 (0.04) 0.25
-------- -------- -------- -------- --------
Total from Investment Operations................................... 0.29 0.26 0.20 0.07 0.43
------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................................................ (0.17) (0.23) (0.05) (0.18) (0.30)
Net Realized Gains................................................... (0.05) (0.02) (0.15) (0.15) (0.23)
-------- -------- -------- -------- --------
Total Distributions................................................ (0.22) (0.25) (0.20) (0.33) (0.53)
------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year.......................................... $ 11.00 $ 10.93 $ 10.92 $ 10.92 $ 11.18
===================================================================== ======== ======== ======== ======== ========
Total Return.......................................................... 2.68% 2.40% 1.90% 0.63% 3.97%
------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)................................... $268,729 $235,082 $207,021 $167,293 $141,190
Ratio of Expenses to Average Net Assets............................... 0.24% 0.26% 0.25% 0.27% 0.29%
Ratio of Net Investment Income to Average Net Assets.................. 1.63% 1.61% 1.37% 1.04% 1.61%
Portfolio Turnover Rate............................................... 47% 54% 75% 73% 63%
------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
48
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
VIT INFLATION-PROTECTED SECURITIES PORTFOLIO
-----------------------------------
PERIOD
YEAR MAY 29,
ENDED 2015(A)
OCT. 31, TO
2016 OCT. 31, 2015
---------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period........................................ $ 9.77 $ 10.00
------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).......................................... 0.17 0.05
Net Gains (Losses) on Securities (Realized and Unrealized)................ 0.39 (0.28)
------- -------
Total from Investment Operations......................................... 0.56 (0.23)
---------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income..................................................... (0.03) --
Net Realized Gains........................................................ -- --
------- -------
Total Distributions...................................................... (0.03) --
---------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.............................................. $ 10.30 $ 9.77
============================================================================ ================== ======================
Total Return................................................................ 5.79% (2.30)%(D)
---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)....................................... $93,698 $16,379
Ratio of Expenses to Average Net Assets..................................... 0.18% 0.18%(C)(E)
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees Recovered by Advisor)........... 0.19% 0.88%(C)(E)
Ratio of Net Investment Income to Average Net Assets........................ 1.72% 1.29%(C)(E)
Portfolio Turnover Rate..................................................... 21% 4%(D)
---------------------------------------------------------------------------------------------------------------------------
DFA VA GLOBAL MODERATE ALLOCATION PORTFOLIO
--------------------------------------------
PERIOD
YEAR YEAR YEAR APRIL 8,
ENDED ENDED ENDED 2013(A)
OCT. 31, OCT. 31, OCT. 31, TO
2016 2015 2014 OCT. 31, 2013
-----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period........................................ $ 11.12 $ 11.37 $ 10.91 $ 10.00
-------- ------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).......................................... 0.17 0.18 0.14 0.07
Net Gains (Losses) on Securities (Realized and Unrealized)................ 0.20 (0.22) 0.49 0.84
-------- ------- ------- -------
Total from Investment Operations......................................... 0.37 (0.04) 0.63 0.91
-----------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income..................................................... (0.15) (0.17) (0.14) --
Net Realized Gains........................................................ (0.02) (0.04) (0.03) --
-------- ------- ------- -------
Total Distributions...................................................... (0.17) (0.21) (0.17) --
-----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.............................................. $ 11.32 $ 11.12 $ 11.37 $ 10.91
============================================================================ ======== ======== ======== =============
Total Return................................................................ 3.44% (0.23)% 5.87% 9.10%(D)
-----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)....................................... $116,214 $98,887 $64,997 $40,483
Ratio of Expenses to Average Net Assets..................................... 0.40% 0.40%(B) 0.40%(B) 0.40%(B)(C)(E)
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees Recovered by Advisor)........... 0.52% 0.54%(B) 0.66%(B) 0.93%(B)(C)(E)
Ratio of Net Investment Income to Average Net Assets........................ 1.54% 1.56%(B) 1.27%(B) 1.12%(B)(C)(E)
Portfolio Turnover Rate..................................................... N/A N/A N/A N/A
-----------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
49
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered without a sales charge, to institutional
investors, retirement plans and clients of registered investment advisors. The
Fund consists of ninety-five operational portfolios, eight of which (the
"Portfolios") are included in this report. The remaining eighty-seven are
presented in separate reports. The Portfolios are only available through a
select group of insurance products. The Portfolios are investment companies
and, accordingly, follow the accounting and reporting guidance under Financial
Accounting Standards Board ("FASB") Accounting Standards Certification ("ASC")
Topic 946, "Financial Services-Investment Companies."
DFA VA Global Moderate Allocation Portfolio invests in eleven portfolios
within the Fund (the "Master Funds").
PERCENTAGE
OWNERSHIP
AT OCTOBER 31,
FUND OF FUNDS 2016
------------- - --------------
DFA VA Global Moderate Allocation Portfolio U.S. Core Equity 1 Portfolio --*
U.S. Core Equity 2 Portfolio --*
International Core Equity Portfolio --*
Emerging Markets Core Equity Portfolio --*
DFA Two-Year Global Fixed Income Portfolio --*
DFA Selectively Hedged Global Fixed Income 1%
Portfolio
VA U.S. Large Value Portfolio 1%
VA International Value Portfolio 1%
DFA Real Estate Securities Portfolio --*
VA Short-Term Fixed Portfolio 3%
VA Global Bond Portfolio 5%
* Amounts designated as -- are less than 1%.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
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)
50
Securities held by VA U.S. Targeted Value Portfolio and VA U.S. Large Value
Portfolio (the "Domestic Equity Portfolios") and by VA International Value
Portfolio and VA International Small 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 management 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.
Debt securities held by VA Short-Term Fixed Portfolio, VA Global Bond
Portfolio and VIT Inflation-Protected Securities Portfolio (the "Fixed Income
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
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.
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.
51
Shares held by the DFA VA Global Moderate Allocation Portfolio of the Master
Funds, which are treated as regulated investment companies, and the shares held
by the Portfolios in other investment companies, are valued at their respective
daily net asset values as reported by their administrator. These securities 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. Valuation hierarchy tables have 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 year ended October 31, 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 and VA Global Bond Portfolio
whose values are initially expressed in foreign currencies are translated to
U.S. dollars using the mean between the most recent bid and asked prices for
the U.S. dollar as quoted by generally recognized reliable sources. Dividend
and interest income and certain expenses are translated to U.S. dollars at the
rate of exchange on their respective accrual dates. Receivables and payables
denominated in foreign currencies are marked-to-market daily based on daily
exchange rates and exchange gains or losses are realized upon ultimate receipt
or disbursement. The VA Global Bond Portfolio also enters 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 VA
Global Bond Portfolio does 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 and VA Global Bond Portfolio and the U.S.
dollar equivalent amounts actually received or paid.
3. TREASURY INFLATION-PROTECTED SECURITIES (TIPS): Inflation-protected
securities (also known as inflation-indexed securities) are securities whose
principal and/or interest payments are adjusted for inflation, unlike
conventional debt securities that make fixed principal and interest payments.
Inflation-protected securities include Treasury Inflation-Protected Securities
("TIPS"), which are securities issued by the U.S. Treasury. The principal value
of TIPS is adjusted for inflation (payable at maturity) and the semi-annual
interest payments by TIPS equal a fixed percentage of the inflation-adjusted
principal amount. These inflation adjustments are based upon the Consumer Price
Index for Urban Consumers (CPI-U). The original principal value of TIPS is
guaranteed, even during period of deflation. At maturity, TIPS are redeemed at
the greater of their inflation-adjusted principal or par amount at original
issue. Other types of inflation-protected securities may use other methods to
adjust for inflation and other measures of inflation. In addition,
inflation-protected securities issued by entities other than the U.S. Treasury
may not provide a guarantee of principal value at maturity.
4. 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.
52
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 October 31, 2016, none of the Directors
have requested or received a distribution of proceeds of a deferred fee account.
5. 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. 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.
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.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolios. For the year ended October 31, 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:
VA U.S. Targeted Value Portfolio............. 0.35%
VA U.S. Large Value Portfolio................ 0.25%
VA International Value Portfolio............. 0.40%
VA International Small Portfolio............. 0.50%
VA Short-Term Fixed Portfolio................ 0.25%
VA Global Bond Portfolio..................... 0.22%*
VIT Inflation-Protected Securities Portfolio. 0.10%
DFA VA Global Moderate Allocation Portfolio.. 0.25%
* The VA Global Bond Portfolio's investment management fees are based on an
effective annual rate of 0.25% of the first $100 million of average daily net
assets and 0.20% of average daily net assets exceeding $100 million.
Pursuant to a 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 VIT
Inflation-Protected Securities Portfolio and DFA VA Global Moderate Allocation
Portfolio, as described in the notes below. The Fee Waiver Agreements for the
VIT Inflation-Protected Securities Portfolio and DFA VA Global Moderate
Allocation 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 Agreements shall continue in effect from year to year
53
thereafter unless terminated by the Fund or the Advisor. For the year ended
October 31, 2016, the Portfolios had the expense limits listed below based on a
percentage of average net assets on an annualized basis. Previously waived fees
subject to future recovery by the Advisor are 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 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
-------------------------- ----------------- ------------- -----------------
VIT Inflation-Protected Securities Portfolio (1). 0.18% 19 $ 34
DFA VA Global Moderate Allocation Portfolio (2).. 0.40% -- 357
(1) The Advisor has contractually agreed to waive all or a portion of its
management fee and to assume the ordinary operating expenses of a class of the
Portfolio (excluding the expenses that the Portfolio incurs indirectly 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 Portfolio's average net assets on
an annualized basis (the "Expense Limitation Amount"). At any time that the
Portfolio Expenses are less than the Expense Limitation Amount, 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.
(2) The Advisor has agreed to waive all or a portion of its management fee
and to assume the expenses of the Institutional Class shares of the Portfolio
(including the expenses that the Portfolio bears as a shareholder of other
funds managed by the Advisor but excluding the expenses that the Portfolio
incurs indirectly through its investment in unaffiliated investment companies)
("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses
of the Institutional Class shares of the Portfolio, on an annualized basis, to
the rate listed above as a percentage of the Portfolio's average net assets
(the "Expense Limitation Amount"). At any time that the Portfolio Expenses of
the Institutional Class shares of the Portfolio are less than the Expense
Limitation Amount, 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
of such class of shares to exceed the Expense Limitation Amount.
EARNED INCOME CREDIT:
In addition, the Portfolios have entered into arrangements with their
custodian whereby net interest earned on uninvested cash balances was used to
reduce a portion of the Portfolios' custody expenses. Custody expense in the
accompanying financial statements is presented before reduction for credits.
The impact of such credits is generally less than one basis point of each
Portfolio's net assets. During the year ended October 31, 2016, expenses
reduced were as follows (amounts in thousands):
FEES PAID
INDIRECTLY
----------
VA International Value Portfolio. $2
VA International Small Portfolio. 2
VA Global Bond Portfolio......... 7
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 year ended October 31, 2016, the total related amounts paid by the Fund
to the CCO were $291 (in thousands). The total related amounts paid by each of
the Portfolios are included in Other Expenses on the Statement of Operations.
54
D. DEFERRED COMPENSATION:
At October 31, 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):
VA U.S. Targeted Value Portfolio............. $ 5
VA U.S. Large Value Portfolio................ 6
VA International Value Portfolio............. 5
VA International Small Portfolio............. 4
VA Short-Term Fixed Portfolio................ 5
VA Global Bond Portfolio..................... 6
VIT Inflation-Protected Securities Portfolio. --
DFA VA Global Moderate Allocation Portfolio.. 1
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 2016, the Portfolios made the following
purchases and sales of investment securities, other than short-term securities
(amounts in thousands):
U.S. GOVERNMENT SECURITIES OTHER INVESTMENT SECURITIES
--------------------------- ----------------------------
PURCHASES SALES PURCHASES SALES
--------- ------- --------- --------
VA U.S. Targeted Value Portfolio............. -- -- $117,692 $ 68,996
VA U.S. Large Value Portfolio................ -- -- 72,301 35,401
VA International Value Portfolio............. -- -- 51,448 23,940
VA International Small Portfolio............. -- -- 33,003 15,891
VA Short-Term Fixed Portfolio................ $24,010 $34,482 102,175 48,762
VA Global Bond Portfolio..................... 5,203 5,250 150,547 111,361
VIT Inflation-Protected Securities Portfolio. 80,903 8,800 -- --
For the year ended October 31, 2016, DFA VA Global Moderate Allocation
Portfolio transactions related to Affiliated Investment Companies were as
follows (amounts in thousands):
DFA VA GLOBAL MODERATE ALLOCATION PORTFOLIO
----------------------------------------------------------------
BALANCE AT BALANCE AT DIVIDEND DISTRIBUTIONS OF
AFFILIATED INVESTMENT COMPANIES 10/31/2015 10/31/2016 PURCHASES SALES INCOME REALIZED GAINS
------------------------------- ---------- ---------- --------- ------ -------- ----------------
U.S. Core Equity 2 Portfolio........... $30,228 $ 34,762 $ 6,153 $1,731 $ 570 $594
International Core Equity Portfolio.... 14,054 16,263 2,691 438 371 --
VA Global Bond Portfolio............... 12,325 14,545 3,328 1,200 194 52
DFA Selectively Hedged Global Fixed
Income Portfolio..................... 12,308 14,542 2,866 1,076 136 --
U.S. Core Equity 1 Portfolio........... 10,839 12,426 1,686 211 206 129
DFA Two-Year Global Fixed Income
Portfolio............................ 4,900 5,831 1,227 313 26 --
VA Short-Term Fixed Portfolio.......... 4,900 5,825 1,221 308 15 5
Emerging Markets Core Equity Portfolio. 4,129 5,694 1,125 11 99 --
VA U.S. Large Value Portfolio.......... 2,191 2,495 361 18 46 101
DFA Real Estate Securities Portfolio... 1,449 1,882 394 5 47 --
VA International Value Portfolio....... 1,575 1,832 317 31 50 --
------- -------- ------- ------ ------ ----
Total.................................. $98,898 $116,097 $21,369 $5,342 $1,760 $881
======= ======== ======= ====== ====== ====
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
55
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, 2016, primarily attributable to realized gains on
securities considered to be "passive foreign investment companies", 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)
--------------- -------------- --------------
VA U.S. Targeted Value Portfolio............. -- -- --
VA U.S. Large Value Portfolio................ -- $(69) $ 69
VA International Value Portfolio............. -- (4) 4
VA International Small Portfolio............. $22 103 (125)
VA Short-Term Fixed Portfolio................ -- -- --
VA Global Bond Portfolio..................... -- 364 (364)
VIT Inflation-Protected Securities Portfolio. -- -- --
DFA VA Global Moderate Allocation Portfolio.. -- 14 (14)
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2015 and October 31, 2016 were as follows (amounts
in thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- -------
VA U.S. Targeted Value Portfolio
2015......................................... $1,890 $ 9,989 $11,879
2016......................................... 4,936 10,897 15,833
VA U.S. Large Value Portfolio
2015......................................... 4,565 4,140 8,705
2016......................................... 4,847 10,777 15,624
VA International Value Portfolio
2015......................................... 6,690 -- 6,690
2016......................................... 4,932 -- 4,932
VA International Small Portfolio
2015......................................... 3,533 2,383 5,916
2016......................................... 2,921 3,999 6,920
VA Short-Term Fixed Portfolio
2015......................................... 345 69 414
2016......................................... 702 45 747
VA Global Bond Portfolio
2015......................................... 4,551 237 4,788
2016......................................... 3,881 786 4,667
VIT Inflation-Protected Securities Portfolio
2015......................................... -- -- --
2016......................................... 55 -- 55
DFA VA Global Moderate Allocation Portfolio
2015......................................... 1,074 271 1,345
2016......................................... 1,376 196 1,572
56
At October 31, 2016, 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)
-------------- ------------- ------------- -------------- -------------
VA U.S. Targeted Value Portfolio... $3,261 $8,434 -- $ 10,709 $ 22,404
VA U.S. Large Value Portfolio...... 4,402 2,097 -- 53,525 60,024
VA International Value Portfolio... 5,198 -- $(9,448) (15,329) (19,579)
VA International Small Portfolio... 4,330 293 -- 618 5,241
VA Short-Term Fixed Portfolio...... 1,075 -- (17) 55 1,113
VA Global Bond Portfolio........... 3,976 1,280 -- 2,121 7,377
VIT Inflation-Protected Securities
Portfolio........................ 774 10 -- 1,010 1,794
DFA VA Global Moderate Allocation
Portfolio........................ 869 842 -- 4,021 5,732
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, 2016, 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 UNLIMITED TOTAL
------ --------- ------
VA U.S. Targeted Value Portfolio............. -- -- --
VA U.S. Large Value Portfolio................ -- -- --
VA International Value Portfolio............. $2,412 $7,036 $9,448
VA International Small Portfolio............. -- -- --
VA Short-Term Fixed Portfolio................ -- 17 17
VA Global Bond Portfolio..................... -- -- --
VIT Inflation-Protected Securities Portfolio. -- -- --
DFA VA Global Moderate Allocation Portfolio.. -- -- --
During the year ended October 31, 2016, The Portfolios utilized the
following capital loss carryforwards to offset realized capital gains for
federal income tax purposes (amounts in thousands):
VIT Inflation-Protected Securities Portfolio. $3
At October 31, 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)
----------- ------------ ------------ --------------
VA U.S. Targeted Value Portfolio............. $295,262 $37,477 $(26,767) $ 10,710
VA U.S. Large Value Portfolio................ 234,211 61,717 (8,192) 53,525
VA International Value Portfolio............. 200,589 13,664 (28,971) (15,307)
VA International Small Portfolio............. 162,682 28,102 (27,469) 633
VA Short-Term Fixed Portfolio................ 194,673 143 (88) 55
VA Global Bond Portfolio..................... 263,644 2,392 (335) 2,057
VIT Inflation-Protected Securities Portfolio. 89,303 1,010 -- 1,010
DFA VA Global Moderate Allocation Portfolio.. 112,231 4,509 (488) 4,021
57
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. FINANCIAL INSTRUMENTS:
In accordance with the Portfolios' investment objectives and policies, the
Portfolios may invest in certain financial instruments that have off-balance
sheet risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. FOREIGN MARKET RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States of America, including the possibility of future political and
economic developments and the level of foreign governmental supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of securities held
by the Portfolios may be inhibited.
2. INFLATION PROTECTION RISKS: Because the interest and/or principal
payments on an inflation-protected security are adjusted periodically for
changes in inflation, the income distributed by the Inflation-Protected
Portfolio may be irregular. Although the U.S. Treasury guarantees to pay at
least the original face value of any inflation-protected securities the
Treasury issues, other issuers may not offer the same guarantee. Also,
inflation-protected securities, including those issued by the U.S. Treasury,
are not protected against deflation. As a result, in a period of deflation, the
principal and income of inflation-protected securities held by the Portfolio
will decline and the Portfolio may suffer a loss during such periods. While
inflation-protected securities are expected to be protected from long-term
inflationary trends, short-term increases in inflation may lead to a decline in
the Portfolio's value. For example, if interest rates rise due to reasons other
than inflation, the Portfolio's investment in these securities may not be
protected to the extent that the increase is not reflected in the securities'
inflation measures. In addition, positive adjustments to principal generally
will result in taxable income to the Portfolio at the time of such adjustments
(which generally would be distributed by the Portfolio as part of its taxable
dividends), even though the principal amount is not paid until maturity. The
current market value of inflation-protected securities is not guaranteed and
will fluctuate.
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Portfolios.
3. FORWARD CURRENCY CONTRACTS: The International Equity Portfolios may
acquire and sell forward currency contracts in connection with the purchase or
sale of foreign equity securities, typically to "lock in" the value of the
transaction with respect to a different currency. In addition, the
International Equity Portfolios may, from time to time, enter into forward
currency contracts to transfer balances from one currency to another currency.
The VA Global Bond Portfolio may enter into forward currency contracts only to
hedge against adverse changes in the relationship of the U.S. dollar to foreign
currencies (foreign exchange rate risk) or to transfer balances from one
currency to another currency. 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
58
gain or loss on foreign currency transactions. At October 31, 2016, the VA
Global Bond Portfolio had entered into the following contracts and the net
unrealized foreign exchange gain (loss) is reflected in the accompanying
financial statements (amounts in thousands):
VA GLOBAL BOND PORTFOLIO
UNREALIZED
VALUE AT FOREIGN
SETTLEMENT CURRENCY CONTRACT OCTOBER 31, EXCHANGE
DATE AMOUNT* CURRENCY COUNTERPARTY AMOUNT 2016 GAIN (LOSS)
---------- -------- ---------------- ---------------------- -------- ----------- -----------
11/14/16 (1,993) Singapore Dollar Morgan Stanley and Co. $(1,467) $(1,433) $34
11/14/16 (2,114) Singapore Dollar ANZ Securities (1,549) (1,519) 30
------- ------- ---
$(3,016) $(2,952) $64
======= ======= ===
* Positive Currency Amount represents a purchase contract and a Currency Amount
in parentheses represents a sale contract.
The average volume (based on the open positions at each fiscal month-end) of
derivative activity for the year ended October 31, 2016 (amounts in thousands):
FORWARD
CURRENCY
CONTRACTS
---------
VA International Value Portfolio*. $ 71
VA International Small Portfolio*. 21
VA Global Bond Portfolio.......... 12,520
* The Portfolio had derivative activity during the period but it did not have
open forward currency contract positions at October 31, 2016.
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 and are generally limited to unrealized appreciation, if any, on the
contracts.
The following is a summary of the location of derivatives on the Portfolio's
Statement of Assets and Liabilities as of October 31, 2016:
LOCATION ON THE
STATEMENT OF ASSETS AND
LIABILITIES
------------------------
DERIVATIVE TYPE ASSET DERIVATIVES
--------------- ------------------------
Foreign exchange Unrealized Gain on
contracts Forward Currency
Contracts
The following is a summary of the VA Global Bond Portfolio's derivative
instrument holdings categorized by primary risk exposure as of October 31, 2016
(amounts in thousands):
ASSET DERIVATIVES VALUE
--------------------------
TOTAL VALUE FOREIGN
AT EXCHANGE
OCTOBER 31, 2016 CONTRACTS
---------------- ---------
VA Global Bond Portfolio. $64 $64
The following is a summary of the location on the Portfolios' Statement of
Operations of realized and change in unrealized gains and losses from the
Portfolio's derivative instrument holdings through the year ended October 31,
2016:
DERIVATIVE TYPE LOCATION OF GAIN (LOSS) ON DERIVATIVES
--------------- --------------------------------------
Foreign exchange contracts Net Realized Gain (Loss) on: Foreign Currency Contracts
Change in Unrealized Appreciation (Depreciation) of:
Forward Currency Contracts
59
The following is a summary of the realized and change in unrealized gains
and losses from the Portfolios' derivative instrument holdings categorized by
primary risk exposure through the year ended October 31, 2016 (amounts in
thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
-----------------------------
FOREIGN EXCHANGE
TOTAL CONTRACTS
----- ----------------
VA International Value Portfolio. $ (5) $ (5)
VA International Small Portfolio. 7 7
VA Global Bond Portfolio......... 888 888
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES
-----------------------------
FOREIGN EXCHANGE
TOTAL CONTRACTS
----- ----------------
VA Global Bond Portfolio......... $ 51 $ 51
OFFSETTING OF DERIVATIVE ASSETS AND DERIVATIVE LIABILITIES
In order to better define its contractual rights and to secure rights that
will help the Fund mitigate its counterparty risk, the Fund entered into an
International Swaps and Derivatives Association, Inc. Master Agreement (ISDA
Master Agreement) or a similar agreement with certain of its derivative
contract counterparties. An ISDA Master Agreement is a bilateral agreement
between the Fund and a counterparty that governs over-the-counter (OTC)
derivatives and foreign exchange contracts and typically contains, among other
things, provisions in the event of a default and/or termination event and may
also include collateral posting items. Under an ISDA Master Agreement, the Fund
may, under certain circumstances, offset with the counterparty certain
derivative financial instruments' payables and/or receivables with collateral
held and/or posted, if any, and create one single net payment. The provisions
of the ISDA Master Agreement typically permit a single net payment in the event
of default (close-out), including the bankruptcy or insolvency of the
counterparty. However, bankruptcy or insolvency laws of a particular
jurisdiction may impose restrictions on or prohibitions against the right of
offset in bankruptcy, insolvency, or other events.
For financial reporting purposes, the Fund does not offset derivative assets
and derivative liabilities that are subject to netting arrangements in the
"Statement of assets and liabilities."
The following table presents the VA Global Bond Portfolio's gross and net
amount of assets and liabilities available for offset under netting
arrangements as well as any related collateral received or pledged by the
Portfolio as of October 31, 2016 (amounts in thousands):
NET NET
AMOUNTS AMOUNTS
OF GROSS AMOUNTS NOT OF GROSS AMOUNTS NOT
ASSETS OFFSET IN THE LIABILITIES OFFSET IN THE
PRESENTED STATEMENTS OF ASSETS PRESENTED STATEMENTS OF ASSETS
GROSS IN THE AND LIABILITIES GROSS IN THE AND LIABILITIES
AMOUNTS OF STATEMENTS ---------------------- AMOUNTS OF STATEMENTS ----------------------
RECOGNIZED OF ASSETS FINANCIAL CASH NET RECOGNIZED OF ASSETS FINANCIAL CASH NET
ASSETS AND INSTRUMENTS COLLATERAL AMOUNT LIABILITIES AND INSTRUMENTS COLLATERAL AMOUNT
DESCRIPTION (A) LIABILITIES (B) RECEIVED (C) (A) LIABILITIES (D) PLEDGED (E)
----------- ---------- ----------- ----------- ---------- ------ ----------- ----------- ----------- ---------- ------
ASSETS LIABILITIES
---------------------------------------------------- -----------------------------------------------------
VA GLOBAL BOND
PORTFOLIO
Forward Currency
Contracts....... $64 $64 -- -- $64 -- -- -- -- --
(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.
60
(c)Represents the net amount due from counterparties in the event of default.
(d)Represents the amount of liabilities that could be offset by assets with the
same counterparty under master netting or similar agreements that management
elects not to offset on the Statements of Assets and Liabilities.
(e)Represents the net amount due to counterparties in the event of default.
Note J contains information regarding securities lending amounts that are
subject to netting arrangements.
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 year ended October 31, 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
------------- ------------ ------------ -------- ---------------
VA U.S. Targeted Value Portfolio.. 0.94% $615 4 -- $1,083
VA U.S. Large Value Portfolio..... 1.06% 769 25 $ 1 1,753
VA International Value Portfolio.. 1.13% 148 17 -- 361
VA International Small Portfolio.. 1.12% 367 27 -- 1,821
DFA VA Global Moderate Allocation
Portfolio....................... 1.06% 167 30 -- 749
* Number of Days Outstanding represents the total of single or consecutive days
during the year ended October 31, 2016, that each Portfolio's available line
of credit was utilized.
At October 31, 2016, VA International Value Portfolio had loans outstanding
in the amount of $338 (in thousands).
Pursuant to an exemptive order issued by the SEC (the "Order"), the
Portfolios may participate in an interfund lending program among certain
portfolios managed by the Advisor (portfolios that operate as feeder funds do
not participate in the program). The program allows the participating
portfolios to borrow money from and loan money to each other for temporary or
emergency purposes, subject to the conditions in the Order. A loan can only be
made through the program if the interfund loan rate on that day is more
favorable to both the borrowing and lending portfolios as compared to rates
available through short-term bank loans or investments in overnight repurchase
agreements and money market funds, respectively, as detailed in the Order.
Further, a portfolio may participate in the program only if and to the extent
that such participation is consistent with its investment objectives and
limitations. Interfund loans have a maximum duration of seven days and may be
called on one business day's notice. The Portfolios did not utilize the
interfund lending program during the year ended October 31, 2016.
61
I. AFFILIATED TRADES:
Cross trades for the year ended October 31, 2015, if any, were executed by
the Portfolios pursuant to procedures adopted by the Board of Directors of the
Fund to ensure compliance with Rule 17a-7 under the Investment Company Act of
1940 (the "1940 Act"). Cross trading is the buying or selling of portfolio
securities between series of investment companies, or between a series of an
investment company and another entity, that are or could be considered
affiliates by virtue of having a common investment adviser (or affiliated
investment advisers), common directors/trustees and/or common officers. At its
regularly scheduled meetings, the Board reviews such transactions for
compliance with the requirements and restrictions set forth by Rule 17a-7 under
the 1940 Act.
For the year ended October 31, 2016, cross trades by the Portfolios under
Rule 17a-7 were as follows (amounts in thousands):
PORTFOLIO PURCHASES SALES REALIZED GAIN (LOSS)
--------- --------- ------- --------------------
VA U.S. Targeted Value Portfolio. $4,176 $14,258 $1,764
VA U.S. Large Value Portfolio.... 4,035 2,340 292
VA International Value Portfolio. 2,356 3,168 (680)
VA International Small Portfolio. 3,430 4,109 342
J. SECURITIES LENDING:
As of October 31, 2016, some of the Portfolios had securities on loan to
brokers/dealers, for which each such Portfolio received cash collateral. The
non-cash collateral includes short-and/or long-term U.S. Treasuries and
U.S. Government Agency Securities as follows (amounts in thousands):
MARKET
VALUE
------
VA U.S. Targeted Value Portfolio. $9,517
VA U.S. Large Value Portfolio.... 7,899
VA International Value Portfolio. 1,072
VA International Small Portfolio. 922
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
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
62
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 October 31, 2016:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF OCTOBER 31, 2016
--------------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
- ------------- -------- ------------ -------- -----------
SECURITIES LENDING TRANSACTIONS
VA U.S. TARGETED VALUE PORTFOLIO
Common Stocks................... $59,269,345 -- -- -- $59,269,345
VA U.S. LARGE VALUE PORTFOLIO
Common Stocks................... $17,015,199 -- -- -- $17,015,199
VA INTERNATIONAL VALUE PORTFOLIO
Common Stocks................... $ 6,242,125 -- -- -- $ 6,242,125
VA INTERNATIONAL SMALL PORTFOLIO
Common Stocks................... $13,493,176 -- -- -- $13,493,176
VA SHORT-TERM FIXED PORTFOLIO
Bonds........................... $ 613,028 -- -- -- $ 613,028
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 October 31, 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 OF
NUMBER OF OUTSTANDING
SHAREHOLDERS SHARES
------------ -------------
VA U.S. Targeted Value Portfolio............. 4 74%
VA U.S. Large Value Portfolio................ 4 74%
VA International Value Portfolio............. 5 82%
VA International Small Portfolio............. 5 78%
VA Short-Term Fixed Portfolio................ 4 79%
VA Global Bond Portfolio..................... 5 84%
VIT Inflation-Protected Securities Portfolio. 5 99%
DFA VA Global Moderate Allocation Portfolio.. 5 96%
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.
63
The VA U.S. Large Value Portfolio 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 VA
U.S. Large Value Portfolio, 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
petitioned the Second Circuit for rehearing of the appeal, but the Second
Circuit denied the petition. 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 VA U.S. Large Value Portfolio 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 VA U.S. Large
Value Portfolio arising from the Lawsuits. Until the VA U.S. Large Value
Portfolio can do so, no reduction of the net asset value of the VA U.S. Large
Value Portfolio 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 VA U.S.
Large Value Portfolio at this time.
The VA U.S. Large Value Portfolio 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 VA
U.S. Large Value Portfolio will pay or receive, as the case may be, a price
based on the net asset value of the VA U.S. Large Value Portfolio, with no
adjustment relating to the Lawsuits. The attorneys' fees and costs relating to
the Lawsuits will be taken as expenses by the VA U.S. Large Value Portfolio as
incurred and in a manner similar to any other expense incurred by the VA U.S.
Large Value Portfolio.
M. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the
Portfolios through the date that the financial statements were issued and has
determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
64
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of DFA Investment Dimensions Group Inc. and
Shareholders of the Portfolios, as defined:
In our opinion, the accompanying statements of assets and liabilities,
including the schedules of investments/summary schedules of portfolio holdings,
and the related statements of operations and of changes in net assets and the
financial highlights present fairly, in all material respects, the financial
position of VA U.S. Targeted Value Portfolio, VA U.S. Large Value Portfolio, VA
International Value Portfolio, VA International Small Portfolio, VA Short-Term
Fixed Portfolio, VA Global Bond Portfolio, VIT Inflation-Protected Securities
Portfolio and DFA VA Global Moderate Allocation Portfolio (constituting
portfolios within DFA Investment Dimensions Group Inc., hereafter referred to
as the "Portfolios") as of October 31, 2016, the results of each of their
operations, the changes in each of their net assets and the financial
highlights for each of the periods indicated, in conformity with accounting
principles generally accepted in the United States of America. These financial
statements and financial highlights (hereafter referred to as "financial
statements") are the responsibility of the Portfolios' management. Our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with the standards of the Public Company Accounting Oversight Board (United
States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities as of October 31, 2016 by
correspondence with the custodians, brokers and the transfer agents of the
investee funds, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 20, 2016
65
NOTIFICATION OF SOURCE OF DISTRIBUTIONS PURSUANT TO
RULE 19A-1 UNDER THE INVESTMENT COMPANY ACT OF 1940
(UNAUDITED)
As noted in the table provided below, the following Portfolios paid
distributions to shareholders of record that included amounts from net
investment income and return of capital. Please note that this information is
being provided to satisfy certain notice requirements under the Investment
Company Act of 1940 and is not being provided for tax reporting purposes. Each
Portfolio will send (or has sent) shareholders a Form 1099-DIV (or a financial
intermediary should provide (or has provided) shareholders with similar
information) for the relevant calendar year informing shareholders how to
report these distributions for federal income tax purposes.
% BREAKDOWN OF DISTRIBUTION SOURCES
-------------------------------------------------
NET NET REALIZED NET REALIZED
INVESTMENT CAPITAL GAINS: CAPITAL GAINS: RETURN OF
PORTFOLIO NAME INCOME SHORT-TERM LONG-TERM CAPITAL
-------------- ---------- -------------- -------------- ---------
VA U.S. Large Value Portfolio
December 15, 2015......................... 96% 0% 0% 4%
VA U.S. Targeted Value Portfolio
December 15, 2015......................... 95% 0% 0% 5%
VA International Value Portfolio
December 15, 2015......................... 97% 0% 0% 3%
VA International Small Portfolio
December 15, 2015......................... 74% 0% 0% 26%
VA Short-Term Fixed Portfolio
December 15, 2015......................... 93% 0% 0% 7%
VA Global Bond Portfolio
December 15, 2015......................... 94% 0% 0% 6%
VIT Inflation-Protected Securities Portfolio
December 15, 2015......................... 55% 0% 0% 45%
DFA VA Global Moderate Allocation Portfolio
December 16, 2015......................... 99% 0% 0% 1%
Each Portfolio estimates that it has distributed more than the amount of net
investment income and net realized capital gains; therefore, a portion of the
distributions may be a return of capital. A return of capital may occur, for
example, when some or all of the shareholder's investment in a Portfolio is
returned to the shareholder. A return of capital does not necessarily reflect a
Portfolio's investment performance and should not be confused with yield or
income. When distributions exceed total return performance, the difference will
reduce a Portfolio's net asset value per share.
66
FUND MANAGEMENT
(UNAUDITED)
TRUSTEES/DIRECTORS
Each Board of Trustees/Directors (each, the "Board" and collectively, the
"Boards") of The DFA Investment Trust Company ("DFAITC"), DFA Investment
Dimensions Group Inc. ("DFAIDG"), Dimensional Investment Group Inc. ("DIG"),
and Dimensional Emerging Markets Value Fund ("DEM") (each, the "Fund" and
collectively, the "Funds") is responsible for establishing the Funds' policies
and for overseeing the management of the Funds. The Trustees/ Directors of the
Funds, including all of the disinterested Trustees/Directors, have adopted
written procedures to monitor potential conflicts of interest that might
develop between portfolios of the Funds (the "Feeder Portfolios") that invest
in certain series of DFAITC or DEM (the "Master Funds").
Each Board has three standing committees: an Audit Committee, a Nominating
Committee, and an Investment Strategy Committee (the "Strategy Committee"). The
Audit Committee is composed of George M. Constantinides, Roger G. Ibbotson, and
Abbie J. Smith. Each member of the Audit Committee is a disinterested
Trustee/Director. The Audit Committee oversees the Fund's accounting and
financial reporting policies and practices, the Fund's internal controls, the
Fund's financial statements and the independent audits thereof and performs
other oversight functions as requested by the Board. The Audit Committee
recommends the appointment of each Fund's independent registered certified
public accounting firm and also acts as a liaison between the Fund's
independent registered certified public accounting firm and the full Board.
There were two Audit Committee meetings held during the fiscal year ended
October 31, 2016.
Each Board's Nominating Committee is composed of George M. Constantinides, John
P. Gould, Roger G. Ibbotson, Myron S. Scholes, Edward P. Lazear, and Abbie J.
Smith. Each member of the Nominating Committee is a disinterested
Trustee/Director. The Nominating Committee for each Board makes recommendations
for nominations of disinterested and interested members on the Board to the
full Board. The Nominating Committee evaluates a candidate's qualification for
Board membership and the independence of such candidate from the Advisor and
other principal service providers. The Nominating Committee did not meet during
the fiscal year ended October 31, 2016.
Each Board's Strategy Committee consists of both interested and disinterested
Trustees/Directors. The Strategy Committee is composed of John P. Gould, Edward
P. Lazear, Myron S. Scholes, and Eduardo A. Repetto. The Strategy Committee
assists the Board in carrying out its fiduciary duties with respect to the
oversight of the Fund and its performance. At the request of the Board or the
Advisor, the Strategy Committee may (i) review the design of possible new
series of the Fund, (ii) review performance of existing portfolios of the Fund
and discuss and recommend possible enhancements to the portfolios' investment
strategies, (iii) review proposals by the Advisor to modify or enhance the
investment strategies or policies of each portfolio, and (iv) consider issues
relating to investment services for each portfolio of the Fund. The Strategy
Committee was formed on December 17, 2010, and there were three Strategy
Committee meetings held during the fiscal year ended October 31, 2016.
Certain biographical information for each disinterested Trustee/Director and
each interested Trustee/Director of the Funds is set forth in the tables below,
including a description of each Trustee/Director's experience as a Trustee/
Director of the Funds and as a director or trustee of other funds, as well as
other recent professional experience.
The statements of additional information (together, "SAI") of the Funds include
additional information about each Trustee/Director. You may obtain copies of
the SAI and prospectus of each Fund advised by Dimensional Fund Advisors LP by
calling collect (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746.
Prospectuses are also available at http://us.dimensional.com.
67
NAME, POSITION PORTFOLIOS WITHIN THE
WITH THE FUND, TERM OF OFFICE/1/ AND DFA FUND COMPLEX/2/ PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND
ADDRESS AND YEAR OF BIRTH LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD
----------------------------------------------------------------------------------------------------------------------------------
DISINTERESTED TRUSTEES/DIRECTORS
----------------------------------------------------------------------------------------------------------------------------------
George M. Constantinides Since Inception 122 portfolios in 4 Leo Melamed Professor of Finance, The University
Director of DFAIDG and DIG. investment companies of Chicago Booth School of Business.
Trustee of DFAITC and DEM.
The University of Chicago
Booth School of Business
5807 S. Woodlawn
Avenue
Chicago, IL 60637
1947
----------------------------------------------------------------------------------------------------------------------------------
John P. Gould DFAIDG-Since 1986 122 portfolios in 4 Steven G. Rothmeier Professor and Distinguished
Director of DFAIDG and DIG DIG-Since 1993 investment companies Service Professor of Economics, University of
Trustee of DFAITC and DEM DFAITC-Since 1992 Chicago Booth School of Business (since 1965).
The University of Chicago DEM-Since 1993 Member and Chair, Competitive Markets Advisory
Booth School of Business Council, Chicago Mercantile Exchange (futures
5807 S. Woodlawn Avenue trading exchange) (since 2004). Trustee, Harbor
Chicago, IL 60637 Fund (registered investment company)
1939 (29 Portfolios) (since 1994). Formerly, Member of the
Board of Milwaukee Insurance Company
(1997-2010).
----------------------------------------------------------------------------------------------------------------------------------
Roger G. Ibbotson DFAIDG-Since 1981 122 portfolios in 4 Professor in Practice of Finance, Yale School of
Director of DFAIDG and DIG DIG-Since 1993 investment companies Management (since 1984). Chairman, CIO and
Trustee of DFAITC and DEM DFAITC-Since 1992 Partner, Zebra Capital Management, LLC (hedge
Yale School of Management DEM-Since 1993 fund and asset manager) (since 2001). Consultant to
P.O. Box 208200 Morningstar Inc. (since 2006). Formerly, Director,
New Haven, CT 06520-8200 BIRR Portfolio Analysis, Inc. (sofware Products)
1943 (1990-2010).
----------------------------------------------------------------------------------------------------------------------------------
Edward P. Lazear DFAIDG-Since 2010 122 portfolios in 4 Morris Arnold Cox Senior Fellow, Hoover Institution
Director of DFAIDG and DIG DIG-Since 2010 investment companies (since 2002). Jack Steele Parker Professor of
Trustee of DFAITC and DEM DFAITC-Since 2010 Human Resources Management and Economics,
Stanford University Graduate DEM-Since 2010 Graduate School of Business, Stanford University
School of Business (since 1995). Cornerstone Research (expert
434 Galvez Mall testimony and economic and financial analysis)
Stanford, CA 94305 (since 2009). Formerly, Chairman of the President
1948 George W. Bush's Council of Economic Advisors,
State of California (2005-2006). Formerly,
Commissioner, White House Panel on Tax Reform
(2005)
----------------------------------------------------------------------------------------------------------------------------------
Myron S. Scholes DFAIDG-Since 1981 122 portfolios in 4 Chief Investment Strategist, Janus Capital Group
Director of DFAIDG and DIG DIG-Since 1993 investment companies Inc. (since 2014). Frank E. Buck Professor of
Trustee of DFAITC and DEM DFAITC-Since 1992 Finance Emeritus, Graduate School of Business,
c/o Dimensional Fund DEM-Since 1993 Stanford University (since 1981). Chairman, Ruapay
Advisers, LP Inc. (since 2013). Formerly, Chairman, Platinum
6300 Bee Cave Road Grove Asset Management, L.P. (hedge fund)
Building 1 (formerly, Oak Hill Platinum Partners) (1999-2009).
Austin, TX 78746 Formerly, Director, American Centruy Fund Complex
1941 (registered investment companies) (43 Portfolios)
(1980-2014).
----------------------------------------------------------------------------------------------------------------------------------
Abbie J. Smith DFAIDG-Since 2000 122 portfolios in 4 Boris and Irene Stern Distinguished Service
Director of DFAIDG and DIG DIG-Since 2000 investment companies Professor of Accounting, University of Chicago Booth
Trustee of DFAITC and DEM DFAITC-Since 2000 School of Business (since 1980). Director, HNI
The University of Chicago DEM-Since 2000 Corporation (formerly known as HON Industries Inc.)
Booth School of Business (office furniture) (since 2000). Director, Ryder
5807 S. Woodlawn Avenue System Inc. (transportation, logistics and supply-
Chicago, IL 60637 chain management) (since 2003). Trustee, UBS
1953 Funds (4 investment companies within the fund
complex) (33 portfolios) (since 2009). Formerly,
Co-Director Investment Research, Fundamental
Investment Advisors (hedge fund) (2008-2011).
----------------------------------------------------------------------------------------------------------------------------------
68
NAME, POSITION PORTFOLIOS WITHIN THE
WITH THE FUND, TERM OF OFFICE/1/ AND DFA FUND COMPLEX/2/ PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND
ADDRESS AND YEAR OF BIRTH LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD
--------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES/DIRECTORS*
--------------------------------------------------------------------------------------------------------------------------------
David G. Booth DFAIDG-Since 1981 122 portfolios in 4 Chairman, Director/Trustee, President, Co-Chief
Chairman, Director/Trustee, DIG-Since 1992 investment companies Executive Officer and formerly, Chief Executive
President and Co-Chief DFAITC-Since 1992 Officer (until 1/1/2010) of the following companies:
Executive Officer DEM-Since 1993 Dimensional Holdings Inc., Dimensional Fund
6300 Bee Cave Road Advisors LP, DFA Securities LLC, DEM, DFAIDG,
Building One DIG and DFAITC (collectively, the "DFA Entities").
Austin, TX 78746 Director of Dimensional Fund Advisors Ltd. and
1946 formerly, Chief Investment Officer. Director of DFA
Australia Limited and formerly, President and Chief
Investment Officer. Director of Dimensional Advisors
Ltd., Dimensional Funds plc and Dimensional Funds
II plc. Formerly, President, Dimensional SmartNest
(US) LLC (2009- 2014). Formerly, Limited Partner,
Oak Hill Partners (2001-2010). Limited Partner, VSC
Investors, LLC (since 2007). Trustee, University of
Chicago. Trustee, University of Kansas Endowment
Association. Formerly, Director, SA Funds
(registered investment company). Chairman, Director
and Co-Chief Executive Officer of Dimensional Fund
Advisors Canada ULC. Director and President (since
2012) of Dimensional Japan Ltd. Chairman, Director,
President, and Co-Chief Executive Officer of
Dimensional Cayman Commodity Fund I Ltd.
(since 2010).
--------------------------------------------------------------------------------------------------------------------------------
Eduardo A. Repetto DFAIDG-Since 2009 122 portfolios in 4 Co-Chief Executive Officer (beginning January
Director/Trustee, Co-Chief DIG-Since 2009 investment companies 2010), Co-Chief Investment Officer (since June
Executive Officer and Co- DFAITC-Since 2009 2014), Director/Trustee, and formerly, Chief
Chief Investment Officer DEM-Since 2009 Investment Officer (March 2007-June 2014) of the
6300 Bee Cave Road, DFA Entities. Director, Co-Chief Executive Officer
Building One and Chief Investment Officer (since 2010) of
Austin, TX 78746 Dimensional Cayman Commodity Fund I Ltd.
1967 Director, Co-Chief Executive Officer, President and
Co-Chief Investment Officer of Dimensional Fund
Advisors Canada ULC and formerly, Chief
Investment Officer (until April 2014). Co-Chief
Investment Officer, Vice President, and Director of
DFA Australia Limited and formerly, Chief
Investment Officer (until April 2014). Director of
Dimensional Fund Advisors Ltd., Dimensional Funds
plc, Dimensional Funds II plc and Dimensional
Advisors Ltd. Formerly, Vice President of the DFA
Entities and Dimensional Fund Advisors Canada
ULC. Director and Chief Investment Officer (since
December 2012) of Dimensional Japan Ltd.
--------------------------------------------------------------------------------------------------------------------------------
/1/ Each Trustee/Director holds office for an indefinite term until his or her
successor is elected and qualified.
/2/ Each Trustee/Director is a director or trustee of each of the four
registered investment companies within the DFA Fund Complex, which includes
the DFAIDG, DIG, DFAITC and DEM. Each disinterested Trustee/Director also
serves on the Independent Review Committee of the Dimensional Funds, mutual
funds registered in the provinces of Canada and managed by an affiliate of
Dimensional Fund Advisors LP (the "Advisor"), Dimensional Fund Advisors
Canada ULC.
* Interested Trustees/Directors are described as such because they are deemed
to be "interested persons," as that term is defined under the Investment
Company Act of 1940, as amended, due to their positions with the Advisor.
69
OFFICERS
Below is the name, year of birth, information regarding positions with the
Funds and the principal occupation for each officer of the Funds. The address
of each officer is 6300 Bee Cave Road, Building One, Austin, TX 78746. Each of
the officers listed below holds the same office (except as otherwise noted) in
the DFA Entities.
TERM OF OFFICE/1/
AND LENGTH OF
NAME AND YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
-----------------------------------------------------------------------------------------------------------------------
April A. Aandal Vice President Since 2008 Vice President of all the DFA Entities.
1963
-----------------------------------------------------------------------------------------------------------------------
Robyn G. Alcorta Vice President Since 2012 Vice President of all the DFA Entities. Formerly, Vice
1974 President, Business Development at Capson
Physicians Insurance Company (2010-2012).
-----------------------------------------------------------------------------------------------------------------------
Magdalia S. Armstrong Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1977 Regional Director for Dimensional Fund Advisors LP
(January 2011-January 2016).
-----------------------------------------------------------------------------------------------------------------------
Darryl D. Avery Vice President Since 2005 Vice President of all the DFA Entities.
1966
-----------------------------------------------------------------------------------------------------------------------
Arthur H. Barlow Vice President Since 1993 Vice President of all the DFA Entities. Director and
1955 Managing Director of Dimensional Fund Advisors Ltd
(since September 2013). Director of Dimensional
Funds plc and Dimensional Funds II plc (since
November 2013).
-----------------------------------------------------------------------------------------------------------------------
Lana Bergstein Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1974 Client Service Manager for Dimensional Fund
Advisors LP (February 2008-January 2014).
-----------------------------------------------------------------------------------------------------------------------
Stanley W. Black Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1970 Senior Research Associate (January 2012-January
2014) and Research Associate (2006-2011) for
Dimensional Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------------------
Aaron T. Borders Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1973 Regional Director for Dimensional Fund Advisors LP
(April 2008-January 2014).
-----------------------------------------------------------------------------------------------------------------------
Scott A. Bosworth Vice President Since 2007 Vice President of all the DFA Entities.
1968
-----------------------------------------------------------------------------------------------------------------------
Valerie A. Brown Vice President and Since 2001 Vice President and Assistant Secretary of all the
1967 Assistant Secretary DFA Entities, DFA Australia Limited, Dimensional
Fund Advisors Ltd., Dimensional Cayman
Commodity Fund I Ltd., Dimensional Fund Advisors
Pte. and Dimensional Hong Kong Limited. Director,
Vice President, Director and Assistant Secretary of
Dimensional Fund Advisors Canada ULC.
-----------------------------------------------------------------------------------------------------------------------
David P. Butler Vice President Since 2007 Vice President of all the DFA Entities. Head of
1964 Global Financial Services for Dimensional Fund
Advisors LP (since 2008).
-----------------------------------------------------------------------------------------------------------------------
Douglas M. Byrkit Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1970 Regional Director for Dimensional Fund Advisors LP
(December 2010-January 2012).
-----------------------------------------------------------------------------------------------------------------------
Hunt M. Cairns Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1973 Regional Director (January 2010-January 2014) for
Dimensional Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------------------
David K. Campbell Vice President Since 2016 Vice President of all the DFA Entities. Formerly, DC
1966 Relationship Manager for Dimensional Fund
Advisors LP (October 2010-January 2016).
-----------------------------------------------------------------------------------------------------------------------
Dennis M. Chamberlain Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1972 Regional Director (January 2012-January 2015) for
Dimensional Fund Advisors LP; Principal for
Chamberlain Financial Group (October 2010-
December 2011).
-----------------------------------------------------------------------------------------------------------------------
Ryan J. Chaplinski Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1971 Regional Director (June 2011-January 2015) for
Dimensional Fund Advisors LP; Sales Executive for
Vanguard (2004-June 2011).
-----------------------------------------------------------------------------------------------------------------------
70
TERM OF OFFICE/1/
AND LENGTH OF
NAME AND YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
--------------------------------------------------------------------------------------------------------------------
James G. Charles Vice President Since 2011 Vice President of all the DFA Entities.
1956
--------------------------------------------------------------------------------------------------------------------
Joseph H. Chi Vice President Since 2009 Vice President of all the DFA Entities. Co-Head of
1966 Portfolio Management (since March 2012) and
Senior Portfolio Manager (since January 2012) for
Dimensional Fund Advisors LP. Vice President of
Dimensional Fund Advisors Canada ULC (since
April 2016). Formerly, Portfolio Manager for
Dimensional Fund Advisors LP (October 2005 to
January 2012).
--------------------------------------------------------------------------------------------------------------------
Pil Sun Choi Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1972 Counsel for Dimensional Fund Advisors LP (April
2012-January 2014); Vice President and Counsel for
AllianceBernstein L.P. (2006-2012).
--------------------------------------------------------------------------------------------------------------------
Stephen A. Clark Vice President Since 2004 Vice President of all the DFA Entities. Director and
1972 Vice President of Dimensional Japan Ltd
(since February 2016). President and Director of
Dimensional Fund Advisors Canada ULC (since
February 2016), Vice President of DFA Australia
Limited (since April 2008) and Director (since Oct
2016). Director of Dimensional Advisors Ltd,
Dimensional Fund Advisors Pte. Ltd., and
Dimensional Hong Kong Limited, (since April 2016),
Vice President of Dimensional Fund Advisors Pte
Ltd. (since June 2016), Head of Global Institutional
Services for Dimensional Fund Advisors LP (since
January 2014). Formerly, Vice President of
Dimensional Fund Advisors Canada ULC (December
2010-February 2016); Head of Institutional, North
America (March 2012 to December 2013) and Head
of Portfolio Management (January 2006 to
March 2012) for Dimensional Fund Advisors LP.
--------------------------------------------------------------------------------------------------------------------
Matthew B. Cobb Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1971 Regional Director for Dimensional Fund Advisors LP
(September 2011-March 2013); Vice President at
MullinTBG (2005-2011).
--------------------------------------------------------------------------------------------------------------------
Rose C. Cooke Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1971 Regional Director for Dimensional Fund Advisors LP
(August 2010-March 2014).
--------------------------------------------------------------------------------------------------------------------
Ryan Cooper Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1979 Regional Director for Dimensional Fund Advisors LP
(2003-March 2014).
--------------------------------------------------------------------------------------------------------------------
Jeffrey D. Cornell Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1976 Regional Director for Dimensional Fund Advisors LP
(August 2002-January 2012).
--------------------------------------------------------------------------------------------------------------------
Robert P. Cornell Vice President Since 2007 Vice President of all the DFA Entities.
1949
--------------------------------------------------------------------------------------------------------------------
John W. Crill (Wes) Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1982 Senior Associate, Research (January 2015-January
2016); Associate, Research (January 2014-January
2015); Analyst, Research (July 2010-January 2014)
for Dimensional Fund Advisors LP.
--------------------------------------------------------------------------------------------------------------------
Christopher S. Crossan Vice President and Since 2004 Vice President and Global Chief Compliance Officer
1965 Global Chief of all the DFA Entities, DFA Australia Limited and
Compliance Officer Dimensional Fund Advisors Ltd. Chief Compliance
Officer and Chief Privacy Officer of Dimensional
Fund Advisors Canada ULC, Chief Compliance
Officer of Dimensional Fund Advisors Pte. Ltd.
Formerly, Vice President and Global Chief
Compliance Officer for Dimensional SmartNest (US)
LLC (October 2010-2014).
--------------------------------------------------------------------------------------------------------------------
71
TERM OF OFFICE/1/
AND LENGTH OF
NAME AND YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
----------------------------------------------------------------------------------------------------------------------
John T. Curnutte Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1980 Manager, Research Systems (November 2012-
January 2016) for Dimensional Fund Advisors LP;
Assistant Vice President, Oaktree Capital
Management (April 2011-October 2012.
----------------------------------------------------------------------------------------------------------------------
John Dashtara Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1980 Regional Director (July 2013-January 2015) for
Dimensional Fund Advisors LP; Relationship
Manager for Blackrock, Inc. (July 2011-
July 2013);Vice President for Towers Watson
(formerly, WellsCanning) (June 2009-July 2011).
----------------------------------------------------------------------------------------------------------------------
James L. Davis Vice President Since 1999 Vice President of all the DFA Entities.
1956
----------------------------------------------------------------------------------------------------------------------
Robert T. Deere Vice President Since 1994 Vice President of all the DFA Entities, DFA Australia
1957 Limited and Dimensional Fund Advisors Canada
ULC.
----------------------------------------------------------------------------------------------------------------------
Johnathon K. DeKinder Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1979 Regional Director (January 2012-January 2014) and
Senior Associate (August 2010-December 2011) for
Dimensional Fund Advisors LP.
----------------------------------------------------------------------------------------------------------------------
Mark J. Dennis Vice President Since 2015 Vice President of all DFA Entities. Formerly,
1976 Regional Director (May 2011-January 2015) for
Dimensional Fund Advisors LP; Vice President,
Portfolio Specialist (January 2007-May 2011) for
Morgan Stanley Investment Management.
----------------------------------------------------------------------------------------------------------------------
Massimiliano DeSantis Vice President Since 2015 Vice President of all DFA Entities. Formerly, Senior
1971 Associate, Research (November 2012-January
2015) for Dimensional Fund Advisors LP; Senior
Consultant, NERA Economic Consulting, New York
(May 2010-November 2012).
----------------------------------------------------------------------------------------------------------------------
Peter F. Dillard Vice President Since 2010 Vice President of all the DFA Entities. Chief Data
1972 Officer for Dimensional Fund Advisors LP (since
January 2016).
----------------------------------------------------------------------------------------------------------------------
Robert W. Dintzner Vice President Since 2001 Vice President of all the DFA Entities.
1970
----------------------------------------------------------------------------------------------------------------------
Karen M. Dolan Vice President Since 2014 Vice President of all the DFA Entities. Head of
1979 Marketing for Dimensional Fund Advisors LP (since
February 2013). Formerly, Senior Manager of
Research and Marketing for Dimensional Fund
Advisors LP (June 2012-January 2013); Director of
Mutual Fund Analysis at Morningstar (January 2008-
May 2012).
----------------------------------------------------------------------------------------------------------------------
L. Todd Erskine Vice President Since 2015 Vice President of all DFA Entities. Formerly,
1959 Regional Director (May 2008-January 2015) for
Dimensional Fund Advisors LP.
----------------------------------------------------------------------------------------------------------------------
Richard A. Eustice Vice President and Since 1998 Vice President and Assistant Secretary of all the
1965 Assistant Secretary DFA Entities and DFA Australia Limited. Chief
Operating Officer for Dimensional Fund Advisors
Pte. Ltd. (since April 2013). Formerly, Chief
Operating Officer for Dimensional Fund Advisors Ltd.
(July 2008-March 2013).
----------------------------------------------------------------------------------------------------------------------
Gretchen A. Flicker Vice President Since 2004 Vice President of all the DFA Entities.
1971
----------------------------------------------------------------------------------------------------------------------
Jed S. Fogdall Vice President Since 2008 Vice President of all the DFA Entities. Co-Head of
1974 Portfolio Management (since March 2012) and
Senior Portfolio Manager (since January 2012) of
Dimensional Fund Advisors LP. Vice President of
Dimensional Fund Advisors Canada ULC (since April
2016). Formerly, Portfolio Manager of Dimensional
Fund Advisors LP (September 2004-January 2012).
----------------------------------------------------------------------------------------------------------------------
72
TERM OF OFFICE/1/
AND LENGTH OF
NAME AND YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
--------------------------------------------------------------------------------------------------------------------------
Edward A. Foley Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1976 Regional Director for Dimensional Fund Advisors LP
(August 2011-January 2014); Senior Vice President
of First Trust Advisors L.P. (2007-July 2011).
--------------------------------------------------------------------------------------------------------------------------
Deborah J.G. Foster Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1959 Senior Associate (May 2011-January 2015) for
Dimensional Fund Advisors LP.
--------------------------------------------------------------------------------------------------------------------------
Jeremy P. Freeman Vice President Since 2009 Vice President of all the DFA Entities.
1970
--------------------------------------------------------------------------------------------------------------------------
Kimberly A. Ginsburg Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Vice
1970 President for Dimensional SmartNest (US) LLC
(January 2012-November 2014); Senior Vice
President for Morningstar (July 2004-July 2011).
--------------------------------------------------------------------------------------------------------------------------
Mark R. Gochnour Vice President Since 2007 Vice President of all the DFA Entities.
1967
--------------------------------------------------------------------------------------------------------------------------
Tom M. Goodrum Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1968 Managing Director at BlackRock (2004-January
2012).
--------------------------------------------------------------------------------------------------------------------------
Henry F. Gray Vice President Since 2000 Vice President of all the DFA Entities.
1967
--------------------------------------------------------------------------------------------------------------------------
John T. Gray Vice President Since 2007 Vice President of all the DFA Entities.
1974
--------------------------------------------------------------------------------------------------------------------------
Christian Gunther Vice President Since 2011 Vice President of all the DFA Entities. Senior Trader
1975 for Dimensional Fund Advisors LP (since 2012).
Formerly, Senior Trader (2009-2012).
--------------------------------------------------------------------------------------------------------------------------
Robert W. Hawkins Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1974 Counsel for Dimensional Fund Advisors LP (January
2011-January 2014).
--------------------------------------------------------------------------------------------------------------------------
Joel H. Hefner Vice President Since 2007 Vice President of all the DFA Entities.
1967
--------------------------------------------------------------------------------------------------------------------------
Kevin B. Hight Vice President Since 2005 Vice President of all the DFA Entities.
1967
--------------------------------------------------------------------------------------------------------------------------
Gregory K. Hinkle Vice President, Chief Since 2016 Vice President, Chief Financial Officer, and
1958 Financial Officer, and Treasurer of all the DFA Entities. Interim Chief
Treasurer Financial Officer, interim Treasurer and
Vice President of Dimensional Advisors Ltd.,
Dimensional Hong Kong Limited, Dimensional
Cayman Commodity Fund I Ltd., Dimensional Fund
Advisors Canada ULC, Dimensional Fund Advisors
Pte. Ltd, DFA Australia Ltd. Formerly, interim Chief
Financial Officer and interim Treasurer (April 2016-
September 2016), and Controller (August 2015-
September 2016) of all the DFA Entities); Vice
President of T. Rowe Price Group, Inc. and Director
of Investment Treasury and Treasurer of the T.
Rowe Price Funds (March 2008-July 2015).
--------------------------------------------------------------------------------------------------------------------------
Christine W. Ho Vice President Since 2004 Vice President of all the DFA Entities.
1967
--------------------------------------------------------------------------------------------------------------------------
Michael C. Horvath Vice President Since 2011 Vice President of all the DFA Entities. Formerly,
1960 Managing Director, Co-Head Global Consultant
Relations at BlackRock (2004-2011).
--------------------------------------------------------------------------------------------------------------------------
Mark A. Hunter Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1971 Senior Compliance Officer (November 2010-January
2015) for Dimensional Fund Advisors LP.
--------------------------------------------------------------------------------------------------------------------------
Alan R. Hutchison Vice President Since 2016 Vice President of all the DFA Entities. Portfolio
1977 Manager for Dimensional Fund Advisors LP
(January 2013-Present). Formerly, Investment
Associate for Dimensional Fund Advisors LP
(January 2010-January 2013).
--------------------------------------------------------------------------------------------------------------------------
73
TERM OF OFFICE/1/
AND LENGTH OF
NAME AND YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
-----------------------------------------------------------------------------------------------------------------
Shahryar S. Jaberzadeh Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1983 Regional Director for Dimensional Fund Advisors LP
(April 2006-January 2016).
-----------------------------------------------------------------------------------------------------------------
Jeremy R. James Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1977 Manager, IT Service Management (October 2014-
January 2016); Manager, Managed DC Systems
(October 2005-October 2014) for Dimensional Fund
Advisors LP.
-----------------------------------------------------------------------------------------------------------------
Jeff J. Jeon Vice President Since 2004 Vice President of all the DFA Entities and
1973 Dimensional Cayman Commodity Fund I Ltd.
-----------------------------------------------------------------------------------------------------------------
Garret D. Jones Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1971 Manager of Sales and Marketing Systems
(January 2011-January 2014) for Dimensional Fund
Advisors LP.
-----------------------------------------------------------------------------------------------------------------
Stephen W. Jones Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1968 Facilities Manager for Dimensional Fund Advisors
LP (October 2008-January 2012).
-----------------------------------------------------------------------------------------------------------------
Scott P. Kaup Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1975 Senior Manager, Investment Operations
(January 2014-January 2015) and Investment
Operations Manager (May 2008-January 2014) for
Dimensional Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------------
David M. Kavanaugh Vice President Since 2014 Vice President of all the DFA Entities. Head of
1978 Operations for Financial Advisor Services for
Dimensional Fund Advisors LP (since July 2014).
Formerly, Counsel of Dimensional Fund Advisors LP
(August 2011-January 2014); Associate at Andrews
Kurth LLP (2006-2011).
-----------------------------------------------------------------------------------------------------------------
Patrick M. Keating Vice President Since 2003 Vice President of DFAIDG, DIG, DFAITC, DEM,
1954 Dimensional Holdings Inc., Dimensional Fund
Advisors LP and Dimensional Japan Ltd. Chief
Operating Officer and Director of Dimensional Japan
Ltd. Formerly, Vice President of DFA Securities LLC,
Dimensional Cayman Commodity Fund I Ltd. and
Dimensional Advisors Ltd (until February 2015);
Chief Operating Officer of Dimensional Holdings Inc.,
DFA Securities LLC, Dimensional Fund Advisors LP,
Dimensional Cayman Commodity Fund I Ltd.,
Dimensional Advisors Ltd. and Dimensional Fund
Advisors Pte. Ltd. (until February 2015); Director,
Vice President, and Chief Privacy Officer of
Dimensional Fund Advisors Canada ULC (until
February 2015); Director of DFA Australia Limited,
Dimensional Fund Advisors Ltd. and Dimensional
Advisors Ltd. (until February 2015); and Director and
Vice President of Dimensional Hong Kong Limited
and Dimensional Fund Advisors Pte. Ltd. (until
February 2015).
-----------------------------------------------------------------------------------------------------------------
Andrew K. Keiper Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1977 Regional Director for Dimensional Fund Advisors LP
(October 2004-January 2013).
-----------------------------------------------------------------------------------------------------------------
David M. Kershner Vice President Since 2010 Vice President of all the DFA Entities. Portfolio
1971 Manager for Dimensional Fund Advisors LP (since
June 2004).
-----------------------------------------------------------------------------------------------------------------
Arun C. Keswani Vice President Since 2016 Vice President of all the DFA Entities. Senior
1975 Portfolio Manager for Dimensional Fund Advisors LP
(January 2015-Present). Formerly, Portfolio Manager
(January 2013-January 2015) and Investment
Associate (October 2011-January 2013) for
Dimensional Fund Advisors LP; Investment Banking
Associate at Morgan Stanley (August 2010-
September 2011).
-----------------------------------------------------------------------------------------------------------------
74
TERM OF OFFICE/1/
AND LENGTH OF
NAME AND YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
------------------------------------------------------------------------------------------------------------------
Kimberly L. Kiser Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1972 Creative Director for Dimensional Fund Advisors LP
(September 2012-January 2014); Vice President and
Global Creative Director at Morgan Stanley (2007-
2012); Visiting Assistant Professor, Graduate
Communications Design at Pratt Institute (2004-
2012).
------------------------------------------------------------------------------------------------------------------
Natalia Y. Knych Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1971 Manager, RFP, Institutional (January 2015-January
2016); Senior Associate, Institutional (April 2007-
January 2015) for Dimensional Fund Advisors LP.
------------------------------------------------------------------------------------------------------------------
Timothy R. Kohn Vice President Since 2011 Vice President of all the DFA Entities. Head of
1971 Defined Contribution Sales for Dimensional Fund
Advisors LP (since August 2010).
------------------------------------------------------------------------------------------------------------------
Joseph F. Kolerich Vice President Since 2004 Vice President of all the DFA Entities. Senior
1971 Portfolio Manager of Dimensional Fund Advisors LP
(since January 2012). Formerly, Portfolio Manager
for Dimensional (April 2001-January 2012).
------------------------------------------------------------------------------------------------------------------
Mark D. Krasniewski Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1981 Senior Associate, Investment Analytics and Data
(January 2012-December 2012) and Systems
Developer (June 2007-December 2011) for
Dimensional Fund Advisors LP.
------------------------------------------------------------------------------------------------------------------
Kahne L. Krause Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1966 Regional Director (May 2010-January 2014) for
Dimensional Fund Advisors LP.
------------------------------------------------------------------------------------------------------------------
Stephen W. Kurad Vice President Since 2011 Vice President of all the DFA Entities.
1968
------------------------------------------------------------------------------------------------------------------
Michael F. Lane Vice President Since 2004 Vice President of all the DFA Entities. Formerly,
1967 Chief Executive Officer for Dimensional SmartNest
(US) LLC (July 2012-November 2014).
------------------------------------------------------------------------------------------------------------------
Francis R. Lao Vice President Since 2011 Vice President of all the DFA Entities. Formerly, Vice
1969 President-Global Operations at Janus Capital Group
(2005-2011).
------------------------------------------------------------------------------------------------------------------
David F. LaRusso Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1978 Senior Trader (January 2010-December 2012) for
Dimensional Fund Advisors LP.
------------------------------------------------------------------------------------------------------------------
Juliet H. Lee Vice President Since 2005 Vice President of all the DFA Entities.
1971
------------------------------------------------------------------------------------------------------------------
Marlena I. Lee Vice President Since 2011 Vice President of all the DFA Entities.
1980
------------------------------------------------------------------------------------------------------------------
Paul A. Lehman Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1971 Regional Director (July 2013-January 2015) for
Dimensional Fund Advisors LP; Chief Investment
Officer (April 2005-April 2013) for First Citizens
Bancorporation.
------------------------------------------------------------------------------------------------------------------
John B. Lessley Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1960 Regional Director for Dimensional Fund Advisors LP
(January 2008-January 2013).
------------------------------------------------------------------------------------------------------------------
Joy L. Lopez Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1971 Senior Tax Manager (February 2013-January 2015)
for Dimensional Fund Advisors LP; Vice President
and Tax Manager, North America (August 2006-April
2012) for Pacific Investment Management Company.
------------------------------------------------------------------------------------------------------------------
Apollo D. Lupescu Vice President Since 2009 Vice President of all the DFA Entities.
1969
------------------------------------------------------------------------------------------------------------------
Timothy P. Luyet Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1972 Senior Manager, Marketing Operations (January
2014-January 2015), Manager, Client Systems
(October 2011-January 2014) and RFP Manager
(April 2010-October 2011) for Dimensional Fund
Advisors LP.
------------------------------------------------------------------------------------------------------------------
75
TERM OF OFFICE/1/
AND LENGTH OF
NAME AND YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
-----------------------------------------------------------------------------------------------------------------------------
Peter Magnusson Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1969 Regional Director for Dimensional Fund Advisors LP
(January 2011-January 2014).
-----------------------------------------------------------------------------------------------------------------------------
Kenneth M. Manell Vice President Since 2010 Vice President of all the DFA Entities and
1972 Dimensional Cayman Commodity Fund I Ltd.
-----------------------------------------------------------------------------------------------------------------------------
Aaron M. Marcus Vice President Since 2008 Vice President of all DFA Entities and Head of
1970 Global Human Resources for Dimensional Fund
Advisors LP.
-----------------------------------------------------------------------------------------------------------------------------
Duane R. Mattson Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1965 Senior Compliance Officer (May 2012-January 2015)
for Dimensional Fund Advisors LP; Chief
Compliance Officer (April 2010-April 2012) for Al
Frank Asset Management.
-----------------------------------------------------------------------------------------------------------------------------
Bryan R. McClune Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1975 Regional Director of Dimensional Fund Advisors LP
(January 2009-January 2014).
-----------------------------------------------------------------------------------------------------------------------------
Philip P. McInnis Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1984 Regional Director (January 2009-January 2014) and
Senior Associate (2011) for Dimensional Fund
Advisors LP.
-----------------------------------------------------------------------------------------------------------------------------
Francis L. McNamara Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1959 Manager, Project Management Office for
Dimensional Fund Advisors LP (October 2006-
January 2016).
-----------------------------------------------------------------------------------------------------------------------------
Travis A. Meldau Vice President Since 2015 Vice President of all the DFA Entities. Portfolio
1981 Manager (since September 2011) for Dimensional
Fund Advisors LP. Formerly, Portfolio Manager for
Wells Capital Management (October 2004-
September 2011).
-----------------------------------------------------------------------------------------------------------------------------
Tracy R. Mitchell Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1974 Regional Director for Dimensional Fund Advisors LP
(September 2013-January 2016); Managing Director,
Client Services, Charles Schwab (December 2009-
August 2013).
-----------------------------------------------------------------------------------------------------------------------------
Jonathan G. Nelson Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1971 Manager, Investment Systems (2011-January 2013)
for Dimensional Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------------------------
Catherine L. Newell Vice President and Vice President since 1997 Vice President and Secretary of all the DFA Entities.
1964 Secretary and Secretary since 2000 Director, Vice President and Secretary of DFA
Australia Limited and Dimensional Fund Advisors
Ltd. (since February 2002, April 1997, and May
2002, respectively). Vice President and Secretary of
Dimensional Fund Advisors Canada ULC (since
June 2003), Dimensional Cayman Commodity Fund I
Ltd., Dimensional Japan Ltd (since February 2012),
Dimensional Advisors Ltd (since March 2012),
Dimensional Fund Advisors Pte. Ltd. (since June
2012). Director of Dimensional Funds plc and
Dimensional Funds II plc (since 2002 and 2006,
respectively). Director of Dimensional Japan Ltd.,
Dimensional Advisors Ltd., Dimensional Fund
Advisors Pte. Ltd. and Dimensional Hong Kong
Limited (since August 2012 and July 2012).
Formerly, Vice President and Secretary of
Dimensional SmartNest (US) LLC (October 2010-
November 2014).
-----------------------------------------------------------------------------------------------------------------------------
John R. Nicholson Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1977 Regional Director (June 2011-January 2015) for
Dimensional Fund Advisors LP; Sales Executive for
Vanguard (July 2008-May 2011).
-----------------------------------------------------------------------------------------------------------------------------
Pamela B. Noble Vice President Since 2011 Vice President of all the DFA Entities. Formerly,
1964 Portfolio Manager for Dimensional Fund Advisors LP
(2008-2010).
-----------------------------------------------------------------------------------------------------------------------------
76
TERM OF OFFICE/1/
AND LENGTH OF
NAME AND YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
--------------------------------------------------------------------------------------------------------------------------------
Selwyn Notelovitz Vice President and Since 2013 Vice President and Deputy Chief Compliance Officer
1961 Deputy Chief of all the DFA Entities. Deputy Chief Compliance
Compliance Officer Officer of Dimensional Fund Advisors LP (since
December 2012). Formerly, Chief Compliance
Officer of Wellington Management Company, LLP
(2004-2011).
--------------------------------------------------------------------------------------------------------------------------------
Carolyn L. O Vice President Since 2010 Vice President of all the DFA Entities, Dimensional
1974 Cayman Commodity Fund I Ltd., and Dimensional
Fund Advisors Canada ULC (since April 2016).
Deputy General Counsel, Funds (since 2011).
--------------------------------------------------------------------------------------------------------------------------------
Gerard K. O'Reilly Vice President and Co- Vice President since 2007 Vice President and Co-Chief Investment Officer of all
1976 Chief Investment and Co-Chief Investment the DFA Entities, Dimensional Fund Advisors
Officer Officer since 2014 Canada ULC, and Dimensional Japan Ltd. Director
of Dimensional Funds plc and Dimensional Fund II
plc.
--------------------------------------------------------------------------------------------------------------------------------
Randy C. Olson Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1980 Senior Compliance Officer for Dimensional Fund
Advisors LP (July 2014-January 2016); Vice
President Regional Head of Investment Compliance,
Asia, PIMCO Asia Private Limited (July 2012-July
2014); Country Compliance Officer, Janus Capital,
Singapore Private Limited (May 2011-June 2012).
--------------------------------------------------------------------------------------------------------------------------------
Daniel C. Ong Vice President Since 2009 Vice President of all the DFA Entities. Portfolio
1973 Manager for Dimensional Fund Advisors LP (since
July 2005).
--------------------------------------------------------------------------------------------------------------------------------
Kyle K. Ozaki Vice President Since 2010 Vice President of all the DFA Entities.
1978
--------------------------------------------------------------------------------------------------------------------------------
Matthew A. Pawlak Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1977 Regional Director for Dimensional Fund Advisors LP
(2012-January 2013); Senior Consultant (June 2011-
December 2011) and Senior Investment Analyst and
Consultant (July 2008-June 2011) at Hewitt
EnnisKnupp.
--------------------------------------------------------------------------------------------------------------------------------
Mary T. Phillips Vice President Since 2016 Vice President of all the DFA Entities. Senior
1981 Portfolio Manager (January 2015-present). Formerly,
Portfolio Manager (April 2014-January 2015) and
Investment Associate for Dimensional Fund Advisors
LP (July 2012-March 2014).
--------------------------------------------------------------------------------------------------------------------------------
Jeffrey L. Pierce Vice President Since 2015 Vice President of all the DFA Entities. Senior
1984 Manager, Advisor Benchmarking (since January
2015) for Dimensional Fund Advisors LP. Formerly,
Manager, Advisor Benchmarking (April 2012-
December 2014) for Dimensional Fund Advisors LP;
Senior Manager, Research and Consulting
(October 2010-April 2012) for Crain Communications
Inc.
--------------------------------------------------------------------------------------------------------------------------------
Olivian T. Pitis Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1974 Regional Director (May 2011-January 2015) for
Dimensional Fund Advisors LP.
--------------------------------------------------------------------------------------------------------------------------------
Brian P. Pitre Vice President Since 2015 Vice President of all the DFA Entities. Counsel for
1976 Dimensional Fund Advisors LP (since February
2015). Formerly, Chief Financial Officer and General
Counsel for Relentless (March 2014-January 2015);
Vice President of all the DFA Entities (January 2013-
March 2014); Counsel for Dimensional Fund
Advisors LP (January 2009-March 2014).
--------------------------------------------------------------------------------------------------------------------------------
David A. Plecha Vice President Since 1993 Vice President of all the DFA Entities, DFA Australia
1961 Limited, Dimensional Fund Advisors Ltd. and
Dimensional Fund Advisors Canada ULC.
--------------------------------------------------------------------------------------------------------------------------------
Allen Pu Vice President Since 2011 Vice President of all the DFA Entities. Senior
1970 Portfolio Manager for Dimensional Fund Advisors LP
(since January 2015). Formerly, Portfolio Manager
for Dimensional Fund Advisors LP
(2006-January 2015).
--------------------------------------------------------------------------------------------------------------------------------
77
TERM OF OFFICE/1/
AND LENGTH OF
NAME AND YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
--------------------------------------------------------------------------------------------------------------
David J. Rapozo Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1967 Regional Director for Dimensional Fund Advisors LP
(January 2011-January 2014).
--------------------------------------------------------------------------------------------------------------
Mark A. Regier Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1969 Planning and Analysis Manager for Dimensional
Fund Advisors LP (July 2007-January 2014).
--------------------------------------------------------------------------------------------------------------
Cory T. Riedberger Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1979 Regional Director (March 2011-January 2015) for
Dimensional Fund Advisors LP.
--------------------------------------------------------------------------------------------------------------
Savina B. Rizova Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1981 Research Associate (June 2011-January 2012) for
Dimensional Fund Advisors LP.
--------------------------------------------------------------------------------------------------------------
Michael F. Rocque Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1968 Senior Fund Accounting Manager (July 2013-
January 2015) for Dimensional Fund Advisors LP;
Senior Financial Consultant and Chief Accounting
Officer (July 2002-July 2013) for MFS Investment
Management.
--------------------------------------------------------------------------------------------------------------
L. Jacobo Rodriguez Vice President Since 2005 Vice President of all the DFA Entities.
1971
--------------------------------------------------------------------------------------------------------------
Austin S. Rosenthal Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1978 Vice President for Dimensional SmartNest (US) LLC
(September 2010-November 2014).
--------------------------------------------------------------------------------------------------------------
Oliver J. Rowe Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1960 Senior Manager, Human Resources for Dimensional
Fund Advisors LP (January 2012-January 2014);
Director of Human Resources at Spansion, Inc.
(March 2009-December 2011).
--------------------------------------------------------------------------------------------------------------
Joseph S. Ruzicka Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1987 Manager Investment Analytics and Data (January
2014-January 2015), Senior Associate, Investment
Analytics and Data (January 2013-January 2014),
Associate, Investment Analytics and Data (January
2012-January 2013), and Investment Data Analyst
(April 2010-January 2012) for Dimensional Fund
Advisors LP.
--------------------------------------------------------------------------------------------------------------
Julie A. Saft Vice President Since 2010 Vice President of all the DFA Entities.
1959
--------------------------------------------------------------------------------------------------------------
Joel P. Schneider Vice President Since 2015 Vice President of all the DFA Entities. Portfolio
1980 Manager (since 2013) for Dimensional Fund
Advisors LP. Formerly, Investment Associate
(April 2011-January 2013) for Dimensional Fund
Advisors LP.
--------------------------------------------------------------------------------------------------------------
Ashish Shrestha Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1978 Regional Director (September 2009-January 2015)
for Dimensional Fund Advisors LP.
--------------------------------------------------------------------------------------------------------------
Bruce A. Simmons Vice President Since 2009 Vice President of all the DFA Entities.
1965
--------------------------------------------------------------------------------------------------------------
Ted R. Simpson Vice President Since 2007 Vice President of all the DFA Entities.
1968
--------------------------------------------------------------------------------------------------------------
Bhanu P. Singh Vice President Since 2014 Vice President of all the DFA Entities. Senior
1981 Portfolio Manager for Dimensional Fund Advisors LP
(since January 2015). Formerly, Portfolio Manager
(January 2012-January 2015) and Investment
Associate for Dimensional Fund Advisors LP
(August 2010-December 2011).
--------------------------------------------------------------------------------------------------------------
Bryce D. Skaff Vice President Since 2007 Vice President of all the DFA Entities.
1975
--------------------------------------------------------------------------------------------------------------
Lukas J. Smart Vice President Since 2014 Vice President of all the DFA Entities. Portfolio
1977 Manager of Dimensional Fund Advisors LP
(since January 2010).
--------------------------------------------------------------------------------------------------------------
78
TERM OF OFFICE/1/
AND LENGTH OF
NAME AND YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
-----------------------------------------------------------------------------------------------------------------
Andrew D. Smith Vice President Since 2011 Vice President of all the DFA Entities.
1968
-----------------------------------------------------------------------------------------------------------------
Grady M. Smith Vice President Since 2004 Vice President of all the DFA Entities and
1956 Dimensional Fund Advisors Canada ULC.
-----------------------------------------------------------------------------------------------------------------
Matthew Snider Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1976 Regional Director for Dimensional Fund Advisors LP
(September 2011-January 2016); Sales Executive,
Vanguard (May 2008-August 2011).
-----------------------------------------------------------------------------------------------------------------
Lawrence R. Spieth Vice President Since 2004 Vice President of all the DFA Entities.
1947
-----------------------------------------------------------------------------------------------------------------
Charlene L. St. John Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1965 Senior Manager for Dimensional Fund Advisors LP
(September 2014-January 2016); Vice President of
Marketing, Forward Management/Salient
(January 2008-February 2014).
-----------------------------------------------------------------------------------------------------------------
Brent M. Stone Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1971 Project Manager (September 2012-December 2015)
and Manager, Corporate Systems for Dimensional
Fund Advisors LP (January 2011-September 2012).
-----------------------------------------------------------------------------------------------------------------
Richard H. Tatlow V Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1971 Regional Director for Dimensional Fund Advisors LP
(April 2010-January 2013).
-----------------------------------------------------------------------------------------------------------------
Blake T. Tatsuta Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1973 Manager, Investment Analytics and Data (2012-
January 2013) and Research Assistant (2002-2011)
for Dimensional Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------------
James J. Taylor Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1983 Accounting Manager for Dimensional Fund Advisors
LP (November 2009-January 2016).
-----------------------------------------------------------------------------------------------------------------
Erik T. Totten Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1980 Regional Director (2010-January 2013) for
Dimensional Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------------
John H. Totten Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1978 Regional Director for Dimensional Fund Advisors LP
(January 2008-January 2012).
-----------------------------------------------------------------------------------------------------------------
Robert C. Trotter Vice President Since 2009 Vice President of all the DFA Entities.
1958
-----------------------------------------------------------------------------------------------------------------
Dave C. Twardowski Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1982 Research Associate (June 2011-January 2015) for
Dimensional Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------------
Karen E. Umland Vice President Since 1997 Vice President of all the DFA Entities, DFA Australia
1966 Limited, Dimensional Fund Advisors Ltd., and
Dimensional Fund Advisors Canada ULC.
-----------------------------------------------------------------------------------------------------------------
Benjamin C. Walker Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1979 Regional Director for Dimensional Fund Advisors LP
(September 2008-January 2014).
-----------------------------------------------------------------------------------------------------------------
Brian J. Walsh Vice President Since 2009 Vice President of all the DFA Entities. Portfolio
1970 Manager for Dimensional Fund Advisors LP (since
2004).
-----------------------------------------------------------------------------------------------------------------
Jessica Walton Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1974 Regional Director (January 2012-January 2015) for
Dimensional Fund Advisors LP; Director of Marketing
and Investor Relations for Treaty Oak Capital
Management (July 2011-October 2011); Vice
President for Rockspring Capital (October
2010-July 2011).
-----------------------------------------------------------------------------------------------------------------
Griffin S. Watkins Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1985 Regional Director (January 2014-January 2016) and
Senior Associate (January 2011-December 2013).for
Dimensional Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------------
79
TERM OF OFFICE/1/
AND LENGTH OF
NAME AND YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
--------------------------------------------------------------------------------------------------------------
Timothy P. Wei Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1968 Counsel for Dimensional Fund Advisors LP
(July 2014-January 2016); Assistant General
Counsel, Teacher Retirement System of Texas
(October 2008-June 2014).
--------------------------------------------------------------------------------------------------------------
Weston J. Wellington Vice President Since 1997 Vice President of all the DFA Entities.
1951
--------------------------------------------------------------------------------------------------------------
Ryan J. Wiley Vice President Since 2007 Vice President of all the DFA Entities.
1976
--------------------------------------------------------------------------------------------------------------
Kristina M. Williams Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1975 Client Service Supervisor for Dowling & Yahnke
(July 2014-January 2016); Head of Operations for
The Elements Financial Group (January 2013-June
2014); Head of Operations for Vericimetry Advisors
LLC (July 2011-December 2012).
--------------------------------------------------------------------------------------------------------------
Jeremy J. Willis Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1976 Manager, Client Systems for Dimensional Fund
Advisors LP (May 2012-January 2016); Vice
President, Implementations, Citigroup (August 2006-
October 2011).
--------------------------------------------------------------------------------------------------------------
Stacey E. Winning Vice President Since 2015 Vice President of all the DFA Entities. Head of
1981 Global Recruiting and Development (since
June 2014) for Dimensional Fund Advisors LP.
Formerly, Senior Manager, Recruiting (December
2012-June 2014) for Dimensional Fund Advisors LP;
Co-Head of Global Recruiting (May 2009-November
2012) for Two Sigma Investments.
--------------------------------------------------------------------------------------------------------------
Cecelia K. Wong Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1981 Client Service Manager for Dimensional Fund
Advisors LP (June 2005-January 2016).
--------------------------------------------------------------------------------------------------------------
Craig A. Wright Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1982 Accounting Manager for Dimensional Fund Advisors
LP (November 2011-January 2016); Senior
Associate, PricewaterhouseCoopers LP (July 2009-
November 2011).
--------------------------------------------------------------------------------------------------------------
Joseph L. Young Vice President Since 2011 Vice President of all the DFA Entities.
1978
--------------------------------------------------------------------------------------------------------------
/1/ Each officer holds office for an indefinite term at the pleasure of the
Board of Directors and until his or her successor is elected and qualified.
80
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.
81
NOTICE TO SHAREHOLDERS
(UNAUDITED)
For shareholders that do not have an October 31, 2016 tax year end, this notice
is for informational purposes only. For shareholders with an October 31, 2016
tax year end, please consult your tax advisor as to the pertinence of this
notice. For the fiscal year November 1, 2015 to October 31, 2016, each
Portfolio is designating the following items with regard to distributions paid
during the fiscal year. All designations are based on financial information
available as of the date of this annual report and, accordingly are subject to
change. For each item, it is the intention of the Portfolio to designate the
maximum amount permitted under the Internal Revenue Code and the regulations
thereunder.
QUALIFYING
FOR
NET CORPORATE
INVESTMENT SHORT-TERM LONG-TERM DIVIDENDS QUALIFYING
INCOME CAPITAL GAIN CAPITAL GAIN TOTAL RECEIVED DIVIDEND
DFA INVESTMENT DIMENSIONS GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DEDUCTION(1) INCOME(2)
------------------------------------ ------------- ------------- ------------- ------------- ------------ ----------
VA U.S. Targeted Value Portfolio............. 16% 15% 69% 100% 100% 100%
VA U.S. Large Value Portfolio................ 31% 0% 69% 100% 100% 100%
VA International Value Portfolio............. 100% -- -- 100% 100% 100%
VA International Small Portfolio............. 39% 3% 58% 100% 100% 100%
VA Short-Term Fixed Portfolio................ 77% 17% 6% 100% -- --
VA Global Bond Portfolio..................... 79% 4% 17% 100% -- --
VIT Inflation-Protected Securities Portfolio. 100% -- -- 100% -- --
DFA VA Global Moderate Allocation Portfolio.. 88% -- 12% 100% 100% 100%
QUALIFYING
SHORT-
U.S. FOREIGN FOREIGN QUALIFYING TERM
GOVERNMENT TAX SOURCE INTEREST CAPITAL
DFA INVESTMENT DIMENSIONS GROUP INC. INTEREST(3) CREDIT(4) INCOME(5) INCOME(6) GAIN(7)
------------------------------------ ----------- --------- --------- ---------- ----------
VA U.S. Targeted Value Portfolio............. -- -- -- 100% 100%
VA U.S. Large Value Portfolio................ -- -- -- 100% 100%
VA International Value Portfolio............. -- 5% 100% 100% 100%
VA International Small Portfolio............. -- 6% 100% 100% 100%
VA Short-Term Fixed Portfolio................ 11% -- -- 100% 100%
VA Global Bond Portfolio..................... -- -- -- 100% 100%
VIT Inflation-Protected Securities Portfolio. 100% -- -- 100% 100%
DFA VA Global Moderate Allocation Portfolio.. -- 2% 32% 100% 100%
----------
(1)Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
income distributions (the total of short-term capital gain and net
investment income distributions).
(2)The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
Please note that these percentages are designated only, refer to your 1099
for actual qualified dividend income.
(3)"U.S. Government Interest" represents the amount of interest that was
derived from direct U.S. Government obligations and distributed during the
fiscal year. This amount is reflected as a percentage of total ordinary
income distributions (the total of short-term capital gain and net
investment income distributions). Generally, interest from direct U.S.
Government obligations is exempt from state income tax.
(4)"Foreign Tax Credit" represents dividends which qualify for the foreign tax
credit pass through and is reflected as a percentage of investment company
taxable income.
(5)"Foreign Source Income" represents the portion of dividends derived from
foreign sources, and is reflected as a percentage of investment company
taxable income.
(6)The percentage in this column represents the amount of "Qualifying Interest
Income" as created by The American Jobs Creation Act of 2004. The
information is reflected as a percentage ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
(7)The percentage in this column represents the amount of "Qualifying
Short-Term Capital Gain" as created by The American Jobs Creation Act of
2004. The information is reflected as a percentage of ordinary income
distributions (the total of short-term capital gain and net investment
income distributions).
82
DFA103116-004A
[LOGO] 00185759
[LOGO]
ANNUAL REPORT
year ended: October 31, 2016
DFA Investment Dimensions Group Inc.
U.S. Large Cap Growth Portfolio
U.S. Small Cap Growth Portfolio
International Large Cap Growth Portfolio
International Small Cap Growth Portfolio
[LOGO]
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
December 2016
Dear Fellow Shareholder,
On behalf of our team at Dimensional, I want to thank you for trusting us with
your investments. We recognize the important role those investments play in
your future plans, and we take the responsibility implied by this trust with
the utmost dedication and seriousness that it deserves.
Dimensional is focused on offering consistent ways to access the performance
delivered by securities in different markets and asset classes through
well-diversified, efficiently managed portfolios. The importance of the word
CONSISTENCY cannot be overemphasized. By being consistent in our investment
approach and the quality of our implementation, we create opportunities for you
to combine funds into an asset allocation that fits your goals and preferences
-- enabling you to be a long-term investor in control of your investments.
We recognize markets are full of uncertainties, which highlights the importance
of having efficiently managed funds focused on delivering value to investors as
part of an overall asset allocation that can help overcome those uncertainties.
We are fortunate to work with clients who are committed to a long-term
investment philosophy. We remain committed to managing investments for our
clients with the same dedication, transparency, efficiency, and consistency we
have for more than 35 years.
Sincerely,
/s/ Eduardo A. Repetto
Eduardo A. Repetto
CO-CHIEF EXECUTIVE OFFICER AND CO-CHIEF INVESTMENT OFFICER
DFA INVESTMENT DIMENSIONS GROUP INC.
ANNUAL REPORT
TABLE OF CONTENTS
PAGE
----
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES............. 1
Performance Charts.................................. 2
Management's Discussion and Analysis................ 4
Disclosure of Fund Expenses......................... 7
Disclosure of Portfolio Holdings.................... 9
Summary Schedules of Portfolio Holdings
U.S. Large Cap Growth Portfolio................. 10
U.S. Small Cap Growth Portfolio................. 13
International Large Cap Growth Portfolio........ 16
International Small Cap Growth Portfolio........ 20
Statements of Assets and Liabilities................ 24
Statements of Operations............................ 25
Statements of Changes in Net Assets................. 26
Financial Highlights................................ 27
Notes to Financial Statements....................... 29
Report of Independent Registered Public Accounting
Firm.............................................. 40
Section 19(a) Notice................................ 41
FUND MANAGEMENT........................................ 42
VOTING PROXIES ON FUND PORTFOLIO SECURITIES............ 57
NOTICE TO SHAREHOLDERS................................. 58
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.
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
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) Because of commencement of operations and related preliminary transaction costs, these ratios are
not necessarily indicative of future ratios.
(C) Non-Annualized
(D) Annualized
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
SEC Securities and Exchange Commission
(a) Commencement of Operations.
1
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
U.S. LARGE CAP GROWTH PORTFOLIO VS.
RUSSELL 1000(R) GROWTH INDEX
DECEMBER 20, 2012-OCTOBER 31, 2016
[CHART]
U.S. Large Cap Growth Russell 1000/R/
Portfolio Growth Index
--------------------------- ----------------
12/20/2012 $10,000 $10,000
12/31/2012 9,980 9,901
1/31/2013 10,470 10,326
2/28/2013 10,590 10,454
3/31/2013 10,979 10,846
4/30/2013 11,150 11,076
5/31/2013 11,440 11,282
6/30/2013 11,269 11,070
7/31/2013 11,892 11,657
8/31/2013 11,611 11,457
9/30/2013 12,104 11,968
10/31/2013 12,658 12,497
11/30/2013 13,072 12,850
12/31/2013 13,366 13,217
1/31/2014 12,769 12,840
2/28/2014 13,437 13,501
3/31/2014 13,470 13,365
4/30/2014 13,531 13,365
5/31/2014 13,877 13,782
6/30/2014 14,106 14,050
7/31/2014 13,851 13,835
8/31/2014 14,483 14,469
9/30/2014 14,237 14,259
10/31/2014 14,646 14,635
11/30/2014 15,199 15,099
12/31/2014 15,025 14,941
1/31/2015 14,684 14,713
2/28/2015 15,552 15,693
3/31/2015 15,373 15,515
4/30/2015 15,425 15,592
5/31/2015 15,539 15,812
6/30/2015 15,216 15,533
7/31/2015 15,581 16,060
8/31/2015 14,706 15,085
9/30/2015 14,333 14,712
10/31/2015 15,494 15,978
11/30/2015 15,494 16,023
12/31/2015 15,271 15,788
1/31/2016 14,563 14,907
2/29/2016 14,721 14,900
3/31/2016 15,723 15,905
4/30/2016 15,554 15,760
5/31/2016 15,789 16,066
6/30/2016 15,831 16,003
7/31/2016 16,481 16,758 Past performance is not predictive of
8/31/2016 16,417 16,675 future performance.
9/30/2016 16,376 16,736 The returns shown do not reflect the
10/31/2016 15,959 16,343 deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE SINCE redemption of fund shares.
TOTAL RETURN YEAR INCEPTION Russell data copyright (C) Russell
--------------------------------------------------- Investment Group 1995-2016, all
3.00% 12.86% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
U.S. SMALL CAP GROWTH PORTFOLIO VS.
RUSSELL 2000(R) GROWTH INDEX
DECEMBER 20, 2012-OCTOBER 31, 2016
[CHART]
U.S. Small Cap Growth Russell 2000/R/ Growth
Portfolio Index
------------------- ----------------------
12/20/2012 $10,000 $10,000
12/31/2012 10,060 9,977
1/31/2013 10,630 10,634
2/28/2013 10,690 10,747
3/31/2013 11,225 11,295
4/30/2013 11,085 11,221
5/31/2013 11,705 11,790
6/30/2013 11,718 11,717
7/31/2013 12,529 12,603
8/31/2013 12,249 12,357
9/30/2013 13,036 13,217
10/31/2013 13,517 13,458
11/30/2013 14,099 14,011
12/31/2013 14,358 14,297
1/31/2014 13,679 14,050
2/28/2014 14,237 14,730
3/31/2014 14,274 14,367
4/30/2014 13,848 13,629
5/31/2014 13,869 13,760
6/30/2014 14,591 14,614
7/31/2014 13,758 13,729
8/31/2014 14,347 14,495
9/30/2014 13,746 13,719
10/31/2014 14,550 14,570
11/30/2014 14,733 14,664
12/31/2014 14,966 15,098
1/31/2015 14,515 14,754
2/28/2015 15,561 15,816
3/31/2015 15,840 16,099
4/30/2015 15,419 15,626
5/31/2015 15,768 16,200
6/30/2015 15,968 16,418
7/31/2015 15,926 16,485
8/31/2015 14,970 15,236
9/30/2015 14,333 14,273
10/31/2015 15,178 15,083
11/30/2015 15,497 15,636
12/31/2015 14,726 14,890
1/31/2016 13,779 13,277
2/30/2016 13,883 13,183
3/31/2016 14,928 14,193
4/30/2016 14,959 14,334
5/31/2016 15,240 14,720
6/30/2016 15,136 14,653
7/31/2016 15,919 15,611
8/31/2016 16,013 15,777
9/30/2016 15,997 16,004
10/31/2016 15,348 15,009
11/30/2015 15,497 15,636
12/31/2015 14,726 14,890
1/31/2016 13,779 13,277
2/29/2016 13,883 13,183
3/31/2016 14,928 14,193
4/30/2016 14,959 14,334
5/31/2016 15,240 14,720
6/30/2016 15,136 14,653
7/31/2016 15,919 15,611 Past performance is not predictive of
8/31/2016 16,013 15,777 future performance.
9/30/2016 15,997 16,004 The returns shown do not reflect the
10/31/2016 15,348 15,009 deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE SINCE redemption of fund shares.
TOTAL RETURN YEAR INCEPTION Russell data copyright (C) Russell
-------------------------------------------------- Investment Group 1995-2016, all
1.12% 11.73% rights reserved.
--------------------------------------------------------------------------------
2
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
INTERNATIONAL LARGE CAP GROWTH PORTFOLIO VS.
MSCI WORLD EX USA GROWTH INDEX (NET DIVIDENDS)
DECEMBER 20, 2012-OCTOBER 31, 2016
[CHART]
International Large Cap MSCI World ex USA Growth
Growth Portfolio Index (net dividends)
------------------------ -------------------------
12/20/2012 $10,000 $10,000
12/31/2012 10,030 9,932
1/31/2013 10,370 10,366
2/28/2013 10,300 10,401
3/31/2013 10,455 10,553
4/30/2013 10,846 10,926
5/31/2013 10,726 10,714
6/30/2013 10,440 10,347
7/31/2013 11,017 10,831
8/31/2013 10,835 10,683
9/30/2013 11,642 11,392
10/31/2013 11,998 11,691
11/30/2013 12,099 11,773
12/31/2013 12,336 11,971
1/31/2014 11,784 11,452
2/28/2014 12,479 12,073
3/31/2014 12,449 12,018
4/30/2014 12,593 12,127
5/31/2014 12,777 12,355
6/30/2014 12,955 12,498
7/31/2014 12,614 12,230
8/31/2014 12,707 12,298
9/30/2014 12,173 11,843
10/31/2014 12,142 11,727
11/30/2014 12,267 11,959
12/31/2014 11,797 11,581
1/31/2015 11,881 11,635
2/28/2015 12,460 12,309
3/31/2015 12,295 12,163
4/30/2015 12,727 12,639
5/31/2015 12,706 12,593
6/30/2015 12,315 12,264
7/31/2015 12,571 12,532
8/31/2015 11,697 11,623
9/30/2015 11,300 11,147
10/31/2015 11,985 12,000
11/30/2015 11,996 11,908
12/31/2015 11,796 11,772
1/31/2016 11,334 11,056
2/29/2016 11,076 10,906
3/31/2016 11,765 11,613
4/30/2016 11,884 11,845
5/31/2016 11,916 11,799
6/30/2016 11,782 11,620
7/31/2016 12,219 12,183
8/31/2016 12,109 12,019
9/30/2016 12,285 12,197
10/31/2016 11,814 11,691 Past performance is not predictive of
future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE SINCE would pay on fund distributions or the
TOTAL RETURN YEAR INCEPTION redemption of fund shares.
------------------------------------------------------- MSCI data copyright MSCI 2016, all
-1.43% 4.41% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
INTERNATIONAL SMALL CAP GROWTH PORTFOLIO VS.
MSCI WORLD EX USA SMALL CAP GROWTH INDEX (NET DIVIDENDS)
DECEMBER 20, 2012-OCTOBER 31, 2016
[CHART]
International Small Cap MSCI World ex USA Small Cap
Growth Portfolio Growth Index (net dividends)
------------------------ -------------------------------
12/20/2012 $10,000 $10,000
12/31/2012 10,050 9,979
1/31/2013 10,460 10,332
2/28/2013 10,530 10,348
3/31/2013 10,813 10,608
4/30/2013 11,123 10,813
5/31/2013 10,793 10,585
6/30/2013 10,619 10,181
7/31/2013 11,255 10,814
8/31/2013 11,225 10,784
9/30/2013 12,048 11,690
10/31/2013 12,383 11,933
11/30/2013 12,484 12,008
12/31/2013 12,824 12,307
1/31/2014 12,447 12,074
2/28/2014 13,150 12,775
3/31/2014 13,175 12,667
4/30/2014 13,175 12,552
5/31/2014 13,348 12,745
6/30/2014 13,518 13,054
7/31/2014 13,076 12,710
8/31/2014 13,220 12,782
9/30/2014 12,464 12,034
10/31/2014 12,361 11,772
11/30/2014 12,320 11,792
12/31/2014 12,200 11,711
1/31/2015 12,158 11,597
2/28/2015 12,901 12,315
3/31/2015 12,824 12,223
4/30/2015 13,486 12,840
5/31/2015 13,685 13,020
6/30/2015 13,523 12,874
7/31/2015 13,597 12,969
8/31/2015 12,993 12,399
9/30/2015 12,599 11,940
10/31/2015 13,237 12,661
11/30/2015 13,439 12,797
12/31/2015 13,477 12,873
1/31/2016 12,645 11,868
2/29/2016 12,505 11,894
3/31/2016 13,519 12,878
4/30/2016 13,638 13,181
5/31/2016 13,877 13,338
6/30/2016 13,329 12,789
7/31/2016 14,041 13,470 Past performance is not predictive of
8/31/2016 13,975 13,256 future performance.
9/30/2016 14,410 13,716 The returns shown do not reflect the
10/31/2016 13,927 13,162 deduction of taxes that a shareholder
AVERAGE ANNUAL ONE SINCE would pay on fund distributions or the
TOTAL RETURN YEAR INCEPTION redemption of fund shares.
---------------------------------------------------------- MSCI data copyright MSCI 2016, all
5.21% 8.95% rights reserved.
--------------------------------------------------------------------------------
3
DFA INVESTMENT DIMENSIONS GROUP INC.
MANAGEMENT'S DISCUSSION AND ANALYSIS
(UNAUDITED)
U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2016
Most U.S. equities had positive returns during the period. The broad U.S.
equity market, as measured by the Russell 3000(R) Index, gained approximately
4.2%. Large cap stocks outperformed small-cap stocks as measured by the Russell
indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2016
-------------------------------------------------
Russell 3000(R) Index........................ 4.24%
Russell Microcap(R) Index (micro-cap stocks). 1.54%
Russell 2000(R) Index (small-cap stocks)..... 4.11%
Russell 1000(R) Index (large-cap stocks)..... 4.26%
Dow Jones U.S. Select REIT Index /SM/........ 4.96%
Value stocks outperformed growth stocks as measured by the Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2016
-------------------------------------------------
Russell 2000(R) Value Index (small-cap value stocks)... 8.81%
Russell 2000(R) Growth Index (small-cap growth stocks). -0.49%
Russell 1000(R) Value Index (large-cap value stocks)... 6.37%
Russell 1000(R) Growth Index (large-cap growth stocks). 2.28%
----------
Source: Frank Russell Company is the source and owner of the trademarks,
service marks, and copyrights related to the Russell Indexes.
DOMESTIC EQUITY PORTFOLIOS' PERFORMANCE OVERVIEW
U.S. LARGE CAP GROWTH PORTFOLIO
The U.S. Large Cap Growth Portfolio seeks to capture the returns of U.S.
large-cap growth stocks with higher profitability. Growth is measured primarily
by book-to-market ratio. In assessing profitability, the Advisor may consider
such factors as earnings or profits from operations relative to book value or
assets. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2016, the Portfolio held approximately 300
securities. In general, average cash exposure throughout the year was less than
1% of the Portfolio's assets.
For the 12 months ended October 31, 2016, total returns were 3.00% for the
Portfolio and 2.28% for the Russell 1000 Growth Index, the Portfolio's
benchmark. As a result of the Portfolio's diversified investment approach,
performance was determined principally by broad trends in the U.S. equity
market rather than the behavior of a limited number of stocks. The Portfolio's
emphasis on higher profitability stocks contributed to its outperformance
relative to the benchmark.
U.S. SMALL CAP GROWTH PORTFOLIO
The U.S. Small Cap Growth Portfolio invests in a broadly diversified group
of U.S. small-cap growth stocks with higher profitability. Growth is measured
primarily by book-to-market ratio. In assessing profitability, the Advisor may
consider such factors as earnings or profits from operations relative to book
value or assets. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2016, the Portfolio held approximately 600
securities. In general, average cash exposure throughout the year was less than
1% of the Portfolio's assets.
For the 12 months ended October 31, 2016, total returns were 1.12% for the
Portfolio and -0.49% for the Russell 2000(R) Growth Index, the Portfolio's
benchmark. As a result of the Portfolio's diversified investment
4
approach, performance was determined principally by broad trends in the U.S.
equity market rather than the behavior of a limited number of stocks. Within
small-cap growth stocks, the Portfolio excluded certain stocks with lower
profitability and higher relative price, which contributed to its
outperformance relative to the benchmark. These excluded stocks generally
underperformed the benchmark during the period.
INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2016
Performance of non-U.S. developed markets was varied for the period. Small-cap
stocks had positive returns, while large-cap stocks had negative returns. As
measured by the MSCI World ex USA indices, small-cap stocks outperformed
large-cap stocks, and value stocks outperformed growth stocks.
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
RETURN IN U.S. DOLLARS
- ----------------------
MSCI World ex USA Index........... -2.27%
MSCI World ex USA Small Cap Index. 3.96%
MSCI World ex USA Value Index..... -2.07%
MSCI World ex USA Growth Index.... -2.58%
During the period, the performance of the U.S. dollar was mixed when
compared against the currencies of other developed markets. In particular,
while the U.S. dollar appreciated significantly against the British pound, it
depreciated significantly against the Japanese yen. Overall, currency
fluctuations detracted from USD-denominated returns in developed markets.
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLARS
--------------------------------------------------- ------------ ----------------------
Japan............................. -10.14% 3.19%
United Kingdom.................... 13.55% -10.24%
France............................ -4.31% -5.04%
Switzerland....................... -8.27% -8.57%
Canada............................ 11.55% 8.90%
Germany........................... -2.14% -2.89%
Australia......................... 5.52% 12.55%
Hong Kong......................... 8.52% 8.45%
Spain............................. -8.40% -9.10%
Netherlands....................... 0.63% -0.20%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2016, all rights reserved.
For funds investing in non-US equities traded outside of the U.S. market
time zone, differences in the valuation timing and methodology between a fund
and its benchmark index may impact relative performance over the referenced
period. The funds price foreign exchange rates at the closing of the U.S.
market while their benchmark indices use rates at 4 p.m. London time. The funds
also may use fair value pricing to price certain portfolio securities at the
closing of the U.S. market, while benchmark indices may use local market
closing prices. For the one-year period ended October 31, 2016, these
differences generally benefited the funds' relative performance.
INTERNATIONAL EQUITY PORTFOLIOS' PERFORMANCE OVERVIEW
INTERNATIONAL LARGE CAP GROWTH PORTFOLIO
The International Large Cap Growth Portfolio seeks to capture the returns of
developed ex U.S. large-cap growth stocks with higher profitability. The
investment strategy is process driven, emphasizing broad diversification. As of
October 31, 2016, the Portfolio held approximately 470 securities in 21
developed markets. In general, average cash exposure throughout the year was
less than 1% of the Portfolio's assets.
5
For the 12 months ended October 31, 2016, total returns were -1.43% for the
Portfolio and -2.58% for the MSCI World ex USA Growth Index (net dividends),
the Portfolio's benchmark. As a result of the Portfolio's diversified
investment approach, performance was determined principally by broad trends in
developed ex U.S. equity markets rather than by the behavior of a limited
number of stocks. With smaller stocks outperforming larger stocks, the
Portfolio's emphasis on large company stocks with relatively smaller market
capitalizations than the broad large cap universe contributed positively to its
performance relative to the benchmark.
INTERNATIONAL SMALL CAP GROWTH PORTFOLIO
The International Small Cap Growth Portfolio seeks to capture the returns of
developed ex U.S. small-cap growth stocks, with an emphasis on those with
higher profitability. The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2016, the Portfolio held approximately
1,200 securities in 22 eligible developed markets. In general, average cash
exposure throughout the year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2016, total returns were 5.21% for the
Portfolio and 3.95% for the MSCI World ex USA Small Cap Growth Index (net
dividends), the Portfolio's benchmark. As a result of the Portfolio's
diversified investment approach, performance was determined principally by
broad trends in developed ex U.S. equity markets rather than by the behavior of
a limited number of stocks. The Portfolio generally excludes real estate
investment trusts (REITs), which had a positive impact on its performance
relative to the benchmark, as REITs underperformed the benchmark. In addition,
Portfolio's greater weight in microcap securities contributed to relative
performance as these securities outperformed.
6
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2016
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/16 10/31/16 RATIO* PERIOD*
--------- --------- ---------- --------
U.S. LARGE CAP GROWTH PORTFOLIO
-------------------------------
Actual Fund Return
Institutional Class Shares..... $1,000.00 $1,026.00 0.20% $1.02
Hypothetical 5% Annual Return
Institutional Class Shares..... $1,000.00 $1,024.13 0.20% $1.02
U.S. SMALL CAP GROWTH PORTFOLIO
-------------------------------
Actual Fund Return
Institutional Class Shares..... $1,000.00 $1,026.00 0.40% $2.04
Hypothetical 5% Annual Return
Institutional Class Shares..... $1,000.00 $1,023.13 0.40% $2.03
7
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/16 10/31/16 RATIO* PERIOD*
--------- --------- ---------- --------
INTERNATIONAL LARGE CAP GROWTH PORTFOLIO
----------------------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $ 994.10 0.30% $1.50
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,023.63 0.30% $1.53
INTERNATIONAL SMALL CAP GROWTH PORTFOLIO
----------------------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $1,021.20 0.55% $2.79
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,022.37 0.55% $2.80
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then divided
by the number of days in the year (366) to reflect the six-month period.
8
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on September 28, 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
U.S. LARGE CAP GROWTH PORTFOLIO
Consumer Discretionary....................... 21.4%
Consumer Staples............................. 12.0%
Energy....................................... 0.4%
Financials................................... 2.5%
Health Care.................................. 14.0%
Industrials.................................. 16.5%
Information Technology....................... 24.0%
Materials.................................... 5.6%
Real Estate.................................. 0.1%
Telecommunication Services................... 3.5%
-----
100.0%
U.S. SMALL CAP GROWTH PORTFOLIO
Consumer Discretionary....................... 23.5%
Consumer Staples............................. 5.6%
Energy....................................... 1.1%
Financials................................... 6.6%
Health Care.................................. 12.2%
Industrials.................................. 23.4%
Information Technology....................... 19.2%
Materials.................................... 6.0%
Real Estate.................................. 0.7%
Telecommunication Services................... 1.4%
Utilities.................................... 0.3%
-----
100.0%
INTERNATIONAL LARGE CAP GROWTH PORTFOLIO
Consumer Discretionary....................... 18.4%
Consumer Staples............................. 13.4%
Energy....................................... 1.7%
Financials................................... 7.5%
Health Care.................................. 14.4%
Industrials.................................. 20.1%
Information Technology....................... 6.9%
Materials.................................... 6.3%
Real Estate.................................. 0.7%
Telecommunication Services................... 9.4%
Utilities.................................... 1.2%
-----
100.0%
INTERNATIONAL SMALL CAP GROWTH PORTFOLIO
Consumer Discretionary....................... 21.5%
Consumer Staples............................. 8.8%
Energy....................................... 2.6%
Financials................................... 5.0%
Health Care.................................. 7.7%
Industrials.................................. 27.2%
Information Technology....................... 13.6%
Materials.................................... 8.8%
Real Estate.................................. 1.3%
Telecommunication Services................... 2.5%
Utilities.................................... 1.0%
-----
100.0%
9
U.S. LARGE CAP GROWTH PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (88.0%)
Consumer Discretionary -- (18.8%)
* Amazon.com, Inc.................... 47,194 $ 37,274,765 3.4%
# Harley-Davidson, Inc............... 88,754 5,060,753 0.5%
Home Depot, Inc. (The)............. 226,513 27,636,851 2.5%
Lowe's Cos., Inc................... 150,027 9,999,300 0.9%
McDonald's Corp.................... 137,103 15,433,685 1.4%
* O'Reilly Automotive, Inc........... 17,670 4,672,655 0.4%
# Omnicom Group, Inc................. 66,550 5,312,021 0.5%
Starbucks Corp..................... 213,798 11,346,260 1.0%
TJX Cos., Inc. (The)............... 109,002 8,038,897 0.7%
Walt Disney Co. (The).............. 107,926 10,003,661 0.9%
Other Securities................... 100,824,007 9.2%
--------------- -------
Total Consumer Discretionary........... 235,602,855 21.4%
--------------- -------
Consumer Staples -- (10.6%)
Altria Group, Inc.................. 343,479 22,710,831 2.1%
# Clorox Co. (The)................... 43,477 5,218,110 0.5%
Coca-Cola Co. (The)................ 478,286 20,279,326 1.8%
Costco Wholesale Corp.............. 47,799 7,068,038 0.6%
Dr Pepper Snapple Group, Inc....... 54,761 4,807,468 0.4%
General Mills, Inc................. 93,166 5,774,429 0.5%
PepsiCo, Inc....................... 252,123 27,027,586 2.5%
Other Securities................... 39,629,170 3.6%
--------------- -------
Total Consumer Staples................. 132,514,958 12.0%
--------------- -------
Energy -- (0.3%)
Other Securities................... 3,999,342 0.4%
--------------- -------
Financials -- (2.2%)
Marsh & McLennan Cos., Inc......... 71,753 4,548,423 0.4%
S&P Global, Inc.................... 40,373 4,919,450 0.4%
Other Securities................... 18,004,428 1.7%
--------------- -------
Total Financials....................... 27,472,301 2.5%
--------------- -------
Health Care -- (12.3%)
AbbVie, Inc........................ 291,167 16,241,295 1.5%
Amgen, Inc......................... 78,509 11,082,330 1.0%
* Biogen, Inc........................ 37,544 10,519,078 1.0%
* Celgene Corp....................... 86,402 8,828,556 0.8%
Gilead Sciences, Inc............... 210,980 15,534,457 1.4%
Johnson & Johnson.................. 304,233 35,287,986 3.2%
UnitedHealth Group, Inc............ 79,202 11,193,619 1.0%
Other Securities................... 44,948,111 4.0%
--------------- -------
Total Health Care...................... 153,635,432 13.9%
--------------- -------
Industrials -- (14.5%)
3M Co.............................. 97,458 16,109,807 1.5%
Boeing Co. (The)................... 98,585 14,041,462 1.3%
# Emerson Electric Co................ 109,897 5,569,580 0.5%
General Dynamics Corp.............. 30,450 4,590,033 0.4%
Honeywell International, Inc....... 102,585 11,251,523 1.0%
Lockheed Martin Corp............... 44,576 10,982,635 1.0%
Northrop Grumman Corp.............. 31,079 7,117,091 0.6%
Raytheon Co........................ 33,316 4,551,299 0.4%
10
U.S. LARGE CAP GROWTH PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (Continued)
United Parcel Service, Inc. Class B.... 120,679 $ 13,004,369 1.2%
# WW Grainger, Inc....................... 29,865 6,215,504 0.6%
Other Securities....................... 87,662,078 7.9%
--------------- -------
Total Industrials............................ 181,095,381 16.4%
--------------- -------
Information Technology -- (21.2%)
Accenture P.L.C. Class A............... 97,240 11,303,178 1.0%
#* Alliance Data Systems Corp............. 31,449 6,430,377 0.6%
Apple, Inc............................. 376,284 42,723,285 3.9%
* Fiserv, Inc............................ 48,037 4,730,684 0.4%
# International Business Machines Corp... 152,220 23,394,692 2.1%
Mastercard, Inc. Class A............... 173,803 18,600,397 1.7%
Microsoft Corp......................... 739,902 44,334,928 4.0%
Oracle Corp............................ 176,807 6,792,925 0.6%
Texas Instruments, Inc................. 172,379 12,213,052 1.1%
# Visa, Inc. Class A..................... 204,422 16,866,859 1.5%
Other Securities....................... 77,115,750 7.1%
--------------- -------
Total Information Technology................. 264,506,127 24.0%
--------------- -------
Materials -- (4.9%)
LyondellBasell Industries NV Class A... 74,846 5,953,999 0.5%
Monsanto Co............................ 46,463 4,682,077 0.4%
Praxair, Inc........................... 55,360 6,480,442 0.6%
Other Securities....................... 44,346,733 4.1%
--------------- -------
Total Materials.............................. 61,463,251 5.6%
--------------- -------
Real Estate -- (0.1%)
Other Securities....................... 1,382,823 0.1%
--------------- -------
Telecommunication Services -- (3.1%)
Verizon Communications, Inc............ 795,409 38,259,173 3.5%
Other Securities....................... 87,465 0.0%
--------------- -------
Total Telecommunication Services............. 38,346,638 3.5%
--------------- -------
TOTAL COMMON STOCKS.......................... 1,100,019,108 99.8%
--------------- -------
TOTAL INVESTMENT SECURITIES.................. 1,100,019,108
---------------
TEMPORARY CASH INVESTMENTS -- (0.5%)
State Street Institutional U.S.
Government Money Market Fund, 0.260%.. 6,245,990 6,245,990 0.6%
--------------- -------
SECURITIES LENDING COLLATERAL -- (11.5%)
(S)@ DFA Short Term Investment Fund......... 12,429,205 143,830,764 13.0%
--------------- -------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,151,953,219)...................... $ 1,250,095,862 113.4%
=============== =======
11
U.S. LARGE CAP GROWTH PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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............ $ 235,602,855 -- -- $ 235,602,855
Consumer Staples.................. 132,514,958 -- -- 132,514,958
Energy............................ 3,999,342 -- -- 3,999,342
Financials........................ 27,472,301 -- -- 27,472,301
Health Care....................... 153,635,432 -- -- 153,635,432
Industrials....................... 181,095,381 -- -- 181,095,381
Information Technology............ 264,506,127 -- -- 264,506,127
Materials......................... 61,463,251 -- -- 61,463,251
Real Estate....................... 1,382,823 -- -- 1,382,823
Telecommunication Services........ 38,346,638 -- -- 38,346,638
Temporary Cash Investments......... 6,245,990 -- -- 6,245,990
Securities Lending Collateral...... -- $143,830,764 -- 143,830,764
-------------- ------------ -- --------------
TOTAL.............................. $1,106,265,098 $143,830,764 -- $1,250,095,862
============== ============ == ==============
See accompanying Notes to Financial Statements.
12
U.S. SMALL CAP GROWTH PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (77.2%)
Consumer Discretionary -- (18.1%)
# American Eagle Outfitters, Inc........ 81,308 $ 1,385,488 0.4%
#* Buffalo Wild Wings, Inc............... 11,333 1,650,651 0.5%
# Cable One, Inc........................ 2,900 1,672,546 0.5%
# Cheesecake Factory, Inc. (The)........ 24,884 1,323,580 0.4%
Drew Industries, Inc.................. 16,366 1,465,575 0.5%
#* Five Below, Inc....................... 45,756 1,719,510 0.5%
#* Tenneco, Inc.......................... 37,802 2,081,756 0.7%
# Texas Roadhouse, Inc.................. 34,104 1,381,894 0.4%
Thor Industries, Inc.................. 23,758 1,884,247 0.6%
# Tupperware Brands Corp................ 35,905 2,137,066 0.7%
# Wendy's Co. (The)..................... 121,664 1,318,838 0.4%
Other Securities...................... 56,725,170 17.8%
------------- -------
Total Consumer Discretionary.............. 74,746,321 23.4%
------------- -------
Consumer Staples -- (4.3%)
B&G Foods, Inc........................ 40,334 1,710,162 0.5%
Lancaster Colony Corp................. 12,376 1,616,924 0.5%
# PriceSmart, Inc....................... 15,578 1,416,819 0.5%
Other Securities...................... 12,970,853 4.1%
------------- -------
Total Consumer Staples.................... 17,714,758 5.6%
------------- -------
Energy -- (0.9%)
* Parsley Energy, Inc. Class A.......... 46,208 1,520,243 0.5%
Other Securities...................... 2,071,182 0.6%
------------- -------
Total Energy.............................. 3,591,425 1.1%
------------- -------
Financials -- (5.1%)
# Bank of Hawaii Corp................... 18,354 1,379,303 0.4%
# Federated Investors, Inc. Class B..... 59,678 1,611,306 0.5%
FirstCash, Inc........................ 29,038 1,370,594 0.4%
# NorthStar Asset Management Group, Inc. 96,172 1,317,556 0.4%
Other Securities...................... 15,240,472 4.9%
------------- -------
Total Financials.......................... 20,919,231 6.6%
------------- -------
Health Care -- (9.4%)
Cantel Medical Corp................... 23,418 1,668,064 0.5%
* Catalent, Inc......................... 60,080 1,370,425 0.4%
# Chemed Corp........................... 10,083 1,425,938 0.5%
* INC Research Holdings, Inc. Class A... 44,039 2,012,582 0.6%
* Masimo Corp........................... 37,541 2,064,755 0.7%
Other Securities...................... 30,193,362 9.4%
------------- -------
Total Health Care......................... 38,735,126 12.1%
------------- -------
Industrials -- (18.1%)
* Avis Budget Group, Inc................ 55,227 1,787,146 0.6%
Crane Co.............................. 26,313 1,789,547 0.6%
# Deluxe Corp........................... 22,082 1,351,418 0.4%
#* Dycom Industries, Inc................. 19,091 1,468,671 0.5%
#* Generac Holdings, Inc................. 35,444 1,350,062 0.4%
#* Hawaiian Holdings, Inc................ 32,490 1,462,862 0.5%
# Healthcare Services Group, Inc........ 44,087 1,629,896 0.5%
John Bean Technologies Corp........... 16,832 1,344,035 0.4%
# Landstar System, Inc.................. 25,587 1,820,515 0.6%
13
U.S. SMALL CAP GROWTH PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (Continued)
Valmont Industries, Inc....................................... 10,209 $ 1,306,242 0.4%
Other Securities.............................................. 59,346,113 18.5%
------------- -------
Total Industrials................................................... 74,656,507 23.4%
------------- -------
Information Technology -- (14.8%)
# Blackbaud, Inc................................................ 27,883 1,712,016 0.5%
* Cardtronics P.L.C. Class A.................................... 26,702 1,335,100 0.4%
#* Cimpress NV................................................... 18,911 1,574,341 0.5%
* Cirrus Logic, Inc............................................. 27,868 1,504,315 0.5%
* Coherent, Inc................................................. 12,509 1,302,437 0.4%
* CoreLogic, Inc................................................ 37,773 1,607,619 0.5%
InterDigital, Inc............................................. 20,174 1,425,293 0.5%
# j2 Global, Inc................................................ 19,749 1,405,141 0.4%
#* Paycom Software, Inc.......................................... 35,245 1,823,224 0.6%
Pegasystems, Inc.............................................. 44,651 1,379,716 0.4%
* Rackspace Hosting, Inc........................................ 47,468 1,516,128 0.5%
Science Applications International Corp....................... 25,978 1,790,144 0.6%
* Ubiquiti Networks, Inc........................................ 29,808 1,562,833 0.5%
Other Securities.............................................. 41,206,106 12.9%
------------- -------
Total Information Technology........................................ 61,144,413 19.2%
------------- -------
Materials -- (4.6%)
Balchem Corp.................................................. 18,280 1,387,452 0.4%
Trinseo SA.................................................... 27,499 1,442,322 0.4%
# Worthington Industries, Inc................................... 27,814 1,307,258 0.4%
Other Securities.............................................. 14,898,746 4.8%
------------- -------
Total Materials..................................................... 19,035,778 6.0%
------------- -------
Real Estate -- (0.6%)
Other Securities.............................................. 2,222,849 0.7%
------------- -------
Telecommunication Services -- (1.1%)
Other Securities.............................................. 4,558,147 1.4%
------------- -------
Utilities -- (0.2%)
Other Securities.............................................. 872,577 0.3%
------------- -------
TOTAL COMMON STOCKS................................................. 318,197,132 99.8%
------------- -------
TOTAL INVESTMENT SECURITIES......................................... 318,197,132
-------------
TEMPORARY CASH INVESTMENTS -- (0.4%)
State Street Institutional U.S. Government Money Market Fund,
0.260%....................................................... 1,724,875 1,724,875 0.5%
------------- -------
SECURITIES LENDING COLLATERAL -- (22.4%)
(S)@ DFA Short Term Investment Fund................................ 7,991,389 92,476,353 29.0%
------------- -------
TOTAL INVESTMENTS -- (100.0%)
(Cost $385,329,111)............................................. $ 412,398,360 129.3%
============= =======
14
U.S. SMALL CAP GROWTH PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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.......... $ 74,746,321 -- -- $ 74,746,321
Consumer Staples................ 17,714,758 -- -- 17,714,758
Energy.......................... 3,591,425 -- -- 3,591,425
Financials...................... 20,919,231 -- -- 20,919,231
Health Care..................... 38,735,126 -- -- 38,735,126
Industrials..................... 74,656,507 -- -- 74,656,507
Information Technology.......... 61,144,413 -- -- 61,144,413
Materials....................... 19,035,778 -- -- 19,035,778
Real Estate..................... 2,222,849 -- -- 2,222,849
Telecommunication Services...... 4,558,147 -- -- 4,558,147
Utilities....................... 872,577 -- -- 872,577
Temporary Cash Investments....... 1,724,875 -- -- 1,724,875
Securities Lending Collateral.... -- $92,476,353 -- 92,476,353
------------ ----------- -- ------------
TOTAL............................ $319,922,007 $92,476,353 -- $412,398,360
============ =========== == ============
See accompanying Notes to Financial Statements.
15
INTERNATIONAL LARGE CAP GROWTH PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (93.7%)
AUSTRALIA -- (6.3%)
Amcor, Ltd............................ 101,420 $ 1,132,015 0.5%
Brambles, Ltd......................... 139,674 1,222,888 0.5%
# Commonwealth Bank of Australia........ 43,756 2,435,935 1.1%
CSL, Ltd.............................. 18,979 1,448,203 0.6%
Westpac Banking Corp.................. 64,278 1,486,425 0.7%
Other Securities...................... 7,354,405 3.3%
------------- -------
TOTAL AUSTRALIA........................... 15,079,871 6.7%
------------- -------
AUSTRIA -- (0.1%)
Other Securities...................... 216,542 0.1%
------------- -------
BELGIUM -- (0.4%)
Other Securities...................... 938,639 0.4%
------------- -------
CANADA -- (8.1%)
Canadian National Railway Co.......... 30,284 1,903,955 0.8%
Royal Bank of Canada.................. 23,490 1,467,578 0.7%
Other Securities...................... 16,076,879 7.1%
------------- -------
TOTAL CANADA.............................. 19,448,412 8.6%
------------- -------
DENMARK -- (1.2%)
Novo Nordisk A.S. Class B............. 60,881 2,168,915 0.9%
Other Securities...................... 638,833 0.3%
------------- -------
TOTAL DENMARK............................. 2,807,748 1.2%
------------- -------
FINLAND -- (0.8%)
Other Securities...................... 1,881,473 0.8%
------------- -------
FRANCE -- (8.6%)
# Air Liquide SA........................ 11,229 1,141,008 0.5%
Airbus Group SE....................... 21,050 1,249,946 0.6%
Carrefour SA.......................... 59,990 1,572,275 0.7%
Cie Generale des Etablissements
Michelin............................. 16,453 1,781,992 0.8%
LVMH Moet Hennessy Louis Vuitton SE... 10,265 1,868,857 0.8%
Safran SA............................. 16,824 1,157,682 0.5%
Valeo SA.............................. 25,564 1,475,167 0.6%
# Vinci SA.............................. 17,144 1,241,560 0.5%
Other Securities...................... 9,157,187 4.1%
------------- -------
TOTAL FRANCE.............................. 20,645,674 9.1%
------------- -------
GERMANY -- (8.3%)
Adidas AG............................. 7,210 1,184,560 0.5%
Bayer AG.............................. 28,730 2,852,591 1.3%
Deutsche Post AG...................... 38,199 1,184,584 0.5%
Deutsche Telekom AG................... 163,651 2,670,002 1.2%
Fresenius SE & Co. KGaA............... 18,864 1,393,808 0.6%
Infineon Technologies AG.............. 66,892 1,203,072 0.5%
Siemens AG............................ 13,044 1,482,025 0.7%
Other Securities...................... 7,816,947 3.5%
------------- -------
TOTAL GERMANY............................. 19,787,589 8.8%
------------- -------
16
INTERNATIONAL LARGE CAP GROWTH PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
HONG KONG -- (3.1%)
AIA Group, Ltd..................... 226,200 $ 1,423,024 0.6%
# Hong Kong Exchanges and Clearing,
Ltd............................... 51,999 1,374,671 0.6%
Other Securities................... 4,574,332 2.1%
------------- -------
TOTAL HONG KONG........................ 7,372,027 3.3%
------------- -------
IRELAND -- (0.4%)
Other Securities................... 946,799 0.4%
------------- -------
ISRAEL -- (0.5%)
Other Securities................... 1,185,669 0.5%
------------- -------
ITALY -- (1.8%)
Other Securities................... 4,322,632 1.9%
------------- -------
JAPAN -- (22.4%)
Fuji Heavy Industries, Ltd......... 30,800 1,203,556 0.5%
Japan Tobacco, Inc................. 42,800 1,627,261 0.7%
KDDI Corp.......................... 91,500 2,780,974 1.2%
NTT DOCOMO, Inc.................... 55,400 1,391,315 0.6%
SoftBank Group Corp................ 51,240 3,227,150 1.4%
Sony Corp.......................... 50,000 1,575,912 0.7%
Other Securities................... 41,879,628 18.7%
------------- -------
TOTAL JAPAN............................ 53,685,796 23.8%
------------- -------
NETHERLANDS -- (2.5%)
RELX NV............................ 73,922 1,246,512 0.5%
Unilever NV........................ 43,684 1,826,865 0.8%
Other Securities................... 2,961,436 1.4%
------------- -------
TOTAL NETHERLANDS...................... 6,034,813 2.7%
------------- -------
NEW ZEALAND -- (0.3%)
Other Securities................... 782,465 0.4%
------------- -------
NORWAY -- (0.8%)
Other Securities................... 1,869,181 0.8%
------------- -------
SINGAPORE -- (1.2%)
Other Securities................... 2,802,521 1.2%
------------- -------
SPAIN -- (2.2%)
Amadeus IT Group SA................ 37,346 1,757,646 0.8%
Telefonica SA...................... 189,541 1,925,851 0.9%
Other Securities................... 1,699,207 0.7%
------------- -------
TOTAL SPAIN............................ 5,382,704 2.4%
------------- -------
SWEDEN -- (2.3%)
Other Securities................... 5,621,553 2.5%
------------- -------
SWITZERLAND -- (7.5%)
Givaudan SA........................ 776 1,500,837 0.7%
Roche Holding AG................... 29,029 6,667,426 3.0%
Sika AG............................ 241 1,158,356 0.5%
Syngenta AG........................ 4,072 1,629,475 0.7%
Other Securities................... 7,002,941 3.1%
------------- -------
TOTAL SWITZERLAND...................... 17,959,035 8.0%
------------- -------
17
INTERNATIONAL LARGE CAP GROWTH PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
UNITED KINGDOM -- (14.9%)
AstraZeneca P.L.C. Sponsored ADR... 69,175 $ 1,959,036 0.9%
BAE Systems P.L.C.................. 279,385 1,851,136 0.8%
British American Tobacco P.L.C..... 21,589 1,237,329 0.5%
# British American Tobacco P.L.C.
Sponsored ADR..................... 28,092 3,227,490 1.4%
BT Group P.L.C..................... 386,214 1,772,737 0.8%
Centrica P.L.C..................... 708,675 1,856,200 0.8%
Compass Group P.L.C................ 74,325 1,344,849 0.6%
Experian P.L.C..................... 61,861 1,189,249 0.5%
# GlaxoSmithKline P.L.C. Sponsored
ADR............................... 106,579 4,264,226 1.9%
Imperial Brands P.L.C.............. 26,528 1,283,208 0.6%
Unilever P.L.C. Sponsored ADR...... 36,915 1,538,248 0.7%
Other Securities................... 14,032,003 6.2%
------------- -------
TOTAL UNITED KINGDOM..................... 35,555,711 15.7%
------------- -------
TOTAL COMMON STOCKS...................... 224,326,854 99.3%
------------- -------
PREFERRED STOCKS -- (0.2%)
GERMANY -- (0.2%)
Other Securities................... 361,154 0.2%
------------- -------
TOTAL PREFERRED STOCKS................... 361,154 0.2%
------------- -------
TOTAL INVESTMENT SECURITIES.............. 224,688,008
-------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (6.1%)
(S)@ DFA Short Term Investment Fund..... 1,271,261 14,711,031 6.5%
------------- -------
TOTAL INVESTMENTS -- (100.0%)
(Cost $237,464,746).................... $ 239,399,039 106.0%
============= =======
18
INTERNATIONAL LARGE CAP GROWTH PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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....................... -- $ 15,079,871 -- $ 15,079,871
Austria......................... -- 216,542 -- 216,542
Belgium......................... $ 825,768 112,871 -- 938,639
Canada.......................... 19,448,412 -- -- 19,448,412
Denmark......................... -- 2,807,748 -- 2,807,748
Finland......................... -- 1,881,473 -- 1,881,473
France.......................... -- 20,645,674 -- 20,645,674
Germany......................... -- 19,787,589 -- 19,787,589
Hong Kong....................... 38,000 7,334,027 -- 7,372,027
Ireland......................... -- 946,799 -- 946,799
Israel.......................... 460,124 725,545 -- 1,185,669
Italy........................... -- 4,322,632 -- 4,322,632
Japan........................... -- 53,685,796 -- 53,685,796
Netherlands..................... 1,826,865 4,207,948 -- 6,034,813
New Zealand..................... -- 782,465 -- 782,465
Norway.......................... -- 1,869,181 -- 1,869,181
Singapore....................... -- 2,802,521 -- 2,802,521
Spain........................... -- 5,382,704 -- 5,382,704
Sweden.......................... -- 5,621,553 -- 5,621,553
Switzerland..................... -- 17,959,035 -- 17,959,035
United Kingdom.................. 12,310,775 23,244,936 -- 35,555,711
Preferred Stocks
Germany......................... -- 361,154 -- 361,154
Securities Lending Collateral.... -- 14,711,031 -- 14,711,031
----------- ------------ -- ------------
TOTAL............................ $34,909,944 $204,489,095 -- $239,399,039
=========== ============ == ============
See accompanying Notes to Financial Statements.
19
INTERNATIONAL SMALL CAP GROWTH PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (91.6%)
AUSTRALIA -- (6.5%)
JB Hi-Fi, Ltd......................... 18,244 $ 393,284 0.3%
Tabcorp Holdings, Ltd................. 105,571 387,866 0.3%
Other Securities...................... 7,579,425 6.4%
------------- -------
TOTAL AUSTRALIA........................... 8,360,575 7.0%
------------- -------
AUSTRIA -- (1.0%)
ANDRITZ AG............................ 11,026 576,498 0.5%
Other Securities...................... 628,895 0.5%
------------- -------
TOTAL AUSTRIA............................. 1,205,393 1.0%
------------- -------
BELGIUM -- (1.3%)
bpost SA.............................. 13,114 348,891 0.3%
Other Securities...................... 1,260,977 1.1%
------------- -------
TOTAL BELGIUM............................. 1,609,868 1.4%
------------- -------
CANADA -- (9.8%)
* B2Gold Corp........................... 121,500 351,465 0.3%
Cineplex, Inc......................... 9,583 364,373 0.3%
# Parkland Fuel Corp.................... 14,012 327,291 0.3%
Toromont Industries, Ltd.............. 12,004 352,611 0.3%
Other Securities...................... 11,069,670 9.3%
------------- -------
TOTAL CANADA.............................. 12,465,410 10.5%
------------- -------
CHINA -- (0.0%)
Other Securities...................... 15,590 0.0%
------------- -------
DENMARK -- (1.9%)
GN Store Nord A.S..................... 22,718 460,454 0.4%
SimCorp A.S........................... 6,294 347,577 0.3%
* William Demant Holding A.S............ 17,995 334,834 0.3%
Other Securities...................... 1,326,298 1.1%
------------- -------
TOTAL DENMARK............................. 2,469,163 2.1%
------------- -------
FINLAND -- (2.5%)
Amer Sports Oyj....................... 14,606 397,419 0.3%
Elisa Oyj............................. 16,557 557,825 0.5%
Huhtamaki Oyj......................... 10,672 430,700 0.4%
Orion Oyj Class B..................... 14,096 599,981 0.5%
Other Securities...................... 1,214,093 1.0%
------------- -------
TOTAL FINLAND............................. 3,200,018 2.7%
------------- -------
FRANCE -- (4.8%)
SEB SA................................ 2,861 421,069 0.4%
Teleperformance....................... 7,151 755,557 0.6%
* Ubisoft Entertainment SA.............. 12,800 435,527 0.4%
Other Securities...................... 4,515,115 3.8%
------------- -------
TOTAL FRANCE.............................. 6,127,268 5.2%
------------- -------
GERMANY -- (5.6%)
* Dialog Semiconductor P.L.C............ 9,177 360,904 0.3%
Hugo Boss AG.......................... 7,202 452,864 0.4%
20
INTERNATIONAL SMALL CAP GROWTH PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
GERMANY -- (Continued)
KION Group AG...................... 6,683 $ 403,789 0.3%
* KUKA AG............................ 3,429 389,126 0.3%
MTU Aero Engines AG................ 6,697 699,327 0.6%
Stada Arzneimittel AG.............. 8,232 412,823 0.3%
Other Securities................... 4,467,851 3.9%
------------- -------
TOTAL GERMANY.......................... 7,186,684 6.1%
------------- -------
HONG KONG -- (3.0%)
Other Securities................... 3,844,699 3.2%
------------- -------
IRELAND -- (0.3%)
Other Securities................... 417,499 0.4%
------------- -------
ISRAEL -- (0.6%)
Other Securities................... 728,427 0.6%
------------- -------
ITALY -- (3.1%)
Moncler SpA........................ 20,863 347,326 0.3%
Prysmian SpA....................... 23,676 588,765 0.5%
Recordati SpA...................... 13,988 395,565 0.3%
Other Securities................... 2,596,610 2.2%
------------- -------
TOTAL ITALY............................ 3,928,266 3.3%
------------- -------
JAPAN -- (23.0%)
Other Securities................... 29,444,539 24.8%
------------- -------
NETHERLANDS -- (1.7%)
Aalberts Industries NV............. 13,450 424,772 0.4%
Koninklijke Vopak NV............... 8,125 410,089 0.3%
Other Securities................... 1,330,267 1.1%
------------- -------
TOTAL NETHERLANDS...................... 2,165,128 1.8%
------------- -------
NEW ZEALAND -- (1.1%)
Fisher & Paykel Healthcare Corp.,
Ltd............................... 64,294 407,074 0.4%
Other Securities................... 940,065 0.7%
------------- -------
TOTAL NEW ZEALAND...................... 1,347,139 1.1%
------------- -------
NORWAY -- (0.9%)
Other Securities................... 1,201,292 1.0%
------------- -------
PORTUGAL -- (0.3%)
Other Securities................... 395,350 0.3%
------------- -------
SINGAPORE -- (1.1%)
Other Securities................... 1,372,270 1.2%
------------- -------
SPAIN -- (1.7%)
# Bolsas y Mercados Espanoles SHMSF
SA................................ 11,465 346,498 0.3%
Distribuidora Internacional de
Alimentacion SA................... 95,842 511,901 0.4%
Other Securities................... 1,281,910 1.1%
------------- -------
TOTAL SPAIN............................ 2,140,309 1.8%
------------- -------
SWEDEN -- (2.6%)
Other Securities................... 3,314,069 2.8%
------------- -------
21
INTERNATIONAL SMALL CAP GROWTH PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
SWITZERLAND -- (4.0%)
dorma+kaba Holding AG Class B...... 463 $ 321,731 0.3%
Georg Fischer AG................... 572 507,133 0.4%
Logitech International SA.......... 21,088 510,045 0.4%
Straumann Holding AG............... 950 356,431 0.3%
Temenos Group AG................... 8,866 572,580 0.5%
Other Securities................... 2,850,870 2.4%
------------- -------
TOTAL SWITZERLAND........................ 5,118,790 4.3%
------------- -------
UNITED KINGDOM -- (14.7%)
Booker Group P.L.C................. 244,737 536,772 0.5%
Daily Mail & General Trust P.L.C.
Class A........................... 38,411 352,561 0.3%
DS Smith P.L.C..................... 99,755 486,425 0.4%
G4S P.L.C.......................... 226,232 607,686 0.5%
Halma P.L.C........................ 50,035 640,544 0.5%
Howden Joinery Group P.L.C......... 97,053 444,420 0.4%
IG Group Holdings P.L.C............ 55,820 563,681 0.5%
IMI P.L.C.......................... 38,321 465,466 0.4%
Micro Focus International P.L.C.... 12,498 327,258 0.3%
Rentokil Initial P.L.C............. 281,817 786,078 0.7%
Rightmove P.L.C.................... 12,339 563,240 0.5%
Spirax-Sarco Engineering P.L.C..... 10,308 555,743 0.5%
Other Securities................... 12,494,806 10.4%
------------- -------
TOTAL UNITED KINGDOM..................... 18,824,680 15.9%
------------- -------
UNITED STATES -- (0.1%)
Other Securities................... 96,990 0.1%
------------- -------
TOTAL COMMON STOCKS...................... 116,979,416 98.6%
------------- -------
PREFERRED STOCKS -- (0.7%)
GERMANY -- (0.7%)
Fuchs Petrolub SE.................. 8,841 395,714 0.3%
Other Securities................... 534,710 0.5%
------------- -------
TOTAL GERMANY............................ 930,424 0.8%
------------- -------
UNITED KINGDOM -- (0.0%)
Other Securities................... 959 0.0%
------------- -------
TOTAL PREFERRED STOCKS................... 931,383 0.8%
------------- -------
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities................... 2,015 0.0%
------------- -------
TOTAL RIGHTS/WARRANTS.................... 2,015 0.0%
------------- -------
TOTAL INVESTMENT SECURITIES.............. 117,912,814
-------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (7.7%)
(S)@ DFA Short Term Investment Fund..... 853,222 9,873,483 8.3%
------------- -------
TOTAL INVESTMENTS -- (100.0%)
(Cost $119,933,667).................... $ 127,786,297 107.7%
============= =======
22
INTERNATIONAL SMALL CAP GROWTH PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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....................... -- $ 8,360,575 -- $ 8,360,575
Austria......................... -- 1,205,393 -- 1,205,393
Belgium......................... -- 1,609,868 -- 1,609,868
Canada.......................... $12,465,410 -- -- 12,465,410
China........................... -- 15,590 -- 15,590
Denmark......................... -- 2,469,163 -- 2,469,163
Finland......................... -- 3,200,018 -- 3,200,018
France.......................... -- 6,127,268 -- 6,127,268
Germany......................... -- 7,186,684 -- 7,186,684
Hong Kong....................... -- 3,844,699 -- 3,844,699
Ireland......................... -- 417,499 -- 417,499
Israel.......................... -- 728,427 -- 728,427
Italy........................... -- 3,928,266 -- 3,928,266
Japan........................... 22,153 29,422,386 -- 29,444,539
Netherlands..................... -- 2,165,128 -- 2,165,128
New Zealand..................... -- 1,347,139 -- 1,347,139
Norway.......................... -- 1,201,292 -- 1,201,292
Portugal........................ -- 395,350 -- 395,350
Singapore....................... -- 1,372,270 -- 1,372,270
Spain........................... -- 2,140,309 -- 2,140,309
Sweden.......................... 7,488 3,306,581 -- 3,314,069
Switzerland..................... -- 5,118,790 -- 5,118,790
United Kingdom.................. -- 18,824,680 -- 18,824,680
United States................... 60,500 36,490 -- 96,990
Preferred Stocks
Germany......................... -- 930,424 -- 930,424
United Kingdom.................. -- 959 -- 959
Rights/Warrants
Australia....................... -- 2,015 -- 2,015
Securities Lending Collateral.... -- 9,873,483 -- 9,873,483
----------- ------------ -- ------------
TOTAL............................ $12,555,551 $115,230,746 -- $127,786,297
=========== ============ == ============
See accompanying Notes to Financial Statements.
23
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
INTERNATIONAL INTERNATIONAL
U.S. LARGE CAP U.S. SMALL CAP LARGE CAP SMALL CAP
GROWTH GROWTH GROWTH GROWTH
PORTFOLIO* PORTFOLIO* PORTFOLIO* PORTFOLIO*
-------------- -------------- ------------- -------------
ASSETS:
Investments at Value (including $178,480, $97,237,
$14,553 and $9,841 of securities on loan,
respectively).............................................. $ 1,100,019 $ 318,197 $ 224,688 $ 117,913
Temporary Cash Investments at Value & Cost.................. 6,246 1,725 -- --
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $143,811, $92,464, $14,710 and
$9,872).................................................... 143,831 92,476 14,711 9,873
Foreign Currencies at Value................................. -- -- 122 368
Cash........................................................ -- -- 422 321
Receivables:
Investment Securities Sold................................ -- 1,786 -- 299
Dividends, Interest and Tax Reclaims...................... 1,155 45 688 254
Securities Lending Income................................. 35 32 19 22
Fund Shares Sold.......................................... 1,054 412 64 45
Prepaid Expenses and Other Assets........................... 33 17 18 14
------------ ------------ ------------ ------------
Total Assets........................................... 1,252,373 414,690 240,732 129,109
------------ ------------ ------------ ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......................... 143,809 92,464 14,709 9,871
Investment Securities Purchased........................... 4,226 2,777 5 452
Fund Shares Redeemed...................................... 1,532 305 68 45
Due to Advisor............................................ 139 93 31 18
Accrued Expenses and Other Liabilities...................... 87 27 33 26
------------ ------------ ------------ ------------
Total Liabilities...................................... 149,793 95,666 14,846 10,412
------------ ------------ ------------ ------------
NET ASSETS.................................................. $ 1,102,580 $ 319,024 $ 225,886 $ 118,697
============ ============ ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$1,102,580; $319,024; $225,886 and $118,697 and
shares outstanding of 73,948,646; 21,764,203;
20,951,966 and 9,354,015, respectively..................... $ 14.91 $ 14.66 $ 10.78 $ 12.69
============ ============ ============ ============
Investments at Cost......................................... $ 1,001,897 $ 291,140 $ 222,755 $ 110,062
============ ============ ============ ============
Foreign Currencies at Cost.................................. $ -- $ -- $ 122 $ 367
============ ============ ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 1,007,297 $ 290,100 $ 240,073 $ 110,293
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... 1,512 16 485 339
Accumulated Net Realized Gain (Loss)........................ (4,371) 1,839 (16,590) 220
Net Unrealized Foreign Exchange Gain (Loss)................. -- -- (16) (8)
Net Unrealized Appreciation (Depreciation).................. 98,142 27,069 1,934 7,853
------------ ------------ ------------ ------------
NET ASSETS.................................................. $ 1,102,580 $ 319,024 $ 225,886 $ 118,697
============ ============ ============ ============
(1) NUMBER OF SHARES AUTHORIZED............................. 100,000,000 100,000,000 100,000,000 100,000,000
============ ============ ============ ============
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
24
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS)
INTERNATIONAL INTERNATIONAL
U.S. LARGE U.S. SMALL LARGE CAP SMALL CAP
CAP GROWTH CAP GROWTH GROWTH GROWTH
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------- ---------- ------------- -------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $1, $0, $482 and
$225, respectively).......................................... $18,299 $ 3,150 $ 5,465 $2,522
Income from Securities Lending................................ 345 428 134 237
------- ------- ------- ------
Total Investment Income.................................... 18,644 3,578 5,599 2,759
------- ------- ------- ------
FUND EXPENSES
Investment Management Fees.................................... 1,542 931 506 533
Accounting & Transfer Agent Fees.............................. 53 18 25 20
Custodian Fees................................................ 5 1 51 82
Filing Fees................................................... 104 43 38 27
Shareholders' Reports......................................... 37 14 12 7
Directors'/Trustees' Fees & Expenses.......................... 6 2 1 1
Professional Fees............................................. 18 6 5 3
Other......................................................... 26 13 20 19
------- ------- ------- ------
Total Expenses............................................. 1,791 1,028 658 692
------- ------- ------- ------
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor (Note C).................... 23 35 (52) (105)
Fees Paid Indirectly (Note C)................................. -- -- (4) (2)
------- ------- ------- ------
Net Expenses.................................................. 1,814 1,063 602 585
------- ------- ------- ------
NET INVESTMENT INCOME (LOSS).................................. 16,830 2,515 4,997 2,174
------- ------- ------- ------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**................................ (4,281) 2,303 (5,598) 232
Futures..................................................... (81) (330) 239 --
Foreign Currency Transactions............................... -- -- 4 42
Forward Currency Contracts.................................. -- -- (1) (2)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. 17,925 (4,519) (1,805) 3,240
Translation of Foreign Currency Denominated Amounts......... -- -- (14) (8)
------- ------- ------- ------
NET REALIZED AND UNREALIZED GAIN (LOSS)....................... 13,563 (2,546) (7,175) 3,504
------- ------- ------- ------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS..................................................... $30,393 $ (31) $(2,178) $5,678
======= ======= ======= ======
----------
**Net of foreign capital gain taxes withheld of $0, $0, $0, and $0,
respectively.
See accompanying Notes to Financial Statements.
25
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
U.S. LARGE CAP GROWTH U.S. SMALL CAP GROWTH INTERNATIONAL LARGE CAP INTERNATIONAL SMALL CAP
PORTFOLIO PORTFOLIO GROWTH PORTFOLIO GROWTH PORTFOLIO
--------------------- ------------------- ---------------------- ----------------------
YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2016 2015 2016 2015 2016 2015
---------- --------- --------- -------- -------- -------- -------- --------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)....... $ 16,830 $ 11,269 $ 2,515 $ 1,543 $ 4,997 $ 4,254 $ 2,174 $ 1,821
Net Realized Gain (Loss) on:
Investment Securities Sold *...... (4,281) 3,976 2,303 1,831 (5,598) (11,231) 232 1,212
Futures........................... (81) -- (330) -- 239 -- -- --
Foreign Currency
Transactions..................... -- -- -- -- 4 (8) 42 (55)
Forward Currency Contracts........ -- -- -- -- (1) -- (2) --
Change in Unrealized
Appreciation (Depreciation) of:
Investment Securities and
Foreign Currency................. 17,925 17,897 (4,519) 3,766 (1,805) 3,487 3,240 2,322
Translation of Foreign Currency
Denominated Amounts.............. -- -- -- -- (14) 7 (8) 5
---------- --------- --------- -------- -------- -------- -------- --------
Net Increase (Decrease) in
Net Assets Resulting from
Operations...................... 30,393 33,142 (31) 7,140 (2,178) (3,491) 5,678 5,305
---------- --------- --------- -------- -------- -------- -------- --------
Distributions From:
Net Investment Income:
Institutional Class Shares........ (16,719) (10,235) (2,486) (1,450) (4,712) (4,006) (2,089) (1,634)
Net Short-Term Gains:
Institutional Class Shares........ -- (496) (117) -- -- (570) -- (50)
Net Long-Term Gains:
Institutional Class Shares........ (3,863) (1,926) (1,669) (914) -- (332) (1,165) (598)
---------- --------- --------- -------- -------- -------- -------- --------
Total Distributions.............. (20,582) (12,657) (4,272) (2,364) (4,712) (4,908) (3,254) (2,282)
---------- --------- --------- -------- -------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued...................... 475,731 301,935 175,891 87,843 124,823 120,895 37,416 33,313
Shares Issued in Lieu of Cash
Distributions..................... 20,411 12,560 4,230 2,349 4,565 4,166 3,232 2,261
Shares Redeemed.................... (140,910) (106,179) (108,609) (24,772) (64,741) (89,797) (16,841) (11,809)
---------- --------- --------- -------- -------- -------- -------- --------
Net Increase (Decrease) from
Capital Share
Transactions.................... 355,232 208,316 71,512 65,420 64,647 35,264 23,807 23,765
---------- --------- --------- -------- -------- -------- -------- --------
Total Increase (Decrease) in
Net Assets...................... 365,043 228,801 67,209 70,196 57,757 26,865 26,231 26,788
NET ASSETS
Beginning of Period................ 737,537 508,736 251,815 181,619 168,129 141,264 92,466 65,678
---------- --------- --------- -------- -------- -------- -------- --------
End of Period...................... $1,102,580 $ 737,537 $ 319,024 $251,815 $225,886 $168,129 $118,697 $ 92,466
========== ========= ========= ======== ======== ======== ======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued...................... 32,435 20,623 12,300 5,883 11,570 10,657 3,034 2,731
Shares Issued in Lieu of Cash
Distributions..................... 1,380 881 292 164 421 368 262 188
Shares Redeemed.................... (9,629) (7,295) (7,914) (1,658) (6,067) (8,087) (1,370) (972)
---------- --------- --------- -------- -------- -------- -------- --------
Net Increase (Decrease) from
Shares Issued and
Redeemed........................ 24,186 14,209 4,678 4,389 5,924 2,938 1,926 1,947
========== ========= ========= ======== ======== ======== ======== ========
UNDISTRIBUTED NET INVESTMENT
INCOME (DISTRIBUTIONS IN EXCESS
OF NET INVESTMENT INCOME)........... $ 1,512 $ 1,615 $ 16 $ 151 $ 485 $ 404 $ 339 $ 264
----------
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.
26
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. LARGE CAP GROWTH PORTFOLIO U.S. SMALL CAP GROWTH PORTFOLIO
----------------------------------------- ---------------------------------------
PERIOD PERIOD
YEAR YEAR YEAR DEC. 20, YEAR YEAR YEAR DEC. 20,
ENDED ENDED ENDED 2012(A) TO ENDED ENDED ENDED 2012(A) TO
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2016 2015 2014 2013
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value,
Beginning of Period...... $ 14.82 $ 14.31 $ 12.56 $ 10.00 $ 14.74 $ 14.30 $ 13.47 $ 10.00
---------- -------- -------- -------- -------- -------- -------- --------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)............. 0.27 0.26 0.23 0.16 0.14 0.10 0.09 0.07
Net Gains (Losses) on
Securities (Realized
and Unrealized)........ 0.17 0.56 1.73 2.49 0.02 0.51 0.93 3.44
---------- -------- -------- -------- -------- -------- -------- --------
Total from Investment
Operations............ 0.44 0.82 1.96 2.65 0.16 0.61 1.02 3.51
--------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.... (0.27) (0.24) (0.21) (0.09) (0.14) (0.10) (0.09) (0.04)
Net Realized Gains....... (0.08) (0.07) -- -- (0.10) (0.07) (0.10) --
---------- -------- -------- -------- -------- -------- -------- --------
Total Distributions.... (0.35) (0.31) (0.21) (0.09) (0.24) (0.17) (0.19) (0.04)
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period................... $ 14.91 $ 14.82 $ 14.31 $ 12.56 $ 14.66 $ 14.74 $ 14.30 $ 13.47
======================== ========== ======== ======== ========== ======== ======== ======== ==========
Total Return.............. 3.00% 5.79% 15.70% 26.58%(C) 1.12% 4.31% 7.64% 35.17%(C)
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of
Period (thousands)....... $1,102,580 $737,537 $508,736 $223,904 $319,024 $251,815 $181,619 $121,634
Ratio of Expenses to
Average Net Assets....... 0.20% 0.20% 0.20% 0.20%(B)(D) 0.40% 0.40% 0.40% 0.40%(B)(D)
Ratio of Expenses to
Average Net Assets
(Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor).... 0.20% 0.20% 0.22% 0.28%(B)(D) 0.39% 0.40% 0.41% 0.49%(B)(D)
Ratio of Net Investment
Income to Average Net
Assets................... 1.86% 1.77% 1.69% 1.59%(D) 0.95% 0.70% 0.66% 0.71%(D)
Portfolio Turnover Rate... 14% 15% 8% 10%(C) 47% 16% 19% 25%(C)
--------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
27
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
INTERNATIONAL LARGE CAP GROWTH PORTFOLIO INTERNATIONAL SMALL CAP GROWTH PORTFOLIO
---------------------------------------- -------------------------------------
PERIOD PERIOD
YEAR YEAR YEAR DEC. 20, YEAR YEAR YEAR DEC. 20,
ENDED ENDED ENDED 2012(A) TO ENDED ENDED ENDED 2012(A) TO
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2016 2015 2014 2013
-----------------------------------------------------------------------------------------------------------------------
Net Asset Value,
Beginning of Period...... $ 11.19 $ 11.68 $ 11.81 $ 10.00 $ 12.45 $ 11.98 $ 12.22 $ 10.00
-------- -------- -------- ------- -------- ------- ------- -------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)............. 0.27 0.28 0.31 0.24 0.25 0.28 0.25 0.24
Net Gains (Losses) on
Securities (Realized
and Unrealized)........ (0.43) (0.43) (0.16) 1.74 0.38 0.55 (0.26) 2.13
-------- -------- -------- ------- -------- ------- ------- -------
Total from Investment
Operations............ (0.16) (0.15) 0.15 1.98 0.63 0.83 (0.01) 2.37
-----------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.... (0.25) (0.27) (0.28) (0.17) (0.24) (0.25) (0.23) (0.15)
Net Realized Gains....... -- (0.07) -- -- (0.15) (0.11) -- --
-------- -------- -------- ------- -------- ------- ------- -------
Total Distributions.... (0.25) (0.34) (0.28) (0.17) (0.39) (0.36) (0.23) (0.15)
-----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period................... $ 10.78 $ 11.19 $ 11.68 $ 11.81 $ 12.69 $ 12.45 $ 11.98 $ 12.22
======================== ======== ======== ======== ========== ======== ======== ======== ==========
Total Return.............. (1.43)% (1.29)% 1.21% 19.98%(C) 5.21% 7.09% (0.18)% 23.83%(C)
-----------------------------------------------------------------------------------------------------------------------
Net Assets, End of
Period (thousands)....... $225,886 $168,129 $141,264 $46,708 $118,697 $92,466 $65,678 $44,274
Ratio of Expenses to
Average Net Assets....... 0.30% 0.30% 0.30% 0.30%(B)(D) 0.55% 0.55% 0.55% 0.55%(B)(D)
Ratio of Expenses to
Average Net Assets
(Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor
and Fees Paid
Indirectly).............. 0.33% 0.34% 0.37% 0.65%(B)(D) 0.65% 0.67% 0.72% 1.00%(B)(D)
Ratio of Net Investment
Income to Average Net
Assets................... 2.47% 2.45% 2.59% 2.60%(D) 2.04% 2.24% 2.00% 2.50%(D)
Portfolio Turnover Rate... 20% 37% 20% 3%(C) 29% 30% 29% 7%(C)
-----------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
28
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund offers ninety-five
operational portfolios, four of which, U.S. Large Cap Growth Portfolio, U.S.
Small Cap Growth Portfolio, International Large Cap Growth Portfolio and
International Small Cap Growth Portfolio (the "Portfolios"), are included in
this report. The remaining ninety-one portfolios are presented in separate
reports. The Portfolios are investment companies and, accordingly, follow the
accounting and reporting guidance under Financial Accounting Standards Board
("FASB") Accounting Standards Certification ("ASC") Topic 946, "Financial
Services-Investment Companies."
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 U.S. Large Cap Growth Portfolio and U.S. Small Cap Growth
Portfolio (the "Domestic Equity Portfolios") and International Large Cap Growth
Portfolio and International Small Cap Growth 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 management 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
29
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 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 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.
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 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
Schedules of Portfolio Holdings. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the year ended October 31, 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.
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
30
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 October 31, 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 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.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolios.
For the year ended October 31, 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:
U.S. Large Cap Growth Portfolio................... 0.17%
U.S. Small Cap Growth Portfolio................... 0.35%
International Large Cap Growth Portfolio.......... 0.25%
International Small Cap Growth Portfolio.......... 0.50%
Pursuant to an Amended and Restated Fee Waiver and/or Expense Assumption
Agreement (the "Fee Waiver Agreement") for the Portfolios, 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 each Portfolio (excluding the
expenses that the Portfolio incurs indirectly through its investment in other
investment companies) ("Portfolio Expenses") to the extent necessary to limit
the Portfolio Expenses of a class of each Portfolio, on an annualized basis, to
the rates listed below as a percentage of a class of the respective Portfolio's
average net assets (the "Expense Limitation
31
Amount"). At any time that the Portfolio Expenses of a class of a 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 identified below.
The Fee Waiver Agreement for the Portfolios 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.
For the year ended October 31, 2016, the Portfolios had expense limits based
on a percentage of average net assets on an annualized basis, and previously
waived fees subject to future recovery by the Advisor as reflected below
(amounts in thousands). The Advisor recovered previously waived fees and/or
expenses assumed as listed 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 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
-------------------------- ----------------- ------------- -----------------
U.S. Large Cap Growth Portfolio................... 0.20% $45 $132
U.S. Small Cap Growth Portfolio................... 0.40% 46 25
International Large Cap Growth Portfolio.......... 0.30% 1 184
International Small Cap Growth Portfolio.......... 0.55% 1 305
EARNED INCOME CREDIT:
In addition, the Portfolios have entered into arrangements with their
custodian whereby net interest earned on uninvested cash balances was used to
reduce a portion of the Portfolios' custody expenses. Custody expense in the
accompanying financial statements is presented before reduction for credits.
The impact of such credits is generally less than one basis point of each
Portfolio's net assets. During the year ended October 31, 2016, expenses
reduced were as follows (amounts in thousands):
FEES PAID
INDIRECTLY
- ----------
International Large Cap Growth Portfolio.......... $4
International Small Cap Growth Portfolio.......... 2
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 year ended October 31, 2016, the total related amounts paid by the Fund
to the CCO were $291 (in thousands). The total related amounts paid by each of
the Portfolios are included in Other Expenses on the Statement of Operations.
D. DEFERRED COMPENSATION:
At October 31, 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):
U.S. Large Cap Growth Portfolio................... $5
U.S. Small Cap Growth Portfolio................... 2
International Large Cap Growth Portfolio.......... 1
International Small Cap Growth Portfolio.......... 1
32
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 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
--------- --------
U.S. Large Cap Growth Portfolio.............. $485,803 $130,585
U.S. Small Cap Growth Portfolio.............. 196,575 125,295
International Large Cap Growth Portfolio..... 105,415 39,566
International Small Cap Growth Portfolio..... 54,502 31,125
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 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, 2016, primarily attributable to net foreign
currency gains/losses, and 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)
--------------- -------------- --------------
U.S. Large Cap Growth Portfolio.............. $214 $(214) --
U.S. Small Cap Growth Portfolio.............. 293 (164) $(129)
International Large Cap Growth Portfolio..... 207 (204) (3)
International Small Cap Growth Portfolio..... 62 (10) (52)
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2015 and October 31, 2016 were as follows (amounts
in thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- -------
U.S. Large Cap Growth Portfolio
2015..................................... $10,731 $1,926 $12,657
2016..................................... 16,719 3,863 20,582
U.S. Small Cap Growth Portfolio
2015..................................... 1,450 915 2,365
2016..................................... 2,602 1,669 4,271
International Large Cap Growth Portfolio
2015..................................... 4,575 332 4,907
2016..................................... 4,712 -- 4,712
International Small Cap Growth Portfolio
2015..................................... 1,684 598 2,282
2016..................................... 2,089 1,165 3,254
33
At October 31, 2016, 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 Cap Growth Portfolio.......... $(214) -- $(214)
U.S. Small Cap Growth Portfolio.......... (164) $(128) (292)
International Large Cap Growth Portfolio. (207) -- (207)
International Small Cap Growth Portfolio. (56) (6) (62)
At October 31, 2016, the components of distributable earnings (accumulated
losses) were as follows (amounts in thousands):
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED UNREALIZED EARNINGS
SHORT-TERM LONG-TERM CAPITAL LOSS APPRECIATION (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS CARRYFORWARDS (DEPRECIATION) LOSSES)
-------------- ------------- ------------- -------------- -------------
U.S. Large Cap Growth Portfolio. $1,517 -- $ (4,369) $98,140 $ 95,288
U.S. Small Cap Growth Portfolio. 18 $1,839 -- 27,069 28,926
International Large Cap Growth
Portfolio..................... 485 -- (16,456) 1,784 (14,187)
International Small Cap Growth
Portfolio..................... 401 222 -- 7,782 8,405
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, 2016, the
Portfolios had the following capital loss carryforwards available to offset
future realized capital gains through the indicated expiration dates (amounts
in thousands):
UNLIMITED TOTAL
--------- -------
U.S. Large Cap Growth Portfolio.......... $ 4,369 $ 4,369
U.S. Small Cap Growth Portfolio.......... -- --
International Large Cap Growth Portfolio. 16,456 16,456
International Small Cap Growth Portfolio. -- --
At October 31, 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)
----------- ------------ ------------ --------------
U.S. Large Cap Growth Portfolio.......... $1,151,956 $132,860 $(34,720) $98,140
U.S. Small Cap Growth Portfolio.......... 385,329 41,608 (14,539) 27,069
International Large Cap Growth Portfolio. 237,600 19,790 (17,990) 1,800
International Small Cap Growth Portfolio. 119,996 16,707 (8,917) 7,790
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.
34
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 fiscal period
remain subject to examination by the Internal Revenue Service.
G. FINANCIAL INSTRUMENTS:
In accordance with the Portfolios' investment objectives and policies, the
Portfolios may invest in certain financial instruments that have off-balance
sheet risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. FOREIGN MARKET RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States of America, including the possibility of future political and
economic developments and the level of foreign governmental supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of international
securities held by the International Equity 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 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 or indices, 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.
3. FORWARD CURRENCY CONTRACTS: The International Portfolios may acquire
and sell forward foreign currency exchange contracts in order to attempt to
protect against uncertainty in the level of future foreign currency exchange
rates. The International Portfolios may enter into a forward contract in
connection with the purchase or sale of foreign equity securities, typically to
"lock in" the value of the transaction with respect to a different currency. In
addition, the International Portfolios may, from time to time, enter into a
forward contract to transfer balances from one currency to another currency.
The decision to hedge an International 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 International 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 International 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.
35
The average volume (based on the open positions at each fiscal month-end) of
derivative activity for the year ended October 31, 2016 (amounts in thousands):
FORWARD
CURRENCY
CONTRACTS FUTURES
--------- -------
U.S. Small Cap Growth Portfolio*.......... -- $ 49
International Large Cap Growth Portfolio*. $31 125
International Small Cap Growth Portfolio*. 54 --
* The Portfolios had derivative activity during the period but it did not have
open positions at October 31, 2016.
The following is a summary of the location of derivative instrument holdings
on the Portfolios' Statements of Operations categorized by primary risk
exposure for the year ended October 31, 2016:
DERIVATIVE TYPE LOCATION OF GAIN (LOSS) ON DERIVATIVES
--------------- --------------------------------------
Equity contracts Net Realized Gain (Loss) on: Futures
Foreign exchange contracts Net Realized Gain (Loss) on:
Foreign Currency Transactions
The following is a summary of the realized gains and losses from the
Portfolios' derivative instrument holdings categorized by primary risk exposure
through the year ended October 31, 2016 (amounts in thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
-------------------------
FOREIGN
EXCHANGE EQUITY
TOTAL CONTRACTS CONTRACTS
----- --------- ---------
U.S. Large Cap Growth Portfolio.............. $ (81) -- $ (81)
U.S. Small Cap Growth Portfolio.............. (330) -- (330)
International Large Cap Growth Portfolio..... 238 $(1) 239
International Small Cap Growth Portfolio..... (2) (2) --
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.
36
For the year ended October 31, 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
------------- ------------ ------------ -------- ---------------
U.S. Large Cap Growth Portfolio..... 1.07% $ 1,354 7 -- $ 5,751
U.S. Small Cap Growth Portfolio..... 1.05% 12,356 9 $ 3 63,033
International Large Cap Growth
Portfolio......................... 1.08% 589 45 1 2,189
International Small Cap Growth
Portfolio......................... 1.14% 529 16 -- 2,268
* Number of Days Outstanding represents the total of single or consecutive days
during the year ended October 31, 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 October 31, 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 year ended October 31, 2016.
I. AFFILIATED TRADES:
Cross trades for the year ended October 31, 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 year ended October 31, 2016, cross trades by the Portfolios under
Rule 17a-7 were as follows (amounts in thousands):
PORTFOLIO PURCHASES SALES REALIZED GAIN (LOSS)
--------- --------- ------- --------------------
U.S. Large Cap Growth Portfolio....... $72,555 $44,381 $(6,311)
U.S. Small Cap Growth Portfolio....... 24,498 18,793 (1,920)
International Large Cap Growth
Portfolio........................... 2,669 10,726 (1,346)
International Small Cap Growth
Portfolio........................... 6,388 9,709 (345)
J. SECURITIES LENDING:
As of October 31, 2016, some of the Portfolios had securities on loan to
brokers/dealers, for which each such Portfolio received cash collateral. The
non-cash collateral includes short- and/or long-term U.S. Treasuries and U.S.
Government agency securities as follows (amounts in thousands):
MARKET UNINVESTED
VALUE CASH
------- ----------
U.S. Large Cap Growth Portfolio.......... $37,789 --
U.S. Small Cap Growth Portfolio.......... 6,800 --
International Large Cap Growth Portfolio. 382 $132
International Small Cap Growth Portfolio. 717 --
37
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
Portfolios' collateral to be lower or higher than the expected thresholds. If
this were to occur, the collateral would be adjusted the next business day to
ensure adequate collateralization. In the event of default or bankruptcy by the
other party to the agreement, realization and/or retention of the collateral
may be subject to legal proceedings. If the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is
insufficient to cover the value of loaned securities and provided such
collateral insufficiency is not the result of investment losses, the lending
agent has agreed to pay the amount of the shortfall to the Portfolio or, at the
option of the lending agent, to replace the securities. In the event of the
bankruptcy of the borrower, a Portfolio could experience delay in recovering
the loaned securities or only recover cash or a security of equivalent value.
Subject to their stated investment policies, 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. 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 October 31, 2016:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF OCTOBER 31, 2016
---------------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <